AG Mortgage Investment Trust, Inc. ("MITT," "we," the "Company,"
or "our") (NYSE: MITT) today reported financial results for the
quarter ended March 31, 2023.
Q1 2023 FINANCIAL HIGHLIGHTS
- $11.85 Book Value per share as of March 31, 2023 compared to
$11.39 as of December 31, 2022(1)
- $11.48 Adjusted Book Value per share as of March 31, 2023
compared to $11.03 as of December 31, 2022(1)
- Increase of 4.1% from December 31, 2022
- Quarterly economic return on equity of 5.7%(2)
- $0.38 and $0.03 of Net Income/(Loss) and Earnings Available for
Distribution ("EAD") per diluted common share, respectively(3)
- $0.18 dividend per common share
MANAGEMENT REMARKS
"Despite the volatile end to the quarter, we grew book value by
4% while maintaining ample liquidity and operating with only 1.4
turns of economic leverage," said TJ Durkin, Chief Executive
Officer and President. "We remain focused and disciplined in
protecting book value, produced strong first quarter results and
have positioned ourselves to continue building upon this momentum
throughout the year."
INVESTMENT, FINANCING, AND CAPITAL HIGHLIGHTS
- $4.5 billion Investment Portfolio as of March 31, 2023 compared
to $4.2 billion as of December 31, 2022(4)(5)
- $133.5 million of loans either purchased during the quarter or
committed to be purchased as of quarter end
- Growth in pipeline post quarter end currently approximating
$281.1 million of unpaid principal balance as of the date of this
release
- Acquired $264.8 million of Agency RMBS and $10.9 million of
Non-Agency RMBS at attractive returns on equity
- $4.1 billion of financing as of March 31, 2023 compared to $3.9
billion as of December 31, 2022(5)
- $3.5 billion of non-recourse financing and $0.6 billion of
recourse financing as of March 31, 2023
- Executed one rated securitization of Non-Agency Loans with a
total unpaid principal balance of $271.2 million, converting
financing from recourse financing with mark-to-market margin calls
to non-recourse financing without mark-to-market margin calls
- 8.9x GAAP Leverage Ratio and 1.4x Economic Leverage Ratio as of
March 31, 2023
- 0.8% Net Interest Margin(6)
- $87.9 million of total liquidity as of March 31, 2023, all of
which was cash and cash equivalents
- Repurchased 0.9 million shares of common stock for $5.2
million, representing a weighted average cost of $5.68 per share.
Repurchases resulted in approximately 2% accretion to December 31,
2022 book value per share
- Subsequent to quarter end, repurchased 0.1 million shares of
common stock for $0.8 million, representing a weighted average cost
of $5.85 per share
- As of the date of this release, $1.7 million of capacity
remains authorized under our 2022 Repurchase Program
- On May 4, 2023, the Company's Board of Directors approved a
$15.0 million common stock repurchase program on substantially the
same terms as the 2022 Repurchase Program. This authorization is in
addition to the amount remaining under the 2022 Repurchase
Program
INVESTMENT PORTFOLIO
The following summarizes the Company’s Investment Portfolio as
of March 31, 2023(4)(5) ($ in millions):
Fair Value
Yield(7)
Financing
Cost of
Funds(a), (8)
Percent of
Fair Value
Residential Investments(b)
$
4,185.5
5.1
%
$
3,884.5
4.5
%
93.6
%
Agency RMBS
287.2
5.8
%
269.2
5.0
%
6.4
%
Total
$
4,472.7
5.2
%
$
4,153.7
4.4
%
100.0
%
(a) Total Cost of Funds shown includes the cost or benefit from
our interest rate hedges. Total Cost of Funds as of March 31, 2023
excluding the cost or benefit of our interest rate hedges was 4.5%.
(b) As of March 31, 2023, the table above excludes our investment
in Arc Home and includes fair value of $50.2 million of Residential
Investments that are included in the “Investments in debt and
equity of affiliates” line item on our consolidated balance sheet.
These Residential Investments include $31.6 million of Non-QM
Securities, $7.8 million of Re/Non-Performing Securities, and $10.8
million of Land Related Financing.
FINANCING PROFILE
The following summarizes the Company’s financing as of March 31,
2023(5) ($ in millions):
Securitized Debt
Residential Bond
Financing(a)
Residential Loan
Warehouse
Financing
Agency Financing
Total
Amount
$3,505.5
$273.2
$105.8
$269.2
$4,153.7
Cost of Funds(8), (b)
4.2%
6.6%
6.8%
5.0%
4.4%
Advance Rate
88%
53%
84%
94%
N/A
Available Borrowing Capacity(c)
N/A
N/A
$2,094.2
N/A
$2,094.2
Recourse/Non-Recourse
Non-Recourse
Recourse
Recourse
Recourse
85% Non-Recourse
15% Recourse
(a) Includes financing on the retained tranches from
securitizations issued by the Company and consolidated in the
“Securitized residential mortgage loans, at fair value” line item
on the Company’s consolidated balance sheets. Additionally,
includes financing on certain securities included in the “Real
Estate Securities, at fair value” and “Investments in debt and
equity of affiliates” line items on the Company’s consolidated
balance sheets. (b) Total Cost of Funds shown includes the cost or
benefit from our interest rate hedges. Total Cost of Funds as of
March 31, 2023 excluding the cost or benefit of our interest rate
hedges was 4.5%. (c) The borrowing capacity under our residential
mortgage loan warehouse financing arrangements is uncommitted by
the lenders.
ARC HOME UPDATE(9)
- Arc Home continues to focus on Non-Agency Loan originations(a):
- Arc Home originated $239.1 million of residential mortgage
loans during the first quarter 2023, of which $123.7 million were
Non-Agency Loans
- Cash of $17.2 million, along with Arc Home's $88.2 million
mortgage servicing right portfolio that is largely unlevered,
provides Arc Home with a strong financial position to manage the
current dynamics in the mortgage origination market
- Arc Home generated an after-tax net loss of $(5.2) million in
the first quarter primarily resulting from unrealized losses in the
fair value of Arc Home's mortgage servicing right portfolio as
rates decreased during the quarter, coupled with low origination
volumes
- MITT's portion of the after-tax net loss was $(2.3)
million
- As of March 31, 2023, the fair value of MITT’s investment in
Arc Home was calculated using a valuation multiple of 0.94x book
value, consistent with December 31, 2022
(a) Non-Agency includes Non-QM Loans, QM Loans, Jumbo Loans, and
Agency-Eligible Loans. Agency-Eligible Loans are loans that conform
with GSE underwriting guidelines but are sold to Non-Agency
investors, including MITT
BOOK VALUE ROLL-FORWARD
The below table provides a summary of our first quarter activity
impacting book value as well as a reconciliation to adjusted book
value ($ in thousands, except per share data).
Amount
Per Diluted
Share(3)
12/31/22 Book Value(1)
$
242,328
$
11.39
Common dividend
(3,684
)
(0.18
)
Net repurchases of common stock
(5,157
)
0.26
Earnings available for distribution
582
0.03
Net realized and unrealized gain/(loss)
included within equity in earnings/(loss) from affiliates
355
0.02
Net realized gain/(loss)
100
0.01
Net unrealized gain/(loss)
8,717
0.41
Transaction related expenses and deal
related performance fees
(1,800
)
(0.09
)
3/31/23 Book Value(1)
$
241,441
$
11.85
Change in Book Value
(887
)
0.46
3/31/23 Book Value(1)
$
241,441
$
11.85
Net proceeds less liquidation preference
of preferred stock
(7,519
)
(0.37
)
3/31/23 Adjusted Book Value(1)
$
233,922
$
11.48
12/31/22 Book Value(1)
$
242,328
$
11.39
Net proceeds less liquidation preference
of preferred stock
(7,519
)
(0.36
)
12/31/22 Adjusted Book Value(1)
$
234,809
$
11.03
DIVIDENDS
The Company announced that on May 4, 2023 its Board of Directors
(the "Board") declared second quarter 2023 preferred stock
dividends as follows:
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
$0.51563 per share on its Series A Preferred Stock;
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
$0.50 per share on its Series B Preferred Stock; and
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 $0.50 per share on its Series C
Preferred Stock.
The above dividends for the Series A Preferred Stock, the Series
B Preferred Stock, and the Series C Preferred Stock are payable on
June 20, 2023 to preferred shareholders of record on May 31,
2023.
On March 15, 2023, the Board declared a first quarter dividend
of $0.18 per share of common stock that was paid on April 28, 2023
to common stockholders of record as of March 31, 2023.
On February 16, 2023, the Board declared a quarterly dividend of
$0.51563 per share on the Series A Preferred Stock, $0.50 per share
on the Series B Preferred Stock, and $0.50 per share on the Series
C Preferred Stock. The dividends were paid on March 17, 2023 to
preferred stockholders of record as of February 28, 2023.
STOCKHOLDER CALL
The Company invites stockholders, prospective stockholders, and
analysts to participate in MITT’s first quarter earnings conference
call on Friday, May 5, 2023 at 8:30 a.m. Eastern Time.
To participate in the call by telephone, please dial (800)
225-9448 at least five minutes prior to the start time.
International callers should dial (203) 518-9708. The Conference ID
is MITTQ123. To listen to the live webcast of the conference call,
please go to
https://event.on24.com/wcc/r/4212104/B0A285FDF80AFA59FA86FB8747BC983D
and register using the same Conference ID.
A presentation will accompany the conference call and will be
available prior to the call on the Company’s website,
www.agmit.com, under "Presentations" in the "Investor Relations"
section.
For those unable to listen to the live call, an audio replay
will be available on May 5, 2023 through 9:00 a.m. Eastern Time on
June 5, 2023. To access the replay, please go to the Company’s
website at www.agmit.com.
ABOUT AG MORTGAGE INVESTMENT TRUST, INC.
AG Mortgage Investment Trust, Inc. is a residential mortgage
REIT with a focus on investing in a diversified risk-adjusted
portfolio of residential mortgage-related assets in the U.S.
mortgage market. AG Mortgage Investment Trust, Inc. is externally
managed and advised by AG REIT Management, LLC, a subsidiary of
Angelo, Gordon & Co., L.P., a leading privately-held
alternative investment firm focusing on credit and real estate
strategies.
Additional information can be found on the Company’s website at
www.agmit.com.
ABOUT ANGELO, GORDON & CO., L.P.
Angelo, Gordon & Co., L.P. ("Angelo Gordon") is a
privately-held alternative investment firm founded in November
1988. The firm currently manages approximately $53 billion with a
primary focus on credit and real estate strategies. Angelo Gordon
has over 650 employees, including more than 200 investment
professionals, and is headquartered in New York, with associated
offices elsewhere in the U.S., Europe and Asia. For more
information, visit www.angelogordon.com.
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;
whether market conditions will improve and its impact on our
performance; whether challenging market conditions will provide us
with attractive investment opportunities we anticipate or at all;
our ability to continue to grow our residential investment
portfolio; our acquisition pipeline; our ability to invest in
higher yielding assets through Arc Home, other origination partners
or otherwise; our levels of liquidity, including whether our
liquidity will sufficiently enable us to continue to deploy capital
within the residential whole loan space as anticipated or at all;
the impact of market, regulatory and structural changes on the
market opportunities we expect to have, and whether we will be able
to capitalize on such opportunities in the manner we anticipate;
the impact of market volatility and economic recession on our
business and ability to execute our strategy; whether we will be
able to generate liquidity from additional opportunistic
liquidations in our Re/Non-performing loan portfolio; our portfolio
mix, including levels of Non-Agency/Agency-Eligible and Agency
mortgage loans; our ability to manage warehouse exposure as
anticipated or at all; our levels of leverage, including our levels
of recourse and non-recourse financing; our ability to execute
securitizations, including at the pace anticipated or at all; our
ability to achieve our forecasted returns on equity on warehoused
assets and post-securitization, including whether such returns will
support earnings growth; changes in our business and investment
strategy; our ability to grow our adjusted book value; our ability
to predict and control costs; changes in inflation, interest rates
and the fair value of our assets, including negative changes
resulting in margin calls relating to the financing of our assets;
the impact of credit spread movements on our business; the impact
of interest rate changes on our asset yields and net interest
margin; changes in the yield curve; the timing and amount of stock
issuances pursuant to our ATM program or otherwise; the timing and
amount of stock repurchases, if any; our capitalization, including
the timing and amount of preferred stock repurchases or exchanges,
if any; expense levels, including levels of management fees;
changes in prepayment rates on the loans we own or that underlie
our investment securities; our distribution policy; Arc Home’s
performance, including its liquidity position and ability to
increase origination volumes, in Non-Agency loans or otherwise; the
composition of Arc Home’s portfolio, including levels of MSR
exposure; levels of leverage on Arc Home’s MSR portfolio; our
percentage allocation of loans originated by Arc Home; 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 or market 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 and
Agency RMBS; our levels of EAD; legislative and regulatory actions
by the U.S. Department of the Treasury, the Federal Reserve and
other agencies and instrumentalities; regional bank failures; how
COVID-19 may affect us, our operations and personnel; our ability
to make distributions to our stockholders in the future; our
ability to maintain our qualification as a REIT for federal tax
purposes; and our ability to qualify for an exemption from
registration under the Investment Company Act of 1940, as amended.
Additional information concerning these and other risk factors are
contained in our filings with the Securities and Exchange
Commission ("SEC"), including those described in Part I – Item 1A.
"Risk Factors" of our Annual Report on Form 10-K for the fiscal
year ended December 31, 2022, as such factors may be updated from
time to time in our filings with the SEC. Copies are available free
of charge on the SEC's website, http://www.sec.gov/. All forward
looking statements in this press release speak only as of the date
of this press release. We undertake no duty to update any
forward-looking statements to reflect any change in our
expectations or any change in events, conditions or circumstances
on which any such statement is based. All financial information in
this press release is as of March 31, 2023, unless otherwise
indicated.
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 Earnings Available
for Distribution, 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 financial
statements, provides supplemental information useful for investors
to help evaluate our financial performance. However, our management
team also believes that our definition of EAD has important
limitations as it does not include certain earnings or losses our
management team considers in evaluating our financial performance.
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.
AG Mortgage Investment Trust, Inc. and
Subsidiaries Consolidated Balance Sheets (Unaudited)
(in thousands, except per share data)
March 31, 2023
December 31, 2022
Assets
Securitized residential mortgage loans, at
fair value - $441,113 and $423,967 pledged as collateral,
respectively
$
3,968,770
$
3,707,146
Residential mortgage loans, at fair value
- $126,131 and $353,039 pledged as collateral, respectively
130,741
356,467
Residential mortgage loans held for sale,
at fair value - $0 and $64,984 pledged as collateral,
respectively
—
64,984
Real estate securities, at fair value -
$322,984 and $41,653 pledged as collateral, respectively
322,984
43,719
Investments in debt and equity of
affiliates
69,638
71,064
Cash and cash equivalents
87,876
84,621
Restricted cash
14,546
14,182
Other assets
27,381
27,595
Total Assets
$
4,621,936
$
4,369,778
Liabilities
Securitized debt, at fair value
$
3,505,529
$
3,262,352
Financing arrangements
629,458
621,187
Dividend payable
3,684
3,846
Other liabilities
21,352
19,593
Total Liabilities
4,160,023
3,906,978
Commitments and Contingencies
Stockholders’ Equity
Preferred stock - $227,991 aggregate
liquidation preference
220,472
220,472
Common stock, par value $0.01 per share;
450,000 shares of common stock authorized and 20,377 and 21,284
shares issued and outstanding at March 31, 2023 and December 31,
2022, respectively
204
212
Additional paid-in capital
773,457
778,606
Retained earnings/(deficit)
(532,220
)
(536,490
)
Total Stockholders’ Equity
461,913
462,800
Total Liabilities & Stockholders’
Equity
$
4,621,936
$
4,369,778
AG Mortgage Investment Trust, Inc. and
Subsidiaries Consolidated Statements of Operations
(Unaudited) (in thousands, except per share data)
Three Months Ended
March 31, 2023
March 31, 2022
Net Interest Income
Interest income
$
57,803
$
33,417
Interest expense
46,188
16,122
Total Net Interest Income
11,615
17,295
Other Income/(Loss)
Net interest component of interest rate
swaps
1,020
(2,270
)
Net realized gain/(loss)
100
8,783
Net unrealized gain/(loss)
8,717
(22,420
)
Total Other Income/(Loss)
9,837
(15,907
)
Expenses
Management fee to affiliate
2,075
1,962
Non-investment related expenses
2,820
2,674
Investment related expenses
2,326
2,021
Transaction related expenses
1,707
5,879
Total Expenses
8,928
12,536
Income/(loss) before equity in
earnings/(loss) from affiliates
12,524
(11,148
)
Equity in earnings/(loss) from
affiliates
16
(2,054
)
Net Income/(Loss)
12,540
(13,202
)
Dividends on preferred stock
(4,586
)
(4,586
)
Net Income/(Loss) Available to Common
Stockholders
$
7,954
$
(17,788
)
Earnings/(Loss) Per Share of Common
Stock
Basic
$
0.38
$
(0.74
)
Diluted
$
0.38
$
(0.74
)
Weighted Average Number of Shares of
Common Stock Outstanding
Basic
21,066
23,915
Diluted
21,066
23,915
NON-GAAP FINANCIAL MEASURES
Earnings Available for Distribution
This press release contains Earnings Available for Distribution
("EAD"), a non-GAAP financial measure. Our presentation of EAD 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 EAD, a non-GAAP financial measure, as Net
Income/(loss) available to common stockholders excluding (i) (a)
unrealized gains/(losses) on loans, real estate securities,
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, disposition,
or securitization of our investments, (iii) accrued deal-related
performance fees payable to third party operators to the extent the
primary component of the accrual relates to items that are excluded
from EAD, 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, and (vi) any gains/(losses) associated with exchange
transactions on our common and preferred stock. Items (i) through
(vi) 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, disposition, or securitization 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 EAD on the remainder of its
portfolio. Management excludes all deferred taxes because it
believes deferred taxes are not representative of current
operations. EAD includes the net interest income and other income
earned on our investments on a yield adjusted basis, including TBA
dollar roll income/(loss) 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 EAD for the three months ended March 31, 2023 and
2022 is set forth below (in thousands, except per share data):
Three Months Ended
March 31, 2023
March 31, 2022
Net Income/(loss) available to common
stockholders
$
7,954
$
(17,788
)
Add (Deduct):
Net realized (gain)/loss
(100
)
(8,783
)
Net unrealized (gain)/loss
(8,717
)
22,420
Transaction related expenses and deal
related performance fees
1,800
6,132
Equity in (earnings)/loss from
affiliates
(16
)
2,054
EAD from equity method
investments(a)(b)
(339
)
(2,550
)
Dollar roll income/(loss)(c)
—
(1,977
)
Earnings available for distribution
$
582
$
(492
)
Earnings available for distribution, per
Diluted Share
$
0.03
$
(0.02
)
(a) For the three months ended March 31, 2023 and 2022, $(0.6)
million or $(0.03) per share and $4.4 million or $0.18 per share,
respectively, of realized and unrealized changes in the fair value
of Arc Home's net mortgage servicing rights and corresponding
derivatives were excluded from EAD, net of deferred tax expense or
benefit. Additionally, for the three months ended March 31, 2023
and 2022, $0.2 million or $0.01 per share and $(2.5) million or
$(0.10) per share, respectively, of unrealized changes in the fair
value of our investment in Arc Home were excluded from EAD. (b) EAD
recognized by AG Arc does not include our portion of gains recorded
by Arc Home in connection with the sale of residential mortgage
loans to us. For the three months ended March 31, 2023 we did not
eliminate any intra-entity profits recognized by Arc Home as we did
not purchase any loans from Arc during the quarter. For the three
months ended March 31, 2022, we eliminated $2.4 million or $0.10
per share of intra-entity profits recognized by Arc Home, and also
decreased the cost basis of the underlying loans we purchased by
the same amount. (c) TBA dollar roll income/(loss) is the economic
equivalent of net interest carry income on the underlying Agency
RMBS of TBAs over the roll period (interest income less implied
financing cost).
The components of EAD for the three months ended March 31, 2023
and 2022 is set forth below (in thousands, except per share
data):
Three Months Ended
March 31, 2023
March 31, 2022
Net Interest Income
$
13,217
$
18,728
MITT’s After-Tax Share of Arc Home Net
Income
(2,315
)
3,145
Less: Gains on loans sold to MITT(a)
—
(2,356
)
Less: MSR MTM (gains)/losses, net of
deferred tax expense/(benefit)(b)
582
(4,410
)
Arc Home EAD to MITT
(1,733
)
(3,621
)
Net interest component of interest rate
swaps
1,020
(2,270
)
Dollar roll income/(loss)
—
(1,977
)
Hedge Income/(Expense)
1,020
(4,247
)
Management fee to affiliate
(2,075
)
(1,962
)
Non-investment related expenses
(2,820
)
(2,674
)
Investment related expenses
(2,441
)
(2,130
)
Dividends on preferred stock
(4,586
)
(4,586
)
Operating Expense
(11,922
)
(11,352
)
Earnings available for distribution
$
582
$
(492
)
Earnings available for distribution, per
Diluted Share
$
0.03
$
(0.02
)
(a) EAD excludes our portion of gains recorded by Arc Home in
connection with the sale of residential mortgage loans to us. We
eliminated such gains recognized by Arc Home and also decreased the
cost basis of the underlying loans we purchased by the same amount.
Upon reducing our cost basis, unrealized gains are recorded within
net income based on the fair value of the underlying loans at
quarter end. (b) EAD excludes unrealized changes in the fair value
of Arc Home’s net mortgage servicing rights and corresponding
derivatives, net of any deferred taxes.
Economic Leverage Ratio
This press release contains Economic Leverage Ratio, a non-GAAP
financial measure. Our presentation of Economic Leverage Ratio 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 GAAP leverage as the sum of (1) GAAP Securitized debt,
at fair value, (2) our GAAP Financing arrangements, net of any
restricted cash posted on such financing arrangements, and (3) the
amount payable on purchases that have not yet settled less the
financing remaining on sales that have not yet settled. We define
Economic Leverage, a non-GAAP metric, as the sum of: (i) our GAAP
leverage, exclusive of any fully non-recourse financing
arrangements, (ii) financing arrangements held through affiliated
entities, net of any restricted cash posted on such financing
arrangements, exclusive of any financing utilized through AG Arc,
any adjustment related to unsettled trades as described in (2) in
the previous sentence, and any non-recourse financing arrangements
and (iii) our net TBA position (at cost), if any.
The calculation in the table below divides GAAP leverage and
Economic Leverage by our GAAP stockholders’ equity to derive our
leverage ratios. The following table presents a reconciliation of
our GAAP Leverage to Economic Leverage ratio ($ in thousands).
March 31, 2023
Leverage
Stockholders’ Equity
Leverage Ratio
GAAP Securitized debt, at fair value
$
3,505,529
GAAP Financing arrangements
629,458
Restricted cash posted on Financing
arrangements
(1,081
)
GAAP Leverage
$
4,133,906
$
461,913
8.9x
Financing arrangements through affiliated
entities
18,731
Non-recourse financing arrangements(a)
(3,520,739
)
Net TBA (receivable)/payable
adjustment
244
Economic Leverage
$
632,142
$
461,913
1.4x
(a) Non-recourse financing arrangements include securitized debt
and other non-recourse financing on MATT Non-QM Securities.
Footnotes
(1) Book value is calculated using stockholders’ equity less net
proceeds of our cumulative redeemable preferred stock ($220.5
million) as the numerator. Adjusted book value is calculated using
stockholders’ equity less the liquidation preference of our
cumulative redeemable preferred stock ($228.0 million) as the
numerator. (2) The economic return on equity represents the change
in adjusted book value per share during the period, plus the common
dividends declared over the period, divided by adjusted book value
per share from the prior period. (3) Diluted per share figures are
calculated using diluted weighted average outstanding shares in
accordance with GAAP. (4) The Investment Portfolio at period end
consists of the net carrying value of our Residential Investments,
Agency RMBS, and, where applicable, any long positions in TBAs,
including mortgage loans and securities owned through investments
in affiliates, exclusive of AG Arc LLC. Our Residential Investments
and Agency RMBS are held at fair value. Refer to footnote 5 for
more information on the GAAP accounting for certain items included
in our Investment Portfolio. (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)
mortgage loans and securities 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. This presentation
excludes investments through AG Arc LLC unless otherwise noted. (6)
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. (7) The yield on
our debt investments 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. Our
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. (8) The cost of funds at quarter end is
calculated as the sum of (i) the weighted average funding costs on
recourse financing arrangements outstanding at quarter end, (ii)
the weighted average funding costs on non-recourse financing
arrangements outstanding at quarter end, and (iii) the weighted
average of the net pay or receive rate on our interest rate swaps
outstanding at quarter end. The cost of funds at quarter end are
weighted by the outstanding financing arrangements at quarter end,
including any non-recourse financing arrangements. (9) We invest in
Arc Home LLC through AG Arc LLC, one of our equity method
investees. Our investment in AG Arc LLC is $37.5 million as of
March 31, 2023, representing a 44.6% ownership interest.
View source
version on businesswire.com: https://www.businesswire.com/news/home/20230505005018/en/
AG Mortgage Investment Trust, Inc. Investor Relations
(212) 692-2110 ir@agmit.com
AG Mortgage Investment (NYSE:MITT)
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AG Mortgage Investment (NYSE:MITT)
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