Tpg Mortgage Investment Trust, Inc. · NYSE:MITT

Tpg Mortgage Investment Trust — AG Mortgage Investment Trust — Q2 2013 Earnings Presentation

16 slides from Tpg Mortgage Investment Trust's earnings presentation, Aug 7, 2013

  1. Slide 1: AG Mortgage Investment Trust Q2 2013 Earnings Presentation

    AG Mortgage Investment Trust, Inc. Q2 2013 Earnings Presentation August 7, 2013

  2. 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 future dividends, the credit component of our portfolio book valve, deploying capital

  3. Slide 3: Q2 2013 MITT Earnings Call Presenters

    Q2 2013 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

  4. Slide 4: Q2 2013 Performance

    Q2 2013 Performance  $(2.66) per common share of net loss8  $ 0.83 per share of Core Earnings1  $19.77 net book value per share2 as of June 30, 2013  Including impact of $0.80 per share dividend declared for the quarter ended June 30, 2013 and paid on July 26, 2013  $1.78 per common share2 of u

  5. Slide 5: Heightened Volatility in Rates and Agency MBS

    Heightened Volatility in Rates and Agency MBS Interest Rates 3/31/2013 5/02/2013 6/19/2013 6/30/2013 7/05/2013 7/31/2013 Treasuries 2-year 0.244 0.198 0.308 0.357 0.397 0.311 5-year 0.765 0.648 1.249 1.395 1.614 1.379 10-year 1.850 1.626 2.354 2.487 2.740 2.577 Swaps 2-year 0.417 0.338 0.473 0.510 0

  6. Slide 6: Q2 2013 Investment Portfolio Composition

    Q2 2013 Investment Portfolio Composition 7 Current Premium Amortized Fair Weighted Average Weighted Average Face (Discount) Cost Value Coupon * Yield Agency RMBS 15-year fixed rate $514,575,981 $15,682,629 $530,258,610 $532,293,365 3.16% 2.50% 20-year fixed rate 296,875,147 13,800,140 310,675,287 30

  7. Slide 7: Q2 2013 Portfolio Details

    Q2 2013 Portfolio Details Agency Portfolio New Hybrid Production Current Fair Value Cost of 1.20% Description Coupon Yields NIM 7.09% Face (mm) (mm) Funds Agency RMBS Loan 15-year fixed rate $514.6 $532.3 3.2% 2.5% 0.4% 2.1% Balance Other 25.54% 36.26% 20-year fixed rate 296.9 303.3 3.3% 2.6% 0.4% 2

  8. Slide 8: Financing and Duration Gap

    Financing and Duration Gap  Master Repurchase Agreements with 30 financial institutions  Weighted average original maturity of 94 days as of June 30, increased from pro-forma 87 days as of March 31, 2013 MITT Repos ($ in thousands ) Original Repo Maturities Repo Outstanding WA Interest Rate WA Day

  9. Slide 9: Hedging and Interest Rate Sensitivity Summary

    Hedging and Interest Rate Sensitivity Summary  Standard interest rate swaps used to hedge 134% of total Agency RMBS repo notional and 95% of total repo balance Interest Rate Swaps as of June 30, 2013 Weighted Average Weighted Average Weighted Average Years to Maturity Notional Amount Pay Rate Recei

  10. Slide 10: Q2 2013 Financial Metrics

    Q2 2013 Financial Metrics Weighted Average at Weighted Average for the Quarter Operating Metrics7 June 30, 2013 Ended June 30, 2013 Investment portfolio3 $4,523,846,041 $5,084,149,375 Repurchase agreements $4,226,403,356 $4,423,460,112 Stockholders’ equity $722,110,625 $808,708,921 Leverage ratio5 5

  11. Slide 11: Supplemental Slides

    Supplemental Slides NYSE: MITT

  12. Slide 12: Sharp Sell-off In Q2 2013

    Sharp Sell-off In Q2 2013 Interest Rates 9/30/2012 12/31/2012 3/31/2013 6/30/2013 Agency RMBS 9/30/2012 12/31/2012 3/31/2013 6/30/2013 Treasuries Fannie Mae Pass-Thrus 2-year 0.232 0.249 0.244 0.357 15 year 2.50% $105-04+ $104-14+ 103-21+ 100-15+ 5-year 0.626 0.724 0.765 1.395 15 year 3.00% $106-00+

  13. Slide 13: Quarter-over-Quarter Snapshot

    Quarter-over-Quarter Snapshot Investment Portfolio Book Value Core Earnings 6000 $25.00 $1.10 $1.03 $23.71 $23.47 $1.00 5000 $24.00 $23.16 973 1,080 1,357 $0.90 $0.85 $0.83 4000 $23.00 1,437 $0.75 $ Millions $0.80 $22.00 3000 $0.70 $21.00 2000 3,954 3,786 3,757 $0.60 $19.77 3,087 $20.00 $0.50 1000 $

  14. Slide 14: 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, investments in affiliates and derivatives. 2. Per share figures are calculated using a denominator of al

  15. Slide 15: 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 RMBS, excluding unsettled trades. 12. The swap ratio during the quarter was calculated by dividing our daily weighted averag

  16. Slide 16: 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@agmit.com www.agmit.com NYSE: MITT

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