Tpg Mortgage Investment Trust, Inc. · NYSE:MITT
Tpg Mortgage Investment Trust — AG Mortgage Investment Trust — Q1 2019 Earnings Presentation
28 slides from Tpg Mortgage Investment Trust's earnings presentation, May 3, 2019
Slide 1: AG Mortgage Investment Trust Q1 2019 Earnings Presentation
AG Mortgage Investment Trust, Inc. Q1 2019 Earnings Presentation May 3, 2019
Slide 2: Forward Looking Statements and Non-GAAP Financial Information
Forward Looking Statements and Non-GAAP Financial Information 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, book value, o
Slide 3: Q1 2019 MITT Earnings Call Presenters
Q1 2019 MITT Earnings Call Presenters David Roberts T.J. Durkin Brian Sigman Karen Werbel Chief Executive Officer Chief Investment Officer Chief Financial Officer Head of Investor Relations NYSE: MITT 3
Slide 4: Q1 2019 Performance and Highlights
Q1 2019 Performance and Highlights ▪ First quarter 2019: ▪ $0.84 of Net Income/(Loss) per diluted common share1 ▪ $0.45 of Core Earnings per diluted common share1, 2 ▪ Includes $(0.01) retrospective adjustment ▪ 4.4% Economic Return on Equity for the quarter, 17.6% annualized3 ▪ $17.44 Book Value pe
Slide 5: Q1 2019 Performance and Highlights (cont'd)
Q1 2019 Performance and Highlights (cont’d) ▪ $4.1 billion investment portfolio as of March 31, 2019 as compared to the $3.6 billion investment portfolio as of December 31, 20184,5 ▪ Increase in portfolio size primarily due to the purchase of Agency RMBS and To be announced securities ("TBA") as wel
Slide 6: Q1 2019 Activity
Q1 2019 Activity ($ in millions) Purchased Sold/Payoff Net Activity Description 30 Year Fixed Rate $536.0 $(229.3) $306.7 Inverse Interest Only — (2.3) (2.3) Fixed Rate 30 Year TBA 672.1 (546.0) 126.1 Total Agency RMBS 1,208.1 (777.6) 430.5 Prime 17.0 (28.7) (11.7) Alt-A/Subprime — (4.3) (4.3) Credi
Slide 7: Q1 2019 Macro-Economic Conditions
Q1 2019 Macro-Economic Conditions ▪ During the first quarter, the Federal Reserve pivoted away from its more hawkish message from the fourth quarter by pausing its interest rate tightening campaign in an effort to loosen financial conditions ▪ At the March meeting, the Fed maintained the federal fun
Slide 8: Investment Opportunity Set
Investment Opportunity Set ▪ Hypothetical Duration Hedged Levered ROE: 8-13%(a)(b) Agency RMBS ▪ 30/20/15 Year Fixed Rate, Hybrid ARM, Fixed Rate CMO, Agency IO, Inverse IO, Excess MSRs ▪ Hypothetical Levered ROE: 8-14%(b) Residential Investments ▪ CRT, NPL, RPL, Non-QM, Legacy ▪ Hypothetical Levere
Slide 9: Investment Portfolio Composition
Q1 2019 Investment Portfolio Composition4,5 Amortized Cost Net Carrying Value Percent of Net Allocated Equity Percent of Leverage Ratio(a) (mm) (mm) Carrying Value (mm)10 Equity Agency RMBS(b) $2,406.0 $2,439.5 59.6% $271.6 37.1% 8.2x Residential Investments(b) 1,045.3 1,100.3 26.9% 285.5 39.0% 3.0x
Slide 10: Agency Portfolio Details
Q1 2019 Agency Portfolio Details Current Face Fair Value Percent of Fair Weighted Average Weighted Average Description (mm) (mm) Value Coupon12 Yield8 30 Year Fixed Rate $2,046.9 $2,140.0 87.7% 4.1% 3.6% Fixed Rate CMO 42.6 42.9 1.8% 3.0% 2.8% Inverse Interest Only 289.3 48.9 2.0% 3.7% 9.5% Interest
Slide 11: Residential Portfolio Details
Q1 2019 Residential Portfolio Details Current Face Fair Value Percent of Fair Weighted Average Weighted Average Description (mm) (mm) Value Coupon12 Yield8 Prime $366.3 $301.7 27.4% 4.8% 7.3% Alt-A/Subprime 201.1 131.6 12.0% 4.5% 6.8% Credit Risk Transfer 197.1 205.3 18.7% 6.0% 6.1% RPL/NPL securiti
Slide 12: Commercial and ABS Portfolio Details
Q1 2019 Commercial and ABS Portfolio Details Weighted Current Face Fair Value Percent of Fair Weighted Description Average (mm) (mm) Value Average Yield8 Coupon12 CMBS $147.2 $142.0 34.4% 5.9% 6.3% Freddie Mac K-Series 202.0 89.3 21.7% 6.0% 12.3% Interest Only 3,525.2 50.4 12.2% 0.2% 6.9% Commercial
Slide 13: Single-Family Rental Portfolio Update
Single-Family Rental Portfolio Update ▪ Operational improvements helped to increase occupancy from 87.9% in the fourth quarter to 93.7% in the first quarter ▪ Conrex quickly leased vacant homes while adhering to the enhanced tenant underwriting that had been implemented in prior quarters ▪ While the
Slide 14: Financing
Financing ▪ Financing arrangements with 44 counterparties ▪ Currently financing investments with 32 counterparties ▪ Our weighted average days to maturity is 140 days and our weighted average original days to maturity is 222 days ▪ Financing counterparties remain stable Financing Arrangements(a) ($
Slide 15: Duration Gap
Duration Gap14 Duration gap was approximately 0.95 years as of March 31, 2019 Duration Years Agency 1.80 Residential Loans(a) 0.39 Hedges (1.87) Subtotal 0.32 Credit excluding Residential Loans(a) 0.63 Duration Gap 0.95 Duration gap was approximately 0.74 years as of December 31, 2018 Duration Years
Slide 16: Hedging
Hedging Hedge Portfolio Summary as of March 31, 2019 ($ in millions) Notional Duration14 Interest Rate Swaps $(1,666.5) (1.77) Swaptions (485.0) (0.05) Eurodollar Futures (750.0) (0.05) Total $(2,901.5) (1.87) Interest Rate Swaps as of March 31, 2019 ($ in millions) Weighted Average Pay-Fixed Weight
Slide 17: Q1 2019 Financial Metrics
Q1 2019 Financial Metrics Weighted Average for the Key Statistics quarter-ended March 31, March 31, 2019 2019 Investment portfolio4,5 $4,089.9 $3,797.4 Financing arrangements, net5 3,392.4 3,122.9 Total Financing7 3,463.1 3,259.2 Stockholders’ equity 731.6 693.2 GAAP Leverage 4.3x “At Risk” Leverage
Slide 18: Supplemental Information & Financial Statements
Supplemental Information & Financial Statements NYSE: MITT 18
Slide 19: Quarter-Over-Quarter Snapshot
Quarter-Over-Quarter Snapshot NYSE: MITT 19
Slide 20: Market Snapshot
Market Snapshot Interest Rates 3/31/18 6/30/18 9/30/18 12/31/18 3/31/19 Agency RMBS 3/31/18 6/30/18 9/30/18 12/31/18 3/31/19 Treasuries Fannie Mae Pass- Throughs 2-year 2.268 2.530 2.821 2.490 2.263 30 year 3.00% 97-17+ 96-25+ 95-20+ 97-11+ 99-18+ 5-year 2.563 2.739 2.954 2.512 2.234 30 year 3.50% 1
Slide 21: Undepreciated Book Value Roll-Forward
Undepreciated Book Value Roll-Forward Amount (000’s) Per Share1 12/31/18 Undepreciated Book Value $497,133 $17.30 Common dividend (16,352) (0.50) Core earnings 13,621 0.45 Net proceeds and accretion/(dilution) from issuance of stock 66,189 (0.09) Transaction related expenses and deal related perform
Slide 22: Reconciliation of GAAP Net Income to Core Earnings
Reconciliation of GAAP Net Income to Core Earnings2 Three Months Ended March 31, 2019 Amount (000’s) Per Diluted Common Share1 Net Income/(loss) available to common stockholders $25,788 $0.84 Add (Deduct): Net realized (gain)/loss 20,610 0.67 Dollar roll income 357 0.01 Equity in (earnings)/loss fro
Slide 23: Undistributed Taxable Income Roll-Forward
Undistributed Taxable Income Roll-Forward Amount (000’s) Per Share1 12/31/18 Undistributed Taxable Income $45,280 $1.58 Net Accretion/(dilution) from issuance of common stock and RSUs — (0.23) Q1 Core Earnings 13,621 0.45 Q1 Recurring Core-Tax Differences (356) (0.01) Q1 Other Core-Tax Differences 1
Slide 24: Condensed Consolidated Balance Sheet
Condensed Consolidated Balance Sheet March 31, 2019 (Unaudited) Amount (000’s) Assets Liabilities Real estate securities, at fair value $3,243,923 Financing arrangements, net $3,214,909 Residential mortgage loans, at fair value 202,047 Securitized debt, at fair value 10,515 Commercial loans, at fair
Slide 25: Condensed Consolidated Statement of Operations
Condensed Consolidated Statement of Operations Three Months Ended March 31, 2019 (Unaudited) Amount (000’s) Net Interest Income Earnings/(Loss) Per Share of Common Stock Interest income $41,490 Basic $0.84 Interest expense 23,341 Diluted $0.84 Total Net Interest Income 18,149 Other Income/(Loss) WA
Slide 26: Footnotes
Footnotes 1. Diluted per share figures are calculated using weighted average outstanding shares in accordance with GAAP. Per share figures are calculated using a denominator of all outstanding common shares including vested shares granted to our Manager and our independent directors under our equity
Slide 27: Footnotes (cont'd)
Footnotes (cont’d) 8. The yield on our debt investments represents an effective interest rate, which utilizes all estimates of future cash flows and adjusts for actual prepayment and cash flow activity as of quarter-end. The yield on our SFR portfolio represents annualized net operating income for t
Slide 28: www.agmit.com
AG MITT www.agmit.com
AG Mortgage Investment Trust — Q1 2019 Earnings Presentation on 6ix