AG Mortgage Investment Trust, Inc. Reports First Quarter 2019 Results

NEW YORK–(BUSINESS WIRE)–AG Mortgage Investment Trust, Inc. (“MITT,” “we,” the “Company” or
“our”) (NYSE:MITT) today reported financial results for the
quarter-ended March 31, 2019. AG Mortgage Investment Trust, Inc. is a
hybrid mortgage REIT that opportunistically invests in, acquires and
manages a diversified risk-adjusted portfolio of Agency RMBS, Credit
Investments, and Single-Family Rental Properties. Our Credit Investments
include our Residential Investments, Commercial Investments, and ABS
Investments.

FIRST QUARTER 2019 FINANCIAL HIGHLIGHTS

• $0.84 of Net Income/(Loss) per diluted common share⁽¹⁾
• $0.45 of Core Earnings per diluted common share⁽¹⁾
  • Includes $(0.01) retrospective adjustment
• 4.4% Economic Return on Equity for the quarter, 17.6% annualized⁽²⁾
• $17.44 Book value per share⁽¹⁾ as of March 31, 2019
• $17.56 Undepreciated Book Value per share⁽¹⁾ as of
  March 31, 2019 versus $17.30 as of December 31, 2018
  • Undepreciated Book Value increased $0.26 or 1.5% from the prior
    quarter primarily due to:
    • $0.07 or 0.4% due to our investments in Agency RMBS and
      associated derivatives
      • Agency spreads stabilized in the first quarter, despite a
        decline in yields and a brief uptick in implied volatility
    • $0.33 or 1.9% due to our Credit Investments
      • CRT and Legacy RMBS spreads tightened during the quarter
        alongside broader market rallies
    • $(0.05) or (0.3)% due to core earnings below the $0.50
      dividend and $(0.09) or (0.5)% due to dilution from share
      issuance
• Issued approximately 4 million shares of common stock at a weighted
  average price of $16.71 for net proceeds of approximately $66 million
  through underwritten public equity offering and ATM program

*A reconciliation of estimated net income/(loss) per diluted common
share to estimated core earnings per diluted common share for the
periods stated above, along with an explanation of this non-GAAP
financial measure, is provided at the end of this press release.

MANAGEMENT REMARKS

“We are pleased with MITT’s performance during the first quarter, as
MITT generated an economic return of 4.4% and completed an overnight
common equity offering, raising approximately $57 million of net
proceeds,” said Chief Executive Officer David Roberts. “During the
quarter, MITT continued to leverage the expertise and experience of the
Angelo Gordon platform to source assets. Alongside other Angelo Gordon
funds, we purchased Non-QM pools and sourced two new commercial real
estate loans.”

“After a volatile fourth quarter, the financial markets recovered and
investor sentiment improved during the first quarter,” said Chief
Investment Officer T.J. Durkin. “During the quarter, the Federal Reserve
pivoted from its more hawkish message by pausing its interest rate
tightening campaign, which removed fear of materially higher rates from
the market. Against this backdrop, spreads for credit sectors tightened
and Agency MBS spreads stabilized during the quarter. Going forward,
we remain focused on opportunistically increasing exposure to sectors we
believe have the best risk-adjusted return profiles.”

INVESTMENT HIGHLIGHTS

• $4.1 billion investment portfolio as of March 31, 2019 as compared to
  the $3.6 billion investment portfolio as of December 31, 2018^{(3)
  (4)}
  • Increase in portfolio size primarily due to the purchase of Agency
    RMBS and To-be-announced securities (“TBA”) as well as certain
    commercial and residential investments
• 2.1% Net Interest Margin (“NIM”) as of March 31, 2019⁽⁵⁾
• 4.7x “At Risk” Leverage as of March 31, 2019⁽⁶⁾
• 4.3% constant prepayment rate (“CPR”) on the Agency RMBS investment
  portfolio for the first quarter⁽⁷⁾
• Duration gap was approximately 0.95 years as of March 31, 2019⁽⁸⁾

FIRST QUARTER ACTIVITY

Note: The chart above is based on trade date.

• Deployed proceeds from the capital raise into Agency RMBS and TBA
• Purchased several Non-QM pools alongside other Angelo Gordon funds
• Purchased a pool of primarily RPL mortgage loans
• Sourced two new CRE loans alongside other Angelo Gordon funds

SINGLE-FAMILY RENTAL PORTFOLIO UPDATE

• Operational improvements helped to increase occupancy from 87.9% in
  the fourth quarter to 93.7% in the first quarter
• Conrex quickly leased vacant homes while adhering to the enhanced
  tenant underwriting that had been implemented in prior quarters
• While there were increased expenses related to the high volume of
  turnover during the quarter, the increase in occupancy improved the
  Operating Margin from 43.8% in the fourth quarter to 46.3% in the
  first quarter
• Conrex has strategically re-organized staffing to manage the
  identified pipeline of lease expirations in the coming months
• Conrex continues to focus on tenant communications and the tenant
  experience to retain tenants as well as achieve rent growth

(a) $ in millions
(b) Based on occupied residences as of each
corresponding period end
(c) Based on straight-line rent as of each
corresponding period end

Note: Funding cost and NIM shown include the costs of our interest rate
hedges. Funding cost and NIM excluding the cost of our interest rate
hedges would be 3.3% and 1.9%, respectively.

INVESTMENT PORTFOLIO

The following summarizes the Company’s investment portfolio as of
March 31, 2019^{(3) (4)}:

*The leverage ratio on Agency RMBS includes any net receivables on
TBA. The leverage ratio by type of investment is calculated by dividing
the investment type’s total financing by its allocated equity.⁽¹⁵⁾
Note:
The chart above includes fair value of $0.8 million of Agency RMBS,
$238.8 million of Residential Investments and $5.3 million of Commercial
Investments that are included in the “Investments in debt and equity of
affiliates” line item on our consolidated balance sheet.

Premiums and discounts associated with purchases of the Company’s
investments are amortized or accreted into interest income over the
estimated life of such investments, using the effective yield method.
The Company recorded a $(0.01) retrospective adjustment per diluted
common share, 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 2.8% as of March 31, 2019, slower actual or 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 financing arrangements with 44 counterparties, under
which it had debt outstanding with 32 counterparties as of March 31,
2019. Our weighted average days to maturity is 140 days and our weighted
average original days to maturity is 222 days. The Company’s financing
arrangements as of March 31, 2019 are summarized below:

*Amounts in table above do not include securitized debt of $10.5 million.
**Includes
$0.9 million of deferred financing costs.

The Company’s interest rate swaps as of March 31, 2019 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, (v) taxes and (vi) methods of depreciation between GAAP
and tax. As of March 31, 2019, the Company had estimated undistributed
taxable income of approximately $1.29 per share.^{(1) (13)}

DIVIDEND

On March 15, 2019, the Company’s board of directors declared a first
quarter dividend of $0.50 per share of common stock that was paid on
April 30, 2019 to stockholders of record as of March 29, 2019.

On February 15, 2019, 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 of $0.50
per share on its 8.00% Series B Cumulative Redeemable Preferred Stock.
The preferred distributions were paid on March 18, 2019 to stockholders
of record as of February 28, 2019.

STOCKHOLDER CALL

The Company invites stockholders, prospective stockholders and analysts
to participate in MITT’s first quarter earnings conference call on
May 3, 2019 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 7359519.

A presentation will accompany the conference call and will be available
on the Company’s website at www.agmit.com.
Select the Q1 2019 Earnings Presentation link to download 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, 2019. 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 7359519.

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

ABOUT AG MORTGAGE INVESTMENT TRUST, INC.

AG Mortgage Investment Trust, Inc. is a hybrid mortgage REIT that
opportunistically invests in, acquires and manages a diversified
risk-adjusted portfolio of Agency RMBS, Credit Investments, and
Single-Family Rental Properties. Our Credit Investments include our
Residential Investments, Commercial Investments, and ABS Investments. 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 $32
billion with a primary focus on credit and real estate strategies.
Angelo Gordon has over 490 employees, including more than 190 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, book
value, our investments, 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 and conditions, 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, changes in default 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, Excess MSRs and loans,
our ability to integrate newly acquired rental assets into our
investment portfolio, our ability to predict and control costs,
conditions in the real estate market 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, 2019. 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 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) unrealized
gains/(losses) on securities, loans, derivatives and other investments
and realized gains/(losses) on the sale or termination of such
instruments, (ii) beginning with Q2 2018, as a policy change, any
transaction related expenses incurred in connection with the acquisition
or disposition of our investments, (iii) beginning with Q3 2018,
concurrent with a change in the Company’s business, any depreciation or
amortization expense related to the Company’s SFR portfolio, (iv)
beginning with Q3 2018, as a policy change, 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), and (v) beginning with Q4 2018 and applied
retrospectively, as a policy change, realized and unrealized changes in
the fair value of Arc Home’s net mortgage servicing rights as well as
realized and unrealized changes in the fair value of derivatives that
are intended to offset changes in the fair value of those net mortgage
servicing rights. Items (i) through (v) above include any amounts
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 acquisition or disposition and does not
view them as being part of its core operations. Management views the
exclusion described in (v) above to be consistent with how it calculates
Core Earnings on the remainder of its portfolio. As defined, Core
Earnings include the net interest income and other income earned on the
Company’s 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 the Company’s objectives is
to generate net income from net interest margin on the portfolio, and
management uses Core Earnings to help measure this objective. Management
believes that this non-GAAP measure, when considered with its GAAP
financials, provides supplemental information useful for investors as it
enables them to evaluate the Company’s current core performance using
the same measure that management uses to operate the business. This
metric, in conjunction with related GAAP measures, provides greater
transparency into the information used by the Company’s management team
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, 2019
and March 31, 2018 is set forth below:

(a) For the three months ended March 31, 2019 and March 31, 2018, $(2.

Contacts

Karen Werbel – Investor Relations
(212) 692-2110
[email protected]

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