Tpg Mortgage Investment Trust, Inc. · NYSE:MITT
Tpg Mortgage Investment Trust — AG Mortgage Investment Trust — Q1 2016 Earnings Presentation
29 slides from Tpg Mortgage Investment Trust's earnings presentation, May 6, 2016
Slide 1: AG Mortgage Investment Trust Q1 2016 Earnings Presentation
AG Mortgage Investment Trust, Inc. Q1 2016 Earnings Presentation May 6, 2016
Slide 2: Forward Looking Statements
Forward Looking Statements This presentation includes "forward-looking statements" within the meaning of the safe harbor provisions of the United States Private Securities Litigation Reform Act of 1995 related to dividends, our strategy related to our investments and portfolio, liquidity and finan
Slide 3: Q1 2016 MITT Earnings Call Presenters
Q1 2016 MITT Earnings Call Presenters Title David Roberts Chief Executive Officer Jonathan Lieberman President/Chief Investment Officer Brian Sigman Chief Financial Officer Karen Werbel Head of Investor Relations NYSE: MITT 2
Slide 4: Q1 2016 Performance and Highlights
Q1 2016 Performance and Highlights $(0.21) of Net Income/(Loss) per diluted common share1 $0.40 of Core Earnings2 per diluted common share $0.45 excluding a $0.05 retrospective adjustment Interest income declined by $0.08 from last quarter primarily due to lower yields and a smaller portfoli
Slide 5: Performance and Highlights (cont'd)
Q1 2016 Performance and Highlights (cont’d) $17.22 net book value per share3 as of March 31, 2016 Book value declined $(0.66) or (3.7)% from last quarter, inclusive of: $0.11 or 0.6% due to our investments in Agency RMBS and associated derivative hedges Mortgage basis widened slightly due to
Slide 6: Performance and Highlights (cont'd)
Q1 2016 Performance and Highlights (cont’d) $2.7 billion investment portfolio as of March 31, 2016 as compared to the $2.9 billion investment portfolio as of December 31, 20154, 5 During the quarter, we continued our strategic objective of rotation and reallocation to Credit Investments 62% of
Slide 7: Performance and Highlights (cont'd)
Q1 2016 Performance and Highlights (cont’d) 3.02% Net Interest Margin (“NIM”) as of March 31, 20169 3.36x “At Risk” Leverage5, 8 3/31/2015 6/30/2015 9/30/2015 12/31/2015 3/31/2016 Yield on Investment Portfolio11 4.61% 4.64% 4.70% 4.86% 4.75% Cost of Funds12 1.53% 1.78% 1.69% 1.81% 1.73% NIM excl
Slide 8: Performance and Highlights (cont'd)
Q1 2016 Performance and Highlights (cont’d) Agency RMBS: Reduced hedges in response to a more favorable outlook on interest rates Credit Investments: Purchased Non-Agency MBS, Credit Risk Transfer (“CRT”) securities, ABS, CMBS IO and originated Commercial Loan Residential investments: Pu
Slide 9: Arc Home Update
Arc Home Update In January, Arc Home entered into a definitive agreement to acquire a Fannie Mae, Freddie Mac, and Ginnie Mae mortgage originator Currently, Arc Home is working to secure approvals from Fannie Mae, Freddie Mac, Ginnie Mae and various state licensing authorities which are required
Slide 10: Outlook and Positioning
Outlook and Positioning Macro-economic expectation In March, the FOMC maintained rates but revised inflation marginally lower and lowered forward guidance for the short and longer run median federal funds rate Domestic economy continues to show modest but inconsistent growth, with little overa
Slide 11: Investment Portfolio Composition
Q1 2016 Investment Portfolio Composition 5 Current Premium Amortized Fair Weighted Average Weighted Average Face (mm) (Discount) (mm) Cost (mm) Value (mm) Coupon * Yield Agency RMBS 30 Year Fixed Rate 761.5 32.6 794.1 811.3 3.8% 3.0% Fixed Rate CMO 73.6 0.6 74.2 76.8 3.0% 2.8% Hybrid ARM 240.6 (2.6)
Slide 12: Agency Portfolio Details
Q1 2016 Agency Portfolio Details Current Face Fair Value Weighted Average Weighted Average Description Funding Cost NIM* (mm) (mm) Coupon Yield* 30-year fixed rate 761.5 811.3 3.8% 3.0% 0.8% 2.2% Fixed rate CMO 73.6 76.8 3.0% 2.8% 0.7% 2.1% Hybrid ARM 240.6 246.2 2.4% 2.8% 0.8% 2.0% Inverse Interest
Slide 13: Credit Portfolio Details
Q1 2016 Credit Portfolio Details Current Face Fair Value Weighted Average Weighted Average Description Funding Cost NIM(c) (mm) (mm) Coupon(b) Yield Residential Investments: Prime(a) 1,005.3 632.1 3.0% 5.3% 1.9% 3.4% Alt A(a) 437.5 215.0 2.4% 5.0% 2.0% 3.0% Subprime(a) 106.6 103.0 4.5% 5.3% 2.0% 3.3
Slide 14: Credit Portfolio Details (cont'd)
Q1 2016 Credit Portfolio Details (cont’d) Residential Investments (Fair Value) Commercial Investments (Fair Value) Excess MSR, 0.0% Securitized Residential Whole Loans, Loans, 5.0% CMBS, 47.6% 4.9% Commercial Loans, 32.0% RPL/NPL, 9.9% Credit Risk Transfer Securities, 2.9% CMBS Interest Prime, 51.4%
Slide 15: Financing and Duration Gap
Financing and Duration Gap15 Financing arrangements with 37 counterparties excluding FHLB Currently financing investments at 21 of the counterparties Weighted average funding cost of 0.8% for Agency RMBS and 2.2% for Credit Investments Repurchase Agreements* ($ in thousands ) Maturing Within A
Slide 16: Hedging and Interest Rate Sensitivity Summary
Hedging and Interest Rate Sensitivity Summary Hedge ratio at quarter end was 47% of Agency and 22% of total financing6,16 No forward starting swaps We may purchase and sell short U.S. Treasury securities to help mitigate the potential impact of changes in interest rates on the performance of o
Slide 17: Q1 2016 Financial Metrics
Q1 2016 Financial Metrics Weighted Average for Key Statistics5 March 31, 2016 the Quarter Ended March 31, 2016 ($ in thousands) Investment portfolio including net TBA position4, 5 $2,743,020 $2,766,575 Investment portfolio excluding net TBA position $2,743,020 $2,758,044 Repurchase agreements and FH
Slide 18: Supplemental Information & Financial Statements
Supplemental Information & Financial Statements NYSE: MITT
Slide 19: Quarter-over-Quarter Snapshot
Quarter-over-Quarter Snapshot FMV of Investment Portfolio Book Value Leverage 4000 $25.00 5.00 3500 3000 77 $19.21 $18.47 4.00 3.64 3.58 $20.00 $17.88 $17.22 3.42 3.53 3.36 2500 1,540 $ Millions 1,545 3.00 2000 1,617 1,560 $15.00 1500 2.00 1000 $10.00 1,639 1,512 1.00 500 1,202 1,183 0 $5.00 0.00 Q2
Slide 20: Market Snapshot
Market Snapshot Interest Rates 3/31/15 6/30/15 9/30/15 12/31/15 3/31/16 Agency RMBS 3/31/15 6/30/15 9/30/15 12/31/15 3/31/16 Treasuries Fannie Mae Pass-Thrus 2-year 0.557 0.645 0.631 1.050 0.723 15 year 2.50% 102-23+ 101-03+ 102-00+ 100-27+ 102-22+ 5-year 1.371 1.649 1.358 1.761 1.206 15 year 3.00%
Slide 21: Book Value Roll-Forward
Book Value Roll-Forward Amount (000’s) Per Share3 12/31/15 Book Value $ 505,731 $ 17.88 Common dividend (13,423) (0.48) Core earnings 11,262 0.40 Equity based compensation 85 0.00 Repurchase of common stock (1,538) (0.05) Accretion/(dilution) from common stock buyback - 0.07 Capital Appreciation/(Re
Slide 22: Reconciliation of GAAP Net Income to Core Earnings
Reconciliation of GAAP Net Income to Core Earnings2 Amount (000’s) Per Share3 3 Months Ended March 31, 2016 Net Income/(loss) available to common stockholders $ (5,812) $ (0.21) Add (Deduct): Net realized (gain)/loss 12,987 0.46 Drop income 79 0.00 Equity in (earnings)/loss from affiliates 70 0.00 N
Slide 23: Undistributed Taxable Income Roll-Forward
Undistributed Taxable Income Roll-Forward 10 Amount (000’s) Per Share3 12/31/15 Undistributed Taxable Income $ 49,298 $ 1.74 Distribution from Taxable REIT Subsidiary (1) 3,758 0.13 Q1 Core Earnings 11,262 0.40 Q1 Recurring Core-Tax Differences 1,850 0.08 Q1 2016 Ordinary Taxable Income, Net of Pref
Slide 24: Condensed Consolidated Balance Sheet
Condensed Consolidated Balance Sheet March 31, 2016 (Unaudited) Amount (000’s) Assets Real estate securities, at fair value $ 2,552,924 Residential mortgage loans, at fair value 56,709 Commercial loans, at fair value 84,800 U.S. Treasury Securities, at fair value 432,377 Investments in debt and equi
Slide 25: Condensed Consolidated Statement of Operations
Condensed Consolidated Statement of Operations Three Months Ended March 31, 2016 (Unaudited) Amount (000’s) Net Interest Income Interest income $ 30,697 Interest expense 8,560 22,137 Other Income Net realized gain/(loss) (12,987) Realized loss on periodic interest settlements of derivative instrumen
Slide 26: Footnotes
Footnotes 1. Diluted per share figures are calculated using weighted average outstanding shares in accordance with GAAP. 2. Core Earnings are defined as net income excluding both realized and unrealized gains/(losses) on the sale or termination of securities and the related tax expense/benefit or di
Slide 27: Footnotes (cont.)
Footnotes (cont.) 9. Net interest margin is calculated by subtracting the weighted average cost of funds from the weighted average yield for the Company’s investment portfolio, which excludes cash held by the Company. See notes 11 and 12 for further detail. NIM also excludes any net TBA position. 10
Slide 28: Non-GAAP Financial Information
Non-GAAP Financial Information In addition to the results presented in accordance with GAAP, this presentation includes certain non-GAAP financial results and financial metrics derived therefrom, which are calculated by including or excluding unconsolidated investments in affiliates, TBAs, and U.S
Slide 29: Contact Information
Contact Information ANGELO, GORDON & CO. 245 Park Avenue, 26th Floor New York, NY 10167 Telephone: (212) 692-2110 Email: ir@agmit.com www.agmit.com NYSE: MITT
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