AG Mortgage Investment Trust, Inc. Reports Full Year and Fourth Quarter 2023 Results
FULL YEAR AND FOURTH QUARTER 2023 FINANCIAL HIGHLIGHTS
Full Year 2023:
-
$10.46 Book Value per share as ofDecember 31, 2023 compared to$11.39 as ofDecember 31, 2022 (1) -
$10.20 Adjusted Book Value per share as ofDecember 31, 2023 compared to$11.03 as ofDecember 31, 2022 (1)-
Decrease of approximately (7.5)% from
December 31, 2022 - Annual Economic Return on Equity of (1.0)%(2)
-
Decrease of approximately (7.5)% from
-
$1.68 and$0.39 of Net Income/(Loss) and Earnings Available for Distribution ("EAD") per diluted common share, respectively(3) -
$0.72 dividend per common share declared in 2023
Fourth Quarter 2023:
-
Decrease in Adjusted Book Value per share of approximately (7.2)% from
September 30, 2023 - Quarterly Economic Return on Equity of (5.6)%(2)
-
$1.35 and$0.17 of Net Income/(Loss) and EAD per diluted common share, respectively(3) -
$0.18 dividend per common share declared in Q4 2023
MANAGEMENT REMARKS
"The past year has been transformational for MITT. We completed an M&A transaction to increase our market capitalization by nearly 50% and consistently executed on our business strategy, repositioning a significant portion of equity into higher yielding securitized residential assets and de-risking our recourse leverage exposure,” said TJ Durkin, Chief Executive Officer and President. "Looking ahead, we are confident in our ability to build on this momentum, focused on driving earnings power and enhancing G&A efficiencies to make MITT a more scaled and profitable investment vehicle for our stockholders."
ACQUISITION OF WESTERN ASSET MORTGAGE CAPITAL CORPORATION
On
- Issued approximately 9.2 million shares of MITT common stock to former WMC common stockholders, increasing our market capitalization by approximately 46%
-
Acquired
$1.2 billion of assets consisting primarily of securitized residential mortgage loans, increasing our investment portfolio by approximately 25% -
Assumed
$1.1 billion of liabilities inclusive of securitized debt, financing arrangements, and 6.75% Convertible Senior Notes due 2024 (the "Convertible Notes") -
Increased total equity by
$81.4 million and recorded a bargain purchase gain of$30.2 million -
Manager contributed
$5.7 million of cash consideration to WMC shareholders -
Manager agreed to waive
$2.4 million of management fees beginning in the fourth quarter 2023 -
Manager agreed to offset
$1.3 million in future reimbursable expenses under the management agreement -
The WMC acquisition is expected to result in significant annual expense savings of
$5 million to$7 million and to be accretive to earnings in 2024 - As a result of the acquisition, two WMC independent directors joined the MITT Board, creating 75% independence on MITT's Board of Directors
INVESTMENT, FINANCING, AND CAPITAL MARKETS HIGHLIGHTS
-
$5.9 billion Investment Portfolio as ofDecember 31, 2023 (4)-
Purchased
$1.2 billion of Non-Agency and Agency-Eligible Loans during 2023,$281.8 million of which were purchased in the fourth quarter 2023 -
Loans with a fair value of
$74.2 million committed to be purchased from Arc Home(5) as ofDecember 31, 2023
-
Purchased
-
$5.6 billion of financing as ofDecember 31, 2023 (4)$4.8 billion of non-recourse financing and$0.8 billion of recourse financing-
Executed three rated securitizations of
$1.0 billion of unpaid principal balance during 2023 converting recourse financing with mark-to-market margin calls to non-recourse financing without mark-to-market margin calls -
In
January 2024 , executed a rated Agency-Eligible securitization of$377.5 million of unpaid principal balance, converting recourse financing with mark-to-market margin calls to non-recourse financing without mark-to-market margin calls -
In
January 2024 , completed the issuance and sale of$34.5 million aggregate principal amount of 9.500% Senior Unsecured Notes due 2029, generating$32.8 million in net proceeds to the Company -
In
January 2024 , repurchased$7.1 million of aggregate principal amount of outstanding Convertible Notes, which were assumed by a subsidiary of the Company, and guaranteed by the Company, in the WMC acquisition
-
10.5x GAAP Leverage Ratio and 1.5x Economic Leverage Ratio as of
December 31, 2023 - 0.9% Net Interest Margin(6)
-
$112.3 million of total liquidity as ofDecember 31, 2023 -
Consisted of
$111.5 million of cash and cash equivalents and$0.8 million of unencumbered Agency RMBS
-
Consisted of
-
Accretive repurchase of 1.1 million shares of common stock for
$6.4 million during 2023, representing a weighted average cost of$5.72 per share$16.5 million of capacity remaining under our existing repurchase programs as of the date of this release
OUR MANAGER AND TPG
On
INVESTMENT PORTFOLIO
The following summarizes the Company’s investment portfolio as of
|
|
Fair Value |
|
Yield(7) |
|
Financing |
|
Cost of
|
|
Equity |
||||||
Residential Investments(b) |
|
$ |
5,788.4 |
|
5.8 |
% |
|
$ |
5,390.6 |
|
5.1 |
% |
|
$ |
397.8 |
|
Agency RMBS |
|
|
15.7 |
|
10.2 |
% |
|
|
12.6 |
|
6.2 |
% |
|
|
3.1 |
|
Legacy WMC Commercial and Other Investments |
|
|
123.8 |
|
15.2 |
% |
|
|
79.6 |
|
7.8 |
% |
|
|
44.2 |
|
Total Investment Portfolio |
|
$ |
5,927.9 |
|
6.1 |
% |
|
$ |
5,482.8 |
|
5.1 |
% |
|
$ |
445.1 |
|
Cash and Cash Equivalents |
|
|
111.5 |
|
5.3 |
% |
|
|
— |
|
|
|
|
111.5 |
|
|
Interest Rate Swaps(c) |
|
|
12.2 |
|
1.7 |
% |
|
|
— |
|
|
|
|
12.2 |
|
|
Arc Home(5) |
|
|
33.6 |
|
|
|
|
— |
|
|
|
|
33.6 |
|
||
Convertible senior unsecured notes |
|
|
— |
|
|
|
|
85.3 |
|
8.4 |
% |
|
|
(85.3 |
) |
|
Non-interest earning assets, net |
|
|
11.3 |
|
|
|
|
— |
|
|
|
|
11.3 |
|
||
Total |
|
$ |
6,096.5 |
|
|
|
$ |
5,568.1 |
|
|
|
$ |
528.4 |
|
||
|
|
|
|
|
|
|
|
|
|
|
||||||
Total Investment Portfolio |
|
$ |
5,927.9 |
|
6.1 |
% |
|
$ |
5,482.8 |
|
5.1 |
% |
|
$ |
445.1 |
|
Less: Investments in Debt and Equity of Affiliates(b) |
|
|
22.9 |
|
31.4 |
% |
|
|
3.6 |
|
8.0 |
% |
|
|
19.3 |
|
Total |
|
$ |
5,905.0 |
|
5.9 |
% |
|
$ |
5,479.2 |
|
5.1 |
% |
|
$ |
425.8 |
|
(a) |
Total Cost of Funds shown includes the cost or benefit from our interest rate hedges. Total Cost of Funds as of |
|
(b) |
As of |
|
(c) |
Fair value on interest rate swaps represents the sum of the net fair value of interest rate swaps and the margin posted on interest rate swaps as of |
FINANCING PROFILE
The following summarizes the Company’s financing as of
|
|
Securitized
|
|
Residential
|
|
Residential
|
|
Agency
|
|
Legacy WMC
|
|
Unsecured
|
|
Total |
||||||||||||||
Amount |
|
$ |
4,711.6 |
|
|
$ |
401.0 |
|
|
$ |
278.0 |
|
|
$ |
12.6 |
|
|
$ |
79.6 |
|
|
$ |
85.3 |
|
|
$ |
5,568.1 |
|
Cost of Funds(8),(d) |
|
|
4.9 |
% |
|
|
6.1 |
% |
|
|
6.1 |
% |
|
|
6.2 |
% |
|
|
7.8 |
% |
|
|
8.4 |
% |
|
|
5.1 |
% |
Advance Rate |
|
|
88 |
% |
|
|
54 |
% |
|
|
88 |
% |
|
|
84 |
% |
|
|
68 |
% |
|
|
N/A |
|
|
|
N/A |
|
Available Borrowing
|
|
|
N/A |
|
|
|
N/A |
|
|
$ |
1,775.0 |
|
|
|
N/A |
|
|
|
N/A |
|
|
|
N/A |
|
|
$ |
1,775.0 |
|
Recourse/Non-
|
|
Non-Recourse |
|
Recourse/Non-Recourse |
|
Recourse |
|
Recourse |
|
Recourse |
|
Recourse |
|
Recourse/Non-Recourse |
||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||
Financing Amount |
|
$ |
4,711.6 |
|
|
$ |
401.0 |
|
|
$ |
278.0 |
|
|
$ |
12.6 |
|
|
$ |
79.6 |
|
|
$ |
85.3 |
|
|
$ |
5,568.1 |
|
Less: Financing in
|
|
|
— |
|
|
|
3.6 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
3.6 |
|
Financing: GAAP Basis |
|
$ |
4,711.6 |
|
|
$ |
397.4 |
|
|
$ |
278.0 |
|
|
$ |
12.6 |
|
|
$ |
79.6 |
|
|
$ |
85.3 |
|
|
$ |
5,564.5 |
|
(a) |
Includes financing on the retained tranches from securitizations issued by the Company and consolidated in the “Securitized residential mortgage loans, at fair value” line item on the Company’s consolidated balance sheets. Additionally, includes financing on Non-Agency RMBS included in the “Real estate securities, at fair value” and “Investments in debt and equity of affiliates” line items on the Company’s consolidated balance sheets. |
(b) |
Includes financing on Commercial loans and CMBS included in the "Commercial loans, at fair value" and “Real estate securities, at fair value” line items, respectively, on the Company’s consolidated balance sheets. |
(c) |
Includes Convertible Notes assumed by MITT's subsidiary in the WMC acquisition as of |
(d) |
Total Cost of Funds shown includes the cost or benefit from the Company's interest rate hedges. Cost of Funds as of |
(e) |
The borrowing capacity under our residential mortgage loan warehouse financing arrangements is uncommitted by the lenders. |
In
ARC HOME UPDATE (5)
-
Arc Home continues to focus on Non-Agency Loan originations:
-
Arc Home originated
$420.8 million and$1.6 billion of residential mortgage loans during Q4 2023 and the full year 2023, respectively -
MITT purchased loans with an unpaid principal balance of
$232.3 million and$675.0 million during Q4 2023 and the full year 2023, respectively, from Arc Home -
As of
December 31, 2023 , MITT had a commitment to purchase loans with an unpaid principle balance of$72.7 million from Arc Home
-
Arc Home originated
-
Cash of
$13.4 million as ofDecember 31, 2023 , along with Arc Home's$85.0 million MSR portfolio that is largely unlevered, provides Arc Home with a strong financial position to manage the current dynamics in the mortgage origination market -
Arc Home generated an after-tax net loss of
$(4.3) million in the fourth quarter 2023 primarily resulting from declines in origination volumes coupled with mark to market losses in the fair value of Arc Home's mortgage servicing right portfolio-
MITT's portion of the after-tax net loss was
$(1.9) million , prior to removing any gains on loans acquired by MITT from Arc Home which approximated$0.3 million during the fourth quarter of 2023(a)
-
MITT's portion of the after-tax net loss was
-
As of
December 31, 2023 , the fair value of MITT’s investment in Arc Home was calculated using a valuation multiple of 0.89x book value
(a) MITT eliminates any gains or losses on loans acquired by MITT from Arc Home from the "Equity in earnings/(loss) from affiliates" line item and decreases or increases the cost basis of the underlying loans accordingly resulting in unrealized gains or losses, which are recorded in the "Net unrealized gains/(losses)" line item on the Company's consolidated income statement.
BOOK VALUE ROLL-FORWARD
The below table provides a summary of our fourth quarter and full year 2023 activity impacting book value as well as a reconciliation to adjusted book value ($ in thousands, except per share data).
|
|
Quarter Ended
|
|
Year Ended
|
||||||||||||
|
|
Amount |
|
Per Diluted
|
|
Amount |
|
Per Diluted
|
||||||||
Beginning Book Value(1) |
|
$ |
229,950 |
|
|
$ |
11.37 |
|
|
$ |
242,328 |
|
|
$ |
11.39 |
|
Common dividend |
|
|
(4,103 |
) |
|
|
(0.18 |
) |
|
|
(15,063 |
) |
|
|
(0.72 |
) |
Equity from WMC acquisition(a) |
|
|
81,353 |
|
|
|
(0.76 |
) |
|
|
81,353 |
|
|
|
(0.75 |
) |
Issuance/(repurchase) of common stock |
|
|
119 |
|
|
|
— |
|
|
|
(5,972 |
) |
|
|
0.29 |
|
Earnings available for distribution |
|
|
3,948 |
|
|
|
0.17 |
|
|
|
8,274 |
|
|
|
0.39 |
|
Net realized and unrealized gain/(loss) included within equity in
|
|
|
(2,228 |
) |
|
|
(0.09 |
) |
|
|
(938 |
) |
|
|
(0.04 |
) |
Net realized gain/(loss) |
|
|
(1,474 |
) |
|
|
(0.06 |
) |
|
|
7,697 |
|
|
|
0.36 |
|
Net unrealized gain/(loss) |
|
|
1,707 |
|
|
|
0.07 |
|
|
|
1,450 |
|
|
|
0.07 |
|
Transaction related expenses and deal related performance fees |
|
|
(1,376 |
) |
|
|
(0.06 |
) |
|
|
(11,233 |
) |
|
|
(0.53 |
) |
|
|
$ |
307,896 |
|
|
$ |
10.46 |
|
|
$ |
307,896 |
|
|
$ |
10.46 |
|
Change in Book Value |
|
|
77,946 |
|
|
|
(0.91 |
) |
|
|
65,568 |
|
|
|
(0.93 |
) |
|
|
|
|
|
|
|
|
|
||||||||
|
|
$ |
307,896 |
|
|
$ |
10.46 |
|
|
$ |
307,896 |
|
|
$ |
10.46 |
|
Net proceeds less liquidation preference of preferred stock |
|
|
(7,519 |
) |
|
|
(0.26 |
) |
|
|
(7,519 |
) |
|
|
(0.26 |
) |
|
|
$ |
300,377 |
|
|
$ |
10.20 |
|
|
$ |
300,377 |
|
|
$ |
10.20 |
|
|
|
|
|
|
|
|
|
|
||||||||
Beginning Book Value(1) |
|
$ |
229,950 |
|
|
$ |
11.37 |
|
|
$ |
242,328 |
|
|
$ |
11.39 |
|
Net proceeds less liquidation preference of preferred stock |
|
|
(7,519 |
) |
|
|
(0.37 |
) |
|
|
(7,519 |
) |
|
|
(0.36 |
) |
Beginning Adjusted Book Value(1) |
|
$ |
222,431 |
|
|
$ |
11.00 |
|
|
$ |
234,809 |
|
|
$ |
11.03 |
|
(a) Equity from WMC acquisition includes the issuance of MITT common stock to WMC shareholders as well as the bargain purchase gain.
DIVIDENDS
The Company announced that on
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
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
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
The above dividends for the Series A Preferred Stock, the Series B Preferred Stock, and the Series C Preferred Stock are payable on
In accordance with the terms of the merger agreement for the WMC acquisition, the Board declared the following interim common stock dividends:
-
On
November 20, 2023 , the Board declared a second interim fourth quarter dividend of$0.05 per share of common stock that was paid onJanuary 2, 2024 to common stockholders of record as ofNovember 30, 2023 . -
On
October 24, 2023 , the Board declared an interim fourth quarter dividend of$0.08 per share of common stock that was paid onNovember 8, 2023 to common stockholders of record as ofNovember 3, 2023 .
In addition, on
On
STOCKHOLDER CALL
The Company invites stockholders, prospective stockholders, and analysts to participate in MITT’s fourth quarter earnings conference call on
To participate in the call by telephone, please dial (800) 445-7795 at least five minutes prior to the start time. International callers should dial (785) 424-1699. The Conference ID is MITTQ423. To listen to the live webcast of the conference call, please go to https://event.on24.com/wcc/r/4503620/58E78A554509AAFDAA8097512BFD7B3D and register using the same Conference ID.
A presentation will accompany the conference call and will be available prior to the call on the Company’s website, www.agmit.com, under "Presentations" in the "News & Presentations" section.
For those unable to listen to the live call, an audio replay will be available on
ABOUT
Additional information can be found on the Company’s website at www.agmit.com.
ABOUT TPG
Founded in 1988,
*TPG Angelo Gordon’s currently stated assets under management (“AUM”) of approximately
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, our ability to drive earnings power and enhance G&A efficiencies to make MITT a more scaled and profitable investment vehicle for our stockholders; failure to realize the anticipated benefits and synergies of the WMC acquisition, including whether we will achieve the savings and accretion expected within the anticipated timeframe or at all; whether market conditions will improve in the timeline anticipated or at all; our ability to continue to grow our residential investment portfolio; our acquisition pipeline; our ability to invest in higher yielding assets through Arc Home, other origination partners or otherwise; our levels of liquidity, including whether our liquidity will sufficiently enable us to continue to deploy capital within the residential whole loan space as anticipated or at all; the impact of market, regulatory and structural changes on the market opportunities we expect to have, and whether we will be able to capitalize on such opportunities in the manner we anticipate; the impact of market volatility on our business and ability to execute our strategy; our trading volume and liquidity; our portfolio mix, including levels of
NON-GAAP FINANCIAL INFORMATION
In addition to the results presented in accordance with GAAP, this press release includes certain non-GAAP financial results and financial metrics derived therefrom, including Earnings Available for Distribution, investment portfolio, financing arrangements, and Economic Leverage Ratio, which are calculated by including or excluding unconsolidated investments in affiliates as described in the footnotes to this press release. Our management team believes that this non-GAAP financial information, when considered with our GAAP financial statements, provides supplemental information useful for investors to help evaluate our financial performance. However, our management team also believes that our definition of EAD has important limitations as it does not include certain earnings or losses our management team considers in evaluating our financial performance. Our presentation of non-GAAP financial information may not be comparable to similarly-titled measures of other companies, who may use different calculations. This non-GAAP financial information should not be considered a substitute for, or superior to, the financial measures calculated in accordance with GAAP. Our GAAP financial results and the reconciliations of the non-GAAP financial measures included in this press release to the most directly comparable financial measures prepared in accordance with GAAP should be carefully evaluated.
|
|||||||
Consolidated Balance Sheets (Unaudited) |
|||||||
(in thousands, except per share data) |
|||||||
|
|
|
|
||||
Assets |
|
|
|
||||
Securitized residential mortgage loans, at fair value - |
$ |
5,358,281 |
|
|
$ |
3,707,146 |
|
Residential mortgage loans, at fair value - |
|
317,631 |
|
|
|
356,467 |
|
Residential mortgage loans held for sale, at fair value - |
|
— |
|
|
|
64,984 |
|
Commercial loans, at fair value - |
|
66,303 |
|
|
|
— |
|
Real estate securities, at fair value - |
|
162,821 |
|
|
|
43,719 |
|
Investments in debt and equity of affiliates |
|
55,103 |
|
|
|
71,064 |
|
Cash and cash equivalents |
|
111,534 |
|
|
|
84,621 |
|
Restricted cash |
|
14,039 |
|
|
|
14,182 |
|
Other assets |
|
40,716 |
|
|
|
27,595 |
|
Total Assets |
$ |
6,126,428 |
|
|
$ |
4,369,778 |
|
|
|
|
|
||||
Liabilities |
|
|
|
||||
Securitized debt, at fair value |
$ |
4,711,623 |
|
|
$ |
3,262,352 |
|
Financing arrangements |
|
767,592 |
|
|
|
621,187 |
|
Convertible senior unsecured notes |
|
85,266 |
|
|
|
— |
|
Dividend payable |
|
1,472 |
|
|
|
3,846 |
|
Due to affiliates |
|
3,252 |
|
|
|
3,652 |
|
Other liabilities |
|
28,855 |
|
|
|
15,941 |
|
Total Liabilities |
|
5,598,060 |
|
|
|
3,906,978 |
|
Commitments and Contingencies |
|
|
|
||||
Stockholders' Equity |
|
|
|
||||
Preferred stock - |
|
220,472 |
|
|
|
220,472 |
|
Common stock, par value |
|
294 |
|
|
|
212 |
|
Additional paid-in capital |
|
823,715 |
|
|
|
778,606 |
|
Retained earnings/(deficit) |
|
(516,113 |
) |
|
|
(536,490 |
) |
Total Stockholders' Equity |
|
528,368 |
|
|
|
462,800 |
|
|
|
|
|
||||
Total Liabilities & Stockholders' Equity |
$ |
6,126,428 |
|
|
$ |
4,369,778 |
|
|
||||||||||||
Consolidated Statements of Operations (Unaudited) |
||||||||||||
(in thousands, except per share data) |
||||||||||||
|
|
Three Months
|
|
Three Months
|
|
Year Ended
|
||||||
Net Interest Income |
|
|
|
|
|
|
||||||
Interest income |
|
$ |
77,527 |
|
|
$ |
57,286 |
|
|
$ |
260,329 |
|
Interest expense |
|
|
64,191 |
|
|
|
44,924 |
|
|
|
212,500 |
|
Total Net Interest Income |
|
|
13,336 |
|
|
|
12,362 |
|
|
|
47,829 |
|
|
|
|
|
|
|
|
||||||
Other Income/(Loss) |
|
|
|
|
|
|
||||||
Net interest component of interest rate swaps |
|
|
1,655 |
|
|
|
927 |
|
|
|
6,680 |
|
Net realized gain/(loss) |
|
|
(1,474 |
) |
|
|
21,317 |
|
|
|
7,697 |
|
Net unrealized gain/(loss) |
|
|
1,707 |
|
|
|
(14,602 |
) |
|
|
1,450 |
|
Bargain purchase gain |
|
|
30,190 |
|
|
|
— |
|
|
|
30,190 |
|
Total Other Income/(Loss) |
|
|
32,078 |
|
|
|
7,642 |
|
|
|
46,017 |
|
|
|
|
|
|
|
|
||||||
Expenses |
|
|
|
|
|
|
||||||
Management fee to affiliate |
|
|
1,521 |
|
|
|
2,112 |
|
|
|
7,711 |
|
Non-investment related expenses |
|
|
2,229 |
|
|
|
1,582 |
|
|
|
10,077 |
|
Investment related expenses |
|
|
2,903 |
|
|
|
2,309 |
|
|
|
9,808 |
|
Transaction related expenses |
|
|
1,376 |
|
|
|
1,535 |
|
|
|
11,076 |
|
Total Expenses |
|
|
8,029 |
|
|
|
7,538 |
|
|
|
38,672 |
|
|
|
|
|
|
|
|
||||||
Income/(loss) before equity in earnings/(loss) from
|
|
|
37,385 |
|
|
|
12,466 |
|
|
|
55,174 |
|
|
|
|
|
|
|
|
||||||
Equity in earnings/(loss) from affiliates |
|
|
(2,032 |
) |
|
|
(772 |
) |
|
|
(1,390 |
) |
Net Income/(Loss) |
|
|
35,353 |
|
|
|
11,694 |
|
|
|
53,784 |
|
|
|
|
|
|
|
|
||||||
Dividends on preferred stock |
|
|
(4,586 |
) |
|
|
(4,586 |
) |
|
|
(18,344 |
) |
|
|
|
|
|
|
|
||||||
Net Income/(Loss) Available to Common Stockholders |
|
$ |
30,767 |
|
|
$ |
7,108 |
|
|
$ |
35,440 |
|
|
|
|
|
|
|
|
||||||
Earnings/(Loss) Per Share of Common Stock |
|
|
|
|
|
|
||||||
Basic |
|
$ |
1.35 |
|
|
$ |
0.33 |
|
|
$ |
1.68 |
|
Diluted |
|
$ |
1.35 |
|
|
$ |
0.33 |
|
|
$ |
1.68 |
|
|
|
|
|
|
|
|
||||||
Weighted Average Number of Shares of Common Stock
|
|
|
|
|
|
|
||||||
Basic |
|
|
22,836 |
|
|
|
21,824 |
|
|
|
21,095 |
|
Diluted |
|
|
22,843 |
|
|
|
21,824 |
|
|
|
21,097 |
|
NON-GAAP FINANCIAL MEASURES
Earnings Available for Distribution
This press release contains Earnings Available for Distribution ("EAD"), a non-GAAP financial measure. Our presentation of EAD may not be comparable to similarly-titled measures of other companies, who may use different calculations. This non-GAAP measure should not be considered a substitute for, or superior to, the financial measures calculated in accordance with GAAP. Our GAAP financial results and the reconciliations from these results should be carefully evaluated.
We define EAD, a non-GAAP financial measure, as Net Income/(loss) available to common stockholders excluding (i) (a) unrealized gains/(losses) on loans, real estate securities, derivatives and other investments, inclusive of our investment in AG Arc, and (b) net realized gains/(losses) on the sale or termination of such instruments, (ii) any transaction related expenses incurred in connection with the acquisition, disposition, or securitization of our investments as well as transaction related expenses incurred in connection with the WMC acquisition, (iii) accrued deal-related performance fees payable to third party operators to the extent the primary component of the accrual relates to items that are excluded from EAD, such as unrealized and realized gains/(losses), (iv) realized and unrealized changes in the fair value of Arc Home's net mortgage servicing rights and the derivatives intended to offset changes in the fair value of those net mortgage servicing rights, (v) deferred taxes recognized at our taxable REIT subsidiaries, if any, (vi) any gains/(losses) associated with exchange transactions on our common and preferred stock, and (vii) any bargain purchase gains recognized. Items (i) through (vii) above include any amount related to those items held in affiliated entities. Management considers the transaction related expenses referenced in (ii) above to be similar to realized losses incurred at the acquisition, disposition, or securitization of an asset and does not view them as being part of its core operations. Management views the exclusion described in (iv) above to be consistent with how it calculates EAD on the remainder of its portfolio. Management excludes all deferred taxes because it believes deferred taxes are not representative of current operations. EAD includes the net interest income and other income earned on our investments on a yield adjusted basis, including TBA dollar roll income/(loss) or any other investment activity that may earn or pay net interest or its economic equivalent.
A reconciliation of GAAP Net Income/(loss) available to common stockholders to EAD for the three months ended
|
|
Three Months Ended
|
|
Three Months Ended
|
|
Year Ended
|
||||||
Net Income/(loss) available to common stockholders |
|
$ |
30,767 |
|
|
$ |
7,108 |
|
|
$ |
35,440 |
|
Add (Deduct): |
|
|
|
|
|
|
||||||
Net realized (gain)/loss |
|
|
1,474 |
|
|
|
(21,317 |
) |
|
|
(7,697 |
) |
Net unrealized (gain)/loss |
|
|
(1,707 |
) |
|
|
14,602 |
|
|
|
(1,450 |
) |
Transaction related expenses and deal related
|
|
|
1,376 |
|
|
|
1,587 |
|
|
|
11,233 |
|
Equity in (earnings)/loss from affiliates |
|
|
2,032 |
|
|
|
772 |
|
|
|
1,390 |
|
EAD from equity method investments(a)(b) |
|
|
196 |
|
|
|
(1,565 |
) |
|
|
(452 |
) |
Bargain purchase gain |
|
|
(30,190 |
) |
|
|
— |
|
|
|
(30,190 |
) |
Earnings available for distribution |
|
$ |
3,948 |
|
|
$ |
1,187 |
|
|
$ |
8,274 |
|
|
|
|
|
|
|
|
||||||
Earnings available for distribution, per diluted share |
|
$ |
0.17 |
|
|
$ |
0.05 |
|
|
$ |
0.39 |
|
(a) |
For the three months ended |
(b) |
EAD recognized by AG Arc does not include our portion of gains recorded by Arc Home in connection with the sale of residential mortgage loans to us. For the three months ended |
The components of EAD for the three months ended
|
Three Months Ended
|
|
Three Months Ended
|
|
Year Ended
|
||||||
Net Interest Income |
$ |
14,360 |
|
|
$ |
13,875 |
|
|
$ |
53,215 |
|
|
|
|
|
|
|
||||||
Net interest component of interest rate swaps |
|
1,655 |
|
|
|
927 |
|
|
|
6,680 |
|
|
|
|
|
|
|
||||||
Arc Home EAD |
|
(413 |
) |
|
|
(2,767 |
) |
|
|
(3,750 |
) |
Less: Elimination of gains on loans sold to MITT(a) |
|
(301 |
) |
|
|
(163 |
) |
|
|
(1,442 |
) |
Arc Home EAD to MITT |
|
(714 |
) |
|
|
(2,930 |
) |
|
|
(5,192 |
) |
|
|
|
|
|
|
||||||
Management fee to affiliate |
|
(1,521 |
) |
|
|
(2,112 |
) |
|
|
(7,711 |
) |
Non-investment related expenses |
|
(2,229 |
) |
|
|
(1,582 |
) |
|
|
(10,077 |
) |
Investment related expenses |
|
(3,017 |
) |
|
|
(2,405 |
) |
|
|
(10,297 |
) |
Dividends on preferred stock |
|
(4,586 |
) |
|
|
(4,586 |
) |
|
|
(18,344 |
) |
Operating Expense |
|
(11,353 |
) |
|
|
(10,685 |
) |
|
|
(46,429 |
) |
|
|
|
|
|
|
||||||
Earnings available for distribution |
$ |
3,948 |
|
|
$ |
1,187 |
|
|
$ |
8,274 |
|
|
|
|
|
|
|
||||||
Earnings available for distribution, per diluted share |
$ |
0.17 |
|
|
$ |
0.05 |
|
|
$ |
0.39 |
|
(a) EAD excludes our portion of gains recorded by Arc Home in connection with the sale of residential mortgage loans to us. We eliminated such gains recognized by Arc Home and also decreased the cost basis of the underlying loans we purchased by the same amount. Upon reducing our cost basis, unrealized gains are recorded within net income based on the fair value of the underlying loans at quarter end.
Economic Leverage Ratio
This press release contains Economic Leverage Ratio, a non-GAAP financial measure. Our presentation of Economic Leverage Ratio may not be comparable to similarly-titled measures of other companies, who may use different calculations. This non-GAAP measure should not be considered a substitute for, or superior to, the financial measures calculated in accordance with GAAP. Our GAAP financial results and the reconciliations from these results should be carefully evaluated.
We define GAAP leverage as the sum of (1) Securitized debt, at fair value, (2) our GAAP Financing arrangements, net of any restricted cash posted on such financing arrangements, (3) Convertible senior unsecured notes, and (4) the amount payable on purchases that have not yet settled less the financing remaining on sales that have not yet settled. We define Economic Leverage, a non-GAAP metric, as the sum of: (i) our GAAP leverage, exclusive of any fully non-recourse financing arrangements, (ii) financing arrangements held through affiliated entities, net of any restricted cash posted on such financing arrangements, exclusive of any financing utilized through AG Arc, any adjustment related to unsettled trades as described in (4) in the previous sentence, and any non-recourse financing arrangements and (iii) our net TBA position (at cost), if any.
The calculation in the table below divides GAAP leverage and Economic Leverage by our GAAP stockholders’ equity to derive our leverage ratios. The following table presents a reconciliation of our Economic Leverage ratio to GAAP Leverage ($ in thousands).
|
|
Leverage |
|
Stockholders' Equity |
|
Leverage Ratio |
|||
Securitized debt, at fair value |
|
$ |
4,711,623 |
|
|
|
|
|
|
GAAP Financing arrangements |
|
|
767,592 |
|
|
|
|
|
|
Convertible senior unsecured notes |
|
|
85,266 |
|
|
|
|
|
|
Restricted cash posted on Financing arrangements |
|
|
(1,696 |
) |
|
|
|
|
|
GAAP Leverage |
|
$ |
5,562,785 |
|
|
$ |
528,368 |
|
10.5x |
Financing arrangements through affiliated entities |
|
|
3,605 |
|
|
|
|
|
|
Non-recourse financing arrangements(a) |
|
|
(4,774,595 |
) |
|
|
|
|
|
Net TBA receivable/(payable) adjustment |
|
|
(9,163 |
) |
|
|
|
|
|
Economic Leverage |
|
$ |
782,632 |
|
|
$ |
528,368 |
|
1.5x |
(a) Non-recourse financing arrangements include securitized debt and other non-recourse financing arrangements.
Footnotes
(1) |
Book value is calculated using stockholders’ equity less net proceeds of our cumulative redeemable preferred stock ( |
|
(2) |
The economic return on equity represents the change in adjusted book value per share during the period, plus the common dividends per share declared over the period, divided by adjusted book value per share from the prior period. |
|
(3) |
Diluted per share figures are calculated using diluted weighted average outstanding shares in accordance with GAAP. |
|
(4) |
Our Investment Portfolio consists of Residential Investments, Agency RMBS, and WMC Legacy Commercial Investments, all of which are held at fair value. Our financing is inclusive of Securitized Debt, which is held at fair value, Financing Arrangements and Convertible Senior Unsecured Notes. Throughout this press release where we disclose our Investment Portfolio and the related financing, we have presented this information inclusive of (i) 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, but exclusive of our Convertible Senior Unsecured Notes. This presentation excludes investments through |
|
(5) |
We invest in |
|
(6) |
Net interest margin is calculated by subtracting the weighted average cost of funds from the weighted average yield for our Investment Portfolio, which excludes cash held. |
|
(7) |
The yield on our debt investments represents an effective interest rate, which utilizes all estimates of future cash flows and adjusts for actual prepayment and cash flow activity as of quarter end. Our calculation excludes cash held by the Company and excludes any net TBA position. The calculation of weighted average yield is weighted based on fair value. |
|
(8) |
The cost of funds at quarter end is calculated as the sum of (i) the weighted average funding costs on recourse financing arrangements outstanding at quarter end, (ii) the weighted average funding costs on non-recourse financing arrangements outstanding at quarter end, and (iii) the weighted average of the net pay or receive rate on our interest rate swaps outstanding at quarter end. The cost of funds at quarter end are weighted by the outstanding financing arrangements at quarter end, including any non-recourse financing arrangements. |
View source version on businesswire.com: https://www.businesswire.com/news/home/20240222671947/en/
Investor Relations
(212) 692-2110
ir@agmit.com
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