AG Mortgage Investment Trust, Inc. Reports Fourth Quarter Earnings
FINANCIAL HIGHLIGHTS
-
Net income of
$5.8 million , or 0.58 per share for the fourth quarter -
Net income of
$19.0 million , or$3.20 per share for the period fromMarch 7, 2011 toDecember 31, 2011 -
Core Earnings of
$6.5 million or$0.65 per share for the quarter -
Core Earnings of
$12.4 million , or$1.24 per share for the period fromJuly 6, 2011 (the consummation of our initial public offering) toDecember 31, 2011 -
Net realized gains of
$2.9 million , or$0.29 per share, on Agency RMBS for the fourth quarter and$7.2 million , or$0.72 per share, for the period fromJuly 6, 2011 toDecember 31, 2011 -
Net realized losses of
($3.5) million , or($0.35) per share, on credit investments for the fourth quarter and for the period fromJuly 6, 2011 toDecember 31, 2011 -
$0.70 per share dividend declared for the fourth quarter and$1.10 per share dividends declared for the period endedDecember 31, 2011 -
Approximately
$0.46 per share of undistributed taxable income as ofDecember 31, 2011 (1) -
$20.52 net book value per share as ofDecember 31, 2011 (1)
INVESTMENT HIGHLIGHTS
-
$1.4 billion investment portfolio value as ofDecember 31, 2011 (2) (4) -
5.86x leverage as of
December 31, 2011 (2) (3) - 91.0% Agency RMBS investment portfolio (4)
- 9.0% credit investment portfolio, comprising Non-Agency RMBS, CMBS and ABS assets (4)
- 5.0% constant prepayment rate (“CPR”) for the fourth quarter on the Agency RMBS investment portfolio (5)
-
2.25% net interest margin as of
December 31, 2011 (6)
FOURTH QUARTER 2011 AND PERIOD ENDED
“Amidst uncertainty in the global markets, European liquidity
difficulties and year-end funding pressures, we continued to optimize
our Agency portfolio, opportunistically rotate the credit portfolio and
retain capital for potential market dislocations,” said
KEY STATISTICS (2) |
||||||||||||
Weighted Average at | Weighted Average | |||||||||||
December 31, 2011 | at September 30, 2011 | |||||||||||
Investment portfolio | $ | 1,388,006,801 | $ | 1,332,205,377 | ||||||||
Repurchase agreements | $ | 1,189,303,407 | $ | 1,126,859,885 | ||||||||
Stockholders' equity | $ | 206,283,920 | $ | 207,413,703 | ||||||||
Leverage ratio | 5.86x | (3 | ) | 5.70x | (3 | ) | ||||||
Swap ratio | 66 | % | (8 | ) | 51 | % | (8 | ) | ||||
Yield on investment portfolio | 3.16 | % | (9 | ) | 3.26 | % | (9 | ) | ||||
Cost of funds | 0.91 | % | (10 | ) | 0.82 | % | (10 | ) | ||||
Net interest margin | 2.25 | % | (6 | ) | 2.44 | % | (6 | ) | ||||
Management fees | 1.49 | % | (11 | ) | 1.43 | % | (11 | ) | ||||
Other operating expenses | 1.57 | % | (12 | ) | 1.58 | % | (12 | ) | ||||
Book value, per share | $ | 20.52 | (1 | ) | $ | 20.64 | (1 | ) | ||||
Dividend, per share | $ | 0.70 | $ | 0.40 |
INVESTMENT PORTFOLIO
The following summarizes the Company’s investment portfolio as of
Weighted Average | |||||||||||||||||
Current Face |
Premium |
Amortized Cost | Fair Value | Coupon | Yield | ||||||||||||
Agency RMBS: | |||||||||||||||||
15-Year Fixed Rate | $ | 738,344,948 | $ | 22,525,476 | $ | 760,870,424 | $ | 772,310,909 | 3.32 | % | 2.62 | % | |||||
20-Year Fixed Rate | 227,566,114 | 7,362,001 | 234,928,115 | 237,586,837 | 3.69 | % | 3.00 | % | |||||||||
30-Year Fixed Rate | 232,890,169 | 12,162,512 | 245,052,681 | 246,679,482 | 3.99 | % | 3.18 | % | |||||||||
Interest Only | 43,505,596 | (34,046,500 | ) | 9,459,096 | 6,636,871 | 5.50 | % | 3.45 | % | ||||||||
Non-Agency RMBS | 102,246,062 | (8,980,754 | ) | 93,265,308 | 90,368,316 | 5.90 | % | 6.31 | % | ||||||||
CMBS | 19,500,000 | (5,411,965 | ) | 14,088,035 | 13,537,851 | 5.88 | % | 13.44 | % | ||||||||
ABS | 21,046,150 | (34,497 | ) | 21,011,653 | 20,886,535 | 4.50 | % | 4.50 | % | ||||||||
Total | $ | 1,385,099,039 | $ | (6,423,727 | ) | $ | 1,378,675,312 | $ | 1,388,006,801 | 3.81 | % | 3.16 | % |
As of
The CPR for the Agency RMBS portfolio was 5.0% for the fourth quarter
and 5.0% for the month of
The weighted average cost basis of the Agency investment portfolio,
excluding interest-only securities, was 103.5% as 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.
Since the cost basis of the Company's Agency securities, excluding
interest-only securities, exceeds the underlying principal balance by
3.5% as of
We have also entered into “to-be-announced” (“TBA”) positions to
facilitate the future purchase of Agency RMBS. Under the terms of these
TBAs, the Company agrees to purchase, for future delivery, Agency RMBS
with certain principal and interest specifications and certain types of
underlying collateral, but the particular Agency RMBS to be delivered
are not identified until shortly before (generally two days) the TBA
settlement date. At
LEVERAGE AND HEDGING ACTIVITIES
The investment portfolio is financed with repurchase agreements as of
Agency RMBS | Non-Agency RMBS / CMBS / Other | |||||||||||
Repurchase Agreements |
|
Balance |
Weighted |
Balance |
Weighted |
|||||||
30 days or less | $ | 652,002,000 | 0.35 | % | $ | 68,187,000 | 1.74 | % | ||||
31-60 days | 334,825,407 | 0.42 | % | 1,749,000 | 1.95 | % | ||||||
61-90 days | 118,340,000 | 0.37 | % | 14,200,000 | 1.80 | % | ||||||
Greater than 90 days | - | - | - | - | ||||||||
Total / Weighted Average | $ | 1,105,167,407 | 0.37 | % | $ | 84,136,000 | 1.75 | % |
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 |
|||||||
2012 | $ | 100,000,000 | 0.354 | % | 0.285 | % | 0.14 | ||||
2013 | 182,000,000 | 0.535 | % | 0.286 | % | 1.78 | |||||
2014 | 204,500,000 | 1.000 | % | 0.395 | % | 2.54 | |||||
2015 | 184,025,000 | 1.412 | % | 0.380 | % | 3.56 | |||||
2016 | 87,500,000 | 1.625 | % | 0.328 | % | 4.63 | |||||
2018 | 35,000,000 | 1.728 | % | 0.511 | % | 6.88 | |||||
Total/Wtd Avg | $ | 793,025,000 | 1.008 | % | 0.350 | % | 2.72 | ||||
* Approximately 50% of our interest rate swap notionals reset monthly based on one-month LIBOR and 50% of our interest rate swap notionals reset quarterly based on three-month LIBOR. |
TAXABLE INCOME
The primary differences between taxable income and GAAP net income
include (i) unrealized gains and losses associated with investment and
derivative portfolios 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 net premiums paid
on investments (iii) the timing and amount of deductions related to
stock-based compensation and (iv) excise taxes. As of
DIVIDEND
On
SUBSEQUENT EVENT
On
SHAREHOLDER CALL
The Company invites shareholders, prospective shareholders and analysts
to attend MITT’s fourth 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 Q4 2011 Earnings Presentation link to download and print the presentation in advance of the shareholder call.
An audio replay of the shareholder 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 Allan Krinsman, the Company’s General Counsel, at (212) 883-4180 or akrinsman@angelogordon.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. 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
securities, 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 most recent
filings with the
AG Mortgage Investment Trust, Inc. and Subsidiaries | |||||||
Consolidated Balance Sheets | |||||||
December 31, 2011 | April 1, 2011 | ||||||
Assets | (Unaudited) | ||||||
Real Estate securities, at fair value | |||||||
Agency - $1,186,149,842 pledged as collateral | $ | 1,263,214,099 | $ | - | |||
Non-Agency - $47,227,005 pledged as collateral | 58,787,051 | - | |||||
CMBS - $2,747,080 pledged as collateral | 13,537,851 | - | |||||
ABS - $4,526,620 pledged as collateral | 4,526,620 | - | |||||
Linked transactions, net, at fair value | 8,787,180 | - | |||||
Cash and cash equivalents | 35,851,249 | 1,000 | |||||
Restricted cash | 3,037,055 | - | |||||
Interest receivable | 4,219,640 | - | |||||
Derivative assets, at fair value | 1,428,595 | - | |||||
Prepaid expenses | 317,950 | - | |||||
Due from broker | 341,491 | ||||||
Due from affiliates | 104,994 | - | |||||
Deferred costs | 52,176 | - | |||||
Total Assets | $ | 1,394,205,951 | $ | 1,000 | |||
Liabilities | |||||||
Repurchase agreements | $ | 1,150,149,407 | $ | - | |||
Payable on unsettled trades | 18,759,200 | - | |||||
Interest payable | 2,275,138 | - | |||||
Derivative liabilities, at fair value | 7,908,308 | - | |||||
Dividend payable | 7,011,171 | - | |||||
Due to affiliates | 770,341 | - | |||||
Accrued expenses | 668,552 | - | |||||
Due to broker | 379,914 | - | |||||
Total Liabilities | 1,187,922,031 | - | |||||
Stockholders' Equity (Deficit) | |||||||
Common stock, par value $0.01 per share; 450,000,000 and 1,000 shares of common stock authorized and 10,009,958 and 100 shares issued and outstanding at December 31, 2011 and April 1, 2011, respectively | 100,100 | 1 | |||||
Additional paid-in capital | 198,228,694 | 999 | |||||
Retained earnings | 7,955,126 | - | |||||
206,283,920 | 1,000 | ||||||
Total Liabilities & Equity | $ | 1,394,205,951 | $ | 1,000 | |||
AG Mortgage Investment Trust, Inc. and Subsidiaries | |||||||||
Consolidated Statements of Operations | |||||||||
(Unaudited) | |||||||||
Period from | |||||||||
Quarter Ended | March 7, 2011 to | ||||||||
December 31, 2011 | December 31, 2011 | ||||||||
Net Interest Income | |||||||||
Interest income | $ | 10,022,275 | $ | 18,748,669 | |||||
Interest expense | 1,106,097 | 1,696,344 | |||||||
8,916,178 | 17,052,325 | ||||||||
Other Income (Loss) | |||||||||
Net realized gain (loss) | (589,747 | ) | 3,701,392 | ||||||
Gain (loss) on linked transactions, net | (1,013,291 | ) | (808,564 | ) | |||||
Realized loss on periodic interest settlements of interest rate swaps, net | (1,175,788 | ) | (2,162,290 | ) | |||||
Unrealized gain (loss) on derivative instruments, net | 70,663 | (6,491,430 | ) | ||||||
Unrealized gain (loss) on real estate securities | 1,346,237 | 11,040,692 | |||||||
(1,361,926 | ) | 5,279,800 | |||||||
Expenses | |||||||||
Management fee to affiliate | 770,341 | 1,512,898 | |||||||
Other operating expenses | 811,372 | 1,566,642 | |||||||
Equity based compensation to affiliate | 97,343 | 176,165 | |||||||
Excise tax | 105,724 | 105,724 | |||||||
1,784,780 | 3,361,429 | ||||||||
Net Income (Loss) | $ | 5,769,472 | $ | 18,970,696 | |||||
Earnings Per Share of Common Stock | |||||||||
Basic | $ | 0.58 | $ | 3.20 | |||||
Diluted | $ | 0.58 | $ | 3.20 | |||||
Weighted Average Number of Shares of Common Stock Outstanding | |||||||||
Basic | 10,009,958 | 5,933,930 | |||||||
Diluted | 10,010,799 | 5,933,930 | |||||||
Dividends Declared per Share of Common Stock | $ | 0.70 | $ | 1.10 |
Non-GAAP Financial Measure
This press release contains Core Earnings, a non-GAAP financial measure. AG Mortgage Investment Trust’s management believes that this non-GAAP measure, when considered with GAAP, provides supplemental information useful in evaluating the results of the Company’s operations. This non-GAAP measure should not be considered a substitute, 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.
Core Earnings are defined by the Company as net income excluding both realized and unrealized gains (losses) on the sale or termination of securities, including underlying linked transactions and derivatives. As defined, Core Earnings include the net interest earned on these transactions, including credit derivatives, linked transactions, 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 quarter and
period ended
Period from | ||||||||
Quarter Ended | March 7, 2011 to | |||||||
December 31, 2011 | December 31, 2011 | |||||||
Net income/loss | $ | 5,769,472 | $ | 18,970,696 | ||||
Add (Deduct): | ||||||||
Net realized gain | 589,747 | (3,701,392 | ) | |||||
Gain/loss on linked transactions, net | 1,013,291 | 808,564 | ||||||
Net interest income on linked transactions | 554,729 | 900,638 | ||||||
Unrealized gain/loss on derivative instruments, net | (70,663 | ) | 6,491,430 | |||||
Unrealized gain/loss on real estate securities | (1,346,237 | ) | (11,040,692 | ) | ||||
Core Earnings | $ | 6,510,339 | $ | 12,429,244 |
Footnotes
(1) Per share figures are calculated using outstanding shares including all shares granted to our Manager and our independent directors under our equity incentive plans as of quarter end.
(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. 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) Calculated by dividing total repurchase agreements, including
(4) The total investment portfolio is calculated by summing the fair market value of our Agency RMBS, Non-Agency RMBS, CMBS and ABS assets, including linked transactions. The percentage of Agency RMBS and credit investments are calculated by dividing the respective fair market value of each, including linked transactions, by the total investment portfolio.
(5) This represents the weighted average monthly CPRs published during the period for our in-place portfolio during the same period.
(6) 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.
(7) Diluted per share figures are calculated using weighted average
outstanding shares in accordance with GAAP. For the period from
(8) The swap ratio was calculated by dividing the notional value of our interest rate swaps by total repurchase agreements, including those included in linked transactions, plus payable on unsettled trades.
(9) The yield on our investment portfolio during the period 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. This calculation excludes cash held by the Company.
(10) The cost of funds was calculated as the sum of the weighted average rate 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 were weighted by the repurchase agreements outstanding at quarter end.
(11) The management fee percentage at quarter end was calculated by annualizing management fees incurred during the quarter and dividing by quarter-ended stockholders’ equity.
(12) The other operating expenses percentage at quarter end was calculated by annualizing other operating expenses recorded during the quarter and dividing by quarter-ended stockholders’ equity.
Source:
For AG Mortgage Investment Trust, Inc.
Allan Krinsman, 212-883-4180
akrinsman@angelogordon.com