AG Mortgage Investment Trust, Inc. Reports Second Quarter 2018 Results

August 6, 2018

NEW YORK--(BUSINESS WIRE)--Aug 6, 2018--AG Mortgage Investment Trust, Inc. (“MITT” or the “Company”) (NYSE: MITT) today reported financial results for the quarter-ended June 30, 2018. AG Mortgage Investment Trust, Inc. is a hybrid mortgage REIT that opportunistically invests in a diversified risk-adjusted portfolio of Agency RMBS and Credit Investments, which include our Residential Investments, Commercial Investments and ABS Investments.


Common dividend increase of 5.3% to $0.50 per common share (1) $0.17 of Net Income/(Loss) per diluted common share (1) $0.55 of Core Earnings per diluted common share (1)Includes de minimus retrospective adjustment 0.8% economic return on equity for the quarter, 3.2% annualized (2) $18.98 book value per share (1) as of June 30, 2018, inclusive of our current quarter $0.50 common dividend Book value decreased $(0.34) or (1.8)% from the prior quarter primarily due to: Modest rise in interest rates given positive duration gapAcquisition and securitization expenses related to residential whole loansSpread widening in mortgage derivativesUnderperformance of specified pools versus TBABook value increased approximately 2% in July due to an increase in the value of our credit portfolio


“We are pleased with MITT’s performance during the second quarter, as MITT increased its quarterly dividend 5.3% to $0.50 and MITT produced core earnings above the dividend,” said Chief Executive Officer, David Roberts. “During the quarter, MITT acquired a pool of primarily re-performing mortgage loans and securitized residential whole loans. MITT continues to leverage the expertise and experience of the Angelo, Gordon platform to source residential credit assets. Subsequent to quarter-end, in the month of July, MITT’s book value increased approximately 2% due to an increase in the value of our credit portfolio.”

“During the second quarter, Agency MBS spreads were stable as demand for the sector remained robust, supply was manageable, and interest rate volatility was muted,” said Chief Investment Officer, T.J. Durkin. “Spread performance was mixed across mortgage sectors, with legacy RMBS spreads relatively flat by quarter-end and spread-tiering in the CRT sector. Against this backdrop, we continue to take advantage of a wide range of opportunities at attractive risk-adjusted returns.”


$3.6 billion investment portfolio as of June 30, 2018 as compared to the $3.8 billion investment portfolio as of March 31, 2018 (3) (4)Decrease in portfolio size due to securitization of whole loans and sales and payoffs of commercial investments 2.71% Net Interest Margin (“NIM”) as of June 30, 2018 (5)Net Interest Margin remained stable during the quarter 4.4x “At Risk” Leverage as of June 30, 2018 (6) 6.4% constant prepayment rate (“CPR”) on the Agency RMBS investment portfolio for the second quarter (7) Duration gap was approximately 1.08 years as of June 30, 2018 (8)


Acquired a pool of primarily re-performing mortgage loans, investing $18.8 mm of equity Payoffs and sales of commercial investments returned $17.2 mm of equity, which was primarily reinvested in a commercial whole loan at the end of July MITT, along with another Angelo, Gordon fund, participated in a term securitization in June which refinanced re-performing mortgage loans from repo into lower cost, fixed rate, non-recourse long-term financing, returning $12.7 million of equity The Company maintained exposure to the securitization through an interest in the subordinated tranches as well as through its ownership of the vertical risk retention portion of the securitization


The following summarizes the Company’s investment portfolio as of June 30, 2018 (3) (4):

Premiums and discounts associated with purchases of the Company’s securities are amortized or accreted into interest income over the estimated life of such securities, using the effective yield method. The Company recorded a de minimus retrospective adjustment due to the change in projected cash flows on its Agency RMBS, excluding interest-only securities and TBAs. Since the cost basis of the Company’s Agency RMBS securities, excluding interest-only securities and TBAs, exceeds the underlying principal balance by 2.8% as of June 30, 2018, slower actual and projected prepayments can have a meaningful positive impact, while faster actual or projected prepayments can have a meaningful negative impact, on the Company’s asset yields.


The Company, either directly or through its equity method investments in affiliates, had master repurchase agreements with 40 counterparties, under which it had debt outstanding with 29 counterparties as of June 30, 2018. The weighted average funding cost was 2.1% for Agency RMBS and 3.4% for Credit Investments. The investment portfolio is financed with repurchase agreements as of June 30, 2018 as summarized below:

The Company’s hedge portfolio as of June 30, 2018 is summarized as follows:

The Company’s interest rate swaps as of June 30, 2018 are summarized as follows:


The primary differences between taxable income and GAAP net income include (i) unrealized gains and losses associated with investment and derivative portfolios which are marked-to-market in current income for GAAP purposes, but excluded from taxable income until realized or settled, (ii) temporary differences related to amortization of premiums and discounts paid on investments, (iii) the timing and amount of deductions related to stock-based compensation, (iv) temporary differences related to the recognition of certain terminated investments and derivatives and (v) taxes. As of June 30, 2018, the Company had estimated undistributed taxable income of approximately $1.57 per share. (1) (13)


On June 18, 2018, the Company’s board of directors declared a second quarter dividend of $0.50 per share of common stock that was paid on July 31, 2018 to stockholders of record as of June 29, 2018.

On May 15, 2018, the Company’s board of directors declared a quarterly dividend of $0.51563 per share on its 8.25% Series A Cumulative Redeemable Preferred Stock and a quarterly dividend of $0.50 per share on its 8.00% Series B Cumulative Redeemable Preferred Stock. The preferred distributions were paid on June 18, 2018 to stockholders of record as of May 31, 2018.


The Company invites stockholders, prospective stockholders and analysts to participate in MITT’s second quarter earnings conference call on August 7, 2018 at 9:30 am Eastern Time. The stockholder call can be accessed by dialing (888) 424-8151 (U.S. domestic) or (847) 585-4422 (international). Please enter code number 7049236.

A presentation will accompany the conference call and will be available on the Company’s website at www.agmit.com. Select the Q2 2018 Earnings Presentation link to download and print the presentation in advance of the stockholder call.

An audio replay of the stockholder call combined with the presentation will be made available on our website after the call. The replay will be available until September 6, 2018. If you are interested in hearing the replay, please dial (888) 843-7419 (U.S. domestic) or (630) 652-3042 (international). The conference ID number is 7049236.

For further information or questions, please e-mail ir@agmit.com.


AG Mortgage Investment Trust, Inc. is a real estate investment trust that invests in, acquires and manages a diversified portfolio of residential and commercial mortgage assets, other real estate-related securities and financial assets. AG Mortgage Investment Trust, Inc. is externally managed and advised by AG REIT Management, LLC, a subsidiary of Angelo, Gordon & Co., L.P., an SEC-registered investment adviser that specializes in alternative investment activities.

Additional information can be found on the Company’s website at www.agmit.com.


Angelo, Gordon & Co., L.P. is a privately held limited partnership founded in November 1988. The firm currently manages approximately $28 billion with a primary focus on credit and real estate strategies. Angelo, Gordon has over 450 employees, including more than 170 investment professionals, and is headquartered in New York, with offices in the U.S., Europe and Asia. For more information, visit www.angelogordon.com.


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