Tpg Mortgage Investment Trust, Inc. · NYSE:MITT
Tpg Mortgage Investment Trust — AG Mortgage Investment Trust — Q3 2012 Earnings Presentation
27 slides from Tpg Mortgage Investment Trust's earnings presentation, Nov 7, 2012
Slide 1: AG Mortgage Investment Trust Q3 2012 Earnings Presentation
AG Mortgage Investment Trust, Inc. Q3 2012 Earnings Presentation November 7, 2012
Slide 2: Forward Looking Statements
Forward Looking Statements This press release 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 future dividends, the credit component of our portfolio book valve, deploying capita
Slide 3: Q3 2012 MITT Earnings Call Presenters
Q3 2012 MITT Earnings Call Presenters Title David Roberts Chief Executive Officer Jonathan Lieberman Chief Investment Officer Frank Stadelmaier Chief Financial Officer Lisa Yahr Head of Investor Relations NYSE: MITT 2
Slide 4: Q3 2012 Highlights
Q3 2012 Highlights AG Mortgage Investment Trust, Inc. is an actively managed REIT that opportunistically invests in a diversified risk-adjusted portfolio of Agency RMBS, Non-Agency RMBS, ABS and CMBS $3.10 per share of net income Net realized gains of $4.1 million, or $0.21 per share $1.03 per
Slide 5: Additional Q3 2012 Highlights
Additional Q3 2012 Highlights $4.9 billion investment portfolio as of September 30, 20123, 7 80.3% Agency RMBS 19.7% credit securities (Non-Agency RMBS, ABS, CMBS) 6.2% constant prepayment rate (“CPR”)4 on the Agency RMBS portfolio for the third quarter 6.8% CPR for the month of September,
Slide 6: Economic Outlook
Economic Outlook Portfolio construction and asset allocation based upon risk-adjusted returns, liquidity considerations, mark-to-market volatility and our current global economic outlook Macro-economic environment continues to be challenging Uneven growth in the U.S. with households and banks co
Slide 7: Interest Rates and Structured Products rallied over the Quarter
Interest Rates and Structured Products rallied over the Quarter Interest Rates 12/31/2011 3/31/2012 6/30/2012 09/30/2012 Agency RMBS 12/31/2011 3/31/2012 6/30/2012 09/30/2012 Treasuries Fannie Mae Pass-Thrus 2-year 0.241 0.331 0.303 0.232 15 year 2.50% NA NA $103-03+ $105-04+ 5-year 0.833 1.039 0.71
Slide 8: Q3 2012 Investment Portfolio Composition
Q3 2012 Investment Portfolio Composition 7 Current Premium Amortized Fair Weighted Average Weighted Average Face (Discount) Cost Value Coupon Yield Agency RMBS 15-year fixed rate $1,310,198,668 $53,128,093 $1,363,326,761 $1,394,757,196 3.01% 2.17% 20-year fixed rate 278,054,304 11,359,858 289,414,16
Slide 9: Q3 2012 Agency Portfolio Positioning
Q3 2012 Agency Portfolio Positioning MITT’s Agency RMBS investment portfolio has been constructed to reflect our overall economic outlook and expectations with respect to interest rates while taking into consideration prepayment risk and duration 56% of specified pools backed by prepayment protect
Slide 10: Prepayment Themes and QE3
Prepayment Themes and QE3 Prepayment risk remains elevated into year-end as mortgage rates continue to hover around their historic lows in the wake of QE3 Interest rates expected to remain “exceptionally low” through at least 2015 with the Fed committed to supporting the housing market through low
Slide 11: Q3 2012 Credit Portfolio Positioning
Q3 2012 Credit Portfolio Positioning Increased investments in credit securities during the quarter to 19.7% Continued execution of portfolio construction model to increase portfolio exposure to credit by adding diversified securities in Non-Agency RMBS, including Subprime and Alt A Asset-backed
Slide 12: MITT Today
MITT Today During the third quarter the Company completed several capital raises that allowed a greater allocation to credit securities with less liquidity and historically greater volatility than Agency RMBS Filed a Shelf Registration statement on July 13, 2012, offering up to $1.0 billion of cap
Slide 13: Leverage and Portfolio Liquidity
Leverage and Portfolio Liquidity Portfolio leverage of 6.06x as of September 30, 2012 Asset Class Leverage(9)(10) • During the quarter, leverage decreased from 6.79x as of June Agency RMBS 6.6x 30, 2012 due to an increase in the allocation to credit securities Non-Agency RMBS 3.8x • Leverage remains
Slide 14: Financing Summary
Financing Summary Repurchase Agreements (“repo”) with 26 financial institutions Extended out weighted average days to maturity to 45.4 as of September 30 from 37.3 as of June 30, 2012 Maximum exposure to any one counterparty of approximately 6% at quarter end with the weighted average being less
Slide 15: Hedging Summary
Hedging Summary Hedging policy will not eliminate interest rate risk and market value risk. Rather, we seek to protect net interest margin and book value within a specified band of risk based upon our rates outlook. Hedges will be adjusted to respond to different interest rate expectations. Interest
Slide 16: Duration Gap and Interest Rate Sensitivity
Duration Gap and Interest Rate Sensitivity Duration gap is a measure of the difference in the interest rate sensitivity of our assets and liabilities Duration gap of the portfolio was approximately 1.8 years as of September 30, 2012 Update to the third party model employed contributed to a meani
Slide 17: Q3 2012 Results
Q3 2012 Results $61.2 million of net income, or $3.10 per share, fully diluted GAAP net income includes mark-to-market adjustments on our investment portfolio and our hedges Net realized gains of $4.1 million, or $0.21 per share $20.0 million of Core Earnings1, or $1.03 per share, fully dilu
Slide 18: Q3 2012 Financial Metrics
Q3 2012 Financial Metrics Weighted Average at Weighted Average for the Quarter Operating Metrics7 September 30, 2012 Ended September 30, 2012 Investment portfolio3 $4,926,605,381 $3,722,196,645 Repurchase agreements $4,117,521,386 $3,184,694,199 Stockholders’ equity $704,478,303 $471,254,872 Leverag
Slide 19: Supplemental Slides
Supplemental Slides NYSE: MITT
Slide 20: Quarter-over-Quarter Snapshot
Quarter-over-Quarter Snapshot Investment Portfolio Book Value Core Earnings 6,000 $23.71 $1.10 $1.03 $25.00 $21.78 $20.52 $19.63 $1.00 5,000 $0.86 $973 $20.00 $0.90 $ Millions 4,000 $0.80 $0.71 $15.00 $0.70 $0.65 3,000 $289 $441 $10.00 $0.60 2,000 $3,954 $0.50 $125 $2,223 $2,249 1,000 $5.00 $0.40 $1
Slide 21: MITT Strategy & Competitive Advantages
MITT Strategy & Competitive Advantages Strategy and Investment Philosophy Emphasis on constructing a portfolio reflective of our view of the macro-economy and the current investment landscape Hybrid structure allows us to benefit from the Investment landscape breadth and expertise of Angelo, Gor
Slide 22: Market Landscape and Opportunity
Market Landscape and Opportunity The housing finance market continues to be in a period of transition with private investors likely to play a larger role as the Evolution of Housing government seeks to diminish its role in Finance the mortgage market Domestic banks adapting to ever- changing reg
Slide 23: MITT Prepayments
MITT Prepayments 7.0% Quarterly CPR 6.20% 6.0% 5.50% 5.00% 5.0% 4.40% 4.0% 3.0% 2.0% 1.0% 0.0% Q4 2011 Q1 2012 Q2 2012 Q3 2012 MITT single digit prepayment experience despite rallying mortgage rates and rising refinance index activity 7500 5.5 6500 5 5500 30yr mortgage rate 4.5 refi index 4500 4 350
Slide 24: Prepayments
Prepayments Prepayments impacted by collateral characteristics including servicer, loan balance, LTV, FICO and geographic concentrations, all of which are factored into our analysis 60 30 50 25 40 20 CPR 1mo CPR 1mo 30 15 20 10 10 5 0 0 1 2 3 4 5 6 7 8 9 10 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17
Slide 25: Footnotes
Footnotes 1. Core Earnings is defined as net income excluding both realized and unrealized gains (losses) on the sale or termination of securities, including those underlying linked transactions and derivatives. 2. Per share figures are calculated using a denominator of all outstanding shares includ
Slide 26: Footnotes (cont.)
Footnotes (cont.) 10. Unpledged cash has been allocated using equity by product type as a basis for allocation. 11. Liquidity is defined as unpledged cash and unpledged Agency. 12. The swap ratio during the quarter was calculated by dividing our daily weighted average swap notionals, including recei
Slide 27: Contact Information
Contact Information ANGELO, GORDON & CO. 245 Park Avenue, 26th Floor New York, NY 10167 Telephone: (212) 692-2000 Facsimile: (212) 867-9328 Email: lyahr@angelogordon.com www.agmit.com NYSE: MITT
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