AG Mortgage Investment Trust, Inc. Reports First Quarter 2021 Results
Q1 2021 PERFORMANCE AND HIGHLIGHTS
Financial Performance
-
$4.92 Book Value per share and$4.76 Adjusted Book Value per share as ofMarch 31, 2021 , as compared to$4.13 and$3.94 as ofDecember 31, 2020 , respectively(1)(2)- Adjusted Book Value subtracts the full liquidation preference of our preferred stock from total equity, which does not reflect underwriting discounts and offering expenses incurred at issuance that impact our Book Value
-
Adjusted Book Value per share increased
$0.82 , or 20.8%, primarily due to mark-to-market gains on our Residential and Commercial portfolios, as well as income generated at Arc Home
- Quarterly Economic Return of 22.3%(3)
-
$0.91 of Net Income per diluted common share for Q1 2021, as compared to$1.16 for Q4 2020(1)-
Includes retrospective adjustment of
$0.01 per share in Q1 2021 related to our agency portfolio
-
Includes retrospective adjustment of
-
$0.08 of Core Earnings per share for Q1 2021, as compared to$0.22 for Q4 2020(1)- Q4 2020 Core Earnings per share was elevated by record origination volumes produced by Arc Home coupled with elevated gain on sale margins experienced throughout the industry
First Quarter Activity
- Continued to reposition our investment portfolio, increasing our concentration of residential investments through the acquisition of Non-QM Loans and Agency RMBS
-
Declared dividends of
$0.06 per common share inMarch 2021 -
Declared and paid
$5.0 million of preferred dividends during the quarter - Exchanged 0.5 million shares of preferred stock, at a slight discount to par, for 2.8 million shares of common stock in a private exchange offer
-
Utilized ATM program to raise approximately
$10.0 million in net proceeds through the issuance of approximately 2.2 million shares of common stock at a weighted average price of$4.53 per share
MANAGEMENT REMARKS
"We are pleased with the performance we achieved during the quarter while executing on our strategic goals," said
"We increased the size of our investment portfolio to
"Recent regulatory, structural and market changes have set the backdrop for what will likely be the most dynamic period for investing in the new origination non-agency residential space in decades," said Chief Investment Officer,
Q1 2021 PORTFOLIO AND FINANCING UPDATE
Investment Portfolio
-
$1.9 billion Investment Portfolio(4)(5) and 2.6x Economic Leverage Ratio(6) as ofMarch 31, 2021 , as compared to$1.4 billion and 1.5x, respectively, as ofDecember 31, 2020 -
Increased our Non-QM Loan and Agency RMBS portfolios through net purchases of
$208.5 million and$443.6 million , respectively - Sold two Commercial Loans and several CMBS and Non-Agency RMBS to support growth in our residential portfolios
-
Increased our Non-QM Loan and Agency RMBS portfolios through net purchases of
Financing
-
$1.2 billion of MTM recourse financing and$422.9 million of non-MTM non-recourse financing as ofMarch 31, 2021 , as compared to$580.1 million and$466.3 million , respectively, as ofDecember 31, 2020 (a)-
At
March 31, 2021 , MITT had total liquidity of$51.6 million of cash, as compared to total liquidity of$54.2 million as ofDecember 31, 2020
-
At
-
Repaid
$10 million secured note and accrued interest to our Manager upon maturity onMarch 31, 2021
(a) As of
INVESTMENT PORTFOLIO
The following summarizes the Company’s investment portfolio as of
|
($ in millions) |
|
Fair Value |
|
Percent of Fair
|
|
Allocated
|
|
Percent of Equity |
||||
|
Residential Investments(a) |
|
$ |
876.8 |
|
46.2 |
% |
|
$ |
281.9 |
|
61.9 |
% |
|
Agency RMBS(a) |
|
|
918.8 |
|
48.4 |
% |
|
|
111.0 |
|
24.4 |
% |
|
Commercial Investments |
|
|
104.0 |
|
5.4 |
% |
|
|
62.4 |
|
13.7 |
% |
|
Total |
|
$ |
1,899.6 |
|
100.0 |
% |
|
$ |
455.3 |
|
100.0 |
% |
(a) As of
Investment Portfolio Highlights
- Continued focus on repositioning our portfolio through investing in residential whole loans
- Current quarter increase in Residential Investments, specifically in Non-QM Loans facilitated through Arc Home's origination growth in the product offering as well as acquisitions from third party originators
-
Increased our Non-QM portfolio to represent 18.9% of our Investment Portfolio at quarter end, up from 11.0% as of
December 31, 2020 -
Approximately
$0.3 billion of Non-QM Loans aggregated for future securitizations as ofMarch 31, 2021 , while continuing to grow this population subsequent to quarter end
Residential Investments Activity
-
Purchased
$208.5 million of Non-QM Loans,$59.2 million of which were purchased from Arc Home -
Sold several Prime, Non-
U.S. RMBS, and Credit Risk Transfer positions for proceeds of$23.2 million
Commercial Investments Activity
-
Sold two commercial loans for gross proceeds of
$74.3 million , releasing unfunded commitments of approximately$28.8 million as ofDecember 31, 2020 -
Sold various Single/Asset-Single/Borrower, Conduit and Freddie Mac-K Series positions for proceeds of
$17.2 million -
Reduced our Commercial Investments portfolio as a percentage of our Investment Portfolio to 5.4% as of
March 31, 2021 from 13.1% as ofDecember 31, 2020
Transactions Subsequent to Quarter End
-
Purchased
$154.2 million of Non-QM Loans,$47.3 million of which were purchased from Arc Home -
We amended or entered into financing arrangements to increase our maximum uncommitted borrowing capacity to finance Non-QM Loans to
$800 million -
Participated in a rated Non-QM securitization alongside other
Angelo Gordon funds, which termed out repo financing into lower cost, fixed rate, long-term financing related to Non-QM loans with a fair value of$171.4 million - Maintained exposure to the securitization through an interest in the subordinated tranches
-
Sold remaining Freddie Mac K-Series positions for total proceeds of
$16.8 million
ARC HOME UPDATE
-
MITT, alongside other
Angelo Gordon funds, owns Arc Home,(8) a licensed mortgage originator. MITT indirectly owns approximately 44.6% of Arc Home -
Arc Home re-entered the Non-QM market in July of 2020 and has since focused its efforts on growth within this product offering
-
Non-QM originations grew to
$187.9 million in Q1 2021 - Increased composition of funding dollars to 15.6% in Q1 2021, as compared to 6.5% in Q4 2020
-
Non-QM originations grew to
-
Arc Home generated pre-tax net income of
$18.1 million in the first quarter-
Resulted in net income of
$6.3 million for MITT
-
Resulted in net income of
- The table below provides a summary of Arc Home's comparative performance:
|
|
2019 FY |
|
2020 FY |
|
Q4 2020 |
|
Q1 2021 |
|||
|
Origination Volume |
|
|
|
|
|
|
|
|||
|
|
|
|
$ |
5.3 |
|
$ |
1.4 |
|
$ |
1.4 |
|
Funding Dollars $B |
|
|
$ |
3.8 |
|
$ |
1.2 |
|
$ |
1.2 |
|
Funding by Channel(b) |
|
|
|
|
|
|
||||
|
Retail/Direct |
20.7 % |
|
32.0% |
|
27.0% |
|
24.7% |
|||
|
Wholesale |
34.1 % |
|
35.9% |
|
38.7% |
|
50.2% |
|||
|
Correspondent |
45.2 % |
|
32.0% |
|
34.3% |
|
25.1% |
|||
|
Funding by Product(b) |
|
|
|
|
|
|
||||
|
Conventional |
62.7 % |
|
79.8% |
|
78.6% |
|
73.7% |
|||
|
Government |
34.5 % |
|
15.4% |
|
13.9% |
|
7.9% |
|||
|
Jumbo |
1.5 % |
|
0.7% |
|
1.0% |
|
2.8% |
|||
|
Non-QM |
1.3% |
|
4.1% |
|
6.5% |
|
15.6% |
|||
|
Gain on Sale Margin |
145bps |
|
310bps |
|
353bps |
|
255bps |
|||
(a) Represents loans yet to be funded whereby the borrower has entered into an interest rate lock agreement
(b) Represents the weighted average calculated based on quarterly funding dollars
RESIDENTIAL WHOLE LOAN OPPORTUNITIES
Non-Agency Residential Mortgage Origination Tailwinds
-
Expect to see growth in most segments of the New Origination Non-Agency mortgage space including Non-QM, Prime Jumbo, Expanded Prime, Jumbo Prime High LTV along with conventional (GSE Eligible) products
-
Over the next few years, annual issuances can grow up to
$150-200 billion as compared to the historical market that had struggled to surpass$50 billion since the Financial Crisis
-
Over the next few years, annual issuances can grow up to
-
Growth will be driven by a combination of market, regulatory, and structural changes:
- Recent amendments to the Preferred Stock Purchase Agreements for Fannie Mae and Freddie Mac, inclusive of a 7% cap on second homes and investor properties, and the expiring GSE QM ("Qualified Mortgage") Patch will create opportunity for private capital
-
CFPB amendment of the Ability to Repay framework replaced with a spread to APR over Average PrimeOffer Rate for determining QM Safe Harbor and QM Rebuttable Presumption is expected to expand origination volumes as institutions re-evaluate associated risks and underwriting costs - Margin compression combined with historic capacity and regulatory relief will drive originators who previously de-emphasized or discontinued Non-Agency production to re-enter the market as well as bring new competitors into the space
Market and Economic Outlook
-
Attractive risk adjusted returns with prudent expansion of underwriting
- The MBA Mortgage Credit Availability Index is currently at levels last seen in 2013
- Favorable gestation financing and securitization markets
-
Increased production driven by the new regulatory framework
- Decreased risk, costs, and timelines associated with origination
- Increased capital efficiency
- Fundamentals remain favorable for the housing market and the consumer
Our Strategic Plan
-
Streamline MITT’s business model to focus on residential whole loan investments, ultimately positioning the company as a pure play residential credit company
- Simplified asset mix with a focus on strong credit fundamentals when deploying capital into newly originated Non-Agency whole loan opportunities
- Reduced leverage risk due to emphasis on securitization financing which provides non-MTM non-recourse financing at lower cost of funds
- Utilize Agency RMBS for our investment company act exemption and liquidity purposes while also generating attractive returns
Competitive Advantage
- MITT is uniquely positioned to capitalize on this opportunity given the depth of the current investment team which has a proven record of sourcing whole loans
-
Red Creek , an affiliate ofAngelo Gordon , allows MITT to streamline asset management services over its investment portfolio - Arc Home, a vertically integrated mortgage origination affiliate, provides the ability to organically grow origination and product offerings
KEY STATISTICS
|
($ in millions, except per share data) |
|
|
||
|
Investment portfolio(4) |
|
$ |
1,899.6 |
|
|
Financing arrangements(5) |
|
1,246.2 |
|
|
|
Total Economic Leverage(6) |
|
1,161.6 |
|
|
|
Stockholders’ equity |
|
455.3 |
|
|
|
GAAP Leverage Ratio |
|
3.2x |
||
|
Economic Leverage Ratio(6) |
|
2.6x |
||
|
Book value, per share(1)(2) |
|
$ |
4.92 |
|
|
Adjusted Book value, per share(1)(2) |
|
$ |
4.76 |
|
|
Dividend, per share(1) |
|
$ |
0.06 |
|
|
Duration gap (in years)(9) |
|
0.46 |
|
|
DIVIDEND
On
On
STOCKHOLDER CALL
The Company invites stockholders, prospective stockholders and analysts to participate in MITT’s first quarter earnings conference call on
A presentation will accompany the conference call and will be available under "Presentations" in the "Investor Relations" section on the Company’s website at www.agmit.com. Select the Q1 2021 Earnings Presentation link to download the presentation in advance of the stockholder call.
For those unable to listen to the live call, an audio replay will be available promptly following the conclusion of the call on
For further information or questions, please e-mail ir@agmit.com.
ABOUT
Additional information can be found on the Company’s website at www.agmit.com.
ABOUT
FORWARD LOOKING STATEMENTS
This press release 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, our investments, our business and investment strategy, investment returns, return on equity, liquidity, financing, taxes, our assets, our interest rate sensitivity, and our views on certain macroeconomic trends and conditions, among others. Forward-looking statements are based on estimates, projections, beliefs and assumptions of management of our Company at the time of such statements and are not guarantees of future performance. Forward-looking statements involve risks and uncertainties in predicting future results and conditions. Actual results could differ materially from those projected in these forward-looking statements due to a variety of factors, including, without limitation, the uncertainty and economic impact of the COVID-19 pandemic and of responsive measures implemented by various governmental authorities, businesses and other third parties; our ability to continue executing on our strategic goals, including our ability to continue increasing the size of our investment portfolio and shifting into residential whole loans; our ability to prudently grow our Non-Agency loan portfolio by delivering origination partners attractive product offerings or otherwise; whether growth in the new origination Non-Agency mortgage space will occur as anticipated or at all; whether market, regulatory and structural changes will result in the market opportunities we expect or at all, and whether we will be able to capitalize on such opportunities in the manner we anticipate; our levels of leverage, including our levels of non-recourse financing; changes in our business and investment strategy; our ability to predict and control costs; changes in interest rates and the fair value of our assets, including negative changes resulting in margin calls relating to the financing of our assets; changes in the yield curve; the timing and amount of stock issuances pursuant to our ATM program or otherwise; changes in prepayment rates on the loans we own or that underlie our investment securities; increased rates of default or delinquencies and/or decreased recovery rates on our assets; the availability of and competition for our target investments; our ability to obtain and maintain financing arrangements on terms favorable to us or at all; changes in general economic conditions in our industry and in the finance and real estate markets, including the impact on the value of our assets; conditions in the market for Residential Investments, Agency RMBS, and Commercial Investments; legislative and regulatory actions by the
NON-GAAP FINANCIAL INFORMATION
In addition to the results presented in accordance with GAAP, this press release includes certain non-GAAP financial results and financial metrics derived therefrom, including Core Earnings, investment portfolio, financing arrangements, and economic leverage ratio, which are calculated by including or excluding unconsolidated investments in affiliates or, with respect to our equity allocation calculation, by allocating all non-investment portfolio related assets and liabilities to our investment portfolio categories based on the characteristics of such assets and liabilities, as described in the footnotes to this press release. Our management team believes that this non-GAAP financial information, when considered with our GAAP financials, provides supplemental information useful for investors as it enables them to evaluate our current core performance using the same metrics that management uses to operate the business. Our presentation of non-GAAP financial information may not be comparable to similarly-titled measures of other companies, who may use different calculations. This non-GAAP financial information should not be considered a substitute for, or superior to, the financial measures calculated in accordance with GAAP. Our GAAP financial results and the reconciliations of the non-GAAP financial measures included in this press release to the most directly comparable financial measures prepared in accordance with GAAP should be carefully evaluated.
|
|
||||||||
|
Consolidated Balance Sheets (Unaudited) |
||||||||
|
(in thousands, except per share data) |
||||||||
|
|
|
|
|
|||||
|
Assets |
|
|
|
|||||
|
Real estate securities, at fair value: |
|
|
|
|||||
|
Agency - |
$ |
915,423 |
|
|
$ |
518,352 |
|
|
|
Non-Agency - |
16,371 |
|
|
38,406 |
|
|
||
|
CMBS - |
45,838 |
|
|
56,788 |
|
|
||
|
Residential mortgage loans, at fair value - |
642,959 |
|
|
435,441 |
|
|
||
|
Commercial loans, at fair value |
58,209 |
|
|
111,549 |
|
|
||
|
Commercial loans held for sale, at fair value |
— |
|
|
13,959 |
|
|
||
|
Investments in debt and equity of affiliates |
160,323 |
|
|
150,667 |
|
|
||
|
Excess mortgage servicing rights, at fair value |
3,000 |
|
|
3,158 |
|
|
||
|
Cash and cash equivalents |
51,637 |
|
|
47,926 |
|
|
||
|
Restricted cash |
39,918 |
|
|
14,392 |
|
|
||
|
Other assets |
8,922 |
|
|
9,407 |
|
|
||
|
Total Assets |
$ |
1,942,600 |
|
|
$ |
1,400,045 |
|
|
|
|
|
|
|
|||||
|
Liabilities |
|
|
|
|||||
|
Financing arrangements |
$ |
1,132,200 |
|
|
$ |
564,047 |
|
|
|
Securitized debt, at fair value |
344,429 |
|
|
355,159 |
|
|
||
|
Payable on unsettled trades |
— |
|
|
51,136 |
|
|
||
|
Dividend payable |
2,791 |
|
|
1,243 |
|
|
||
|
Other liabilities |
7,875 |
|
|
18,755 |
|
|
||
|
Total Liabilities |
1,487,295 |
|
|
990,340 |
|
|
||
|
Commitments and Contingencies |
|
|
|
|||||
|
Stockholders’ Equity |
|
|
|
|||||
|
Preferred stock - |
|
|
|
|||||
|
8.25% Series A Cumulative Redeemable Preferred Stock; 1,663 and 1,817 shares issued
|
40,110 |
|
|
43,808 |
|
|
||
|
8.00% Series B Cumulative Redeemable Preferred Stock; 3,814 and 4,165 shares issued
|
92,279 |
|
|
100,762 |
|
|
||
|
8.000% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, 3,883
|
93,908 |
|
|
93,908 |
|
|
||
|
Common stock, par value |
465 |
|
|
414 |
|
|
||
|
Additional paid-in capital |
710,746 |
|
|
688,871 |
|
|
||
|
Retained earnings/(deficit) |
(482,203 |
) |
|
(518,058 |
) |
|
||
|
Total Stockholders’ Equity |
455,305 |
|
|
409,705 |
|
|
||
|
|
|
|
|
|||||
|
Total Liabilities & Stockholders’ Equity |
$ |
1,942,600 |
|
|
$ |
1,400,045 |
|
|
|
|
|||||||||
|
Consolidated Statements of Operations (Unaudited) |
|||||||||
|
(in thousands, except per share data) |
|||||||||
|
|
Three Months Ended |
||||||||
|
|
|
|
|
||||||
|
Net Interest Income |
|
|
|
||||||
|
Interest income |
$ |
12,119 |
|
|
|
$ |
40,268 |
|
|
|
Interest expense |
4,061 |
|
|
|
19,971 |
|
|
||
|
Total Net Interest Income |
8,058 |
|
|
|
20,297 |
|
|
||
|
|
|
|
|
||||||
|
Other Income/(Loss) |
|
|
|
||||||
|
Net realized gain/(loss) |
(4,038 |
) |
|
|
(151,143 |
) |
|
||
|
Net interest component of interest rate swaps |
(741 |
) |
|
|
923 |
|
|
||
|
Unrealized gain/(loss) on real estate securities and loans, net |
(6,658 |
) |
|
|
(313,897 |
) |
|
||
|
Unrealized gain/(loss) on derivative and other instruments, net |
26,507 |
|
|
|
5,686 |
|
|
||
|
Foreign currency gain/(loss), net |
14 |
|
|
|
1,649 |
|
|
||
|
Other income |
23 |
|
|
|
3 |
|
|
||
|
Total Other Income/(Loss) |
15,107 |
|
|
|
(456,779 |
) |
|
||
|
|
|
|
|
||||||
|
Expenses |
|
|
|
||||||
|
Management fee to affiliate |
1,654 |
|
|
|
2,149 |
|
|
||
|
Other operating expenses |
3,983 |
|
|
|
930 |
|
|
||
|
Restructuring related expenses |
— |
|
|
|
1,500 |
|
|
||
|
Excise tax |
— |
|
|
|
(815 |
) |
|
||
|
Servicing fees |
615 |
|
|
|
579 |
|
|
||
|
Total Expenses |
6,252 |
|
|
|
4,343 |
|
|
||
|
|
|
|
|
||||||
|
Income/(loss) before equity in earnings/(loss) from affiliates |
16,913 |
|
|
|
(440,825 |
) |
|
||
|
|
|
|
|
||||||
|
Equity in earnings/(loss) from affiliates |
26,336 |
|
|
|
(44,192 |
) |
|
||
|
Net Income/(Loss) |
43,249 |
|
|
|
(485,017 |
) |
|
||
|
|
|
|
|
||||||
|
Gain on Exchange Offers, net |
358 |
|
|
|
— |
|
|
||
|
Dividends on preferred stock |
(4,924 |
) |
|
|
(5,667 |
) |
|
||
|
|
|
|
|
||||||
|
Net Income/(Loss) Available to Common Stockholders |
$ |
38,683 |
|
|
|
$ |
(490,684 |
) |
|
|
|
|
|
|
||||||
|
Earnings/(Loss) Per Share - Basic |
|
|
|
||||||
|
Total Earnings/(Loss) Per Share of Common Stock |
$ |
0.91 |
|
|
|
$ |
(14.98 |
) |
|
|
|
|
|
|
||||||
|
Earnings/(Loss) Per Share - Diluted |
|
|
|
||||||
|
Total Earnings/(Loss) Per Share of Common Stock |
$ |
0.91 |
|
|
|
$ |
(14.98 |
) |
|
|
|
|
|
|
||||||
|
Weighted Average Number of Shares of Common Stock Outstanding |
|
|
|
||||||
|
Basic |
42,348 |
|
|
|
32,749 |
|
|
||
|
Diluted |
42,348 |
|
|
|
32,749 |
|
|
||
NON-GAAP FINANCIAL MEASURE
This press release contains Core Earnings, a non-GAAP financial measure. Our presentation of Core Earnings may not be comparable to similarly-titled measures of other companies, who may use different calculations. This non-GAAP measure should not be considered a substitute for, or superior to, the financial measures calculated in accordance with GAAP. Our GAAP financial results and the reconciliations from these results should be carefully evaluated.
We define Core Earnings, a non-GAAP financial measure, as Net Income/(loss) available to common stockholders excluding (i) (a) unrealized gains/(losses) on real estate securities, loans, derivatives and other investments, inclusive of our investment in AG Arc, and (b) net realized gains/(losses) on the sale or termination of such instruments, (ii) any transaction related expenses incurred in connection with the acquisition or disposition of our investments, (iii) accrued deal-related performance fees payable to Arc Home and third party operators to the extent the primary component of the accrual relates to items that are excluded from Core Earnings, such as unrealized and realized gains/(losses), (iv) realized and unrealized changes in the fair value of Arc Home's net mortgage servicing rights and the derivatives intended to offset changes in the fair value of those net mortgage servicing rights, (v) deferred taxes recognized at our taxable REIT subsidiaries, if any, (vi) any foreign currency gain/(loss) relating to monetary assets and liabilities, (vii) income from discontinued operations, and (viii) any gains/(losses) associated with exchange transactions on our common and preferred stock. Items (i) through (viii) above include any amount related to those items held in affiliated entities. Management considers the transaction related expenses referenced in (ii) above to be similar to realized losses incurred at the acquisition or disposition of an asset and does not view them as being part of its core operations. Management views the exclusion described in (iv) above to be consistent with how it calculates Core Earnings on the remainder of its portfolio. Management excludes all deferred taxes because it believes deferred taxes are not representative of current operations. As defined, Core Earnings include the net interest income and other income earned on our investments on a yield adjusted basis, including TBA dollar roll income or any other investment activity that may earn or pay net interest or its economic equivalent.
A reconciliation of GAAP Net Income/(loss) available to common stockholders to Core Earnings for the three months ended
|
|
Three Months Ended |
||||||||
|
|
|
|
|
||||||
|
Net Income/(loss) available to common stockholders |
$ |
38,683 |
|
|
|
$ |
(490,684 |
) |
|
|
Add (Deduct): |
|
|
|
||||||
|
Net realized (gain)/loss |
4,038 |
|
|
|
151,143 |
|
|
||
|
Unrealized (gain)/loss on real estate securities and loans, net |
6,658 |
|
|
|
313,897 |
|
|
||
|
Unrealized (gain)/loss on derivative and other instruments, net |
(26,507 |
) |
|
|
(5,686 |
) |
|
||
|
Equity in (earnings)/loss from affiliates |
(26,336 |
) |
|
|
44,192 |
|
|
||
|
Net interest income and expenses from equity method investments(a) |
7,322 |
|
|
|
1,233 |
|
|
||
|
Transaction related expenses and deal related performance fees |
(12 |
) |
|
|
(3,412 |
) |
|
||
|
Foreign currency (gain)/loss, net |
(14 |
) |
|
|
(1,649 |
) |
|
||
|
(Gains) from Exchange Offer, net |
(358 |
) |
|
|
— |
|
|
||
|
Drop income |
— |
|
|
|
322 |
|
|
||
|
Core Earnings(b) |
$ |
3,474 |
|
|
|
$ |
9,356 |
|
|
|
|
|
|
|
||||||
|
Core Earnings, per Diluted Share(b) |
$ |
0.08 |
|
|
|
$ |
0.29 |
|
|
(a) For the three months ended
(b) The three months ended
Footnotes
(1) Diluted per share figures are calculated using diluted weighted average outstanding shares in accordance with GAAP.
(2) As of
(3) The economic return on equity for the quarter represents the change in adjusted book value per share from
(4) The investment portfolio at period end consists of the net carrying value of our Residential Investments, Agency RMBS, Commercial Investments, and where applicable, any long positions in TBAs, including securities and mortgage loans owned through investments in affiliates, exclusive of
(5) Generally, when we purchase an investment and finance it, the investment is included in our assets and the financing is reflected in our liabilities on our consolidated balance sheet as either “Financing arrangements” or “Securitized debt, at fair value.” Throughout this press release where we disclose our investment portfolio and the related financing, we have presented this information inclusive of (i) securities and mortgage loans owned through investments in affiliates that are accounted for under GAAP using the equity method and, where applicable, (ii) long positions in TBAs, which are accounted for as derivatives under GAAP. The related financing includes financing of
(6) The Economic Leverage Ratio is calculated by dividing total Economic Leverage, including any net TBA position, by our GAAP stockholders’ equity at quarter-end. Total Economic Leverage at quarter-end includes recourse financing arrangements recorded within "Investments in debt and equity of affiliates" exclusive of any financing utilized through
(7) We allocate our equity by investment using the fair value of our investment portfolio, less any associated leverage, inclusive of any long TBA position (at cost). We allocate all non-investment portfolio related assets and liabilities to our investment portfolio categories based on the characteristics of such assets and liabilities in order to sum to stockholders' equity per the consolidated balance sheets. Our equity allocation method is a non-GAAP methodology and may not be comparable to the similarly titled measure or concepts of other companies, who may use different calculations and allocation methodologies.
(8) We invest in
(9) We estimate duration based on third-party models. Different models and methodologies can produce different effective duration estimates for the same securities. Duration includes any net TBA position. Duration does not include our equity interest in
View source version on businesswire.com: https://www.businesswire.com/news/home/20210506005397/en/
Investor Relations
(212) 692-2110
ir@agmit.com
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