AG Mortgage Investment Trust, Inc. Reports Fourth Quarter and Full Year 2017 Results
FOURTH QUARTER AND FULL YEAR 2017 FINANCIAL HIGHLIGHTS
-
Fourth Quarter 2017:
$0.74 of Net Income/(Loss) per diluted common share(1)$0.50 of Core Earnings per diluted common share(1)- Includes de minimus retrospective adjustment
-
Includes
$0.02 of dollar roll income associated with our net TBA position
- 3.9% economic return on equity for the quarter, 15.6% annualized(4)
$19.62 book value per share(1) as ofDecember 31, 2017 , inclusive of our current quarter$0.475 common dividend-
Book value increased
$0.27 or 1.4% from last quarter, inclusive of:$0.30 or 1.6% due to our Credit Investments- Strong demand and stable fundamentals drove spreads for most mortgage-backed credit sectors tighter
$(0.05) or (0.3)% due to our investments in Agency RMBS and associated derivative hedges- Agency basis tightening was offset by an increase in interest rates
$0.02 or 0.1% due to core earnings above the$0.475 dividend
-
Book value increased
-
Full Year 2017:
$3.77 of Net Income/(Loss)per diluted common share(1)$1.90 of Core Earningsper diluted common share(1)-
Includes
$(0.02) retrospective adjustment -
Includes
$0.11 of dollar roll income associated with our net TBA position
-
Includes
$2.00 dividend per common share(1)-
Includes
$0.10 special cash dividend
-
Includes
- 21.1% economic return on equity for the year(4)
-
Issued 460,932 shares of common stock for net proceeds of
approximately
$8.7 mm through ATM Program
Q3 2017 | Q4 2017 | FY 2017 | |||||||||||
Summary of Operating Results: | |||||||||||||
GAAP Net Income/(Loss) Available to Common Stockholders | $ | 32.6mm | $ | 20.9mm | $ | 105.1mm | |||||||
GAAP Net Income/(Loss) Available to Common Stockholders, per diluted common share (1) | $ | 1.17 | $ | 0.74 | $ | 3.77 | |||||||
Non-GAAP-Results: | |||||||||||||
Core Earnings* | $ | 14.3mm | $ | 14.2mm | $ | 52.9mm | |||||||
Core Earnings, per diluted common share (1) | $ | 0.51 | $ | 0.50 | $ | 1.90 |
* For a reconciliation of GAAP Income to Core Earnings, refer to the Reconciliation of Core Earnings at the end of this press release. |
MANAGEMENT REMARKS
“We are very pleased with MITT’s performance during 2017, producing core
earnings in-line with our regular common dividend and generating an
economic return on equity for the year of 21%,” said Chief Executive
Officer
“During the fourth quarter, spreads for most mortgage-backed credit sectors were modestly tighter and agency spreads remained stable despite nominal interest rates rising, resulting in an increase in MITT’s book value,” said Chief Investment Officer, TJ Durkin. “We saw opportunities to deploy capital into both Agency RMBS and Credit Investments during the quarter, and MITT continues to leverage the Angelo, Gordon platform to source residential assets. Additionally, we remain focused on growing Arc Home, our mortgage origination affiliate going forward.”
INVESTMENT HIGHLIGHTS
$3.8 billion investment portfolio as ofDecember 31, 2017 as compared to the$3.5 billion investment portfolio as ofSeptember 30, 2017 (2)(3)-
Net purchased
$249.9 million of Agency and TBA securities, inclusive of unsettled trades, coupled with net purchases of$94.1 million of Credit Investments
-
Net purchased
-
2.38% Net Interest Margin (“NIM”) as of
December 31, 2017 (7)- Increase in cost of funds primarily due to an increase of 25 bps in the federal funds rate in December
-
4.4x “At Risk” Leverage as of
December 31, 2017 (6)- Increase in leverage primarily due to the addition of Agency RMBS
- 7.8% constant prepayment rate (“CPR”) on the Agency RMBS investment portfolio for the fourth quarter(5)
-
Duration gap was approximately 1.15 years as of
December 31, 2017 (15)
FOURTH QUARTER ACTIVITY
($ in millions) | |||||||||||||
Description |
Net |
Net Repo |
Net Equity |
||||||||||
30-Year Fixed Rate | $ | 228.0 | $ | (169.7) | $ | 58.3 | |||||||
Inverse Interest Only | 28.7 | (13.8) | 14.9 | ||||||||||
Interest Only and Excess MSRs | 9.6 | (7.8) | 1.8 | ||||||||||
Total Agency RMBS | 266.3 | (191.3) | 75.0 | ||||||||||
Prime | 16.7 | (8.7) | 8.0 | ||||||||||
Alt-A | 6.7 | (5.2) | 1.5 | ||||||||||
Subprime | (29.5) | 24.6 | (4.9) | ||||||||||
Credit Risk Transfer | 28.5 | (22.5) | 6.0 | ||||||||||
RPL/NPL | 25.3 | (22.6) | 2.7 | ||||||||||
Residential Whole Loans | 44.5 | (31.3) | 13.2 | ||||||||||
Total Residential Investments | 92.2 | (65.7) | 26.5 | ||||||||||
CMBS | 9.4 | (2.7) | 6.7 | ||||||||||
Freddie Mac K-Series CMBS | 3.8 | - | 3.8 | ||||||||||
CMBS Interest Only | 1.6 | (0.3) | 1.3 | ||||||||||
Total Commercial Investments | 14.8 | (3.0) | 11.8 | ||||||||||
Total ABS | (12.8) | 5.8 | (7.0) | ||||||||||
Total Q4 Activity Prior to TBA | 360.5 | (254.2) | 106.3 | ||||||||||
Fixed Rate 30 Year TBA | (18.7) | N/A | (0.6)** | ||||||||||
Total Q4 Activity including TBA | $ | 341.8 | N/A | $ | 105.7 |
*Timing and size of repo added may differ from that of repo removed. Excludes repo on prior period purchases. |
**Net equity on TBA represents initial margin on TBA purchases. |
Note: The chart above includes settled purchases, sales and full payoffs on investments, and the associated repo added or removed within the quarter. |
- Net equity invested was primarily sourced from principal paydowns and leverage added on previously unlevered securities
-
Deployed net equity of
$105.7 million during the quarter- Increased our sector allocation to Agency RMBS on a hedged basis during the quarter
- Purchased a pool of primarily NPL mortgage loans alongside another Angelo, Gordon fund
- Purchased a portfolio of prime jumbo credit subordinate bonds issued post-crisis
- Refinanced a credit card ABS bridge securitization
KEY STATISTICS |
||||||
($ in millions) | ||||||
December 31, 2017 | ||||||
Investment portfolio(2)(3) | $ | 3,782.3 | ||||
Repurchase agreements(3) | 3,011.6 | |||||
Total Financing(6) | 3,133.0 | |||||
Stockholders' equity | 714.3 | |||||
GAAP Leverage | 4.2x | |||||
"At Risk" Leverage(6) | 4.4x | |||||
Yield on investment portfolio(8) | 4.64% | |||||
Cost of funds(9) | 2.26% | |||||
Net interest margin(7) | 2.38% | |||||
Management fees(10) | 1.38% | |||||
Other operating expenses(11) | 1.52% | |||||
Book value, per share(1) | $ | 19.62 | ||||
Undistributed taxable income, per common share(1)(12) | 1.54 | |||||
Dividend, per share(1) | 0.475 | |||||
INVESTMENT PORTFOLIO
The following summarizes the Company’s investment portfolio as of
($ in millions) | |||||||||||||||||||||||||
Amortized |
Fair Value |
Allocated |
WA Yield(8) |
Funding |
Net |
Leverage |
|||||||||||||||||||
Agency RMBS: | $ | 2,354.8 | $ | 2,354.9 | $ | 280.3 | 3.3% | 1.6% | 1.7% | 7.5x | |||||||||||||||
Residential Investments*** | 969.8 | 1,034.8 | 245.9 | 6.2% | 2.8% | 3.4% | 3.3x | ||||||||||||||||||
Commercial Investments*** | 345.2 | 351.6 | 170.0 | 8.3% | 2.9% | 5.4% | 1.1x | ||||||||||||||||||
ABS | 40.2 | 41.0 | 18.1 | 8.3% | 2.9% | 5.4% | 1.3x | ||||||||||||||||||
Total | $ | 3,710.0 | $ | 3,782.3 | $ | 714.3 | 4.6% | 2.3% | 2.3% | 4.4x |
*Total funding cost and NIM includes cost of interest rate hedges. |
**Total leverage ratio includes any net receivables on TBA and the leverage ratio by type is calculated based on allocated equity. |
***Includes fair value of $11.4 mm of Residential Investments and $73.9 mm of Commercial Investments that are included in the “Investments in debt and equity of affiliates” line item on our consolidated balance sheet. |
Premiums and discounts associated with purchases of the Company's
securities are amortized or accreted into interest income over the
estimated life of such securities, using the effective yield method. The
Company recorded a de minimus retrospective adjustment due to the change
in projected cash flows on its Agency RMBS, excluding interest-only
securities and TBAs. Since the cost basis of the Company's Agency RMBS
securities, excluding interest-only securities and TBAs, exceeds the
underlying principal balance by 3.9% as of
FINANCING AND HEDGING ACTIVITIES
The Company, either directly or through its equity method investments in
affiliates, had master repurchase agreements with 39 counterparties,
under which it had debt outstanding with 27 counterparties as of
($ in millions) | |||||||||||||||||
Agency | Credit | ||||||||||||||||
Repurchase Agreements Maturing Within:* |
Amount |
WA Funding Cost |
Amount |
WA Funding Cost | |||||||||||||
Overnight | $ | 128.8 | 1.8% | $ | - | - | |||||||||||
30 Days or Less | 1,398.4 | 1.6% | 708.0 | 2.7% | |||||||||||||
31-60 Days | 477.9 | 1.5% | 133.8 | 2.7% | |||||||||||||
61-90 Days | - | - | 32.5 | 3.0% | |||||||||||||
91-180 Days | - | - | 1.2 | 3.2% | |||||||||||||
Greater than 180 Days | - | - | 131.0 | 3.2% | |||||||||||||
Total / Weighted Average | $ | 2,005.1 | 1.6% | $ | 1,006.5 | 2.8% |
*Numbers in table above do not include securitized debt of $16.5 million. | |
Note: Our weighted average days to maturity is 43 days and our weighted average original days to maturity is 118 days. |
|
The Company’s hedge portfolio as of
($ in millions) |
||||||||
Notional | Duration | |||||||
Interest Rate Swaps | $ | (2,227.0) | (2.41) | |||||
Swaptions | (270.0) | (0.04) | ||||||
U.S. Treasuries, net | (24.7) | (0.04) | ||||||
Treasury Futures, net | (52.5) | (0.10) | ||||||
Total | $ | (2,574.2) | (2.59) | |||||
The Company’s interest rate swaps as of
($ in millions) |
||||||||||||||
Maturity |
Notional Amount |
Weighted Average |
Weighted |
Weighted |
||||||||||
2019 | $ | 170.0 | 1.36% | 1.43% | 1.88 | |||||||||
2020 | 835.0 | 1.77% | 1.52% | 2.54 | ||||||||||
2022 | 653.0 | 1.90% | 1.51% | 4.59 | ||||||||||
2024 | 230.0 | 2.06% | 1.47% | 6.50 | ||||||||||
2026 | 75.0 | 2.12% | 1.44% | 8.89 | ||||||||||
2027 | 264.0 | 2.35% | 1.50% | 9.69 | ||||||||||
Total/Wtd Avg | $ | 2,227.0 | 1.89% | 1.50% | 4.56 |
* 100% of our receive variable interest rate swap notional amount resets quarterly based on three-month LIBOR. |
ARC HOME UPDATE
-
In its first fiscal year of mortgage origination, Arc Home originated
$1.1 billion of government and agency loans through its four channels of retail, direct, correspondent and wholesale, retaining the originated MSR on its balance sheet -
Arc Home produced positive net income available to its common
shareholders of
$1.2 million in 2017 -
In 2017, Arc Home, in conjunction with MITT and other Angelo, Gordon
funds, purchased
~$2.4 billion notional ofFannie Mae ,Freddie Mac , and Ginnie Mae MSR from third parties - In Q4 of 2017, Arc Home launched its Non-QM origination program
As of December 31, 2017 | ||||
Employees* | 101 | |||
State Licenses | 46 | |||
MSR UPB | $5.6 billion | |||
Correspondent Relationships | 65 | |||
Wholesale Relationships | 123 |
*Includes 18 commission based Retail Loan Officers |
Note: MITT owns approximately 45% of the common equity of Arc Home alongside other Angelo, Gordon funds. |
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 sold investments and certain
terminated derivatives and (v) taxes. As of
DIVIDEND
On
On
STOCKHOLDER CALL
The Company invites stockholders, prospective stockholders and analysts
to participate in 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 2017 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
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, our
strategy related to our investments and portfolio, investment returns,
return on equity, liquidity and financing, taxes, our assets, our
interest rate sensitivity, and our views on certain macroeconomic
trends, among others. 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, 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) | |||||||||
December 31, 2017 | December 31, 2016 | ||||||||
Assets | |||||||||
Real estate securities, at fair value: | |||||||||
Agency - $2,126,135,420 and $972,232,174 pledged as collateral, respectively | $ | 2,247,161,035 | $ | 1,057,663,726 | |||||
Non-Agency - $976,071,673 and $990,985,143 pledged as collateral, respectively | 1,004,255,658 | 1,043,017,308 | |||||||
ABS - $30,832,553 and $21,231,956 pledged as collateral, respectively | 40,957,553 | 21,231,956 | |||||||
CMBS - $211,179,945 and $201,464,058 pledged as collateral, respectively | 220,168,505 | 211,652,660 | |||||||
Residential mortgage loans, at fair value -$15,860,583 and $31,031,107 pledged as collateral, respectively | 18,889,693 | 38,195,576 | |||||||
Commercial loans, at fair value - $32,800,000 pledged as collateral | 57,520,646 | 60,068,800 | |||||||
Investments in debt and equity of affiliates | 99,696,347 | 72,215,919 | |||||||
Excess mortgage servicing rights, at fair value | 5,083,514 | 412,648 | |||||||
Cash and cash equivalents | 15,199,655 | 52,469,891 | |||||||
Restricted cash | 37,615,281 | 26,583,527 | |||||||
Interest receivable | 12,607,386 | 8,570,383 | |||||||
Receivable on unsettled trades - $0 and $3,057,814 pledged as collateral, respectively | - | 3,633,161 | |||||||
Receivable under reverse repurchase agreements | 24,671,320 | 22,680,000 | |||||||
Derivative assets, at fair value | 2,127,070 | 3,703,366 | |||||||
Other assets | 2,491,201 | 5,600,341 | |||||||
Due from broker | 850,514 | 945,304 | |||||||
Total Assets | $ | 3,789,295,378 | $ | 2,628,644,566 | |||||
Liabilities | |||||||||
Repurchase agreements | $ | 3,004,407,018 | $ | 1,900,509,806 | |||||
Securitized debt | 16,477,801 | 21,491,710 | |||||||
Loan participation payable | - | 1,800,000 | |||||||
Obligation to return securities borrowed under reverse repurchase agreements, at fair value | 24,379,356 | 22,365,000 | |||||||
Payable on unsettled trades | 2,418,710 | - | |||||||
Interest payable | 5,225,940 | 2,570,854 | |||||||
Derivative liabilities, at fair value | 450,208 | 2,907,255 | |||||||
Dividend payable | 13,391,457 | 13,157,573 | |||||||
Due to affiliates | 4,258,074 | 3,967,622 | |||||||
Accrued expenses | 790,271 | 1,068,779 | |||||||
Taxes payable | 1,545,448 | 1,717,883 | |||||||
Due to broker | 1,691,888 | 1,211,694 | |||||||
Total Liabilities | 3,075,036,171 | 1,972,768,176 | |||||||
Commitments and Contingencies | |||||||||
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 28,192,541 and 27,700,154 shares issued and outstanding at December 31, 2017 and December 31, 2016, respectively | 281,927 | 277,002 | |||||||
Additional paid-in capital | 585,530,292 | 576,276,322 | |||||||
Retained earnings/(deficit) | (32,767,017) | (81,890,939) | |||||||
Total Stockholders' Equity | 714,259,207 | 655,876,390 | |||||||
Total Liabilities & Stockholders' Equity | $ | 3,789,295,378 | $ | 2,628,644,566 | |||||
AG Mortgage Investment Trust, Inc. and Subsidiaries | |||||||||||||
Consolidated Statements of Operations | |||||||||||||
(Unaudited) | |||||||||||||
Three Months Ended | Three Months Ended | Year Ended | |||||||||||
December 31, 2017 | December 31, 2016 | December 31, 2017 | |||||||||||
Net Interest Income | |||||||||||||
Interest income | $ | 36,071,945 | $ | 31,535,524 | $ | 128,844,959 | |||||||
Interest expense | 13,399,984 | 8,302,370 | 43,722,014 | ||||||||||
22,671,961 | 23,233,154 | 85,122,945 | |||||||||||
Other Income | |||||||||||||
Net realized gain/(loss) | (1,459,014) | (1,665,863) | (13,986,292) | ||||||||||
Realized loss on periodic interest settlements of derivative instruments, net | (2,147,981) | (990,073) | (7,762,952) | ||||||||||
Unrealized gain/(loss) on real estate securities and loans, net | (7,661,091) | (30,587,677) | 45,528,834 | ||||||||||
Unrealized gain/(loss) on derivative and other instruments, net | 15,589,346 | 13,405,453 | 19,813,356 | ||||||||||
Other income | 21,240 | 5,171 | 55,447 | ||||||||||
4,342,500 | (19,832,989) | 43,648,393 | |||||||||||
Expenses | |||||||||||||
Management fee to affiliate | 2,461,414 | 2,487,115 | 9,835,093 | ||||||||||
Other operating expenses | 2,718,084 | 1,708,787 | 10,965,144 | ||||||||||
Servicing fees | 49,271 | 44,979 | 234,264 | ||||||||||
Equity based compensation to affiliate | 74,811 | 80,664 | 300,688 | ||||||||||
Excise tax | 375,000 | 525,000 | 1,500,000 | ||||||||||
5,678,580 | 4,846,545 | 22,835,189 | |||||||||||
Income/(loss) before equity in earnings/(loss) from affiliates | 21,335,881 | (1,446,380) | 105,936,149 | ||||||||||
Equity in earnings/(loss) from affiliates | 2,921,499 | 364,472 | 12,621,461 | ||||||||||
Net Income/(Loss) | 24,257,380 | (1,081,908) | 118,557,610 | ||||||||||
Dividends on preferred stock | 3,367,354 | 3,367,354 | 13,469,416 | ||||||||||
Net Income/(Loss) Available to Common Stockholders | $ | 20,890,026 | $ | (4,449,262) | $ | 105,088,194 | |||||||
Earnings/(Loss) Per Share of Common Stock | |||||||||||||
Basic | $ | 0.74 | $ | (0.16) | $ | 3.77 | |||||||
Diluted | $ | 0.74 | $ | (0.16) | $ | 3.77 | |||||||
Weighted Average Number of Shares of Common Stock Outstanding | |||||||||||||
Basic | 28,192,541 | 27,700,154 | 27,866,299 | ||||||||||
Diluted |
28,210,779 |
27,700,154 | 27,883,121 | ||||||||||
NON-GAAP FINANCIAL MEASURE
This press release contains Core Earnings, a non-GAAP financial measure. Our management believes that this non-GAAP measure, when considered with our GAAP financials, provides supplemental information useful for investors in evaluating our results of operations. 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 both unrealized and realized gains/(losses) on the sale or termination of securities and the related tax expense/benefit or disposition expense, if any, on such sale or termination including (i) investments held in affiliated entities and (ii) derivatives. As defined, Core Earnings include the net interest and other income earned on our investments on a yield adjusted basis, including credit derivatives, investments in debt and equity of affiliates, inverse Agency Interest-Only securities, interest rate derivatives, TBA drop income or any other investment activity that may earn or pay net interest or its economic equivalent. One of our objectives is to generate net income from net interest margin on the portfolio, and management uses Core Earnings to measure this objective. Management believes that this non-GAAP measure, when considered with our GAAP financials, provides supplemental information useful for investors in evaluating our results of operations. This metric, in conjunction with related GAAP measures, provides greater transparency into the information used by our management in its financial and operational decision-making.
A reconciliation of Net Income/(loss) available to common stockholders
to Core Earnings for the three months ended
($ in thousands) | |||||||||||||
Three Months Ended | Three Months Ended | Year Ended | |||||||||||
December 31, 2017 | December 31, 2016 | December 31, 2017 | |||||||||||
Net Income/(loss) available to common stockholders | $ | 20,890 | $ | (4,449) | $ | 105,088 | |||||||
Add (Deduct): | |||||||||||||
Net realized (gain)/loss | 1,459 | 1,666 | 13,986 | ||||||||||
Drop income | 473 | 52 | 3,099 | ||||||||||
Equity in (earnings)/loss from affiliates | (2,921) | (364) | (12,621) | ||||||||||
Net interest income and expenses from equity method investments* |
2,236 | 1,738 | 8,695 | ||||||||||
Unrealized (gain)/loss on real estate securities and loans, net | 7,661 | 30,588 | (45,529) | ||||||||||
Unrealized (gain)/loss on derivative and other instruments, net | (15,589) | (13,405) | (19,813) | ||||||||||
Core Earnings | $ | 14,209 | $ | 15,826 | $ | 52,905 | |||||||
Core Earnings, per Diluted Share | $ | 0.50 | $ | 0.57 | $ | 1.90 |
*For the three months ended December 31, 2017, we recognized $0.1 million or $0.00 per share of net income/(loss) attributed to our investment in AG Arc. For the three months ended December 31, 2016, we recognized $(0.0) million or $(0.00) per share of net income/(loss) attributed to our investment in AG Arc. For the year ended December 31, 2017, we recognized $0.6 million or $0.02 per share of net income/(loss) attributed to our investment in AG Arc. |
Footnotes
(1) Diluted per share figures are calculated using weighted average outstanding shares in accordance with GAAP. 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. 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) The investment portfolio at period end is calculated by summing the
fair market value of our Agency RMBS, any long positions in TBAs,
Residential Investments, Commercial Investments, and ABS Investments,
including securities and mortgage loans owned through investments in
affiliates, exclusive of
(3) Generally, when we purchase a security and employ leverage, the
security is included in our assets and the leverage is reflected in our
liabilities on our consolidated balance sheet as either “Repurchase
agreements” or “Securitized debt, at fair value.” Throughout this press
release where we disclose our investment portfolio and the related
repurchase agreements that finance it, we have presented this
information inclusive of (i) unconsolidated ownership interests in
affiliates that are accounted for under GAAP using the equity method and
(ii) long positions in TBAs, which are accounted for as derivatives
under GAAP. This press release excludes investments through
(4) The economic return on equity for the quarter represents the change
in book value per share from
(5) This represents the weighted average monthly CPRs published during the quarter for our in-place portfolio during the same period. Any net TBA position is excluded from the CPR calculation.
(6) “At Risk” Leverage was calculated by dividing total financing
including any net TBA position by our GAAP stockholders’ equity at
quarter-end. Total financing at quarter-end includes repurchase
agreements inclusive of repurchase agreements through affiliated
entities, 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 the Company’s investment portfolio, which excludes cash held by the Company. See footnotes (8) and (9) for further detail. Net interest margin also excludes any net TBA position.
(8) 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. This calculation excludes cash held by the Company and excludes any net TBA position. The calculation of weighted average yield is weighted based on fair value.
(9) The cost of funds at quarter-end was calculated as the sum of (i) the weighted average funding costs on total financing outstanding at quarter-end and (ii) the weighted average of the net pay rate on our interest rate swaps, the net receive rate on our Treasury long positions, the net pay rate on our Treasury short positions, and the net receivable rate on our IO index derivatives, if any. Both elements of the cost of funds at quarter-end were weighted by the outstanding repurchase agreements and securitized debt outstanding at quarter-end, excluding repurchase agreements associated with U.S. Treasury positions. The cost of funds excludes any net TBA position.
(10) The management fee percentage at quarter-end was calculated by annualizing management fees recorded during the quarter and dividing by quarter-end stockholders’ equity.
(11) 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.
(12) This estimate of undistributed taxable income per share represents the total estimated undistributed taxable income as of quarter-end. Undistributed taxable income is based on current estimates and projections. As a result, the actual amount is not finalized until we file our annual tax return, typically in September of the following year.
(13) The Company invests in
(14) The Company allocates its equity by investment using the fair market value of its investment portfolio, less any associated leverage, inclusive of any long TBA position (at cost). The Company allocates all non-investment portfolio related items based on their respective characteristics in order to sum to the Company’s stockholders’ equity per the consolidated balance sheets. The Company’s equity allocation method is a non-GAAP methodology and may not be comparable to similarly titled measures or concepts of other companies, who may use different calculations.
(15) The Company estimates duration based on third-party models. Different models and methodologies can produce different effective duration estimates for the same securities.
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Source:
AG Mortgage Investment Trust, Inc.
Karen Werbel - Investor
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212-692-2110
ir@agmit.com