AG Mortgage Investment Trust, Inc. ("MITT," "we," the "Company,"
or "our") (NYSE: MITT) today reported financial results for the
quarter ended March 31, 2022.
Q1 2022 FINANCIAL HIGHLIGHTS
- $13.68 Book Value per share as of March 31, 2022 compared to
$14.64 as of December 31, 2021(1)
- $13.37 Adjusted Book Value per share as of March 31, 2022
compared to $14.32 as of December 31, 2021(1)
- Decrease of approximately 6.6% from December 31, 2021
- Quarterly economic return on equity of (5.2)%(2)
- $(0.74) and $(0.02) of Net Income/(Loss) and Core Earnings per
diluted common share, respectively(3)
- $0.21 dividend per common share
MANAGEMENT REMARKS
"During the quarter, we maintained focus on growing our
residential mortgage loan portfolio and executing our
securitization strategy," said David Roberts, Chief Executive
Officer. "We ended this quarter with ample liquidity to continue to
propel this growth strategy at higher asset yields and we continue
to be strong believers in our strategy as capable of delivering
long-term earnings growth for our shareholders."
"We remain disciplined with regards to managing our warehouse
risk," said TJ Durkin, President. Mr. Durkin added, "In the face of
a very challenging quarter, we executed three securitizations,
which not only de-risked our warehouse lines but gave us additional
liquidity to take advantage of the dislocation and opportunity set
in today’s volatile market."
INVESTMENT HIGHLIGHTS
- $3.7 billion Investment Portfolio as of March 31, 2022 compared
to $3.2 billion as of December 31, 2021(4)(5)
- Purchased Non-Agency Loans with a fair value of $604.6 million
and Agency-Eligible Loans with fair value of $343.3 million during
the quarter
- Sold Agency RMBS of $225.5 million, rotating capital into
residential mortgage loans
- Subsequent to quarter end, purchased Non-Agency and
Agency-Eligible loans with an unpaid principal balance of $260.7
million and currently have an acquisition pipeline of $500.8
million
- $3.3 billion of financing as of March 31, 2022 compared to $2.8
billion as of December 31, 2021(4)(5)
- $1.9 billion of non-recourse financing and $1.4 billion of
recourse financing
- Executed two rated Non-Agency Loan securitizations and one
rated Agency-Eligible Loan securitization 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 Agency-Eligible
Loan securitization in which loans with a fair value of $398.7
million were securitized
- 2.7x Economic Leverage Ratio as of March 31, 2022 compared to
2.4x as of December 31, 2021(6)
- 1.4% Net Interest Margin(7)
- $137.9 million of total liquidity as of March 31, 2022,
available to support our liquidity needs
- Consisted of $50.5 million of cash, $48.5 million of
unencumbered Agency RMBS that we held as of quarter end, and $38.9
million of unencumbered Agency RMBS which we sold during March
2022, but which settled in April 2022
INVESTMENT PORTFOLIO The following summarizes the
Company’s investment portfolio as of March 31, 2022(4)(5) ($ in
millions):
Fair Value
Weighted Average Yield
Financing
Cost of Funds(8)
Percent of Fair Value
Percent of Equity(9)
Residential Investments(a)
$3,354.3
4.3%
$3,064.2
2.5%
89.9%
85.3%
Agency RMBS
377.5
2.4%
240.7
0.4%
10.1%
14.7%
Total
$3,731.8
4.1%
$3,304.9
2.7%
100.0%
100.0%
(a) As of March 31, 2022, the table above
excludes our investment in Arc Home and includes fair value of
$62.9 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
$41.3 million of Non-QM Loans, $8.0 million of Re/Non-Performing
Loans, and $13.6 million of Land Related Financing.
FINANCING ACTIVITIES The following
summarizes the Company’s financing as of March 31, 2022(5) ($ in
millions):
Securitized Debt
Warehouse Financing on
Residential
Financing on Agency
Non-Agency
Agency-Eligible
RPL/NPL
Total
Amount
$1,228.4
$399.1
$232.4
$1,204.3
$240.7
$3,304.9
Cost of Funds(8), (a)
2.5%
2.8%
3.1%
2.2%
0.4%
2.7%
Advance Rate
91%
93%
70%
81%
77%
N/A
Available Borrowing Capacity(b)
N/A
N/A
N/A
$1,264.8
N/A
$1,264.8
Recourse/Non-Recourse
Non-Recourse
Non-Recourse
Non-Recourse
Recourse
Recourse
43% Recourse 57% Non-Recourse
(a) Total Cost of Funds shown includes the
costs from our interest rate hedges. Cost of Funds as of March 31,
2022 excluding the cost of our interest rate hedges would be
2.3%.
(b) The borrowing capacity under our
residential mortgage loan warehouse financing arrangements is
uncommitted by the lenders.
ARC HOME UPDATE(10)
- Arc Home continues to drive growth in originations:
- 2022 originations forecast of $4.5 billion to $6.5 billion
compared with $4.4 billion in 2021
- 2022 Non-Agency(a) originations forecast of $3.5 billion to
$5.0 billion compared to $1.7 billion in 2021
- Expansion of delegated correspondent channel in Q2 2022
partnering with brokers and top originators to drive funding
growth
- Originated $0.8 billion of loans during the first quarter of
2022 as compared to $1.1 billion in Q4 2021
- Non-Agency(a) Locks of $0.7 billion grew 18% during the first
quarter of 2022 from $0.6 billion in Q4 2021
- MITT purchased $0.4 billion of loans from Arc Home during Q1
2022 representing 41% of MITT’s total loan purchases
- Arc Home generated after-tax net income of $7.1 million in the
first quarter primarily driven by mark-to-market gains on its
mortgage servicing rights portfolio offset by a reduction in gain
on sale margins decreasing from 161bps as of December 31, 2021 to
125bps as of March 31, 2022
- MITT's portion of this after-tax net income was $3.1 million,
prior to removing any gains on loans acquired by MITT from Arc Home
which approximated $2.4 million during the first quarter of
2022(b)
- As of March 31, 2022, the fair value of MITT’s investment in
Arc Home was calculated using a valuation multiple of 1.01x book
value as compared to 1.06x book value as of December 31, 2021
- The decrease in fair value on MITT's investment in Arc Home
approximated $2.5 million
(a) Non-Agency includes Non-QM Loans, QM Loans, Jumbo Loans, and
Agency-Eligible Loans. Agency-Eligible Loans are loans that conform
with GSE underwriting guidelines but sold to Non-Agency investors,
including MITT. (b) MITT eliminates any gains or losses on loans
acquired by MITT from Arc Home from the "Equity in earnings/(loss)
from affiliates" line item and decreases or increases the cost
basis of the underlying loans accordingly resulting in unrealized
gains or losses, which are recorded in the "Net unrealized
gains/(losses)" line item on the Company's consolidated income
statement.
MITT KEY STATISTICS
($ in millions, except per share
data)
March 31, 2022
Investment portfolio(4)
$
3,731.8
Financing arrangements(5)
3,304.9
Recourse financing
1,424.5
Non-recourse financing
1,880.4
Total Economic Leverage(6)
1,499.6
Stockholders’ equity
547.7
GAAP Leverage Ratio
5.8x
Economic Leverage Ratio(6)
2.7x
Book value, per share(1)
$
13.68
Adjusted Book value, per share(1)
$
13.37
Dividend, per share
$
0.21
The below table provides a summary of our first quarter 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).
Amount
Per Diluted Share(3)
12/31/21 Book Value(1)
$
349,908
$
14.64
Common dividend
(5,022)
(0.21)
Net issuance of common stock
80
—
Core earnings
(492)
(0.02)
Net realized and unrealized gain/(loss)
included within equity in earnings/(loss) from affiliates
496
0.02
Net realized gain/(loss)
8,783
0.37
Net unrealized gain/(loss)
(22,420)
(0.94)
Dollar roll (income)/loss(a)
1,977
0.08
Transaction related expenses and deal
related performance fees
(6,132)
(0.26)
3/31/22 Book Value(1)
$
327,178
$
13.68
Change in Book Value
(22,730)
(0.96)
3/31/22 Book Value(1)
$
327,178
$
13.68
Net proceeds less liquidation preference
of preferred stock
(7,519)
(0.31)
3/31/22 Adjusted Book Value(1)
$
319,659
$
13.37
(a) 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).
DIVIDEND
The Company announced that on May 2, 2022 its Board of Directors
(the "Board") declared second 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
June 17, 2022 to preferred shareholders of record on May 31,
2022.
On March 18, 2022, the Board declared a first quarter dividend
of $0.21 per share of common stock that was paid on April 29, 2022
to common stockholders of record as of March 31, 2022.
On February 18, 2022, 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, 2022 to
preferred stockholders of record as of February 28, 2022.
STOCKHOLDER CALL
The Company invites stockholders, prospective stockholders, and
analysts to participate in MITT’s first quarter earnings conference
call on May 6, 2022 at 8:30 am Eastern Time. The stockholder call
can be accessed by dialing 1 (866) 374-5140. International callers
should dial 1 (404) 400-0571. The PIN is 41783903#.
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 Q1 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 following on May 9, 2022 through June 5, 2022. To
access the replay, please go to
https://onlinexperiences.com/Launch/QReg/ShowUUID=A286099D-9F7E-423B-BC5C-1A45E530BFAC.
The replay passcode is EV00134675.
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 $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 residential 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; the
anticipated impact of changes in interest rates 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 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, 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
March 31, 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)
March 31, 2022
December 31, 2021
Assets
Securitized residential mortgage loans, at
fair value - $208,312 and $119,947 pledged as collateral,
respectively
$
2,105,572
$
1,158,134
Residential mortgage loans, at fair value
- $1,160,870 and $1,469,358 pledged as collateral, respectively
1,167,061
1,476,972
Real estate securities, at fair value -
$196,911 and $444,481 pledged as collateral, respectively
246,004
514,470
Investments in debt and equity of
affiliates
87,086
92,023
Cash and cash equivalents
50,541
68,079
Restricted cash
45,630
32,150
Receivable on unsettled trades - $68,747
and $0 pledged as collateral, respectively
107,788
—
Other assets
29,274
20,900
Total Assets
$
3,838,956
$
3,362,728
Liabilities
Securitized debt, at fair value
$
1,859,917
$
999,215
Financing arrangements
1,411,493
1,777,743
Dividend payable
5,022
5,021
Other liabilities
14,874
10,369
Total Liabilities
3,291,306
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 23,915 and 23,908
shares issued and outstanding at March 31, 2022 and December 31,
2021, respectively
239
239
Additional paid-in capital
796,549
796,469
Retained earnings/(deficit)
(469,610)
(446,800)
Total Stockholders’ Equity
547,650
570,380
Total Liabilities & Stockholders’
Equity
$
3,838,956
$
3,362,728
AG Mortgage Investment Trust,
Inc. and Subsidiaries
Consolidated Statements of
Operations (Unaudited)
(in thousands, except per
share data)
Three Months Ended
March 31, 2022
March 31, 2021
Net Interest Income
Interest income
$
33,417
$
12,119
Interest expense
16,122
4,061
Total Net Interest Income
17,295
8,058
Other Income/(Loss)
Net interest component of interest rate
swaps
(2,270)
(741)
Net realized gain/(loss)
8,783
(4,038)
Net unrealized gain/(loss)
(22,420)
19,849
Other income/(loss), net
—
37
Total Other Income/(Loss)
(15,907)
15,107
Expenses
Management fee to affiliate
1,962
1,654
Other operating expenses
3,688
4,150
Transaction related expenses
5,879
(167)
Servicing fees
1,007
615
Total Expenses
12,536
6,252
Income/(loss) before equity in
earnings/(loss) from affiliates
(11,148)
16,913
Equity in earnings/(loss) from
affiliates
(2,054)
26,336
Net Income/(Loss)
(13,202)
43,249
Gain on Exchange Offers, net
—
358
Dividends on preferred stock
(4,586)
(4,924)
Net Income/(Loss) Available to Common
Stockholders
$
(17,788)
$
38,683
Earnings/(Loss) Per Share of Common
Stock (a)
Basic
$
(0.74)
$
2.74
Diluted
$
(0.74)
$
2.74
Weighted Average Number of Shares of
Common Stock Outstanding (a)
Basic
23,915
14,116
Diluted
23,915
14,116
- 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 March 31,
2022 and 2021 is set forth below (in thousands, except per share
data):
Three Months Ended
March 31, 2022
March 31, 2021
Net Income/(loss) available to common
stockholders
$
(17,788)
$
38,683
Add (Deduct):
Net realized (gain)/loss
(8,783)
4,038
Net unrealized (gain)/loss
22,420
(19,849)
Transaction related expenses and deal
related performance fees(a)
6,132
(12)
Equity in (earnings)/loss from
affiliates
2,054
(26,336)
Net interest income and expenses from
equity method investments(b)(c)
(2,550)
7,322
Other (income)/loss, net
—
(14)
(Gains) from Exchange Offer, net
—
(358)
Dollar roll income/(loss)
(1,977)
—
Core Earnings
$
(492)
$
3,474
Core Earnings, per Diluted Share(d)
$
(0.02)
$
0.25
(a) For the three months ended March 31,
2022 and 2021, total transaction related expenses and deal related
performance fees included $5.9 million and $(0.2) million,
respectively, recorded within the "Transaction related expenses"
line item and $0.2 million and $0.2 million, respectively, recorded
within the "Interest expense" line item, which relates to the
amortization of deferred financing costs.
(b) For the three months ended March 31,
2022 and 2021, $4.4 million or $0.18 per share and $2.6 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 Core Earnings per
diluted share, net of deferred tax expense. Additionally, for the
three months ended March 31, 2022 and 2021, $(2.5) million or
$(0.10) per share and $0.6 million or $0.04 per share,
respectively, of unrealized changes in the fair value of Arc Home
were excluded from Core Earnings.
(c) 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 March 31, 2022 and 2021, we eliminated $2.4
million or $0.10 per share and $0.5 million or $0.03 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.
(d) All per share amounts for all periods
presented have been adjusted to reflect the one-for-three reverse
stock split.
The components of Core Earnings for the three months ended March
31, 2022 and 2021 is set forth below (in thousands, except per
share data):
Three Months Ended
March 31, 2022
March 31, 2021
Net Interest Income
$
18,728
$
12,685
MITT’s After-Tax Share of Arc Home Net
Income
3,145
6,210
Less: Gains on loans sold to MITT(a)
(2,356)
(456)
Less: MSR MTM gains / deferred tax
expense(b)
(4,410)
(2,596)
Arc Home Core Earnings to MITT
(3,621)
3,158
Net interest component of interest rate
swaps
(2,270)
(741)
Dollar roll income/(loss)
(1,977)
—
Hedge Expense
(4,247)
(741)
Management fee to affiliate
(1,962)
(1,654)
Other operating expenses
(3,797)
(4,435)
Servicing fees
(1,007)
(615)
Dividends on preferred stock
(4,586)
(4,924)
Operating Expense
(11,352)
(11,628)
Core Earnings
$
(492)
$
3,474
Core Earnings, per Diluted Share(c)
$
(0.02)
$
0.25
(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 MSRs, net of deferred tax
expense.
(c) All per share amounts for all periods
presented have been adjusted to reflect the one-for-three reverse
stock split.
Footnotes
- As of March 31, 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 March 31,
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 that 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 and 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. The percentage of fair value includes any
net TBA positions and mortgage loans and securities owned through
investments in affiliates and is exclusive of AG Arc LLC.
- 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, 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.
- 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 $54.1 million as
of March 31, 2022, representing a 44.6% ownership interest.
View source
version on businesswire.com: https://www.businesswire.com/news/home/20220506005110/en/
Investor Relations ir@agmit.com 212-692-2110
AG Mortgage Investment (NYSE:MITT)
Historical Stock Chart
From Jun 2024 to Jul 2024
AG Mortgage Investment (NYSE:MITT)
Historical Stock Chart
From Jul 2023 to Jul 2024