AG Mortgage Investment Trust, Inc. Reports Second Quarter 2021 Results
Q2 2021 PERFORMANCE AND HIGHLIGHTS
-
$15.19 Book Value per share and$14.72 Adjusted Book Value per share as ofJune 30, 2021 compared to$14.78 and$14.28 as ofMarch 31, 2021 , respectively(1)(2)-
Increase of approximately 3% from
March 31, 2021 primarily as a result of MTM gains on credit assets - Quarterly economic return of 4.6%(3)
-
Increase of approximately 3% from
-
$2.0 billion Investment Portfolio compared to$1.9 billion as ofMarch 31, 2021 (4)(5)-
Quarterly Non-QM Loan purchases of
$446 million from Arc Home and third parties -
Continued to reallocate capital; Non-QM Loans increased to 37% of our investment portfolio from 19% as of
March 31, 2021
-
Quarterly Non-QM Loan purchases of
-
$1.8 billion of Financing compared to$1.6 billion as ofMarch 31, 2021 (a)-
$1.3 billion of MTM recourse financing and$0.5 billion of non-MTM non-recourse financing compared to$1.2 billion and$0.4 billion , respectively, as ofMarch 31, 2021 (a)
-
-
2.2x Economic Leverage Ratio as of
June 30, 2021 compared with 2.6x as ofMarch 31, 2021 (6)- Reflective of TBA short positions entered into during the quarter and excludes financing related to trade receivables outstanding at quarter end
-
$70.8 million of total liquidity, inclusive of$64.0 million of cash and$6.8 million of unencumbered Agency RMBS, compared to total liquidity of$51.6 million as ofMarch 31, 2021 -
$0.70 and$0.00 of Net Income and Core Earnings per diluted share, respectively(2)-
Compared to
$2.74 and$0.25 per share, respectively, for the first quarter of 2021(2) -
Q2 2021 Core Earnings does not include
$1.4 million of gains recorded by Arc Home in connection with the sale of residential mortgage loans to us
-
Compared to
-
2.7% Net Interest Margin consistent with 2.7% as of
March 31, 2021 (7)
(a) As of
MANAGEMENT REMARKS
"We are pleased with the results we achieved during the quarter as we made significant progress in our transition to a company focused on residential mortgage origination and securitization," said
"During the quarter, we were active in purchasing
Q2 2021 ACTIVITY
Investment and Financing Activity
-
MITT purchased
$446 million of Non-QM Loans, increasing our concentration in this asset class to 37% of our investment portfolio-
Arc Home originated
$376 million of Non-QM Loans during the quarter
-
Arc Home originated
-
Participated in a rated securitization in which
$224 million of Non-QM Loans were securitized, converting financing to non-MTM, non-recourse financing- Forecasted return on equity of 14 - 18% post-securitization
-
Through an unconsolidated joint venture in which we own a 44.6% interest, participated in a rated securitization alongside other
Angelo Gordon funds, in which$171 million of Non-QM Loans were securitized, converting financing to non-MTM, non-recourse financing -
Net proceeds of
$244 million from net sales and purchases of Agency RMBS, Non-Agency RMBS, and CMBS during the quarter-
Sold all remaining CMBS subsequent to quarter end for gross proceeds of
$34 million
-
Sold all remaining CMBS subsequent to quarter end for gross proceeds of
Capital Activity
-
Declared a second quarter common dividend of
$0.21 per share(a) -
Declared and paid
$4.7 million of preferred dividends during the quarter -
Raised
$3.1 million through issuance of 0.2 million shares of common stock through ATM program at an average price of$14.21 per share(a) -
Exchanged 0.2 million of preferred shares for 0.4 million of common shares in a private exchange offer(a)
-
Since Q4 2020, exchanged
$51 million , or 18%, of par value
-
Since Q4 2020, exchanged
-
Completed a 1-for-3 reverse stock split effective
July 22, 2021 (a)
(a) Common share and per share amounts in this release have been adjusted on a retrospective basis to reflect the reverse stock split.
INVESTMENT PORTFOLIO
The following summarizes the Company’s investment portfolio as of
($ in millions) |
|
Fair Value |
|
Percent of Fair
|
|
Allocated
|
|
Percent of Equity |
Residential Investments(a) |
|
|
|
59.6% |
|
|
|
67.2% |
Commercial Investments |
|
93.9 |
|
4.8% |
|
53.3 |
|
11.4% |
Agency RMBS(a) |
|
699.6 |
|
35.6% |
|
99.5 |
|
21.4% |
Total |
|
|
|
100.0% |
|
|
|
100.0% |
(a) As of
Investment Portfolio Highlights
- Continued to focus on growing our portfolio of Residential Investments
- Participated in two rated Non-QM securitizations
-
Increased level of Non-QM purchases from both third-party originators as well as Arc Home, purchasing
$446 million of Non-QM Loans -
Sold Agency RMBS, Non-Agency RMBS, and CMBS for aggregate net proceeds of
$244 million to continue reallocating capital to our Non-QM portfolio - Ample liquidity for reinvestment
COMMERCIAL INVESTMENTS ACTIVITY
Commercial Portfolio Update
-
Fully exited our CMBS portfolio in
July 2021 -
Sold Freddie Mac K-Series positions for total proceeds of
$16.8 million -
Subsequent to quarter end, sold the remaining Single-Asset/Single-Borrower portfolio for proceeds of
$33.7 million
-
Sold Freddie Mac K-Series positions for total proceeds of
- After exiting our CMBS portfolio our remaining exposure to commercial assets is limited to two commercial loans, Commercial Loan K and Commercial Loan L (~3% of our total investment portfolio)
Commercial Real Estate Portfolio Update
-
Commercial Loan K is a construction loan related to a recently completed and fully open hotel. The borrower is currently in maturity default given the initial maturity was in
May 2021 and MITT, alongside the broader consortium of lenders, is working with the sponsor on a productive resolution near term. There is no guarantee that such resolution will occur within the timeframe anticipated or at all. -
Commercial Loan L was modified in
September 2020 providing a 12-month interest deferral period. Deferred interest will become due in Q3 and operating metrics have continued to improve during 2021.
NON-QM LOAN SNAPSHOT
-
Since
January 2021 , directly acquired$654.7 million of Non-QM Loans, of which$256.7 million were acquired from Arc Home-
$224 million financed with non-MTM, non-recourse debt through a recent securitization - Expect to continue programmatic securitizations
- Forecasted return on equity of 14 - 18% post-securitization
-
Increased maximum uncommitted borrowing capacity in
July 2021 to$1.1 billion to finance the acquisition of Non-QM Loans
-
-
Securitized
$171 million of Non-QM Loans invested alongside otherAngelo Gordon funds within an unconsolidated joint venture(a)- Remaining assets held within this entity are primarily retained interests from prior securitizations
- The entity maintains call rights related to securitizations
(a) MITT's ownership of this equity method investees is approximately 44.6%.
RE/NON-PERFORMING LOAN SNAPSHOT
The below provides a summary of our Re/Non-Performing Loan portfolio:
-
The collateral performance relatively stable over last 12 months, with approximately 76% of the portfolio re-performing and approximately 24% non-performing (greater than 60 days past due)
- 22% of non-performing loans are making payments
- The portfolio is currently prepaying at approximately 12% on average with CPRs steadily increasing from a COVID low of 4%
-
We have liquidated 32% of the portfolio since
June 2020 through re-performing loan sales and continued asset management focus- 61% due to opportunistic loan sales; 27% due to full principle pay-offs; 12% through default activities
-
Provided COVID related assistance to 27% of borrowers
- 60% are contractually current; 15% are making payments based on loss mitigation plans
ARC HOME UPDATE
-
Arc Home(9) continued expanding its Non-QM footprint
-
Non-QM originations grew to
$376.2 million in Q2 2021, as compared to$187.9 million in Q1 2021 - Non-QM represented 34.2% of Arc Home's funded product mix in Q2 2021, as compared to 15.6% in Q1 2021
-
Non-QM originations grew to
-
Arc Home generated pre-tax net losses of
$(3.7) million in the second quarter-
Resulted in losses of
$(2.7) million for MITT, which does not include$1.4 million of gains recognized by Arc Home in connection with the sale of residential mortgage loans to us - Loss driven by MTM losses on Arc Home’s MSR portfolio, net of MSR hedge gains
- Able to partially mitigate gain on sale margin compression with quarter over quarter growth in Non-QM originations
-
Resulted in losses of
- The table below provides a summary of Arc Home's comparative performance:
|
2020 FY |
|
Q4 2020 |
|
Q1 2021 |
|
Q2 2021 |
||||
Origination Volume |
|
|
|
|
|
|
|
||||
|
|
|
|
|
|
|
|
|
|
|
|
Funding Dollars $B |
|
|
|
|
|
|
|
|
|
|
|
Funding by Channel(b) |
|
|
|
|
|
|
|||||
Wholesale |
36.0 |
% |
|
38.7 |
% |
|
50.2 |
% |
|
61.9 |
% |
Correspondent |
32.0 |
% |
|
34.3 |
% |
|
25.1 |
% |
|
24.2 |
% |
Retail/Direct |
32.0 |
% |
|
27.0 |
% |
|
24.7 |
% |
|
13.9 |
% |
Funding by Product(b) |
|
|
|
|
|
|
|||||
Conventional |
79.8 |
% |
|
78.6 |
% |
|
73.7 |
% |
|
56.2 |
% |
Non-QM |
4.1 |
% |
|
6.5 |
% |
|
15.6 |
% |
|
34.2 |
% |
Government |
15.4 |
% |
|
13.9 |
% |
|
7.9 |
% |
|
8.3 |
% |
Jumbo |
0.7 |
% |
|
1.0 |
% |
|
2.8 |
% |
|
1.3 |
% |
Gain on Sale Margin |
310bps |
|
353bps |
|
255bps |
|
181bps |
(a) Represents loans yet to be funded whereby the borrower has entered into an interest rate lock agreement
(b) Represents the weighted average calculated based on quarterly funding dollars
MITT KEY STATISTICS
($ in millions, except per share data) |
|
|
||
Investment portfolio(4) |
|
$ |
1,966.3 |
|
Financing arrangements(5) |
|
1,267.6 |
|
|
Total Economic Leverage(6) |
|
1,007.5 |
|
|
Stockholders’ equity |
|
465.9 |
|
|
GAAP Leverage Ratio |
|
3.4x |
||
Economic Leverage Ratio(6) |
|
2.2x |
||
Book value, per share(1)(2) |
|
$ |
15.19 |
|
Adjusted Book value, per share(1)(2) |
|
$ |
14.72 |
|
Dividend, per share(1) |
|
$ |
0.21 |
|
Duration gap (in years)(10) |
|
0.46 |
|
The below table provides a summary of our quarter to date activity impacting book value as well as a reconciliation to adjusted book value. Adjusted book value is calculated by reducing stockholders' equity by the liquidation preference of our preferred stock.
($ in thousands, except per share data) |
|
Amount |
|
Per Diluted Share(2) |
||||||||
|
|
$ |
229,008 |
|
|
|
$ |
14.78 |
|
|
||
Common dividend |
|
(3,394 |
) |
|
|
(0.21 |
) |
|||||
Core earnings |
|
30 |
|
|
|
— |
|
|
||||
Net proceeds from issuance of common stock and preferred share exchange offers(a) |
|
8,988 |
|
|
|
— |
|
|
||||
Net realized and unrealized gain/(loss) included within equity in earnings/(loss) from affiliates |
|
(1,261 |
) |
|
|
(0.09 |
) |
|
||||
Net realized gain/(loss) |
|
4,374 |
|
|
|
0.26 |
|
|
||||
Net unrealized gain/(loss) |
|
9,685 |
|
|
|
0.58 |
|
|
||||
Transaction related expenses and deal related performance fees |
|
(2,024 |
) |
|
|
(0.14 |
) |
|
||||
|
|
$ |
245,406 |
|
|
|
$ |
15.19 |
|
|
||
Change in Book Value |
|
16,398 |
|
|
|
0.41 |
|
|
||||
|
|
|
|
|
||||||||
|
|
$ |
245,406 |
|
|
|
$ |
15.19 |
|
|
||
Net proceeds less liquidation preference of preferred stock |
|
(7,519 |
) |
|
|
(0.47 |
) |
|||||
|
|
$ |
237,887 |
|
|
|
$ |
14.72 |
|
|
(a) This balance primarily relates to the impact on book value as a result of the preferred stock exchange and usage of the ATM program that occurred during the quarter.
DIVIDEND
The Company announced today,
In accordance with the terms of its 8.25% Series A Cumulative Redeemable Preferred Stock (the "Series A Preferred Stock"), the Board declared a quarterly cash dividend of
In accordance with the terms of its 8.00% Series B Cumulative Redeemable Preferred Stock (the "Series B Preferred Stock"), the Board declared a quarterly cash dividend of
In accordance with the terms of its 8.000% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock (the "Series C Preferred Stock"), the Board declared a quarterly cash dividend of
The above dividends for the Series A Preferred Stock, the Series B Preferred Stock, and the Series C Preferred Stock are payable on
On
On
STOCKHOLDER CALL
The Company invites stockholders, prospective stockholders, and analysts to participate in MITT’s second 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 Q2 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, adjusted 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 ability to exit legacy commercial assets on the terms and within the timeframe anticipated; our levels of leverage, including our levels of non-recourse financing; changes in our business and investment strategy; our ability to continue to increase our adjusted book value; 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; our distribution policy; Arc Home’s performance, including its ability to increase its product offerings; our ability to execute securitizations; our ability to achieve our forecasted returns on equity post-securitization; 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
All per share amounts and common shares outstanding in this presentation have been adjusted on a retroactive basis to reflect the Company's 1-for-3 reverse stock split which became effective on
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 |
|
|
|
||||||
Residential mortgage loans, at fair value - |
$ |
1,029,244 |
|
|
$ |
435,441 |
|
||
Real estate securities, at fair value: |
|
|
|
||||||
Agency - |
696,704 |
|
|
518,352 |
|
||||
Non-Agency - |
3,878 |
|
|
38,406 |
|
||||
CMBS - |
31,614 |
|
|
56,788 |
|
||||
Commercial loans, at fair value |
62,279 |
|
|
111,549 |
|
||||
Commercial loans held for sale, at fair value |
— |
|
|
13,959 |
|
||||
Investments in debt and equity of affiliates |
135,868 |
|
|
150,667 |
|
||||
Excess mortgage servicing rights, at fair value |
2,608 |
|
|
3,158 |
|
||||
Cash and cash equivalents |
64,007 |
|
|
47,926 |
|
||||
Restricted cash |
23,708 |
|
|
14,392 |
|
||||
Receivable on unsettled trades - |
106,247 |
|
|
— |
|
||||
Other assets |
12,133 |
|
|
9,407 |
|
||||
Total Assets |
$ |
2,168,290 |
|
|
$ |
1,400,045 |
|
||
|
|
|
|
||||||
Liabilities |
|
|
|
||||||
Financing arrangements |
$ |
1,207,468 |
|
|
$ |
564,047 |
|
||
Securitized debt, at fair value |
482,533 |
|
|
355,159 |
|
||||
Payable on unsettled trades |
— |
|
|
51,136 |
|
||||
Dividend payable |
3,394 |
|
|
1,243 |
|
||||
Other liabilities |
9,018 |
|
|
18,755 |
|
||||
Total Liabilities |
1,702,413 |
|
|
990,340 |
|
||||
Commitments and Contingencies |
|
|
|
||||||
Stockholders’ Equity |
|
|
|
||||||
Preferred stock - |
220,472 |
|
|
238,478 |
|
||||
Common stock, par value |
162 |
|
|
138 |
|
||||
Additional paid-in capital (a) |
719,940 |
|
|
689,147 |
|
||||
Retained earnings/(deficit) |
(474,697 |
) |
|
(518,058 |
) |
||||
Total Stockholders’ Equity |
465,877 |
|
|
409,705 |
|
||||
|
|
|
|
||||||
Total Liabilities & Stockholders’ Equity |
$ |
2,168,290 |
|
|
$ |
1,400,045 |
|
(a) Amounts have been adjusted to reflect the one-for-three reverse stock split effected
|
|||||||
Consolidated Statements of Operations (Unaudited) |
|||||||
(in thousands, except per share data) |
|||||||
|
|
||||||
|
Three Months Ended |
||||||
|
|
|
|
||||
Net Interest Income |
|
|
|
||||
Interest income |
$ |
14,228 |
|
|
$ |
13,369 |
|
Interest expense |
5,294 |
|
|
8,613 |
|
||
Total Net Interest Income |
8,934 |
|
|
4,756 |
|
||
|
|
|
|
||||
Other Income/(Loss) |
|
|
|
||||
Net realized gain/(loss) |
4,374 |
|
|
(91,609 |
) |
||
Net interest component of interest rate swaps |
(1,573 |
) |
|
— |
|
||
Unrealized gain/(loss), net |
9,685 |
|
|
100,179 |
|
||
Other income/(loss), net |
— |
|
|
(155 |
) |
||
Total Other Income/(Loss) |
12,486 |
|
|
8,415 |
|
||
|
|
|
|
||||
Expenses |
|
|
|
||||
Management fee to affiliate |
1,667 |
|
|
1,678 |
|
||
Other operating expenses |
4,866 |
|
|
4,557 |
|
||
Restructuring related expenses |
— |
|
|
7,104 |
|
||
Servicing fees |
672 |
|
|
566 |
|
||
Total Expenses |
7,205 |
|
|
13,905 |
|
||
|
|
|
|
||||
Income/(loss) before equity in earnings/(loss) from affiliates |
14,215 |
|
|
(734 |
) |
||
|
|
|
|
||||
Equity in earnings/(loss) from affiliates |
1,278 |
|
|
3,434 |
|
||
Net Income/(Loss) from Continuing Operations |
15,493 |
|
|
2,700 |
|
||
Net Income/(Loss) from Discontinued Operations |
— |
|
|
361 |
|
||
Net Income/(Loss) |
15,493 |
|
|
3,061 |
|
||
|
|
|
|
||||
Gain on Exchange Offers, net |
114 |
|
|
— |
|
||
Dividends on preferred stock (a) |
(4,689 |
) |
|
(5,667 |
) |
||
|
|
|
|
||||
Net Income/(Loss) Available to Common Stockholders |
$ |
10,918 |
|
|
$ |
(2,606 |
) |
|
|
|
|
||||
Earnings/(Loss) Per Share - Basic (b) |
|
|
|
||||
Continuing Operations |
$ |
0.70 |
|
|
$ |
(0.27 |
) |
Discontinued Operations |
— |
|
|
0.03 |
|
||
Total Earnings/(Loss) Per Share of Common Stock (b) |
$ |
0.70 |
|
|
$ |
(0.24 |
) |
|
|
|
|
||||
Earnings/(Loss) Per Share - Diluted (b) |
|
|
|
||||
Continuing Operations |
$ |
0.70 |
|
|
$ |
(0.27 |
) |
Discontinued Operations |
— |
|
|
0.03 |
|
||
Total Earnings/(Loss) Per Share of Common Stock (b) |
$ |
0.70 |
|
|
$ |
(0.24 |
) |
|
|
|
|
||||
Weighted Average Number of Shares of Common Stock Outstanding (b) |
|
|
|
||||
Basic |
15,589 |
|
|
10,947 |
|
||
Diluted |
15,589 |
|
|
10,947 |
|
(a) The three months ended
(b) Amounts have been adjusted to reflect the one-for-three reverse stock split effected
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 |
$ |
10,918 |
|
|
$ |
(2,606 |
) |
Add (Deduct): |
|
|
|
||||
Net realized (gain)/loss |
(4,374 |
) |
|
91,609 |
|
||
Unrealized (gain)/loss, net |
(9,685 |
) |
|
(100,179 |
) |
||
Transaction related expenses and deal related performance fees |
2,024 |
|
|
572 |
|
||
Equity in (earnings)/loss from affiliates |
(1,278 |
) |
|
(3,434 |
) |
||
Net interest income and expenses from equity method investments(a)(b) |
2,539 |
|
|
11,233 |
|
||
Net (income)/loss from discontinued operations |
— |
|
|
(361 |
) |
||
Other (income)/loss, net |
— |
|
|
156 |
|
||
(Gains) from Exchange Offer, net |
(114 |
) |
|
— |
|
||
Core Earnings |
$ |
30 |
|
|
$ |
(3,010 |
) |
|
|
|
|
||||
Core Earnings, per Diluted Share(c) |
$ |
0.00 |
|
|
$ |
(0.28 |
) |
(a) For the three months ended
(b) Core income or loss recognized by AG Arc excludes our portion of gains recorded by Arc Home in connection with the sale of residential mortgage loans to us. For the three months ended
(c) All per share amounts for all periods presented have been adjusted to reflect the one-for-three reverse stock split.
Footnotes
(1) As of
(2) Diluted per share figures are calculated using diluted weighted average outstanding shares in accordance with GAAP.
(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, Commercial Investments, Agency RMBS, 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) Net interest margin is calculated by subtracting the weighted average cost of funds from the weighted average yield for our investment portfolio, which excludes cash held. Net interest margin also excludes any net TBA position.
(8) 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.
(9) We invest in
(10) 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/20210730005151/en/
Investor Relations
(212) 692-2110
ir@agmit.com
Source: