Tpg Mortgage Investment Trust, Inc. · NYSE:MITT
Tpg Mortgage Investment Trust — AG Mortgage Investment Trust — Q4 2016 Earnings Presentation
30 slides from Tpg Mortgage Investment Trust's earnings presentation, Mar 1, 2017
Slide 1: AG Mortgage Investment Trust Q4 2016 Earnings Presentation
AG Mortgage Investment Trust, Inc. Q4 2016 Earnings Presentation March 1, 2017 NYSE: MITT
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 financi
Slide 3: Q4 2016 MITT Earnings Call Presenters
Q4 2016 MITT Earnings Call Presenters David Roberts TJ Durkin Brian Sigman Karen Werbel Chief Executive Officer & Co-Portfolio Manager & Chief Financial Officer Head of Investor Chief Investment Officer Head Trader Relations NYSE: MITT 2
Slide 4: Q4 2016 Performance and Highlights
Q4 2016 Performance and Highlights Fourth Quarter 2016: $(0.16) of Net Income/(Loss) per diluted common share1 $0.57 of Core Earnings per diluted common share1, 2 Includes $0.06 retrospective adjustment and de minimus earnings from Arc Home during the quarter Includes $0.03 one-time positi
Slide 5: Full Year 2016 Performance and Highlights
Full Year 2016 Performance and Highlights Full Year 2016: $1.80 of Net Income/(Loss) per diluted common share1 $1.90 of Core Earnings per diluted common share1, 2 Includes $(0.02) retrospective adjustment $1.90 dividend per common share1 10.5% economic return on equity for the year5 48
Slide 6: Q4 2016 Performance and Highlights
Q4 2016 Performance and Highlights $2.5 billion investment portfolio including net TBA positions as of December 31, 2016 as compared to the $2.7 billion investment portfolio as of September 30, 20163, 4 57% of our credit portfolio is fixed rate coupon and 43% is floating rate15 Portfolio Composi
Slide 7: Q4 2016 Performance and Highlights (cont'd)
Q4 2016 Performance and Highlights (cont’d) 3.16% Net Interest Margin (“NIM”) excluding net TBA position as of December 31, 20168 Increase in yield primarily due to the increase of interest rates and rotation into higher yielding unlevered investments, resulting in an increase in Net Interest Ma
Slide 8: Q4 2016 Performance and Highlights (cont'd)
Q4 2016 Performance and Highlights (cont’d) Agency RMBS and Derivatives: The 10-Year U.S. Treasury rate increased 85 bps during the quarter; the sharp rise in interest rates resulted in a sizeable extension of the duration of our Agency RMBS portfolio To offset this duration extension and to r
Slide 9: Outlook and Positioning
Outlook and Positioning Macro-Economic Conditions AG MITT’s Portfolio Outlook In December, the FOMC raised rates 25 bps and Anticipate further opportunistic rotation of capital into revised inflation marginally higher Angelo, Gordon sourced residential and commercial The FOMC increased its med
Slide 10: Q4 2016 Investment Portfolio Composition
Q4 2016 Investment Portfolio Composition3,4 Weighted Weighted Current Face Premium Amortized Fair Value Percent of Total Average Coupon Average (mm) (Discount) (mm) Cost (mm) (mm) Portfolio (a) Yield(b) Agency RMBS 30 Year Fixed Rate 713.2 28.3 741.5 739.7 29.0% 3.6% 3.0% Fixed Rate CMO 62.6 0.5 63.
Slide 11: Q4 2016 Agency Portfolio Details
Q4 2016 Agency Portfolio Details Current Face Fair Value Percent of Total Weighted Average Weighted Average Funding Description NIM(b) (mm) (mm) Agency Coupon Yield(a) Cost(a) 30-year fixed rate 713.2 739.7 66.7% 3.6% 3.0% 1.0% 2.0% Fixed rate CMO 62.6 63.7 5.7% 3.0% 2.8% 1.1% 1.7% Hybrid ARM 208.6
Slide 12: Q4 2016 Credit Portfolio Details
Q4 2016 Credit Portfolio Details Current Face Fair Value Percent of Total Weighted Average Weighted Average Funding Description NIM(c) (mm) (mm) Credit Coupon(b) Yield Cost Residential Investments: Prime(a) 619.3 512.8 35.7% 4.2% 6.0% 2.2% 3.8% Alt-A(a) 279.9 185.4 12.9% 4.5% 5.6% 2.3% 3.3% Subprime
Slide 13: Q4 2016 Credit Portfolio Details (cont'd)
Q4 2016 Credit Portfolio Details (cont’d) Residential Investments (Fair Value) Commercial Investments (Fair Value) Total Fair Value: $1,091 mm Total Fair Value: $326 mm Residential Securitized Loans Excess MSR Whole Loans 3.7% 0.0% 4.6% Commercial Credit Risk Loans Transfer RPL/NPL 18.4% Securities
Slide 14: Financing
Financing Financing arrangements with 37 counterparties Currently financing investments at 23 of the counterparties Weighted average funding cost of 1.0% for Agency RMBS and 2.4% for Credit Investments Financing counterparties remain stable Repurchase Agreements(a) ($ in thousands ) Maturing
Slide 15: Duration Gap and Interest Rate Sensitivity Summary
Duration Gap13 and Interest Rate Sensitivity Summary Duration gap of the Agency and Credit portfolio was approximately 1.53 years as of December 31, 2016, versus 1.81 years as of September 30, 2016 Duration Years Agency 1.87 Credit 1.41 Hedges (1.66) Repo Agreements (0.09) Duration Gap 1.53 The
Slide 16: Hedging
Hedging Reduced duration gap during the quarter in response to greater overall market uncertainty, in addition to hedging the duration extension of our Agency RMBS Sold US Treasuries and US Treasury futures during the quarter Hedge Portfolio Summary as of December 31, 2016 ($ in thousands) Notio
Slide 17: Arc Home Update
Arc Home Update Arc Home, one of the Company’s indirect subsidiaries, is originating mortgages in 44 states through retail, correspondent and wholesale channels and will continue to pursue licenses in the remaining states Loan originations across all channels totaled approximately $247 mm for th
Slide 18: Q4 2016 Financial Metrics
Q4 2016 Financial Metrics ($ in thousands) Weighted Average Key Statistics5 December 31, 2016 for the quarter-ended December 31, 2016 Investment portfolio including net TBA position3, 4 $2,547,054 $2,548,082 Investment portfolio excluding net TBA position $2,495,804 $2,558,608 Repurchase agreements4
Slide 19: 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 20: Supplemental Information & Financial Statements
Supplemental Information & Financial Statements NYSE: MITT 19
Slide 21: Quarter-Over-Quarter Snapshot
Quarter-Over-Quarter Snapshot 3500 FMV of Investment Portfolio Book Value “At Risk” Leverage 4.00 3000 $20.00 $18.49 $17.86 3.4 3.4 104 $17.22 $17.42 3.2 51 2.9 2500 3.00 2000 $15.00 1,560 1,497 1,550 $ Millions 1,438 1500 2.00 $10.00 1000 500 1,183 1,167 1,199 1,058 1.00 $5.00 0 Q1 2016 Q2 2016 Q3
Slide 22: Market Snapshot
Market Snapshot Interest Rates 12/31/15 3/31/16 6/30/16 9/30/16 12/31/16 Agency RMBS 12/31/15 3/31/16 6/30/16 9/30/16 12/31/16 Treasuries Fannie Mae Pass-Thrus 2-year 1.050 0.723 0.584 0.764 1.190 15 year 2.50% 100-27+ 102-22+ 103-16+ 103-18+ 100-01+ 5-year 1.761 1.206 1.000 1.150 1.928 15 year 3.00
Slide 23: Book Value Roll-Forward
Book Value Roll-Forward Amount (000’s) Per Share1 9/30/16 Book Value $ 512,159 $ 18.49 Common dividend (13,158) (0.48) Core earnings 15,826 0.57 Equity based compensation 110 0.00 Capital Appreciation/(Reduction) 2,778 0.09 Net realized gain/(loss) (1,666) (0.06) Net realized and unrealized gain/(lo
Slide 24: Reconciliation of GAAP Net Income to Core Earnings
Reconciliation of GAAP Net Income to Core Earnings2 3 Months Ended December 31, 2016 Amount (000’s) Per Share1 Net Income/(loss) available to common stockholders $ (4,449) $ (0.16) Add (Deduct): Net realized (gain)/loss 1,666 0.06 Drop income 52 0.00 Equity in (earnings)/loss from affiliates (364) (
Slide 25: Undistributed Taxable Income Roll-Forward
Undistributed Taxable Income Roll-Forward Amount (000’s) Per Share1 9/30/16 Undistributed Taxable Income $ 55,105 $ 1.99 Q4 Core Earnings 15,826 0.57 Q4 Recurring Core-Tax Differences (1,685) (0.06) Q4 Non-Recurring Core-Tax Differences (3,409) (0.12) Q4 2016 Ordinary Taxable Income, Net of Preferre
Slide 26: Condensed Consolidated Balance Sheet
Condensed Consolidated Balance Sheet December 31, 2016 (Unaudited) Amount (000’s) Assets Real estate securities, at fair value $ 2,333,566 Residential mortgage loans, at fair value 38,196 Commercial loans, at fair value 60,069 Investments in debt and equity of affiliates 72,216 Excess mortgage servi
Slide 27: Condensed Consolidated Statement of Operations
Condensed Consolidated Statement of Operations Three Months Ended December 31, 2016 (Unaudited) Amount (000’s) Net Interest Income Interest income $ 31,535 Interest expense 8,302 23,233 Other Income Net realized gain/(loss) (1,666) Realized loss on periodic interest settlements of derivative instrum
Slide 28: Footnotes
Footnotes 1. Per share figures are calculated using a denominator of all outstanding common shares including all shares granted to our Manager and our independent directors under our equity incentive plans as of quarter-end. Diluted per share figures are calculated using weighted average outstanding
Slide 29: Footnotes (cont.)
Footnotes (cont.) 10. The cost of funds during the quarter was calculated by annualizing the sum of our interest expense and net interest settlements on all derivative instruments and dividing that sum by our daily weighted average total financing for the period. Interest earning/paying derivative i
Slide 30: www.agmit.com
AG MITT www.agmit.com
AG Mortgage Investment Trust — Q4 2016 Earnings Presentation on 6ix