AG Mortgage Investment Trust, Inc. ("MITT," "we," the "Company,"
or "our") (NYSE: MITT) today reported financial results for the
quarter ended September 30, 2022.
Q3 2022 FINANCIAL HIGHLIGHTS
- $11.02 Book Value per share as of September 30, 2022 compared
to $11.48 as of June 30, 2022(1)
- $10.68 Adjusted Book Value per share as of September 30, 2022
compared to $11.15 as of June 30, 2022(1)
- Decrease of (4.2)% from June 30, 2022
- Quarterly economic return on equity of (2.3)%(2)
- $(0.33) and $(0.03) of Net Income/(Loss) and Core Earnings per
diluted common share, respectively(3)
- $0.21 dividend per common share
MANAGEMENT REMARKS
"Despite the continued themes of inflation, volatility and
uncertainty, coupled with credit spread widening, our adjusted book
value was down 4.2% for the third quarter," said TJ Durkin, Chief
Executive Officer. "We continued to execute our strategy of
acquiring high quality, newly-originated Non-Agency Loans and we
were disciplined and successful in terming out our warehouse
financing into securitizations. This drove our strong liquidity
position today and puts us in a position to play offense in
volatile markets like this, as well as continue to invest excess
capital into our common stock repurchase program."
INVESTMENT AND FINANCING HIGHLIGHTS
- $4.3 billion Investment Portfolio as of September 30, 2022
compared to $4.1 billion as of June 30, 2022(4)(5)
- Purchased Non-Agency Loans with a fair value of $510.3 million
and Agency-Eligible Loans with a fair value of $381.3 million
during the quarter
- $4.0 billion of financing as of September 30, 2022 compared to
$3.4 billion as of June 30, 2022(4)(5)
- $3.0 billion of non-recourse financing and $1.0 billion of
recourse financing as of September 30, 2022
- Executed a rated Non-Agency Loan securitization of $415.9
million of unpaid principal balance and a rated Agency-Eligible
Loan securitization of $422.7 million of unpaid principal balance
during the quarter, converting financing from recourse financing
with mark-to-market margin calls to non-recourse financing without
mark-to-market margin calls
- Subsequent to quarter end, executed a rated Non-Agency Loan
securitization of $457.4 million of unpaid principal balance,
converting financing from recourse financing with mark-to-market
margin calls to non-recourse financing without mark-to-market
margin calls
- 2.0x Economic Leverage Ratio as of September 30, 2022 compared
to 2.7x as of June 30, 2022(6)
- 1.1% Net Interest Margin(7)
- $79.7 million of total liquidity as of September 30, 2022
- Consisted of $77.6 million of cash and $2.1 million of
unencumbered Agency RMBS
- Total liquidity as of October 31, 2022 was $103.8 million
- Accretive repurchase of 0.4 million shares of common stock for
$2.3 million, representing a weighted average cost of $6.08 per
share
INVESTMENT PORTFOLIO
The following summarizes the Company’s Investment Portfolio as
of September 30, 2022(4)(5) ($ in millions):
Fair Value
Weighted Average Yield
Financing
Cost of Funds(a), (8)
Percent of Fair Value
Percent of Equity(9)
Residential Investments(b)
$4,286.5
5.1%
$3,975.5
4.0%
99.5%
98.6%
Agency RMBS
19.5
7.5%
14.6
3.4%
0.5%
1.4%
Total
$4,306.0
5.0%
$3,990.1
3.9%
100.0%
100.0%
(a) Total Cost of Funds shown includes the
cost or benefit from our interest rate hedges. Total Cost of Funds
as of September 30, 2022 excluding the cost or benefit of our
interest rate hedges would be 4.0%.
(b) As of September 30, 2022, the table
above excludes our investment in Arc Home and includes fair value
of $58.0 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
$38.8 million of Non-QM Loans, $8.2 million of Re/Non-Performing
Loans, and $11.0 million of Land Related Financing.
FINANCING PROFILE
The following summarizes the Company’s financing as of September
30, 2022(5) ($ in millions):
Securitized Debt
Residential Bond
Financing(a)
Residential Loan Warehouse
Financing
Agency Financing
Total
Amount
$3,025.1
$249.8
$700.6
$14.6
$3,990.1
Cost of Funds(8), (b)
3.8%
4.6%
4.8%
3.4%
3.9%
Advance Rate
88%
54%
89%
84%
N/A
Available Borrowing Capacity(c)
N/A
N/A
$1,856.2
N/A
$1,856.2
Recourse/Non-Recourse
Non-Recourse
Recourse
Recourse
Recourse
76% Non-Recourse
24% 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.
(b) Total Cost of Funds shown includes the
cost or benefit from our interest rate hedges. Total Cost of Funds
as of September 30, 2022 excluding the cost or benefit of our
interest rate hedges would be 4.0%.
(c) The borrowing capacity under our
residential mortgage loan warehouse financing arrangements is
uncommitted by the lenders.
ARC HOME UPDATE(10)
- Arc Home continues to focus its origination efforts on
Non-Agency Loans(a):
- Arc Home funded $274.3 million of residential mortgage loans
during the third quarter 2022, of which $199.9 million were
Non-Agency Loans
- MITT purchased loans with an unpaid principal balance of $350.3
million from Arc Home during the third quarter 2022 and $1.0
billion year to date 2022
- Cash of $32.3 million, along with Arc Home's $92.0 million MSR
portfolio that is largely unlevered, provides Arc Home with a
strong liquidity position to manage the current dynamics of the
housing market
- Arc Home generated an after-tax net loss of $(2.9) million in
the third quarter primarily resulting from declines in origination
volumes and gain on sale margins during the quarter, partially
offset by changes in the fair value of Arc Home's mortgage
servicing right portfolio
- MITT's portion of the after-tax net loss was $(1.3) million,
prior to removing any gains on loans acquired by MITT from Arc Home
which approximated $1.8 million during the third quarter of
2022(b)
- As of September 30, 2022, the fair value of MITT’s investment
in Arc Home was calculated using a valuation multiple of 0.94x book
value as compared to 0.96x book value as of June 30, 2022
- The decrease in fair value on MITT's investment in Arc Home
approximated $1.2 million
(a) Non-Agency includes Non-QM Loans, QM Loans, Jumbo Loans, and
Agency-Eligible Loans. Agency-Eligible Loans are loans that conform
with GSE underwriting guidelines but are sold to Non-Agency
investors, including MITT. (b) MITT eliminates any gains or losses
on loans acquired by MITT from Arc Home from the "Equity in
earnings/(loss) from affiliates" line item and decreases or
increases the cost basis of the underlying loans accordingly
resulting in unrealized gains or losses, which are recorded in the
"Net unrealized gains/(losses)" line item on the Company's
consolidated income statement.
MITT KEY STATISTICS
($ in millions, except per share
data)
September 30, 2022
Investment Portfolio(4)
$
4,306.0
Total financing(5)
3,990.1
Non-recourse financing
3,042.7
Recourse financing
947.4
Total Economic Leverage(6)
946.8
Stockholders’ equity
464.3
GAAP Leverage Ratio
8.5
x
Economic Leverage Ratio(6)
2.0
x
Book value per share(1)
$
11.02
Adjusted Book value per share(1)
$
10.68
Dividend per share
$
0.21
The below table provides a summary of our third 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)
6/30/22 Book Value(1)
$
258,193
$
11.48
Common dividend
(4,655
)
(0.21
)
Net repurchases of common stock
(2,259
)
0.09
Core earnings
(600
)
(0.03
)
Net realized and unrealized gain/(loss)
included within equity in earnings/(loss) from affiliates
2,544
0.12
Net realized gain/(loss)
50,981
2.28
Net unrealized gain/(loss)
(54,261
)
(2.42
)
Dollar roll (income)/loss(a)
(633
)
(0.03
)
Transaction related expenses and deal
related performance fees
(5,486
)
(0.25
)
9/30/22 Book Value(1)
$
243,824
$
11.02
Change in Book Value
(14,369
)
(0.46
)
9/30/22 Book Value(1)
$
243,824
$
11.02
Net proceeds less liquidation preference
of preferred stock
(7,519
)
(0.34
)
9/30/22 Adjusted Book Value(1)
$
236,305
$
10.68
(a) TBA dollar roll income/(loss) is the
economic equivalent of net interest carry income on the underlying
Agency RMBS TBAs over the roll period (interest income less implied
financing cost).
DIVIDENDS
On August 3, 2022, the Company's Board of Directors (the
"Board") declared a third quarter dividend of $0.51563 per share on
the 8.25% Series A Cumulative Redeemable Preferred Stock (the
"Series A Preferred Stock"), $0.50 per share on the 8.00% Series B
Cumulative Redeemable Preferred Stock (the "Series B Preferred
Stock"), and $0.50 per share on the 8.000% Series C
Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock (the
"Series C Preferred Stock"). The dividends were paid on September
19, 2022 to preferred stockholders of record as of August 31,
2022.
On September 15, 2022, the Board declared a third quarter
dividend of $0.21 per share of common stock that was paid on
October 31, 2022 to common stockholders of record as of September
30, 2022.
The Company announced that on November 3, 2022 the Board
declared fourth quarter 2022 preferred stock dividends as
follows:
In accordance with the terms of its 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 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 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
December 19, 2022 to preferred shareholders of record on November
30, 2022.
STOCKHOLDER CALL
The Company invites stockholders, prospective stockholders, and
analysts to participate in MITT’s third quarter earnings conference
call on November 4, 2022 at 8:30 a.m. Eastern Time. The stockholder
call can be accessed by dialing (800) 343-4849. International
callers should dial (203) 518-9856. The Conference ID is
MITTQ322.
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 Q3 2022
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 on November 4, 2022 through 9:00 a.m. Eastern
Time on December 4, 2022. To access the replay, please go to
https://event.on24.com/wcc/r/4004337/369B33509AEF27F6DBCA7CB985FD9434.
For further information or questions, please e-mail
ir@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
Angelo, Gordon & Co., L.P. ("Angelo Gordon") is a
privately-held alternative investment firm founded in November
1988. The firm currently manages approximately $52 billion with a
primary focus on credit and real estate strategies. Angelo Gordon
has over 600 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 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 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 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 manage
current dynamics of the housing market; Arc Home’s Non-Agency
origination volumes; 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 Core Earnings; legislative and
regulatory actions by the U.S. Department of the Treasury, the
Federal Reserve and other agencies and instrumentalities; how
COVID-19 may affect us, our operations and personnel; the
forbearance program included in the Coronavirus Aid, Relief, and
Economic Security Act; 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, 2021, 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 September
30, 2022, 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 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. Management believes that this non-GAAP information, when
considered with our GAAP financial statements, provides
supplemental information useful for investors to help evaluate our
financial performance. However, management also believes that our
definition of Core Earnings 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)
September 30, 2022
December 31, 2021
Assets
Securitized residential mortgage loans, at
fair value - $371,094 and $119,947 pledged as collateral,
respectively
$
3,419,408
$
1,158,134
Residential mortgage loans, at fair value
- $779,876 and $1,469,358 pledged as collateral, respectively
783,771
1,476,972
Real estate securities, at fair value -
$42,741 and $444,481 pledged as collateral, respectively
44,856
514,470
Investments in debt and equity of
affiliates
79,030
92,023
Cash and cash equivalents
77,638
68,079
Restricted cash
21,798
32,150
Other assets
25,232
20,900
Total Assets
$
4,451,733
$
3,362,728
Liabilities
Securitized debt, at fair value
$
3,025,128
$
999,215
Financing arrangements
935,765
1,777,743
Dividend payable
4,655
5,021
Other liabilities
21,889
10,369
Total Liabilities
3,987,437
2,792,348
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 22,117 and 23,908
shares issued and outstanding at September 30, 2022 and December
31, 2021, respectively
221
239
Additional paid-in capital
783,355
796,469
Retained earnings/(deficit)
(539,752
)
(446,800
)
Total Stockholders’ Equity
464,296
570,380
Total Liabilities & Stockholders’
Equity
$
4,451,733
$
3,362,728
AG Mortgage Investment Trust,
Inc. and Subsidiaries
Consolidated Statements of
Operations (Unaudited)
(in thousands, except per
share data)
Three Months Ended
September 30, 2022
September 30, 2021
Net Interest Income
Interest income
$
50,190
$
19,629
Interest expense
34,699
7,197
Total Net Interest Income
15,491
12,432
Other Income/(Loss)
Net interest component of interest rate
swaps
(996
)
(1,184
)
Net realized gain/(loss)
50,981
(5,460
)
Net unrealized gain/(loss)
(54,261
)
29,461
Total Other Income/(Loss)
(4,276
)
22,817
Expenses
Management fee to affiliate
2,064
1,693
Other operating expenses
4,083
2,997
Transaction related expenses
5,325
2,013
Servicing fees
986
849
Total Expenses
12,458
7,552
Income/(loss) before equity in
earnings/(loss) from affiliates
(1,243
)
27,697
Equity in earnings/(loss) from
affiliates
(1,626
)
6,882
Net Income/(Loss)
(2,869
)
34,579
Dividends on preferred stock
(4,586
)
(4,586
)
Net Income/(Loss) Available to Common
Stockholders
$
(7,455
)
$
29,993
Earnings/(Loss) Per Share of Common
Stock (a)
Basic
$
(0.33
)
$
1.87
Diluted
$
(0.33
)
$
1.87
Weighted Average Number of Shares of
Common Stock Outstanding (a)
Basic
22,394
16,077
Diluted
22,394
16,077
(a) Amounts have been adjusted to reflect the one-for-three
reverse stock split effected July 22, 2021.
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 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 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, 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 Core Earnings on the
remainder of its portfolio. Management excludes all deferred taxes
because it believes deferred taxes are not representative of
current operations. Core Earnings include 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 Core Earnings for the three months ended September
30, 2022 and 2021 is set forth below (in thousands, except per
share data):
Three Months Ended
September 30, 2022
September 30, 2021
Net Income/(loss) available to common
stockholders
$
(7,455
)
$
29,993
Add (Deduct):
Net realized (gain)/loss
(50,981
)
5,460
Net unrealized (gain)/loss
54,261
(29,461
)
Transaction related expenses and deal
related performance fees
5,486
2,484
Equity in (earnings)/loss from
affiliates
1,626
(6,882
)
Net interest income and expenses from
equity method investments(a)(b)
(4,170
)
15,000
Dollar roll income/(loss)
633
(1,113
)
Core Earnings
$
(600
)
$
15,481
Core Earnings, per Diluted Share(c)
$
(0.03
)
$
0.96
(a) For the three months ended September
30, 2022 and 2021, $2.4 million or $0.11 per share and $0.2 million
or $0.01 per share, respectively, of realized and unrealized
changes in the fair value of Arc Home's net mortgage servicing
rights and corresponding derivatives, net of deferred tax expense,
were excluded from Core Earnings. Additionally, for the three
months ended September 30, 2022 and 2021, $(1.2) million or $(0.05)
per share and $0.1 million or $0.01 per share, respectively, of
unrealized changes in the fair value of our investment in AG Arc
were excluded from Core Earnings.
(b) Core income or loss 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 September 30, 2022 and 2021, we eliminated
$1.8 million or $0.08 per share and $1.6 million or $0.10 per share
of intra-entity profits recognized by Arc Home, respectively, and
also decreased the cost basis of the underlying loans we purchased
by the same amount.
(c) Per share amounts presented have been
adjusted to reflect the one-for-three reverse stock split effected
July 22, 2021, where applicable.
The components of Core Earnings for the three months ended
September 30, 2022 and 2021 is set forth below (in thousands,
except per share data):
Three Months Ended
September 30, 2022
September 30, 2021
Net Interest Income
$
17,119
$
28,069
MITT’s After-Tax Share of Arc Home Net
Income
(1,303
)
1,868
Less: Gains on loans sold to MITT(a)
(1,755
)
(1,580
)
Less: MSR MTM gains / deferred tax
benefit(b)
(2,430
)
(175
)
Arc Home Core Earnings to MITT
(5,488
)
113
Net interest component of interest rate
swaps
(996
)
(1,184
)
Dollar roll income/(loss)
633
(1,113
)
Hedge Income/(Expense)
(363
)
(2,297
)
Management fee to affiliate
(2,064
)
(1,693
)
Other operating expenses
(4,232
)
(3,276
)
Servicing fees
(986
)
(849
)
Dividends on preferred stock
(4,586
)
(4,586
)
Operating Expense
(11,868
)
(10,404
)
Core Earnings
$
(600
)
$
15,481
Core Earnings, per Diluted Share(c)
$
(0.03
)
$
0.96
(a) Core Earnings 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) Core Earnings excludes unrealized
gains in the fair value of Arc Home’s net mortgage servicing rights
and corresponding derivatives, net of any deferred tax benefit.
(c) Per share amounts presented have been
adjusted to reflect the one-for-three reverse stock split effected
July 22, 2021, where applicable.
Footnotes
- As of September 30, 2022, book value is calculated using
stockholders’ equity less net proceeds of our cumulative redeemable
preferred stock ($220.5 million) as the numerator. As of September
30, 2022, adjusted book value is calculated using stockholders’
equity less the liquidation preference of our cumulative redeemable
preferred stock ($228.0 million) as the numerator.
- 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.
- Diluted per share figures are calculated using diluted weighted
average outstanding shares in accordance with GAAP.
- 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.
- 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.
- 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 AG Arc LLC, plus the payable on all
unsettled buys less the financing on all unsettled sells and any
net TBA position (at cost). Total Economic Leverage excludes any
non-recourse financing arrangements. Non-recourse financing
arrangements include securitized debt, as well as financing on
certain Non-QM Loans. Our obligation to repay our non-recourse
financing arrangements is limited to the value of the pledged
collateral thereunder and does not create a general claim against
us as an entity.
- 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.
- 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.
- 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.
- We invest in Arc Home LLC through AG Arc LLC, one of our equity
method investees. Our investment in AG Arc LLC is $46.6 million as
of September 30, 2022, representing a 44.6% ownership
interest.
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version on businesswire.com: https://www.businesswire.com/news/home/20221104005209/en/
AG Mortgage Investment Trust, Inc. Investor Relations (212)
692-2110 ir@agmit.com
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