Tpg Mortgage Investment Trust, Inc. · NYSE:MITT

Tpg Mortgage Investment Trust — AG Mortgage Investment Trust — Q1 2014 Earnings Presentation

22 slides from Tpg Mortgage Investment Trust's earnings presentation, May 7, 2014

  1. Slide 1: AG Mortgage Investment Trust, Inc. Q1 2014 Earnings Presentation

    AG Mortgage Investment Trust, Inc. Q1 2014 Earnings Presentation May 7, 2014

  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: Q1 2014 MITT Earnings Call Presenters

    Q1 2014 MITT Earnings Call Presenters Title David Roberts Chief Executive Officer Jonathan Lieberman Chief Investment Officer Brian Sigman Chief Financial Officer Lisa Yahr Head of Investor Relations NYSE: MITT 2

  4. Slide 4: Q1 2014 Performance and Highlights

    Q1 2014 Performance and Highlights  $0.98 per diluted common share net income1  $0.62 per diluted common share of Core Earnings2  $19.53 net book value per share3 as of March 31, 2014  Including impact of $0.60 per share dividend declared for the quarter ended March 31, 2014 and paid on April 28

  5. Slide 5: Q1 2014 Performance (cont'd)

    Q1 2014 Performance (cont’d)  4.36x leverage as of March 31, 20146, 9  Modestly lower than 4.42x level as of end of the fourth quarter  2.62% net interest margin as of March 31, 201410 3/31/2014 12/31/2013 9/30/2013 6/30/2013 Yield on Investment Portfolio11 4.27% 4.13% 3.88% 3.80% Cost of Funds12

  6. Slide 6: 2014 Outlook and Positioning

    2014 Outlook and Positioning  Marco-economic outlook  Expect Federal Reserve to continue its gradual taper of QE3, with taper complete by late 2014  Housing stable with modest appreciation  Close monitoring of Washington, D.C. policy matters including GSE reform and other initiatives from FHFA D

  7. Slide 7: Q1 2014 Investment Portfolio Composition

    Q1 2014 Investment Portfolio Composition 6 Current Premium Amortized Fair Weighted Average Weighted Average Face (mm) (Discount) (mm) Cost (mm) Value (mm) Coupon * Yield Agency RMBS 15-year fixed rate $ 272.4 $ 7.3 $ 279.7 $ 282.6 3.2% 2.6% 20-year fixed rate 139.3 7.0 146.3 145.3 3.7% 2.9% 30-year

  8. Slide 8: Q1 2014 Agency Portfolio Details

    Q1 2014 Agency Portfolio Details Fair Value Weighted Weighted Description Current Face (mm) Funding Cost NIM* (mm) Average Coupon Average Yield 15-year fixed rate $ 272.4 $ 282.6 3.2% 2.6% 0.3% 2.3% 20-year fixed rate 139.3 145.2 3.7% 2.9% 0.3% 2.6% 30-year fixed rate 1,166.4 1,213.9 4.0% 3.3% 0.4%

  9. Slide 9: Q1 2014 Credit Portfolio Details

    Q1 2014 Credit Portfolio Details Weighted Average Weighted Average Sector Current Face (mm) Fair Value (mm) Funding Cost NIM* Coupon Yield Non-Agency RMBS: Prime $ 363.9 $ 323.0 5.0% 6.1% 1.8% 4.3% Alt A 488.2 415.6 4.2% 5.4% 1.7% 3.7% Subprime 245.3 225.3 2.2% 6.5% 1.8% 4.7% Senior Short Duration 2

  10. Slide 10: Financing and Duration Gap

    Financing and Duration Gap  Master Repurchase Agreements with 30 financial institutions  During the quarter, we entered into a $100 million whole loan facility with a two year term to finance the acquisition of certain pools of residential mortgage loans.  Subsequent to March 31, 2014 renewed ded

  11. Slide 11: Hedging and Interest Rate Sensitivity Summary

    Hedging and Interest Rate Sensitivity Summary  107% of total Agency RMBS repo notional and 69% of total repo balance hedged7 as of March 31, 2014 Interest Rate Swaps as of March 31, 2014 Weighted Average Weighted Average Weighted Average Years to Maturity Notional Amount Pay Rate Receive Rate* Matu

  12. Slide 12: Q1 2014 Financial Metrics

    Q1 2014 Financial Metrics Weighted Average at Weighted Average for the Quarter Operating Metrics6 March 31, 2014 Ended March 31, 2014 Investment portfolio5 $3,779,732,653 $3,780,103,963 Repurchase agreements $3,255,756,359 $3,125,068,783 Stockholders’ equity $715,352,421 $714,192,521 Leverage ratio9

  13. Slide 13: Supplemental Information & Financial Statements

    Supplemental Information & Financial Statements NYSE: MITT

  14. Slide 14: Market Snapshot

    Market Snapshot Interest Rates 6/30/2013 9/30/2013 12/31/2013 3/31/2014 Agency RMBS 6/30/2013 9/30/2013 12/31/2013 3/31/2014 Treasuries Fannie Mae Pass-Thrus 2-year 0.357 0.319 0.382 0.420 15 year 2.50% 100-15+ 100-19+ 98-29+ 99-30+ 5-year 1.395 1.382 1.743 1.719 15 year 3.00% 102-26+ 103-17+ 102-00

  15. Slide 15: Quarter-over-Quarter Snapshot

    Quarter-over-Quarter Snapshot Investment Portfolio Book Value Core Earnings 6000 $25.00 $1.10 5000 $1.00 $19.77 $19.26 $19.14 $19.53 $0.90 $0.83 4000 $20.00 1,437 $ Millions $0.80 1,120 1,297 $0.67 3000 1,447 $0.70 $0.62 $15.00 2000 $0.60 3,087 2,747 $0.45 2,423 2,333 $0.50 1000 $10.00 $0.40 0 $0.30

  16. Slide 16: Quarter-over-Quarter Book Value Roll-Forward

    Quarter-over-Quarter Book Value Roll-Forward3 Amount (000’s) Per Share 12/31/13 Book Value $ 543,217 $ 19.14 Common Dividend (17,024) (0.60) Core Earnings 17,660 0.62 Equity based compensation 127 0.01 763 0.03 Net realized gains 416 0.01 Net unrealized gains 9,743 0.35 10,159 0.36 3/31/14 Book Valu

  17. Slide 17: Undistributed Taxable Income Roll-Forward

    Undistributed Taxable Income Roll-Forward 4 Amount (000’s) Per Share3 12/31/13 Undistributed Taxable Income $ 45,811 $ 1.61 Core Earnings 17,660 $0.62 Recurring Core-Tax Differences 1,095 0.04 Q1 2014 Non-Recurring Core-Tax Differences 5,771 0.21 Q1 2014 Ordinary Taxable Income, Net of Q1 Preferred

  18. Slide 18: Condensed Consolidated Balance Sheet

    Condensed Consolidated Balance Sheet March 31, 2014 (Unaudited) Assets Real estate securities and loans, at fair value $ 3,523,521,920 Investment in affiliates 28,067,897 Linked transactions, net, at fair value 41,947,972 Cash and cash equivalents 33,252,973 Restricted cash 13,540,675 Interest recei

  19. Slide 19: Condensed Consolidated Statement of Operations

    Condensed Consolidated Statement of Operations Three Months Ended March 31, 2014 (Unaudited) Net Interest Income Interest income $ 34,142,740 Interest expense 6,146,587 27,996,153 Other Income Net realized gain 416,471 Income from linked transactions, net 4,259,130 Realized loss on periodic interest

  20. Slide 20: Footnotes

    Footnotes 1. Diluted per share figures are calculated using weighted average outstanding shares in accordance with GAAP. 2. Core Earnings is defined as net income excluding both realized and unrealized gains (losses) on the sale or termination of securities, and the related tax provision, if any, on

  21. Slide 21: Footnotes (cont.)

    Footnotes (cont.) 10. Net interest margin is calculated by subtracting the weighted average cost of funds from the weighted average yield for the Company’s investment portfolio, which excludes cash held by the Company. 11. The yield on our investment portfolio represents an effective interest rate,

  22. Slide 22: Contact Information

    Contact Information ANGELO, GORDON & CO. 245 Park Avenue, 26th Floor New York, NY 10167 Telephone: (212) 692-2110 Email: ir@agmit.com www.agmit.com NYSE: MITT

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