AG Mortgage Investment Trust, Inc. ("MITT," "we," the "Company,"
or "our") (NYSE: MITT) today reported financial results for the
full year and quarter ended December 31, 2021.
FULL YEAR AND FOURTH QUARTER 2021 FINANCIAL
HIGHLIGHTS
Full Year 2021:
- $14.64 Book Value per share as of December 31, 2021 as compared
to $12.40 as of December 31, 2020(1)
- $14.32 Adjusted Book Value per share as of December 31, 2021 as
compared to $11.81 as of December 31, 2020(1)
- Increase of approximately 21% from December 31, 2020
- Economic Return on Equity of 28.1%(2)
- $5.29 and $1.11 of Net Income/(Loss) and Core Earnings per
diluted common share, respectively(3)
- $0.81 dividend per common share
- Executed five rated Non-QM securitizations, two of which were
alongside other Angelo Gordon funds, converting financing from
recourse financing with mark-to-market margin calls to non-recourse
financing without mark-to-market margin calls
Fourth Quarter 2021:
- $0.33 and $(0.05) of Net Income/(Loss) and Core Earnings per
diluted common share(3)
- $0.21 dividend per common share
- Quarterly Economic Return on Equity of -11.7%(2)
- Executed two rated Non-QM securitizations, one of which was
alongside other Angelo Gordon funds
- Completed a public offering issuing 8.1 million shares of
common stock, inclusive of the overallotment option, for net
proceeds of approximately $80.0 million after deducting estimated
offering expenses
MANAGEMENT REMARKS
"In 2021, we successfully transitioned into a pure-play
residential mortgage REIT," said David Roberts, Chief Executive
Officer. "During the fourth quarter, we completed a capital raise
that will fuel our growth for the foreseeable future. We begin 2022
with the liquidity, infrastructure, and talent to continue to be a
growing leader in the residential mortgage origination and
securitization business."
"During 2021, we grew our investment portfolio to $3.2 billion,
purchasing approximately $2.5 billion of Non-Agency Loans over the
course of the year and we continue to build off this momentum with
a strong acquisition pipeline in 2022," said Nicholas Smith, Chief
Investment Officer. Mr. Smith also added, "We completed five
securitizations in 2021 and continue to increase our pace of
transactions in 2022, completing two securitizations year to
date.”
INVESTMENT HIGHLIGHTS
- $3.2 billion Investment Portfolio as of December 31, 2021(4)(5)
- Purchased $2.5 billion of Non-QM and GSE Non-Owner Occupied
Loans during 2021, $1.2 billion of which were purchased in the
fourth quarter
- $2.8 billion of financing as of December 31, 2021(4)(5)
- $1.8 billion of recourse financing and $1.0 billion of
non-recourse financing
- 2.4x Economic Leverage Ratio as of December 31, 2021(6)
- 1.7% Net Interest Margin(7)
- $137.3 million of total liquidity as of December 31, 2021,
inclusive of $68.1 million of cash and $69.2 million of
unencumbered Agency RMBS
INVESTMENT PORTFOLIO
The following summarizes the Company’s investment portfolio as
of December 31, 2021(4)(5) ($ in millions):
Fair Value
Weighted Average Yield
Financing
Cost of Funds(8)
Percent of Fair Value
Percent of Equity(9)
Residential Investments(a)
$2,725.9
4.2%
$2,403.1
2.2%
84.6%
80.5%
Agency RMBS
495.7
1.8%
409.9
0.2%
15.4%
19.5%
Total
$3,221.6
3.8%
$2,813.0
2.1%
100.0%
100.0%
(a) As of December 31, 2021, the table
above excludes our investment in Arc Home and includes fair value
of $72.0 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
$45.8 million of Non-QM Loans, $9.3 million of Re/Non-Performing
Loans, and $16.9 million million of Land Related Financing.
FINANCING ACTIVITIES
The following summarizes the Company’s financing as of December
31, 2021(5) ($ in millions):
Securitized Debt on
Non-QM
Securitized Debt on
RPL/NPL
Warehouse Financing on
Residential
Financing on Agency
Total
Amount
$747.0
$252.2
$1,403.9
$409.9
$2,813.0
Cost of Funds(8),(a)
1.6%
3.1%
2.3%
0.2%
2.1%
Advance Rate
90%
70%
81%
83%
N/A
Available Borrowing Capacity(b)
N/A
N/A
$1,013.7
N/A
$1,013.7
Recourse/Non-Recourse
Non-Recourse
Non-Recourse
Recourse
Recourse
64% Recourse 36% Non-Recourse
(a) Total Cost of Funds shown includes the
costs from the Company's interest rate hedges. Cost of Funds as of
December 31, 2021 excluding the cost of our interest rate hedges
would be 1.9%.
(b) The borrowing capacity under the
Company's Non-QM Loan and GSE Non-Owner Occupied Loans warehouse
financing arrangements is uncommitted by the lenders.
ARC HOME UPDATE(10)
- Arc Home generated pre-tax net income of $2.6 million in the
fourth quarter 2021 primarily driven by MTM gains on its MSR
portfolio
- Full year 2021 pre-tax net income of $22.8 million resulting
from strong gain on sale revenues and continued growth in
Non-Agency funding volumes, coupled with MTM gains on its MSR
portfolio
- Contributed a total net gain of $9.0 million to MITT, of which
$3.7 million is recognized as equity in earnings from affiliates
and $5.3 million is recognized as unrealized on residential
mortgage loans(a)
- Arc Home continues to drive growth in Non-Agency originations:
- Total origination volume grew by approximately 15% to $4.4
billion during 2021
- Non-Agency Loan originations grew to approximately $1.7 billion
in 2021, representing 51% of funded product mix
- During 2021, MITT acquired approximately 50% of all Non-QM
production, with the remaining purchased by other Angelo Gordon
affiliates
- MITT purchased $0.6 billion of Non-QM Loans and $0.2 billion of
GSE Non-Owner Occupied Loans from Arc Home during 2021
(a) MITT eliminates any gains or losses on loans acquired by
MITT from Arc Home from the "Equity in earnings/(loss) from
affiliates" line item and decreases or increases the cost basis of
the underlying loans accordingly resulting in unrealized gains or
losses, which are recorded in the "Net unrealized gains/(losses)"
line item on the Company's consolidated income statement.
MITT KEY STATISTICS
($ in millions)
December 31, 2021
Investment portfolio(4)
$
3,221.6
Financing arrangements(5)
2,813.0
Recourse financing
1,791.6
Non-Recourse financing
1,021.4
Total Economic Leverage(6)
1,392.3
Stockholders’ equity
570.4
GAAP Leverage Ratio
4.9x
Economic Leverage Ratio(6)
2.4x
Book value, per share(1)
$
14.64
Adjusted book value, per share(1)
$
14.32
Q4 2021 Common Dividend, per share(3)
$
0.21
The below table provides a summary of our fourth quarter and
full year 2021 activity impacting book value as well as a
reconciliation to adjusted book value. Adjusted book value is
calculated by reducing stockholders' equity by the liquidation
preference of our preferred stock ($ in thousands, except per share
data):
Quarter Ended
December 31, 2021
Year Ended
December 31, 2021
Amount
Per Diluted Share(3)
Amount
Per Diluted Share(3)
Beginning Book Value
$
269,277
$
16.92
$
171,227
$
12.40
Common dividend
(5,021)
(0.21)
(14,560)
(0.81)
Core earnings
(896)
(0.05)
18,089
1.11
Net issuance/(repurchase) of common
stock
79,372
(2.40)
89,899
(2.28)
Preferred share exchange offers
—
—
17,941
0.07
Net realized and unrealized gain/(loss)
included within equity in earnings/(loss) from affiliates
(1,553)
(0.08)
8,082
0.49
Net realized gain/(loss)
6,822
0.36
1,698
0.10
Net unrealized gain/(loss)
5,969
0.31
66,090
4.09
Transaction related expenses and deal
related performance fees
(4,062)
(0.21)
(8,558)
(0.53)
12/31/21 Book Value
$
349,908
$
14.64
$
349,908
$
14.64
Change in Book Value
80,631
(2.28)
178,681
2.24
12/31/21 Book Value
$
349,908
$
14.64
$
349,908
$
14.64
Net proceeds less liquidation preference
of preferred stock
(7,519)
(0.32)
(7,519)
(0.32)
12/31/21 Adjusted Book Value
$
342,389
$
14.32
$
342,389
$
14.32
12/31/20 Book Value
$
171,227
$
12.40
Net proceeds less liquidation preference
of preferred stock
(8,133)
(0.59)
12/31/20 Adjusted Book Value
$
163,094
$
11.81
DIVIDEND
The Company announced that on February 18, 2022 its Board of
Directors (the "Board") declared first quarter 2022 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
March 17, 2022 to preferred shareholders of record on February 28,
2022.
On December 15, 2021, the Board declared a fourth quarter
dividend of $0.21 per share of common stock that was paid on
January 31, 2022 to common stockholders of record as of December
31, 2021.
On November 5, 2021, 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 December 17, 2021 to
preferred stockholders of record as of November 30, 2021.
STOCKHOLDER CALL
The Company invites stockholders, prospective stockholders, and
analysts to participate in MITT’s fourth quarter earnings
conference call on February 24, 2022 at 8:30 am Eastern Time. The
stockholder call can be accessed by dialing 1 (888) 424-8151 (U.S.
domestic) or 1 (847) 585-4422 (international). Please enter code
number 9925 284.
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 Q4 2021
Earnings Presentation link to download the presentation in advance
of the stockholder call.
For those unable to listen to the live call, an audio replay
will be available promptly following the conclusion of the call on
February 24, 2022 through March 26, 2022. To access the replay,
please go to
https://onlinexperiences.com/Launch/QReg/ShowUUID=9952F3C7-F49B-4DD7-BD91-C6E9509B5FFF&LangLocaleID=1033.
The replay passcode is 50278032.
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.
Angelo, Gordon & Co., L.P. ("Angelo Gordon") is a privately
held limited partnership founded in November 1988. The firm
currently manages approximately $51 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 our transition to a pure play residential credit mortgage
REIT will result in any of the anticipated benefits or at all; our
ability to continue to grow our residential investment portfolio,
including our ability to consummate transactions in our pipeline on
the terms or timeframe anticipated, or at all; 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; whether growth in the new
origination Non-Agency mortgage space will occur 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; 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 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
post-securitization; changes in our business and investment
strategy; our ability to grow our adjusted book value; our ability
to predict and control costs; changes in interest rates and the
fair value of our assets, including negative changes resulting in
margin calls relating to the financing of our assets; changes in
the yield curve; the timing and amount of stock issuances pursuant
to our ATM program or otherwise; the timing and amount of stock
repurchases, if any; our capitalization, including our ability to
continue to opportunistically exchange preferred stock; 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 ability to increase its product offerings; Arc Home’s
ability to continue driving growth in Non-Agency originations; 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; changes in
interest rates, including the impact of interest rate changes on
the fair value of our investments; increased rates of default or
delinquencies and/or decreased recovery rates on our assets; the
availability of and competition for our target investments; our
ability to obtain and maintain financing arrangements on terms
favorable to us or at all; changes in general economic conditions
in our industry and in the finance and real estate markets,
including the impact on the value of our assets; conditions in the
market for Residential Investments 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 in response to the economic effects of the
COVID-19 pandemic, including inflation; 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, 2020, 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 December 31, 2021, 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. Our management team believes that this non-GAAP financial
information, when considered with our GAAP financial information,
provides supplemental information useful for investors as it
enables them to evaluate our current core performance using the
same metrics that management uses to operate the business. Our
presentation of non-GAAP financial information may not be
comparable to similarly-titled measures of other companies, who may
use different calculations. This non-GAAP financial information
should not be considered a substitute for, or superior to, the
financial measures calculated in accordance with GAAP. Our GAAP
financial results and the reconciliations of the non-GAAP financial
measures included in this press release to the most directly
comparable financial measures prepared in accordance with GAAP
should be carefully evaluated.
AG Mortgage Investment Trust,
Inc. and Subsidiaries
Consolidated Balance Sheets
(Unaudited)
(in thousands, except per
share data)
December 31, 2021
December 31, 2020
Assets
Residential mortgage loans, at fair value
- $1,469,358 and $0 pledged as collateral, respectively
$
1,476,972
$
8,837
Securitized residential mortgage loans, at
fair value - $119,947 and $46,571 pledged as collateral,
respectively
1,158,134
426,604
Real estate securities, at fair value -
$444,481 and $532,271 pledged as collateral, respectively
514,470
613,546
Commercial loans, at fair value
—
111,549
Commercial loans held for sale, at fair
value
—
13,959
Investments in debt and equity of
affiliates
92,023
150,667
Cash and cash equivalents
68,079
47,926
Restricted cash
32,150
14,392
Other assets
20,900
12,565
Total Assets
$
3,362,728
$
1,400,045
Liabilities
Financing arrangements
$
1,777,743
$
564,047
Securitized debt, at fair value
999,215
355,159
Payable on unsettled trades
—
51,136
Dividend payable
5,021
1,243
Other liabilities
10,369
18,755
Total Liabilities
2,792,348
990,340
Commitments and Contingencies
Stockholders' Equity
Preferred stock - $227,991 and $246,610
aggregate liquidation preference as of December 31, 2021 and
December 31, 2020, respectively
220,472
238,478
Common stock, par value $0.01 per share;
450,000 shares of common stock authorized and 23,908 and 13,811
shares issued and outstanding at December 31, 2021 and December 31,
2020, respectively (a)
239
138
Additional paid-in capital (a)
796,469
689,147
Retained earnings/(deficit)
(446,800)
(518,058)
Total Stockholders' Equity
570,380
409,705
Total Liabilities & Stockholders'
Equity
$
3,362,728
$
1,400,045
(a) Amounts have been adjusted to reflect
the one-for-three reverse stock split effected July 22, 2021.
AG Mortgage Investment Trust,
Inc. and Subsidiaries
Consolidated Statements of
Operations (Unaudited)
(in thousands, except per
share data)
Three Months Ended
December 31, 2021
Three Months Ended
December 31, 2020
Year Ended December 31,
2021
Net Interest Income
Interest income
$
24,686
$
11,171
$
70,662
Interest expense
10,698
4,004
27,250
Total Net Interest Income
13,988
7,167
43,412
Other Income/(Loss)
Net interest component of interest rate
swaps
(1,364)
(179)
(4,862)
Net realized gain/(loss)
6,822
661
1,698
Net unrealized gain/(loss)
3,704
16,754
62,699
Other income/(loss), net
—
47
37
Total Other Income/(Loss)
9,162
17,283
59,572
Expenses
Management fee to affiliate
1,800
1,656
6,814
Other operating expenses
3,229
3,238
13,357
Transaction related expenses
3,597
22
7,328
Restructuring related expenses
—
251
—
Servicing fees
1,052
539
3,188
Total Expenses
9,678
5,706
30,687
Income/(loss) before equity in
earnings/(loss) from affiliates
13,472
18,744
72,297
Equity in earnings/(loss) from
affiliates
(2,607)
21,942
31,889
Net Income/(Loss) from Continuing
Operations
10,865
40,686
104,186
Net Income/(Loss) from Discontinued
Operations
—
305
—
Net Income/(Loss)
10,865
40,991
104,186
Gain on Exchange Offers, net
—
10,035
472
Dividends on preferred stock
(4,586)
(3,652)
(18,785)
Net Income/(Loss) Available to Common
Stockholders
$
6,279
$
47,374
$
85,873
Earnings/(Loss) Per Share - Basic
(a)
Continuing Operations
$
0.33
$
3.47
$
5.29
Discontinued Operations
—
0.02
—
Total Earnings/(Loss) Per Share of
Common Stock (a)
$
0.33
$
3.49
$
5.29
Earnings/(Loss) Per Share - Diluted
(a)
Continuing Operations
$
0.33
$
3.47
$
5.29
Discontinued Operations
—
0.02
—
Total Earnings/(Loss) Per Share of
Common Stock (a)
$
0.33
$
3.49
$
5.29
Weighted Average Number of Shares of
Common Stock Outstanding (a)
Basic
19,096
13,561
16,234
Diluted
19,096
13,561
16,234
(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 real estate securities, loans,
derivatives and other investments, inclusive of our investment in
AG Arc, and (b) net realized gains/(losses) on the sale or
termination of such instruments, (ii) any transaction related
expenses incurred in connection with the acquisition or disposition
of our investments, (iii) accrued deal-related performance fees
payable to Arc Home and third party operators to the extent the
primary component of the accrual relates to items that are excluded
from Core Earnings, such as unrealized and realized gains/(losses),
(iv) realized and unrealized changes in the fair value of Arc
Home's net mortgage servicing rights and the derivatives intended
to offset changes in the fair value of those net mortgage servicing
rights, (v) deferred taxes recognized at our taxable REIT
subsidiaries, if any, (vi) any foreign currency gain/(loss)
relating to monetary assets and liabilities, (vii) income from
discontinued operations, and (viii) any gains/(losses) associated
with exchange transactions on our common and preferred stock. Items
(i) through (viii) above include any amount related to those items
held in affiliated entities. Management considers the transaction
related expenses referenced in (ii) above to be similar to realized
losses incurred at the acquisition or disposition of an asset and
does not view them as being part of its core operations. Management
views the exclusion described in (iv) above to be consistent with
how it calculates Core Earnings on the remainder of its portfolio.
Management excludes all deferred taxes because it believes deferred
taxes are not representative of current operations. Core Earnings
include the net interest income and other income earned on our
investments on a yield adjusted basis, including TBA dollar roll
income or any other investment activity that may earn or pay net
interest or its economic equivalent.
A reconciliation of GAAP Net Income/(loss) available to common
stockholders to Core Earnings for the three months ended December
31, 2021, the three months ended December 31, 2020, and the year
ended December 31, 2021 is set forth below (in thousands, except
per share data):
Three Months Ended December
31, 2021
Three Months Ended December
31, 2020
Year Ended December 31,
2021
Net Income/(loss) available to common
stockholders
$
6,279
$
47,374
$
85,873
Add (Deduct):
Net realized (gain)/loss
(6,822)
(661)
(1,698)
Net unrealized (gain)/loss
(3,704)
(16,754)
(62,699)
Transaction related expenses and deal
related performance fees
4,062
61
8,558
Equity in (earnings)/loss from
affiliates
2,607
(21,942)
(31,889)
Net interest income and expenses from
equity method investments(a)(b)
(1,054)
11,409
23,807
Net (income)/loss from discontinued
operations
—
(305)
—
Gains from Exchange Offers, net
—
(10,035)
(472)
Foreign currency (gain)/loss, net
—
(45)
(14)
Dollar roll income(c)
(2,264)
—
(3,377)
Core Earnings
$
(896)
$
9,102
$
18,089
Core Earnings, per Diluted Share(d)
$
(0.05)
$
0.66
$
1.11
(a) For the three months ended December
31, 2021, the three months ended December 31, 2020, and the year
ended December 31, 2021, $1.2 million or $0.06 per share, $(0.7)
million or $(0.06) per share, $2.5 million or $0.15 per share,
respectively, of realized and unrealized changes in the fair value
of Arc Home's net mortgage servicing rights and corresponding
derivatives and deferred taxes recognized at AG Arc LLC were
excluded from Core Earnings per diluted share.
(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 and the year ended December 31, 2021, $1.8
million and $5.3 million, respectively, of intra-entity profits
recognized by Arc Home was eliminated and the cost basis of the
underlying loans we purchased was reduced by the same amount. We
did not eliminate any intra-entity profits for the three months
ended December 31, 2020.
(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).
(d) All per share amounts for all periods
presented have been adjusted to reflect the one-for-three reverse
stock split effected July 22, 2021.
Footnotes
(1) As of December 31, 2021, book value is calculated using
stockholders’ equity less net proceeds of our cumulative redeemable
preferred stock ($220.5 million) as the numerator. As of December
31, 2021, 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
that 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 and Agency RMBS,
and where applicable, any long positions in TBAs, including
securities and mortgage loans 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. The percentage of fair value includes
any net TBA positions and securities and mortgage loans owned
through investments in affiliates and is exclusive of AG Arc LLC.
(5) Generally, when we purchase an investment and finance it, the
investment is included in our assets and the financing is reflected
in our liabilities on our consolidated balance sheet as either
"Financing arrangements" or "Securitized debt, at fair value."
Throughout this press release where we disclose our investment
portfolio and the related financing, we have presented this
information inclusive of (i) securities and mortgage loans owned
through investments in affiliates that are accounted for under GAAP
using the equity method and, where applicable, (ii) long positions
in TBAs, which are accounted for as derivatives under GAAP. This
presentation excludes investments through AG Arc LLC unless
otherwise noted. (6) The Economic Leverage Ratio is calculated by
dividing total Economic Leverage, including any net TBA position,
by our GAAP stockholders’ equity at quarter-end. Total Economic
Leverage at quarter-end includes recourse financing arrangements
recorded within "Investments in debt and equity of affiliates"
exclusive of any financing utilized through 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. (7) Net interest margin is calculated by
subtracting the weighted average cost of funds from the weighted
average yield for our investment portfolio, which excludes cash
held. (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, and (iii) the
weighted average of the net pay rate on our interest rate swaps.
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 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. (10) We invest in Arc Home LLC through AG Arc LLC,
one of our equity method investees. Our investment in AG Arc LLC is
$53.4 million as of December 31, 2021, representing a 44.6%
ownership interest.
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For further information or questions, please e-mail
ir@agmit.com.
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