AG Mortgage Investment Trust, Inc. Reports $1.41 Earnings Per Share and $20.64 Net Book Value Per Share
FINANCIAL HIGHLIGHTS
-
Successfully completed IPO and concurrent private placement in
July 2011 , raising$200.1 million in gross proceeds - Substantially completed deployment of IPO proceeds in targeted assets
-
Net income of
$13.2 million , or$1.41 per share -
Core Earnings of
$5.9 million , or$0.63 per share -
$0.40 per share dividend declared for Initial Deployment Quarter and paid onOctober 27, 2011 -
$20.64 net book value per share as ofSeptember 30, 2011
INVESTMENT HIGHLIGHTS
-
$1.3 billion investment portfolio value as ofSeptember 30, 2011 (1) (3) -
5.7x leverage as of
September 30, 2011 (1) (2) - 90.6% Agency RMBS investment portfolio (3)
- 9.4% credit investment portfolio, comprising Non-Agency RMBS, CMBS and ABS assets (3)
-
5.0% constant prepayment rate (“CPR”) for the Initial Deployment
Quarter on the Agency RMBS investment portfolio (4)
-
5.8% CPR for the month of
September 2011 (4) - 54% of loans backing the Agency RMBS investment portfolio have favorable prepayment attributes with the balance of the portfolio in lower coupon, new production securities (5)
-
5.8% CPR for the month of
-
2.78% annualized net interest spread for the Initial Deployment
Quarter (6)
-
2.44% net interest spread as of
September 30, 2011 (6)
-
2.44% net interest spread as of
THIRD QUARTER 2011 RESULTS
“The risk-reward profile of opportunities supported rapid deployment of
a majority of our capital in Agency RMBS,” said
KEY STATISTICS (1)
Weighted Average |
Weighted Average |
|||||||||||
Investment portfolio | $ | 1,012,539,795 | $ | 1,332,205,377 | ||||||||
Repurchase agreements | $ | 875,845,585 | $ | 1,126,859,885 | ||||||||
Stockholders' equity | $ | 203,689,392 | $ | 207,416,071 | ||||||||
Leverage ratio | 4.30 | (8) | 5.70 |
(2) |
||||||||
Swap ratio | 57 | % | (9) | 51 | % |
(9) |
||||||
Yield on investment portfolio | 3.50 | % | (10) | 3.26 | % |
(10) |
||||||
Cost of funds | 0.72 | % | (11) | 0.82 | % |
(11) |
||||||
Net interest margin | 2.78 | % | (6) | 2.44 | % |
(6) |
||||||
Management fees | 1.46 | % | (12) | 1.43 | % |
(12) |
||||||
Other operating expenses | 1.61 | % | (13) | 1.58 | % | (13) | ||||||
Book value, per share | $20.27 | 20.64 | ||||||||||
Dividend, per share |
$0.40 |
$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 | $ | 878,441,239 | $ | 27,200,550 | $ | 905,641,789 | $ | 918,885,982 | 3.50 | % | 2.76 | % | |||||||
20-Year Fixed Rate | 82,389,263 | 2,536,978 | 84,926,241 | 86,972,683 | 4.06 | % | 3.40 | % | |||||||||||
30-Year Fixed Rate | 184,581,876 | 9,247,516 | 193,829,392 | 194,582,762 | 4.00 | % | 3.25 | % | |||||||||||
Interest Only | 46,178,111 | (36,137,763 | ) | 10,040,348 | 6,831,324 | 5.50 | % | 6.65 | % | ||||||||||
Non-Agency RMBS | 113,604,557 | (27,448,708 | ) | 86,155,849 | 85,568,837 | 4.71 | % | 6.69 | % | ||||||||||
CMBS | 20,000,000 | (4,467,852 | ) | 15,532,148 | 12,741,260 | 5.82 | % | 11.28 | % | ||||||||||
ABS | 26,500,000 | 26,336 | 26,526,336 | 26,622,529 | 4.63 | % | 4.48 | % | |||||||||||
Total | $ | 1,351,695,046 | $ | (29,042,943 | ) | $ | 1,322,652,103 | $ | 1,332,205,377 | 3.83 | % | 3.26 | % | ||||||
During the Initial Deployment Quarter, the annualized weighted average
yield on the Company's average earning assets was 3.50% and its
annualized average cost of funds was 0.72%, (5) which resulted in a net
interest spread of 2.78%. As of
The CPR for the Company's portfolio for the Initial Deployment Quarter
was 5.9%. The CPR for the Agency RMBS portfolio was 5.0% for the Initial
Deployment Quarter and 5.8% for the month of
The weighted average cost basis of the agency investment portfolio,
excluding interest-only securities, was 103.4% 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 exceeds the
underlying principal balance by 3.41% 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. When we take delivery of Agency RMBS in connection with
our TBA positions, we generally expect to finance them in a manner
similar to our other Agency RMBS. During the Initial Deployment Quarter,
we have purchased
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 | $ | 806,763,885 | 0.26% | $ | 36,218,000 | 1.53% | ||||
31-60 days | 224,086,000 | 0.30% | 19,736,000 | 1.45% | ||||||
61-90 days | - | - | 14,440,000 | 1.50% | ||||||
Greater than 90 days | 25,616,000 | 0.33% | - | - | ||||||
Total / Weighted Average | $ | 1,056,465,885 | 0.27% | $ | 70,394,000 | 1.50% | ||||
As of
We have entered into interest rate swap agreements to hedge our
portfolio. The Company’s swaps as of
Interest Rate Swaps | |||||||||
Maturity | Notional Amount |
Weighted Average |
Weighted |
Weighted |
|||||
2012 | $ | 100,000,000 | 0.354% | 0.230% | 0.39 | ||||
2013 | 182,000,000 | * | 0.535% | 0.231% | 2.06 | ||||
2014 | 204,500,000 | * | 1.000% | 0.248% | 2.83 | ||||
2015 | 174,025,000 | 1.436% | 0.243% | 3.84 | |||||
2016 | 67,500,000 | * | 1.738% | 0.233% | 4.88 | ||||
Total/Wtd Avg | $ | 728,025,000 | 0.968% | 0.239% | 2.74 | ||||
* These figures include forward starting swaps with a total notional of 130.0 million and a weighted average start date of December 9, 2011. Weighted average rates shown are inclusive of rates corresponding to the terms of the swap as if the swap were effective as of September 30, 2011. | |||||||||
**Approximately 55% of our interest rate swaps reset monthly based on one-month LIBOR and 45% of our interest rate swaps 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 and (iii) the timing and amount of deductions related to stock-based compensation.
DIVIDEND
On
NET BOOK VALUE
As of
SHAREHOLDER CALL
The Company invites shareholders, prospective shareholders and analysts
to attend MITT’s third quarter earnings conference call on
A presentation will accompany the conference call and will be available on the Company’s website at www.agmortgageinvestmenttrust.com. Select the Q3 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.agmortgageinvestmenttrust.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 | ||||
(Unaudited) | ||||
September 30, 2011 |
||||
Assets | ||||
Real Estate securities, at fair value | ||||
Agency - $1,127,762,195 pledged as collateral | $ | 1,207,272,751 | ||
Non-Agency - $29,911,229 pledged as collateral | 58,376,699 | |||
CMBS - $6,444,820 pledged as collateral | 12,741,260 | |||
ABS - $4,999,405 pledged as collateral | 4,999,405 | |||
Linked transactions, net, at fair value | 10,691,262 | |||
Cash and cash equivalents | 61,458,348 | |||
Restricted cash | 4,299,047 | |||
Interest receivable | 4,112,253 | |||
Derivative assets, at fair value | 1,742,156 | |||
Prepaid expenses | 527,217 | |||
Total Assets | $ | 1,366,220,398 | ||
Liabilities | ||||
Repurchase agreements | $ | 1,088,735,885 | ||
Payable on unsettled trades | 54,740,684 | |||
Interest payable | 1,032,158 | |||
Derivative liabilities, at fair value | 8,491,027 | |||
Dividend payable | 4,004,400 | |||
Due to affiliates | 1,295,090 | |||
Accrued expenses | 507,451 | |||
Total Liabilities | 1,158,806,695 | |||
Stockholders' Equity (Deficit) | ||||
Common stock, par value $0.01 per share; 450,000,000 shares of common stock authorized and 10,005,000 shares issued and outstanding | 100,050 | |||
Additional paid-in capital | 198,116,829 | |||
Retained earnings | 9,196,824 | |||
207,413,703 | ||||
Total Liabilities & Equity | $ | 1,366,220,398 | ||
AG Mortgage Investment Trust, Inc. and Subsidiaries | ||||
Consolidated Statements of Operations | ||||
(Unaudited) | ||||
Quarter Ended | ||||
September 30, 2011 | ||||
Net Interest Income | ||||
Interest income | $ | 8,726,394 | ||
Interest expense | 590,247 | |||
8,136,147 | ||||
Other Income (Loss) | ||||
Net realized gain | 4,291,139 | |||
Gain (loss) on linked transactions, net | 204,727 | |||
Realized loss on periodic interest settlements of interest rate swaps, net | (986,502 | ) | ||
Unrealized gain (loss) on derivative instruments, net | (6,562,093 | ) | ||
Unrealized gain (loss) on real estate securities | 9,694,455 | |||
6,641,726 | ||||
Expenses | ||||
Management fee to affiliate | 742,557 | |||
Other operating expenses | 818,274 | |||
1,560,831 | ||||
Net income (loss) | $ | 13,217,042 | ||
Earnings Per Share of Common Stock | ||||
Basic | $ | 1.42 | ||
Diluted | $ | 1.41 | ||
Weighted Average Number of Shares of Common Stock Outstanding | ||||
Basic | 9,339,516 | |||
Diluted | 9,383,253 | |||
Dividends Declared per Share of Common Stock | $ | 0.40 | ||
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 three
months ended
Quarter Ended |
||||
Net income/loss | $ | 13,217,042 | ||
Add (Deduct): | ||||
Net realized gain | (4,291,139 | ) | ||
Gain/loss on linked transactions, net | (204,727 | ) | ||
Interest income on linked transactions | 345,909 | |||
Unrealized gain/loss on derivative instruments, net | 6,562,093 | |||
Unrealized gain/loss on real estate securities | (9,694,455 | ) | ||
Core Earnings | $ | 5,934,723 | ||
Footnotes
(1) 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.
(2) Calculated by dividing total repurchase agreements, including those included in linked transactions, plus payable on unsettled trades on our GAAP balance sheet by our GAAP stockholders’ equity.
(3) 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.
(4) This represents the weighted average monthly CPRs published during the period for our in-place portfolio during the same period.
(5) Favorable prepayment attributes include securities with maximum loan
balances of less than or equal to
(6) Net interest spread (also referred to as 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. The weighted average cost of funds
and weighted average yield for both during the quarter and as of
(7) Diluted per share figures are calculated using weighted average
outstanding shares in accordance with GAAP. For this period, the
calculation reflected the impact of 100 shares outstanding from
(8) The leverage ratio during the period was calculated by dividing our daily weighted average repurchase agreements, including those included in linked transactions, for the period by average month-ended stockholders’ equity for the period.
(9) The swap ratio during the period was calculated by dividing our daily weighted average swap notionals, excluding forward starting swaps, for the period by our daily weighted average repurchase agreements, including those included in linked transactions. The swap ratio at period end was calculated by dividing the notional value of our interest rate swaps, excluding forward starting swaps, by total repurchase agreements, including those included in linked transactions, plus payable on unsettled trades.
(10) The yield on our investment portfolio during the period was
calculated by annualizing interest income for the quarter ended
(11) The cost of funds during the period was calculated by annualizing
the sum of our interest expense and our net realized losses on periodic
interest settlements of our interest rate swaps, and dividing by our
daily weighted average repurchase agreements for the period. The cost of
funds at
(12) The management fee percentage during the period was calculated by
annualizing the management fees incurred during the quarter and dividing
by our average monthly stockholders’ equity for the quarter. The
management fee percentage at
(13) The other operating expenses percentage during the period was
calculated by annualizing the other operating expenses incurred during
the quarter and dividing by our average monthly stockholders’ equity for
the quarter. The other operating expenses percentage at
Source:
AG Mortgage Investment Trust, Inc.
Allan Krinsman, 212-883-4180