Tpg Mortgage Investment Trust, Inc. · NYSE:MITT
Tpg Mortgage Investment Trust — AG Mortgage Investment Trust — Q4 2019 Earnings Presentation
36 slides from Tpg Mortgage Investment Trust's earnings presentation, Feb 28, 2020
Slide 1: AG Mortgage Investment Trust Q4 2019 Earnings Presentation
AG Mortgage Investment Trust, Inc. Q4 2019 Earnings Presentation February 28, 2020
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: Q4 2019 MITT Earnings Call Presenters
Q4 2019 MITT Earnings Call Presenters David Roberts T.J. Durkin Brian Sigman Raul E. Moreno Chief Executive Officer Chief Investment Officer Chief Financial Officer General Counsel NYSE: MITT 3
Slide 4: MITT is Part of the Angelo Gordon Platform
MITT is Part of the Angelo Gordon Platform ▪ MITT is a hybrid mortgage REIT focused on generating long-term total return for its shareholders, utilizing a granular research process and a strong risk management framework ▪ Shareholders benefit from MITT's ability to leverage the experienced, long-sta
Slide 5: Focus on Driving Strong Long-Term Returns
Focus on Driving Strong Long-Term Returns Data as of December 31, 2019. Historical prices are not necessarily indicative of future price performance. a) MITT’s total stockholder return for the period July 6, 2011 through December 31, 2019. Total stockholder return is defined as stock price appreciat
Slide 6: MITT Opportunity
MITT Opportunity ▪ MITT's current low price to book ratio relative to its peer group(a) provides an opportunity to invest in MITT at a discount and benefit from shareholder returns which have historically outperformed the FTSE NAREIT Mortgage REITs Index and from a dividend yield which is higher or
Slide 7: Performance and Highlights
Performance and Highlights NYSE: MITT 7
Slide 8: Full Year 2019 Performance and Highlights
Full Year 2019 Performance and Highlights ▪ $2.39 of Net Income/(Loss) per diluted common share1 ▪ $1.70 of Core Earnings per diluted common share1, 2 ▪ Includes $(0.05) retrospective adjustment ▪ $1.90 dividend per common share1 ▪ 13.4% Economic Return on Equity for the year(a) ▪ Participated in 3
Slide 9: Q4 2019 Performance and Highlights
Q4 2019 Performance and Highlights ▪ $0.90 of Net Income/(Loss) per diluted common share1 ▪ $0.52 of Core Earnings per diluted common share1, 2 ▪ Includes $0.05 positive impact from the payoff of a prime security ▪ Includes $0.02 retrospective adjustment ▪ 5.2% Economic Return on Equity for the quar
Slide 10: Q4 2019 Performance and Highlights (cont'd)
Q4 2019 Performance and Highlights (cont’d) ▪ $4.4 billion Investment Portfolio with a 4.1x Economic Leverage Ratio as of December 31, 2019 as compared to $4.8 billion and 4.7x, respectively, as of September 30, 20193,4,5 ▪ Rotated out of Agency RMBS into credit investments ▪ 2.5% Net Interest Margi
Slide 11: Q4 2019 Activity
Q4 2019 Activity Agency Activity ▪ Rotated out of approximately $530 million of Agency RMBS, reducing the Agency RMBS allocated equity percentage to 34.8% and the fair value percentage to 52.8% Residential Activity ▪ Completed a securitization of primarily re-performing loans alongside other Angelo
Slide 12: Q4 2019 Investment Portfolio Composition
Q4 2019 Investment Portfolio Composition3,4 Percent of Economic Leverage Fair Value (mm) Allocated Equity (mm)9 Percent of Equity Fair Value Ratio5,(a) Agency RMBS(b) $2,333.6 52.8% $295.3 34.8% 7.1x Residential Investments(b) 1,493.9 33.8% 359.9 42.4% 2.7x Commercial Investments(b) 589.7 13.4% 193.
Slide 13: Q4 2019 Agency Portfolio Details
Q4 2019 Agency Portfolio Details Fair Value Weighted Average Percent of Agency Percent of Investment Q4 2019 Net Description (mm) Yield7 Portfolio Fair Value Portfolio Fair Value Purchases/(Sales)(g) (mm) 30 Year Fixed Rate $2,241.3 3.2% 96.0% 50.7% $(406.2) Agency Derivatives(a) 92.3 6.4% 4.0% 2.1%
Slide 14: Q4 2019 Residential Portfolio Details
Q4 2019 Residential Portfolio Details Description Fair Value Weighted Average Percent of Residential Percent of Investment Q4 2019 Net (mm) Yield7 Portfolio Fair Value Portfolio Fair Value Purchases/(Sales) (mm) Prime $241.9 7.4% 16.2% 5.5% $(7.0) Alt-A/Subprime(a) 123.9 6.9% 8.3% 2.8% (23.7) Credit
Slide 15: Q4 2019 Commercial Portfolio Details
Q4 2019 Commercial Portfolio Details Fair Value Weighted Average Percent of Commercial Percent of Investment Q4 2019 Net Description (mm) Yield7 Portfolio Fair Value Portfolio Fair Value Purchases/(Sales)(c) (mm) CMBS $263.0 5.6% 44.6% 6.0% $97.4 Freddie Mac K-Series(a) 168.0 9.9% 28.5% 3.8% 28.2 Co
Slide 16: Financing
Financing ▪ Arrangements in place with 44 counterparties and currently financing investments with 30 counterparties ▪ Our weighted average days to maturity is 92 days and our weighted average original days to maturity is 196 days ▪ Financing counterparties remain stable Financing Arrangements(a) ($
Slide 17: Duration Gap
Duration Gap13 Duration gap was approximately 1.17 years as of December 31, 2019 Duration Years Agency 1.29 Residential Loans(a) 1.00 Hedges (1.71) Subtotal 0.58 Credit excluding Residential Loans(a) 0.59 Duration Gap 1.17 Duration gap was approximately 0.73 years as of September 30, 2019 Duration Y
Slide 18: Hedging
Hedging Hedge Portfolio Summary as of December 31, 2019 ($ in millions) Notional Duration13 Interest Rate Swaps $(1,943.3) (1.59) Swaptions (650.0) (0.12) FX Futures (8.1) (0.00) Total $(2,601.4) (1.71) Interest Rate Swaps as of December 31, 2019 ($ in millions) Weighted Average Pay-Fixed Weighted A
Slide 19: Q4 2019 Financial Metrics
Q4 2019 Financial Metrics Weighted Average for Key Statistics December 31, 2019 the quarter-ended December 31, 2019 Investment portfolio3,4 $4,417.2 $4,507.0 Financing arrangements4 3,490.9 3,731.4 Total Economic Leverage5 3,486.1 3,807.5 Stockholders’ equity 849.0 834.0 GAAP Leverage 4.1x Economic
Slide 20: Quarter-Over-Quarter Snapshot
Quarter-Over-Quarter Snapshot NYSE: MITT 20
Slide 21: Market Snapshot
Market Snapshot Interest Rates 12/31/18 3/31/19 6/30/19 9/30/19 12/31/19 Agency RMBS 12/31/18 3/31/19 6/30/19 9/30/19 12/31/19 Treasuries Fannie Mae Pass- Throughs 2-year 2.490 2.263 1.755 1.622 1.569 30 year 3.00% 97-11+ 99-18+ 100-25+ 100-15+ 101-25+ 5-year 2.512 2.234 1.766 1.544 1.691 30 year 3.
Slide 22: Book Value Roll-Forward
Book Value Roll-Forward Amount (000’s) Per Share1 9/30/19 Book Value $ 561,776 $ 17.16 Common dividend (14,734) (0.45) Core earnings 16,877 0.52 Equity based compensation 174 0.01 Foreign currency gain/(loss), net (3,179) (0.10) Transaction related expenses and deal related performance fees (907) (0
Slide 23: Reconciliation of GAAP Net Income to Core Earnings
Reconciliation of GAAP Net Income to Core Earnings2 Three Months Ended December 31, 2019 Amount (000’s) Per Share1 Net Income/(loss) available to common stockholders $ 29,373 $ 0.90 Add (Deduct): Net realized (gain)/loss (13,403) (0.41) Unrealized (gain)/loss on real estate securities and loans, net
Slide 24: Undistributed Taxable Income Roll-Forward
Undistributed Taxable Income Roll-Forward Amount (000’s) Per Share1 9/30/19 Undistributed Taxable Income $ 36,289 $ 1.11 Q4 Core Earnings 16,877 0.52 Q4 Recurring Core-Tax Differences (1,184) (0.04) Q4 Other Core-Tax Differences (1,378) (0.04) Q4 2019 Ordinary Taxable Income, Net of Preferred Distri
Slide 25: Condensed Consolidated Balance Sheet
Condensed Consolidated Balance Sheet December 31, 2019 (Unaudited) Amount (000’s) Assets Liabilities Real estate securities, at fair value $ 3,449,832 Financing arrangements $ 3,233,468 Residential mortgage loans, at fair value 417,785 Securitized debt, at fair value 224,348 Commercial loans, at fai
Slide 26: Condensed Consolidated Statement of Operations
Condensed Consolidated Statement of Operations Three Months Ended December 31, 2019 (Unaudited) Amount (000’s) Net Interest Income Earnings/(Loss) Per Share - Basic Interest income $ 48,534 Continuing Operations $ 0.93 Interest expense 23,097 Discontinued Operations (0.03) Total Net Interest Income
Slide 27: Appendix
Appendix 27
Slide 28: Who is Angelo Gordon?
Who is Angelo Gordon? A leading privately held alternative investment firm with a focus on Credit and Real Estate strategies ▪ 1988 company founded ▪ 100% owned by AG founders and employees, and their related parties ▪ $38 billion Assets Under Management(a) ▪ Over 500 employees(a) ▪ Headquartered in
Slide 29: MITT Benefits From Angelo Gordon's Expansive Credit and Real Estate Platform
MITT Benefits From Angelo Gordon’s Expansive Credit and Real Estate Platform (a) As of December 31, 2019. Team sizes include Portfolio Manager(s). AG AUM figures represent assets across the firm including commingled multi-strategy funds and multi-strategy separate accounts. NYSE: MITT 29
Slide 30: Angelo Gordon's Platform Provides MITT a Competitive Advantage in Sourcing Residential Mortgage Opportunities
Angelo Gordon's Platform Provides MITT a Competitive Advantage in Sourcing Residential Mortgage Opportunities ▪ Integrated mortgage credit team that has expanded to 23 professionals in order to cover the broadening opportunity set Experienced Residential ▪ As one of the most active alternative credi
Slide 31: The Platform also Creates a Competitive Advantage in Sourcing Commercial Real Estate Debt Opportunities
The Platform also Creates a Competitive Advantage in Sourcing Commercial Real Estate Debt Opportunities ▪ The team has purchased approximately $11 billion of CMBS and Commercial Real Estate Debt since the Experienced Commercial MITT IPO(a) Real Estate Debt team ▪ 7 investment professionals with expe
Slide 32: Investment Opportunity Set
Investment Opportunity Set ▪ Hypothetical Duration Hedged Levered ROE: 8-14%(a)(b) Agency RMBS ▪ Sub-asset classes include Fixed Rate MBS, Hybrid ARMs, Agency CMOs, Agency Derivatives ▪ Hypothetical Levered ROE: 8-18%(b) Residential Investments ▪ Sub-asset classes include Credit Risk Transfer, Whole
Slide 33: GCAT 2019-NQM3 – Transaction Overview
GCAT 2019-NQM3 – Transaction Overview • In November 2019, AG* completed its third Non-QM securitization under the GCAT shelf, selling off the A1 - B1 classes. Below is a snapshot of the underlying collateral characteristics and capital structure. Collateral Snapshot GCAT 2019-NQM3 Class Rating Balan
Slide 34: 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 35: Footnotes (cont'd)
Footnotes (cont’d) 7. 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. Our calculation excludes cash held by the Company and excludes any net TBA posi
Slide 36: www.agmit.com
AG MITT www.agmit.com
AG Mortgage Investment Trust — Q4 2019 Earnings Presentation on 6ix