AG Mortgage Investment Trust, Inc. Reports First Quarter Results
FIRST QUARTER 2014 FINANCIAL HIGHLIGHTS
See footnotes at the end of this press release
-
Net income of
$0.98 per diluted common share -
Core Earnings of
$0.62 per diluted common share -
$0.60 per share common dividend declared -
$19.53 net book value per share as ofMarch 31, 2014 (1), net of the first quarter dividend
INVESTMENT HIGHLIGHTS
-
$3.8 billion investment portfolio value as ofMarch 31, 2014 (2) (4)- 61.7% Agency RMBS investment portfolio
- 38.3% credit investment portfolio, comprised of Non-Agency RMBS, ABS, CMBS and mortgage loans
-
2.62% net interest margin as of
March 31, 2014 (3) -
4.36x leverage as of
March 31, 2014 (2) (7) - Hedge ratio at quarter end of 107% of Agency RMBS repo notional, or 69% of total repo notional (8)
-
6.0% constant prepayment rate (“CPR”) for the first quarter on the
Agency RMBS investment portfolio (5)
- 5.8% CPR for the month of March
-
Acquired a pool of
$59.0 million unpaid principal balance of seasoned re-performing and non-performing residential mortgage loans -
Deployed
$10.0 million of equity into a commercial real estate investment on a hotel property which bears current interest of Libor + 12.25%
“We are pleased with the favorable technicals and fundamentals in the
housing and mortgage markets during the first quarter,” commented
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KEY STATISTICS (2) |
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Weighted Average at |
Weighted Average for |
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| Investment portfolio | $ | 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 ratio (7) | 4.36x | 4.38x | ||||||
| Hedge ratio - Total repo (8) | 69 | % | 69 | % | ||||
| Hedge ratio - Agency repo (8) | 107 | % | 105 | % | ||||
| Yield on investment portfolio (9) | 4.27 | % | 4.26 | % | ||||
| Cost of funds (10) | 1.65 | % | 1.71 | % | ||||
| Net interest margin (3) | 2.62 | % | 2.55 | % | ||||
| Management fees (11) | 1.40 | % | 1.40 | % | ||||
| Other operating expenses (12) | 1.48 | % | 1.48 | % | ||||
| Book value, per share (1) | $ | 19.53 | ||||||
| Dividend, per share | $ | 0.60 | ||||||
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INVESTMENT PORTFOLIO |
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The following summarizes the Company’s investment portfolio as of March 31, 2014 (2): |
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| Weighted Average | ||||||||||||||||||
| Current Face | Premium (Discount) | Amortized Cost | Fair Value | Coupon* | Yield | |||||||||||||
| Agency RMBS: | ||||||||||||||||||
| 15-Year Fixed Rate | $ | 272,447,062 | $ | 7,280,496 | $ | 279,727,558 | $ | 282,617,891 | 3.20 | % | 2.55 | % | ||||||
| 20-Year Fixed Rate | 139,314,748 | 7,004,756 | 146,319,504 | 145,258,817 | 3.73 | % | 2.86 | % | ||||||||||
| 30-Year Fixed Rate | 1,166,383,202 | 66,393,682 | 1,232,776,884 | 1,213,888,577 | 4.03 | % | 3.25 | % | ||||||||||
| Fixed Rate CMO | 97,000,000 | 995,313 | 97,995,313 | 97,698,400 | 3.00 | % | 2.88 | % | ||||||||||
| ARM | 458,475,998 | (1,236,787 | ) | 457,239,211 | 457,526,219 | 2.42 | % | 2.83 | % | |||||||||
| Inverse Interest Only | 422,689,161 | (339,395,718 | ) | 83,293,443 | 82,851,101 | 6.18 | % | 6.68 | % | |||||||||
| Interest Only | 333,480,695 | (282,329,060 | ) | 51,151,635 | 53,189,736 | 3.37 | % | 8.35 | % | |||||||||
| Credit Investments: | ||||||||||||||||||
| Non-Agency RMBS | 1,333,562,310 | (163,386,626 | ) | 1,170,175,684 | 1,198,987,500 | 4.00 | % | 5.58 | % | |||||||||
| ABS | 73,960,807 | (834,763 | ) | 73,126,044 | 73,661,029 | 4.00 | % | 4.64 | % | |||||||||
| CMBS | 153,454,360 | (39,218,248 | ) | 114,236,112 | 118,113,899 | 4.31 | % | 7.91 | % | |||||||||
| Interest Only | 822,640,664 | (811,619,174 | ) | 11,021,490 | 10,999,711 | 0.48 | % | 5.13 | % | |||||||||
| Commercial Loans | 10,000,000 | (72,167 | ) | 9,927,833 | 10,000,000 | 12.50 | % | 14.94 | % | |||||||||
| Residential Loans | 59,046,267 | (23,722,567 | ) | 35,323,700 | 34,939,773 | 5.05 | % | 8.51 | % | |||||||||
| Total | $ | 5,342,455,274 | $ | (1,580,140,863 | ) | $ | 3,762,314,411 | $ | 3,779,732,653 | 3.42 | % | 4.27 | % | |||||
| * Principal only securities with a zero coupon rate are excluded from this calculation. | ||||||||||||||||||
As of
The Company had net realized gains of
The CPR for the Agency RMBS investment portfolio was 6.0% for the first
quarter, and 5.8% for the month of
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
FINANCING AND HEDGING ACTIVITIES
During the quarter, we entered into a
Additionally, in
The investment portfolio is financed with repurchase agreements as of
|
Repurchase Agreements |
Repo Outstanding | WA Funding Cost |
WA Days to |
% Repo |
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| 30 Days or Less | $ | 1,975,936,683 | 0.86 | % | 16 | 60.7 | % | ||||
| 31-60 Days | 720,262,714 | 0.64 | % | 44 | 22.1 | % | |||||
| 61-90 Days | 259,915,000 | 0.50 | % | 76 | 8.0 | % | |||||
| Greater than 90 Days | 299,641,962 |
1.74 |
% | 452 | 9.2 | % | |||||
| Total / Weighted Average | $ | 3,255,756,359 | 0.86 | % | 67 | * | 100.0 | % | |||
| *Our weighted average original days to maturity is 104 days. | |||||||||||
The Company has entered into repurchase agreements with 30
counterparties, under which we had debt outstanding with 25
counterparties as of
We have entered into interest rate swap agreements to hedge our
portfolio. The Company’s swaps as of
| Maturity |
Notional Amount |
Weighted Average |
Weighted |
Weighted |
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| 2016 | $ | 160,000,000 | 0.85 | % | 0.23 | % | 2.16 | ||||
| 2017 | 175,000,000 | 0.98 | % | 0.24 | % | 3.55 | |||||
| 2018 | 405,000,000 | 1.17 | % | 0.24 | % | 4.23 | |||||
| 2019 | 275,000,000 | 1.29 | % | 0.23 | % | 5.36 | |||||
| 2020 | 450,000,000 | 1.62 | % | 0.24 | % | 6.00 | |||||
| 2022 | 50,000,000 | 1.69 | % |
0.24 |
% | 8.43 | |||||
| 2023 | 340,000,000 | 2.49 | % | 0.23 | % | 9.31 | |||||
| 2024 | 55,000,000 | 2.75 | % | 0.24 | % | 9.93 | |||||
| 2028 | 20,000,000 | 3.47 | % | 0.23 | % | 14.72 | |||||
| Total/Wtd Avg | $ | 1,930,000,000 | 1.56 | % | 0.24 | % | 5.84 | ||||
| * 100% of our receive float interest rate swap notionals reset quarterly based on three-month LIBOR. | |||||||||||
The Company also utilizes short positions in U.S. Treasury securities
and interest rate swaptions to mitigate exposure to increases in
interest rates. As of
TAXABLE INCOME
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 derivatives
and (v) taxes. As of
DIVIDEND
On
On
STOCKHOLDER CALL
The Company invites stockholders, prospective stockholders and analysts
to attend MITT’s first quarter earnings conference call on
A presentation will accompany the conference call and will be available on the Company’s website at www.agmit.com. Select the Q1 2014 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 midnight on
For further information or questions, please contact
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 future dividends,
the credit component of our portfolio book valve, deploying capital, the
preferred stock offering and repurchase agreements. Forward-looking
statements are based on estimates, projections, beliefs and assumptions
of management of the 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, changes in interest rates, changes in the yield
curve, changes in prepayment rates, the availability and terms of
financing, changes in the market value of our assets, general economic
conditions, market conditions, conditions in the market for Agency RMBS,
Non-Agency RMBS, ABS and CMBS securities and loans, and legislative and
regulatory changes that could adversely affect the business of the
Company. Additional information concerning these and other risk factors
are contained in the Company's filings with the
| AG Mortgage Investment Trust, Inc. and Subsidiaries | ||||||||
| Consolidated Balance Sheets | ||||||||
| (Unaudited) | ||||||||
| March 31, 2014 | December 31, 2013 | |||||||
| Assets | ||||||||
| Real estate securities, at fair value: | ||||||||
| Agency - $2,167,030,159 and $2,242,322,869 pledged as collateral, respectively | $ | 2,333,030,741 | $ | 2,423,002,768 | ||||
| Non-Agency - $966,254,585 and $844,217,568 pledged as collateral, respectively | 980,339,355 | 844,217,568 | ||||||
| ABS - $73,661,029 and $71,344,784 pledged as collateral, respectively | 73,661,029 | 71,344,784 | ||||||
| CMBS - $91,551,022 and $93,251,470 pledged as collateral, respectively | 91,551,022 | 93,251,470 | ||||||
| Residential mortgage loans, at fair value - $29,933,511 and $0 pledged as collateral, respectively | 34,939,773 | - | ||||||
| Commercial loans, at fair value | 10,000,000 | - | ||||||
| Investment in affiliates | 28,067,897 | 16,411,314 | ||||||
| Linked transactions, net, at fair value | 41,947,972 | 49,501,897 | ||||||
| Cash and cash equivalents | 33,252,973 | 86,190,011 | ||||||
| Restricted cash | 13,540,675 | 3,575,006 | ||||||
| Interest receivable | 12,307,477 | 12,018,919 | ||||||
| Receivable on unsettled trades - $150,661,777 and $0 pledged as collateral, respectively | 152,509,963 | - | ||||||
| Receivable under reverse repurchase agreements | 43,318,750 | 27,475,000 | ||||||
| Derivative assets, at fair value | 35,633,143 | 55,060,075 | ||||||
| Other assets | 6,310,847 | 1,246,842 | ||||||
| Due from broker | 1,038,131 | 1,410,720 | ||||||
| Total Assets | $ | 3,891,449,748 | $ | 3,684,706,374 | ||||
| Liabilities | ||||||||
| Repurchase agreements | $ | 3,069,177,400 | $ | 2,891,634,416 | ||||
| Obligation to return securities borrowed under reverse repurchase agreements, at fair value | 42,866,016 | 27,477,188 | ||||||
| Payable on unsettled trades | 14,121,585 | - | ||||||
| Interest payable | 2,695,609 | 3,839,045 | ||||||
| Derivative liabilities, at fair value | 3,165,510 | 2,206,289 | ||||||
| Dividend payable | 17,024,351 | 17,020,893 | ||||||
| Due to affiliates | 4,161,526 | 4,645,297 | ||||||
| Accrued expenses | 1,779,814 | 1,395,183 | ||||||
| Taxes payable | 618,516 | 1,490,329 | ||||||
| Due to broker | 20,487,000 | 30,567,000 | ||||||
| Total Liabilities | 3,176,097,327 | 2,980,275,640 | ||||||
| Stockholders' Equity | ||||||||
| Preferred stock - $0.01 par value; 50,000,000 shares authorized: | ||||||||
| 8.25% Series A Cumulative Redeemable Preferred Stock, 2,070,000 shares issued and outstanding ($51,750,000 aggregate liquidation preference) | 49,920,772 | 49,920,772 | ||||||
| 8.00% Series B Cumulative Redeemable Preferred Stock, 4,600,000 shares issued and outstanding ($115,000,000 aggregate liquidation preference) | 111,293,233 | 111,293,233 | ||||||
| Common stock, par value $0.01 per share; 450,000,000 shares of common stock authorized and 28,371,419 and 28,365,655 shares issued and outstanding at March 31, 2014 and December 31, 2013, respectively | 283,715 | 283,657 | ||||||
| Additional paid-in capital | 585,746,580 | 585,619,488 | ||||||
| Retained earnings (deficit) | (31,891,879 | ) | (42,686,416 | ) | ||||
| 715,352,421 | 704,430,734 | |||||||
| Total Liabilities & Stockholders' Equity | $ | 3,891,449,748 | $ | 3,684,706,374 | ||||
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| AG Mortgage Investment Trust, Inc. and Subsidiaries | ||||||||
| Consolidated Statements of Operations | ||||||||
| (Unaudited) | ||||||||
| Three Months Ended | Three Months Ended | |||||||
| March 31, 2014 | March 31, 2013 | |||||||
| Net Interest Income | ||||||||
| Interest income | $ | 34,142,740 | $ | 38,617,716 | ||||
| Interest expense | 6,146,587 | 6,875,962 | ||||||
| 27,996,153 | 31,741,754 | |||||||
| Other Income | ||||||||
| Net realized gain | 416,471 | 5,335,417 | ||||||
| Income from linked transactions, net | 4,259,130 | 5,838,219 | ||||||
| Realized loss on periodic interest settlements of interest rate swaps, net | (6,307,857 | ) | (5,272,343 | ) | ||||
| Unrealized gain/(loss) on real estate securities and loans, net | 29,367,044 | (17,711,381 | ) | |||||
| Unrealized gain/(loss) on derivative and other instruments, net | (19,180,715 | ) | 5,223,241 | |||||
| 8,554,073 | (6,586,847 | ) | ||||||
| Expenses | ||||||||
| Management fee to affiliate | 2,500,525 | 2,859,340 | ||||||
| Other operating expenses | 2,643,681 | 2,274,370 | ||||||
| Equity based compensation to affiliate | 81,073 | 114,528 | ||||||
| Excise tax | 500,000 | 500,000 | ||||||
| 5,725,279 | 5,748,238 | |||||||
| Income before provision for income taxes and equity in earnings/(loss) from affiliate | 30,824,947 | 19,406,669 | ||||||
| Provision for income taxes | - | (2,632,269 | ) | |||||
| Equity in earnings/(loss) from affiliate | 361,295 | (3,591 | ) | |||||
| Net Income | 31,186,242 | 16,770,809 | ||||||
| Dividends on preferred stock | 3,367,354 | 3,367,354 | ||||||
| Net Income Available to Common Stockholders | $ | 27,818,888 | $ | 13,403,455 | ||||
| Earnings Per Share of Common Stock | ||||||||
| Basic | $ | 0.98 | $ | 0.49 | ||||
| Diluted | $ | 0.98 | $ | 0.49 | ||||
| Weighted Average Number of Shares of Common Stock Outstanding | ||||||||
| Basic | 28,371,419 | 27,280,531 | ||||||
| Diluted | 28,373,794 | 27,402,305 | ||||||
NON-GAAP FINANCIAL MEASURE
This press release contains Core Earnings, a non-GAAP financial measure.
Core Earnings are defined by the Company as net income excluding both realized and unrealized gains/(losses) on the sale or termination of securities and the related tax expense, if any, on such, including securities underlying linked transactions and derivatives. As defined, Core Earnings include the net interest earned on these transactions, including credit derivatives, linked transactions, investments in affiliates, inverse Agency securities, interest rate derivatives or any other investment activity that may earn net interest. One of the objectives of the Company is to generate net income from net interest margin on the portfolio and management uses Core Earnings to measure this objective.
A reconciliation of GAAP net income to Core Earnings for the three
months ended
| Three Months Ended | Three Months Ended | |||||||
| March 31, 2014 | March 31, 2013 | |||||||
| Net Income available to common stockholders | $ | 27,818,888 | $ | 13,403,455 | ||||
| Add (Deduct): | ||||||||
| Net realized gain | (416,471 | ) | (5,335,417 | ) | ||||
| Tax expense related to realized gain | - | 2,526,850 | ||||||
| Income from linked transactions, net | (4,259,130 | ) | (5,838,219 | ) | ||||
| Net interest income on linked transactions | 4,512,909 | 3,210,642 | ||||||
| Equity in earnings/(loss) from affiliate | (361,295 | ) | 3,591 | |||||
| Net interest income from equity method investments | 551,081 | 82,138 | ||||||
| Unrealized gain/(loss) on real estate securities, net | (29,367,044 | ) | 17,711,381 | |||||
| Unrealized gain/(loss) on derivative and other instruments, net | 19,180,715 | (5,223,241 | ) | |||||
| Core Earnings | $ | 17,659,653 | $ | 20,541,180 | ||||
| Core Earnings, per Diluted Share | $ | 0.62 | $ | 0.75 | ||||
Footnotes
(1) 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 incentive plans as of quarter end. Net book value uses stockholders’ equity less net proceeds of the Company’s 8.25% Series A and 8.00% Series B Cumulative Redeemable Preferred Stock as the numerator.
(2) Generally when we purchase a security and finance it with a repurchase agreement, the security is included in our assets and the repurchase agreement is separately reflected in our liabilities on our balance sheet. For securities with certain characteristics (including those which are not readily obtainable in the market place) that are purchased and then simultaneously sold back to the seller under a repurchase agreement, US GAAP requires these transactions be netted together and recorded as a forward purchase commitment. Throughout this press release where we disclose our investment portfolio and the repurchase agreements that finance it, including our leverage metrics, we have un-linked the transaction and used the gross presentation as used for all other securities. Additionally we invested in certain credit sensitive commercial real estate assets through an affiliated entity, for which we have used the equity method of accounting. Throughout this press release where we disclose our investment portfolio, we have presented the underlying assets consistently with all other investments. This presentation is consistent with how the Company’s management evaluates the business, and believes provides the most accurate depiction of the Company’s investment portfolio and financial condition.
(3) 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. See footnotes (9) and (10) for further detail.
(4) The total investment portfolio is calculated by summing the fair market value of our Agency RMBS, Non-Agency RMBS, ABS, CMBS and mortgage loan assets, including linked transactions and assets owned through investments in affiliates. The percentage of Agency RMBS and credit investments is calculated by dividing the respective fair market value of each, including linked transactions and assets owned through investments in affiliates, by the total investment portfolio.
(5) This represents the weighted average monthly CPRs published during the quarter for our in-place portfolio during the same period.
(6) Diluted per share figures are calculated using weighted average outstanding shares in accordance with GAAP.
(7) The leverage ratio during the quarter was calculated by dividing our daily weighted average repurchase agreements, including those included in linked transactions, for the quarter by the weighted average stockholders’ equity for the quarter. The leverage ratio at quarter end was calculated by dividing total repurchase agreements, including repurchase agreements accounted for as linked transactions, plus or minus the net payable or receivable, as applicable, on unsettled trades on our GAAP balance sheet by our GAAP stockholders’ equity at quarter end.
(8) The hedge ratio during the quarter was calculated by dividing our daily weighted average swap notionals, net short positions in U.S. Treasury securities and interest rate swaptions, including receive fixed swap notionals and short positions in U.S. Treasury securities as negative values, as applicable, for the period by either our daily weighted average total repurchase agreements or daily weighted average repurchase agreements secured by Agency RMBS, as indicated. The hedge ratio at quarter end was calculated by dividing the notional value of our interest rate swaps, net short positions in U.S. Treasury securities and interest rate swaptions, including receive fixed swap notionals and short positions in U.S. Treasury securities as negative values, as applicable, by either total repurchase agreements or repurchase agreements secured by Agency RMBS, as indicated, plus the net payable/receivable on either all unsettled trades, or unsettled Agency RMBS trades, as indicated.
(9) The yield on our investment portfolio 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 investment portfolio during the quarter was calculated by annualizing interest income for the quarter and dividing by our daily weighted average securities held. This calculation excludes cash held by the Company.
(10) The cost of funds during the quarter was calculated by annualizing the sum of our interest expense and our net pay rate of our interest rate swaps, and dividing by our daily weighted average repurchase agreements for the period. The cost of funds at quarter end was calculated as the sum of the weighted average funding costs on the repurchase agreements outstanding at quarter end and the weighted average net pay rate on our interest rate swaps. Both elements of the cost of funds at quarter end were weighted by the repurchase agreements outstanding at quarter end.
(11) The management fee percentage during the quarter was calculated by annualizing the management fees recorded during the quarter and dividing by the weighted average stockholders’ equity for the quarter. The management fee percentage at quarter end was calculated by annualizing management fees recorded during the quarter and dividing by quarter end stockholders’ equity.
(12) The other operating expenses percentage during the quarter was calculated by annualizing the other operating expenses recorded during the quarter and dividing by our weighted average stockholders’ equity for the quarter. The other operating expenses percentage at quarter end was calculated by annualizing other operating expenses recorded during the quarter and dividing by quarter end stockholders’ equity.
(13) Undistributed taxable income per common share represents total undistributed taxable income as of quarter end.
Source:
AG Mortgage Investment Trust, Inc.
Lisa Yahr, 212-692-2110
Head
of Investor Relations
ir@agmit.com