NEW YORK--(BUSINESS WIRE)--

AG Mortgage Investment Trust, Inc. (“MITT” or the “Company”) (NYSE: MITT) today reported financial results for the quarter-ended March 31, 2018. AG Mortgage Investment Trust, Inc. is a hybrid mortgage REIT that opportunistically invests in a diversified risk-adjusted portfolio of Agency RMBS and Credit Investments, which include our Residential Investments, Commercial Investments and ABS Investments.

FIRST QUARTER FINANCIAL HIGHLIGHTS

• $0.17 of Net Income/(Loss) per diluted common share⁽¹⁾
• $0.59 of Core Earnings per diluted common share⁽¹⁾
  • Includes $0.02 retrospective adjustment
  • Includes $0.03 one-time positive impact from commercial loan payoff subsequent to quarter end
• 0.9% economic return on equity for the quarter, 3.6% annualized⁽²⁾
• $19.32 book value per share⁽¹⁾ as of March 31, 2018, inclusive of our current quarter $0.475 common dividend
  • Book value decreased $(0.30) or (1.5)% from last quarter, inclusive of:
    • $(0.36) or (1.8)% due to our investments in Agency RMBS and associated derivative hedges
      • Increased interest rates and modest spread widening resulted in negative impact to book value
    • $(0.05) or (0.3)% due to our Credit investments
      • Periodic bouts of equity market volatility had sector specific effects, but spreads overall were generally unchanged
    • $0.11 or 0.6% due to core earnings above the $0.475 dividend

* For a reconciliation of GAAP Net Income/(Loss) to Core Earnings, refer to the Reconciliation of Core Earnings at the end of this press release.

MANAGEMENT REMARKS

“We are pleased with how MITT’s portfolio performed during the first quarter, in light of the sharp rise in interest rates and the increased spread volatility in both Agency RMBS and credit,” said Chief Executive Officer, David Roberts. “MITT produced core earnings above our dividend, while the team focused on book value protection and risk management.”

“During the first quarter, we saw opportunities to deploy capital into RPL mortgage loans, Non-QM loans, and Excess MSR, as well as rotate out of CRT securities to take advantage of relatively tight spreads,” said Chief Investment Officer, T.J. Durkin. “We have purposefully constructed the portfolio in a way that gives us ample flexibility to opportunistically increase exposure to sectors we believe have the best return profiles.”

INVESTMENT HIGHLIGHTS

• $3.8 billion investment portfolio as of March 31, 2018^{(3) (4)}
  • Net purchases of $42.7 million of Agency and TBA securities, inclusive of unsettled trades, and net purchases of $143.8 million of Credit Investments
• 2.69% Net Interest Margin (“NIM”) as of March 31, 2018⁽⁵⁾
  • Increase in yield primarily due to the increase in interest rates and a commercial loan payoff subsequent to quarter end
  • Increase in cost of funds primarily due to an increase of 25 bps in the federal funds rate in March partially offset by repo spread tightening versus LIBOR
• 4.6x “At Risk” Leverage as of March 31, 2018⁽⁶⁾
  • Increase in leverage primarily due to the addition of TBA securities
• 6.3% constant prepayment rate (“CPR”) on the Agency RMBS investment portfolio for the first quarter⁽⁷⁾
• Duration gap was approximately 1.25 years as of March 31, 2018⁽⁸⁾

FIRST QUARTER ACTIVITY

• At quarter end, there were $120.9 mm of unsettled purchases with $96.9 mm of expected repo financing and $104.5 mm of unsettled sales with $102.9 mm of repo financing
• Deployed net equity of $23.0 million during the quarter
  • Purchases:
    • Two pools of primarily RPL mortgage loans alongside another Angelo, Gordon fund
    • Two Non-QM pools alongside other Angelo, Gordon funds
    • Excess MSR stripped from government and conventional loans
    • Revolving note on credit card ABS bridge securitization
  • Sales:
    • Generated realized gains from sales of Freddie Mac K-Series
    • Sales and payoffs of Subprime RMBS securities
    • Sold CRT securities to take advantage of relatively tight spreads

KEY STATISTICS

INVESTMENT PORTFOLIO

The following summarizes the Company’s investment portfolio as of March 31, 2018^{(3) (4)}:

Premiums and discounts associated with purchases of the Company's securities are amortized or accreted into interest income over the estimated life of such securities, using the effective yield method. The Company recorded a $0.4 million or $0.02 per diluted share retrospective adjustment due to the change in projected cash flows on its Agency RMBS, excluding interest-only securities and TBAs. Since the cost basis of the Company's Agency RMBS securities, excluding interest-only securities and TBAs, exceeds the underlying principal balance by 3.6% as of March 31, 2018, slower actual and projected prepayments can have a meaningful positive impact, while faster actual or projected prepayments can have a meaningful negative impact, on the Company's asset yields.

FINANCING AND HEDGING ACTIVITIES

The Company, either directly or through its equity method investments in affiliates, had master repurchase agreements with 39 counterparties, under which it had debt outstanding with 28 counterparties as of March 31, 2018. The investment portfolio is financed with repurchase agreements as of March 31, 2018 as summarized below:

The Company’s hedge portfolio as of March 31, 2018 is summarized as follows:

The Company’s interest rate swaps as of March 31, 2018 are summarized as follows:

* 100% of our receive variable interest rate swap notional resets quarterly based on three-month LIBOR.

TAXABLE INCOME

The primary differences between taxable income and GAAP net income include (i) unrealized gains and losses associated with investment and derivative portfolios which are marked-to-market in current income for GAAP purposes, but excluded from taxable income until realized or settled, (ii) temporary differences related to amortization of premiums and discounts paid on investments, (iii) the timing and amount of deductions related to stock-based compensation, (iv) temporary differences related to the recognition of certain terminated investments and derivatives and (v) taxes. As of March 31, 2018, the Company had estimated undistributed taxable income of approximately $1.54 per share.^{(1) (13)}

DIVIDEND

On March 15, 2018, the Company’s board of directors declared a first quarter dividend of $0.475 per share of common stock that was paid on April 30, 2018 to stockholders of record as of March 29, 2018.

On February 16, 2018, the Company’s board of directors declared a quarterly dividend of $0.51563 per share on its 8.25% Series A Cumulative Redeemable Preferred Stock and a quarterly dividend on its $0.50 per share of 8.00% Series B Cumulative Redeemable Preferred Stock. The preferred distributions were paid on March 19, 2018 to stockholders of record as of February 28, 2018.

STOCKHOLDER CALL

The Company invites stockholders, prospective stockholders and analysts to participate in MITT’s first quarter earnings conference call on May 3, 2018 at 9:30 am Eastern Time. The stockholder call can be accessed by dialing (888) 424-8151 (U.S. domestic) or (847) 585-4422 (international). Please enter code number 6497957.

A presentation will accompany the conference call and will be available on the Company’s website at www.agmit.com. Select the Q1 2018 Earnings Presentation link to download and print the presentation in advance of the stockholder call.

An audio replay of the stockholder call combined with the presentation will be made available on our website after the call. The replay will be available until June 2, 2018. If you are interested in hearing the replay, please dial (888) 843-7419 (U.S. domestic) or (630) 652-3042 (international). The conference ID number is 6497957.

For further information or questions, please e-mail [email protected].

ABOUT AG MORTGAGE INVESTMENT TRUST, INC.

AG Mortgage Investment Trust, Inc. is a real estate investment trust that invests in, acquires and manages a diversified portfolio of residential and commercial mortgage assets, other real estate-related securities and financial assets. AG Mortgage Investment Trust, Inc. is externally managed and advised by AG REIT Management, LLC, a subsidiary of Angelo, Gordon & Co., L.P., an SEC-registered investment adviser that specializes in alternative investment activities.

Additional information can be found on the Company's website at www.agmit.com.

ABOUT ANGELO, GORDON & CO.

Angelo, Gordon & Co., L.P. is a privately held limited partnership founded in November 1988. The firm currently manages approximately $28 billion with a primary focus on credit and real estate strategies. Angelo, Gordon has over 400 employees, including more than 160 investment professionals, and is headquartered in New York, with offices 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, our investment and portfolio strategy, investment returns, return on equity, liquidity and financing, taxes, our assets, our interest rate sensitivity, and our views on certain macroeconomic trends, among others. Forward-looking statements are based on estimates, projections, beliefs and assumptions of management of the Company at the time of such statements and are not guarantees of future performance. Forward-looking statements involve risks and uncertainties in predicting future results and conditions. Actual results could differ materially from those projected in these forward-looking statements due to a variety of factors, including, without limitation, changes in interest rates, changes in the yield curve, changes in prepayment rates, the availability and terms of financing, changes in the market value of our assets, general economic conditions, conditions in the market for Agency RMBS, Non-Agency RMBS, ABS and CMBS securities and loans, and legislative and regulatory changes that could adversely affect the business of the Company. Additional information concerning these and other risk factors are contained in the Company's filings with the Securities and Exchange Commission ("SEC"), including its most recent Annual Report on Form 10-K and subsequent filings. Copies are available free of charge on the SEC's website, http://www.sec.gov/. All information in this press release is as of May 2, 2018. The Company undertakes no duty to update any forward-looking statements to reflect any change in its expectations or any change in events, conditions or circumstances on which any such statement is based.

NON-GAAP FINANCIAL MEASURE

This press release contains Core Earnings, a non-GAAP financial measure. Our management believes that this non-GAAP measure, when considered with our GAAP financials, provides supplemental information useful for investors in evaluating our results of operations. 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 both unrealized and realized gains/(losses) on the sale or termination of securities and the related tax expense/benefit or disposition expense, if any, on such sale or termination including (i) investments held in affiliated entities and (ii) derivatives. As defined, Core Earnings include the net interest 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. One of our objectives is to generate net income from net interest margin on the portfolio, and management uses Core Earnings to measure this objective. Management believes that this non-GAAP measure, when considered with our GAAP financials, provides supplemental information useful for investors in evaluating our results of operations. This metric, in conjunction with related GAAP measures, provides greater transparency into the information used by our management in its financial and operational decision-making.

A reconciliation of GAAP Net Income/(loss) available to common stockholders to Core Earnings for the three months ended March 31, 2018 and the three months ended March 31, 2017 is set forth below:

Footnotes

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