Tpg Mortgage Investment Trust, Inc. · NYSE:MITT
Tpg Mortgage Investment Trust — AG Mortgage Investment Trust — Q2 2019 Earnings Presentation
28 slides from Tpg Mortgage Investment Trust's earnings presentation, Aug 6, 2019
Slide 1: AG Mortgage Investment Trust, Inc. Q2 2019 Earnings Presentation
AG Mortgage Investment Trust, Inc. Q2 2019 Earnings Presentation August 6, 2019
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: MITT Earnings Call Presenters
Q2 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: Performance and Highlights
Q2 2019 Performance and Highlights ▪ Second quarter 2019: ▪ $0.47 of Net Income/(Loss) per diluted common share1 ▪ $0.36 of Core Earnings per diluted common share1, 2 ▪ Includes $(0.04) retrospective adjustment ▪ Decrease in Core Earnings from last quarter primarily due to the flattening of the yiel
Slide 5: Performance and Highlights (cont'd)
Q2 2019 Performance and Highlights (cont’d) ▪ $4.0 billion investment portfolio as of June 30, 2019 as compared to the $4.1 billion investment portfolio as of March 31, 20194,5 ▪ 2.0% Net Interest Margin (“NIM”) as of June 30, 20196 ▪ 4.4x “At Risk” Leverage as of June 30, 20197 6/30/2018 9/30/2018
Slide 6: Activity
Q2 2019 Activity ($ in millions) Purchased Sold/Payoff Net Activity Description 30 Year Fixed Rate $— $(123.6) $(123.6) Inverse Interest Only — (3.2) (3.2) Fixed Rate 30 Year TBA 746.6 (748.7) (2.1) Total Agency RMBS 746.6 (875.5) (128.9) Prime 1.2 (32.4) (31.2) Alt-A/Subprime 7.3 — 7.3 Credit Risk
Slide 7: Macro-Economic Conditions
Q2 2019 Macro-Economic Conditions ▪ The Federal Reserve shifted from a neutral stance to an easing bias in response to a slowing global economy and increased trade uncertainty that could result in a further deterioration of business sentiment ▪ Inflation has remained persistently low, thereby allowi
Slide 8: Investment Opportunity Set
Investment Opportunity Set ▪ Hypothetical Duration Hedged Levered ROE: 9-14%(a)(b) Agency RMBS ▪ 30/20/15 Year Fixed Rate, Hybrid ARM, Fixed Rate CMO, Agency IO, Inverse IO, Excess MSRs ▪ Hypothetical Levered ROE: 8-14%(b) Residential Investments ▪ CRT, NPL, RPL, Non-QM, Legacy ▪ Hypothetical Levere
Slide 9: Investment Portfolio Composition
Q2 2019 Investment Portfolio Composition4,5 Amortized Cost Net Carrying Value Percent of Net Allocated Equity Percent of Leverage Ratio(a) (mm) (mm) Carrying Value (mm)10 Equity Agency RMBS(b) $2,211.6 $2,270.5 57.5% $263.8 36.1% 7.5x Residential Investments(b) 1,047.6 1,119.7 28.3% 287.2 39.3% 3.1x
Slide 10: Agency Portfolio Details
Q2 2019 Agency Portfolio Details Current Face Fair Value Percent of Fair Weighted Average Weighted Average Description (mm) (mm) Value Coupon12 Yield8 30 Year Fixed Rate $1,880.3 $1,990.9 87.7% 4.1% 3.5% Fixed Rate CMO 40.0 40.8 1.8% 3.0% 2.8% Inverse Interest Only 257.7 43.5 1.9% 3.8% 6.1% Interest
Slide 11: Residential Portfolio Details
Q2 2019 Residential Portfolio Details Current Face Fair Value Percent of Fair Weighted Average Weighted Average Description (mm) (mm) Value Coupon12 Yield8 Prime $323.7 $265.7 23.7% 4.9% 7.5% Alt-A/Subprime 203.5 137.8 12.3% 4.8% 6.7% Credit Risk Transfer 248.3 257.3 23.0% 5.9% 6.0% RMBS Interest On
Slide 12: Commercial and ABS Portfolio Details
Q2 2019 Commercial and ABS Portfolio Details Weighted Current Face Fair Value Percent of Fair Weighted Description Average (mm) (mm) Value Average Yield8 Coupon12 CMBS $149.3 $145.4 34.2% 5.8% 6.1% Freddie Mac K-Series 201.8 93.4 22.0% 5.9% 12.3% Interest Only 3,493.2 47.8 11.2% 0.2% 7.0% Commercial
Slide 13: Single-Family Rental Portfolio Update
Single-Family Rental Portfolio Update ▪ Occupancy remained stable throughout the 2nd quarter in the 92-93% range ▪ The slight occupancy dip in June is related to seasonally higher number of lease expirations and lower renewal pull-through ▪ Decline in operating margin primarily due to the aging and
Slide 14: Financing
Financing ▪ Financing arrangements with 45 counterparties ▪ Currently financing investments with 33 counterparties ▪ Our weighted average days to maturity is 138 days and our weighted average original days to maturity is 236 days ▪ Financing counterparties remain stable Financing Arrangements(a) ($
Slide 15: Duration Gap
Duration Gap14 Duration gap was approximately 0.98 years as of June 30, 2019 Duration Years Agency 0.77 Residential Loans(a) 0.72 Hedges (1.16) Subtotal 0.33 Credit excluding Residential Loans(a) 0.65 Duration Gap 0.98 Duration gap was approximately 0.95 years as of March 31, 2019 Duration Years Age
Slide 16: Hedging
Hedging Hedge Portfolio Summary as of June 30, 2019 ($ in millions) Notional Duration14 Interest Rate Swaps $(1,302.5) (1.09) Swaptions (445.0) (0.01) Eurodollar Futures (1,000.0) (0.06) U.S. Treasury Futures (0.7) (0.00) Total $(2,748.2) (1.16) Interest Rate Swaps as of June 30, 2019 ($ in millions
Slide 17: Financial Metrics
Q2 2019 Financial Metrics Weighted Average for the Key Statistics quarter-ended June 30, June 30, 2019 2019 Investment portfolio4,5 $3,951.8 $3,910.5 Financing arrangements, net5 3,176.5 3,281.7 Total Financing7 3,232.5 3,345.0 Stockholders’ equity 730.9 730.4 GAAP Leverage 4.1x “At Risk” Leverage7
Slide 18: Supplemental Information & Financial Statements
Supplemental Information & Financial Statements NYSE: MITT 18
Slide 19: Quarter-Over-Quarter Snapshot
Quarter-Over-Quarter Snapshot NYSE: MITT 19
Slide 20: Market Snapshot
Market Snapshot Interest Rates 6/30/18 9/30/18 12/31/18 3/31/19 6/30/19 Agency RMBS 6/30/18 9/30/18 12/31/18 3/31/19 6/30/19 Treasuries Fannie Mae Pass- Throughs 2-year 2.530 2.821 2.490 2.263 1.755 30 year 3.00% 96-25+ 95-20+ 97-11+ 99-18+ 100-25+ 5-year 2.739 2.954 2.512 2.234 1.766 30 year 3.50%
Slide 21: Undepreciated Book Value Roll-Forward
Undepreciated Book Value Roll-Forward Amount (000’s) Per Share1 3/31/19 Undepreciated Book Value $574,205 $17.56 Common dividend (16,355) (0.50) Core earnings 11,779 0.36 Net proceeds and accretion/(dilution) from issuance of stock 272 0.00 Transaction related expenses and deal related performance f
Slide 22: Reconciliation of GAAP Net Income to Core Earnings
Reconciliation of GAAP Net Income to Core Earnings2 Three Months Ended June 30, 2019 Amount (000’s) Per Diluted Common Share1 Net Income/(loss) available to common stockholders $15,311 $0.47 Add (Deduct): Net realized (gain)/loss 27,579 0.84 Unrealized (gain)/loss on real estate securities and loans
Slide 23: Undistributed Taxable Income Roll-Forward
Undistributed Taxable Income Roll-Forward Amount (000’s) Per Share1 3/31/19 Undistributed Taxable Income $42,313 $1.29 Q2 Core Earnings 11,779 0.36 Q2 Recurring Core-Tax Differences 4,015 0.13 Q2 Other Core-Tax Differences 45 0.00 Q2 Ordinary Taxable Income, Net of Preferred Distribution 15,839 0.49
Slide 24: Condensed Consolidated Balance Sheet
Condensed Consolidated Balance Sheet June 30, 2019 (Unaudited) Amount (000’s) Assets Liabilities Real estate securities, at fair value $3,105,191 Financing arrangements, net $2,993,233 Residential mortgage loans, at fair value 199,970 Securitized debt, at fair value 8,630 Commercial loans, at fair v
Slide 25: Condensed Consolidated Statement of Operations
Condensed Consolidated Statement of Operations Three Months Ended June 30, 2019 (Unaudited) Amount (000’s) Net Interest Income Earnings/(Loss) Per Share of Common Stock Interest income $40,901 Basic $0.47 Interest expense 24,277 Diluted $0.47 Total Net Interest Income 16,624 Other Income/(Loss) WA S
Slide 26: 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 27: Footnotes (cont'd)
Footnotes (cont’d) 8. 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. The yield on our SFR portfolio represents annualized net operating income for t
Slide 28: www.agmit.com
AG MITT www.agmit.com
AG Mortgage Investment Trust — Q2 2019 Earnings Presentation on 6ix