Tpg Mortgage Investment Trust, Inc. · NYSE:MITT
Tpg Mortgage Investment Trust — AG Mortgage Investment Trust — Q4 2017 Earnings Presentation
30 slides from Tpg Mortgage Investment Trust's earnings presentation, Feb 28, 2018
Slide 1: AG Mortgage Investment Trust, Inc. Q4 2017 Earnings Presentation
AG Mortgage Investment Trust, Inc. Q4 2017 Earnings Presentation February 28, 2018 NYSE: MITT
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, our strategy
Slide 3: Q4 2017 MITT Earnings Call Presenters
Q4 2017 MITT Earnings Call Presenters David Roberts TJ Durkin Brian Sigman Karen Werbel Chief Executive Officer Chief Investment Officer Chief Financial Officer Head of Investor Relations NYSE: MITT 2
Slide 4: Q4 2017 Performance and Highlights
Q4 2017 Performance and Highlights ▪ Fourth Quarter 2017: ▪ $0.74 of Net Income/(Loss) per diluted common share1 ▪ $0.50 of Core Earnings per diluted common share1, 2 ▪ Includes de minimus retrospective adjustment ▪ Includes $0.02 of dollar roll income associated with our net TBA position ▪ 3.9% eco
Slide 5: Full Year 2017 Performance and Highlights
Full Year 2017 Performance and Highlights ▪ Full Year 2017: ▪ $3.77 of Net Income/(Loss) per diluted common share1 ▪ $1.90 of Core Earnings per diluted common share1, 2 ▪ Includes $(0.02) retrospective adjustment ▪ Includes $0.11 of dollar roll income associated with our net TBA position ▪ $2.00 div
Slide 6: Q4 2017 Performance and Highlights (cont'd)
Q4 2017 Performance and Highlights (cont’d) ▪ $3.8 billion investment portfolio as of December 31, 2017 as compared to the $3.5 billion investment portfolio as of September 30, 20173, 4 ▪ Net purchased $249.9 million of Agency and TBA securities, inclusive of unsettled trades, coupled with net purch
Slide 7: Q4 2017 Activity
Q4 2017 Activity ($ in millions) Net Net Repo Net Equity Purchased/ (Added)/ Invested/ Description (Sold/Payoff) Removed(a) (Returned) 30 Year Fixed Rate $228.0 $(169.7) $58.3 Inverse Interest Only 28.7 (13.8) 14.9 Interest Only and Excess MSR 9.6 (7.8) 1.8 Total Agency RMBS 266.3 (191.3) 75.0 Prime
Slide 8: Q4 2017 Activity (cont'd)
Q4 2017 Activity (cont’d) ▪ Deployed net equity of $105.7 million during the quarter ▪ Increased our sector allocation to Agency RMBS on a hedged basis during the quarter ▪ Purchased a pool of primarily NPL mortgage loans alongside another Angelo, Gordon fund ▪ Purchased a portfolio of prime jumbo c
Slide 9: Q4 2017 Macro-Economic Conditions
Q4 2017 Macro-Economic Conditions ▪ In December, the FOMC increased the federal funds rate by an additional 25 basis points Macro Environment ▪ The yield curve flattened, which was led by steadily rising short-term interest rates and rangebound long-term interest rates ▪ Stable growth was led by str
Slide 10: Investment Opportunity Set
Investment Opportunity Set Agency RMBS ▪ Hypothetical Duration Hedged Levered ROE: 8-14%(a)(b) ▪ 30/20/15 Year Fixed Rate, Hybrid ARM, Fixed Rate CMO, Agency IO, Inverse IO, Excess MSRs Residential Investments ▪ Hypothetical Levered ROE: 8-14%(b) ▪ CRT, NPL, RPL, Non-QM, Legacy Commercial Investment
Slide 11: Q4 2017 Investment Portfolio Composition
Q4 2017 Investment Portfolio Composition3,4 Weighted Amortized Fair Value Percent of Fair Allocated Percent of Funding Average NIM(a) Leverage(b) Cost (mm) (mm) Value Equity (mm)16 Equity Cost(a) Yield9 Agency RMBS $2,354.8 $2,354.9 62.3% $280.3 39.2% 3.3% 1.6% 1.7% 7.5x Residential Investments(c) 9
Slide 12: Q4 2017 Agency Portfolio Details
Q4 2017 Agency Portfolio Details Current Face Fair Value Percent of Fair Weighted Average Weighted Average Description (mm) (mm) Value Coupon14 Yield9 30 Year Fixed Rate $1,848.0 $1,929.0 81.8% 3.8% 3.1% Fixed Rate CMO 52.3 53.0 2.3% 3.0% 2.8% ARM 176.6 176.4 7.5% 2.3% 2.8% Inverse Interest Only 257
Slide 13: Q4 2017 Residential Portfolio Details
Q4 2017 Residential Portfolio Details Current Face Fair Value Percent of Fair Weighted Average Weighted Average Description (mm) (mm) Value Coupon14 Yield9 Prime $550.6 $472.9 45.6% 4.4% 6.3% Alt-A 254.5 176.8 17.1% 4.0% 6.1% Subprime 56.6 55.8 5.4% 4.4% 5.2% Credit Risk Transfer 149.7 160.5 15.5% 5
Slide 14: Q4 2017 Commercial and ABS Portfolio Details
Q4 2017 Commercial and ABS Portfolio Details Current Face Fair Value Percent of Fair Weighted Average Weighted Average Description (mm) (mm) Value Coupon14 Yield9 CMBS 214.1 162.0 41.4% 5.5% 6.2% Freddie Mac K-Series CMBS 210.8 71.1 18.1% 5.8% 13.5% CMBS Interest Only 3,493.6 61.0 15.5% 0.3% 6.6% Co
Slide 15: Financing
Financing ▪ Financing arrangements with 39 counterparties ▪ Currently financing investments at 27 of the counterparties ▪ Our weighted average days to maturity is 43 days and our weighted average original days to maturity is 118 days ▪ Financing counterparties remain stable Repurchase Agreements(a)
Slide 16: Duration Gap
Duration Gap13 ▪ Duration gap was approximately 1.15 years as of December 31, 2017 ▪ Opportunistically added hedges to reduce duration and protect against higher rates in response to improved underlying economic fundamentals Duration Years Agency 2.77 Hedges (2.59) Agency Gap Subtotal 0.18 Credit 0.
Slide 17: Hedging
Hedging ▪ Added hedges versus increased Agency RMBS exposure during the quarter ▪ Opportunistically added swap and swaption hedges to reduce our exposure to rising rates and a potential increase in implied volatility Hedge Portfolio Summary as of December 31, 2017 ($ in millions) Notional Duration13
Slide 18: Arc Home Update
Arc Home Update ▪ In its first fiscal year of mortgage origination, Arc Home originated $1.1 As of December 31, 2017 billion of government and agency loans through its four channels of retail, Employees* 101 direct, correspondent and wholesale, retaining the originated MSR on its balance sheet State
Slide 19: Q4 2017 Financial Metrics
Q4 2017 Financial Metrics ($ in millions) Weighted Average Key Statistics December 31, 2017 for the quarter-ended December 31, 2017 Investment portfolio3, 4 $3,782.3 $3,513.2 Repurchase agreements4 3,011.6 2,839.8 Total Financing7 3,133.0 2,884.1 Stockholders’ equity 714.3 711.9 GAAP Leverage 4.2x 4
Slide 20: Supplemental Information & Financial Statements
Supplemental Information & Financial Statements NYSE: MITT 19
Slide 21: Quarter-Over-Quarter Snapshot
Quarter-Over-Quarter Snapshot FMV of Investment Portfolio Book Value “At Risk” Leverage 4,000 5.00 3,500 $20.00 4.2x 4.2x 4.4x 3,000 4.00 $18.00 3.4x 3.4x 2,500 3.2x 3.0x 2.9x $ Millions 2,000 $16.00 3.00 1,500 $14.00 2.00 1,000 500 $12.00 1.00 0 $10.00 0.00 Agency Credit Core Earnings* Dividend Net
Slide 22: Market Snapshot
Market Snapshot Interest Rates 12/31/16 3/31/17 6/30/17 9/30/17 12/31/17 Agency RMBS 12/31/16 3/31/17 6/30/17 9/30/17 12/31/17 Treasuries Fannie Mae Pass- Throughs 2-year 1.190 1.256 1.384 1.486 1.885 15 year 2.50% 100-01+ 100-02+ 100-15+ 100-21+ 99-29+ 5-year 1.928 1.922 1.889 1.937 2.207 15 year 3
Slide 23: Book Value Roll-Forward
Book Value Roll-Forward Amount (000’s) Per Share1 9/30/17 Book Value $ 545,412 $ 19.35 Common dividend (13,391) (0.48) Core earnings 14,209 0.50 Equity based compensation 135 0.00 Capital Appreciation/(Reduction) 953 0.02 Net realized gain/(loss) (1,459) (0.05) Net realized and unrealized gain/(loss
Slide 24: Reconciliation of GAAP Net Income to Core Earnings
Reconciliation of GAAP Net Income to Core Earnings2 Three Months Ended December 31, 2017 Amount (000’s) Per Share1 Net Income/(loss) available to common stockholders $ 20,890 $ 0.74 Add (Deduct): Net realized (gain)/loss 1,459 0.05 Drop income 473 0.02 Equity in (earnings)/loss from affiliates (2,92
Slide 25: Undistributed Taxable Income Roll-Forward
Undistributed Taxable Income Roll-Forward Amount (000’s) Per Share1 9/30/17 Undistributed Taxable Income $ 44,828 $ 1.59 Q4 Core Earnings 14,209 0.50 Q4 Recurring Core-Tax Differences (2,265) (0.07) Q4 2017 Ordinary Taxable Income, Net of Preferred Distribution 11,944 0.43 Q4 2017 Common Distributio
Slide 26: Condensed Consolidated Balance Sheet
Condensed Consolidated Balance Sheet December 31, 2017 (Unaudited) Amount (000’s) Assets Liabilities Real estate securities, at fair value $ 3,512,543 Repurchase agreements $ 3,004,407 Residential mortgage loans, at fair value 18,890 Securitized debt, at fair value 16,478 Obligation to return securi
Slide 27: Consolidated Statement of Operations
Consolidated Statement of Operations Three Months Ended December 31, 2017 (Unaudited) Amount (000’s) Net Interest Income Earnings/(Loss) Per Share of Common Stock Interest income $ 36,072 Basic $ 0.74 Interest expense 13,400 Diluted $ 0.74 22,672 Other Income WA Shares of Common Stock Outstanding Ne
Slide 28: 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 all shares granted to our Manager and our independent directors under our equity in
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 2017 Earnings Presentation on 6ix