AG Mortgage Investment Trust, Inc. Reports Fourth Quarter Earnings

Tue Mar 5, 2013 4:30pm EST

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NEW YORK--(Business Wire)--
AG Mortgage Investment Trust, Inc. ("MITT" or the "Company") (NYSE: MITT) today
reported core earnings of $19.8 million and net income available to common
stockholders of $14.6 million for the quarter ended December 31, 2012. AG
Mortgage Investment Trust, Inc. is an actively managed REIT that
opportunistically invests in a diversified risk-adjusted portfolio of Agency
RMBS, Non-Agency RMBS, ABS, CMBS, commercial loans and other real estate related
assets. A reconciliation of core earnings to net income appears at the end of
this press release. 

FINANCIAL HIGHLIGHTS

See footnotes at the end of this press release

* Net income available to common stockholders of $0.62 per share (6) for the
quarter and $7.18 per share for the year 
* Core Earnings of $0.85 per share for the quarter and $3.48 per share for the
year 
* Net realized gains of $0.66 per share for the quarter and $1.62 per share for
the year 
* $0.80 per share common dividend declared for the quarter and $2.97 per share
for the year

* $2.15 per share of undistributed taxable income (1)

* Increase of $0.96 per share from September 30, 2012

* $23.47 net book value per share as of December 31, 2012 (1), net of the fourth
quarter dividend

* $2.95 per share increase from $20.52 as of December 31, 2011

* 31.4% return on stock in 2012 
* Raised approximately $91.2 million of gross proceeds through a common stock
offering during the quarter 
* 49% of warrants outstanding exercised as of December 31, 2012

INVESTMENT HIGHLIGHTS

* $4.9 billion investment portfolio value as of December 31, 2012 (2) (4)

* 77.8% Agency RMBS investment portfolio 
* 22.2% credit investment portfolio, comprised of Non-Agency RMBS, ABS, CMBS,
and commercial loan assets

* 2.15% net interest margin as of December 31, 2012 (3) 
* 5.26x leverage as of December 31, 2012 (2) (7) 
* 7.8% constant prepayment rate ("CPR") for the fourth quarter on the Agency
RMBS investment portfolio (5)

* 6.4% CPR for the year

* Increased interest rate swap notional by $325.0 million

* 65% hedge ratio as of quarter end, increased from 53% as of September 30,
2012

* New investment in securitized pool of legacy whole loans

"A highlight since our last call was MITT`s investment in two proprietary
transactions sourced through the Angelo, Gordon platform, one a commercial real
estate loan that closed in January 2013 and the other a portfolio of residential
whole loans," said David Roberts, Chief Executive Officer. "Our ability to
source, negotiate, and analyze these purchases demonstrates the depth of the
resources provided to MITT by the Angelo, Gordon platform. We believe this
platform is a long term distinguishing advantage for MITT and its shareholders."


"Over the course of the fourth quarter we accomplished several key investment
goals that we believe position MITT to continue to deliver strong future results
for its shareholders," said Jonathan Lieberman, Chief Investment Officer.
"First, we continued to grow our allocation to credit securities with attractive
risk-adjusted returns. Second, we increased our interest rate hedge ratio based
upon an expectation that interest rates were likely to rise over the short-term,
a view that has in fact played out. Third, we also executed upon our plan to
lengthen the original tenor of our repo maturities. Finally, we were very
pleased to have announced subsequent to year-end, that Angelo, Gordon & Co., the
parent of the Company`s external manager, appointed Jason Biegel as Managing
Director and the head of its Residential Whole Loan platform. In this role at
Angelo, Gordon, he will have primary responsibility for building out a
residential whole loan platform that will enable the Company to expand its
investments in residential whole loans, mortgage servicing rights and other
similar assets. We believe this expansion will allow us to further drive
shareholder value." 

KEY STATISTICS (2)

                                                                                                    
                                                                                                    
                                        Weighted Average at             Weighted Average for        
                                        
December 31, 2012              
the Quarter Ended          
                                                                        
December 31, 2012          
 Investment portfolio                   $            4,866,118,403      $            4,858,921,440  
 Repurchase agreements                  $            4,193,763,272      $            4,237,068,507  
 Stockholders' equity                   $            794,621,781        $            703,649,284    
                                                                                                    
 Leverage ratio (7)                     5.26x                           6.02x                       
 Swap ratio (8)                                      65%                             59%            
                                                                                                    
 Yield on investment portfolio (9)                   3.38%                           3.37%          
 Cost of funds (10)                                  1.23%                           1.11%          
 Net interest margin (3)                             2.15%                           2.26%          
 Management fees (11)                                1.26%                           1.43%          
 Other operating expenses (12)                       1.12%                           1.26%          
                                                                                                    
 Book value, per share (1)              $            23.47                                          
 Dividend, per share                    $            0.80                                           
                                                                                                    


INVESTMENT PORTFOLIO

The following summarizes the Company`s investment portfolio as of December 31,
2012 (2):

                                                                                                                                                                                 
                                                                                                                                                Weighted Average                 
                          Current Face                Premium                           Amortized Cost               Fair Value                 Coupon*               Yield      
                                                      
(Discount)                                                                                                                
 Agency RMBS:                                                                                                                                                                    
 15-Year Fixed Rate       $        1,177,320,487      $     46,922,089                  $         1,224,242,576      $       1,248,210,196      2.97  %               2.08  %    
 20-Year Fixed Rate                137,858,353              6,696,803                             144,555,156                148,124,694        3.68  %               2.78  %    
 30-Year Fixed Rate                1,998,807,425            116,173,790                           2,114,981,215              2,143,738,095      3.63  %               2.75  %    
 ARM                               36,228,319               1,584,714                             37,813,033                 38,175,754         2.96  %               2.34  %    
 Interest Only                     972,543,812              (763,342,056      )                   209,201,756                207,618,412        6.00  %               7.00  %    
 Credit Investments:                                                                                                                                                             
 Non-Agency RMBS                   970,183,150              (117,684,634      )                   852,498,516                866,017,640        4.72  %               5.48  %    
 ABS                               33,620,881               (36,289           )                   33,584,592                 33,937,097         5.34  %               5.44  %    
 CMBS                              110,406,946              (3,150,378        )                   107,256,568                110,059,914        5.27  %               6.19  %    
 Interest Only                     640,867,674              (572,685,926      )                   68,181,748                 67,736,601         2.13  %               5.50  %    
 Commercial Loan                   2,500,000                -                                     2,500,000                  2,500,000          9.63  %               9.76  %    
 Total                    $        6,080,337,047            $(1,285,521,887)            $         4,794,815,160      $       4,866,118,403      3.97  %               3.38  %    
                                                                                                                                                                                 
 * Equity residual investments with a zero coupon rate are excluded from this calculation.                                                                                       
                                                                                                                                                                                 


As of December 31, 2012, the weighted average yield on the Company's investment
portfolio was 3.38% and its weighted average cost of funds was 1.23%. This
resulted in a net interest margin of 2.15% as of December 31, 2012. (3) 

The Company had net realized gains of $15.5 million, or $0.66 per share, during
the quarter ended December 31, 2012. Of this amount, $10.9 million, or $0.46 per
share, was from sales of Agency RMBS and TBAs, $3.8 million, or $0.16 per share,
was from the sales of credit investments and $0.8 million, or $0.04 per share,
was from the transfer of securities previously accounted for as derivatives
through linked transactions. The Company had year-to-date net realized gains of
$29.5 million, or $1.62 per share. Of this amount, $20.3 million, or $1.11 per
share, was from sales of Agency RMBS and TBAs, $6.1 million, or $0.34 per share,
was from sales of credit investments, $3.4 million, or $0.19 per share was from
the transfer of securities previously accounted for as derivatives through
linked transactions and $(0.3) million, or $(0.02) per share, was from the net
settlement of interest rate swaps. 

The CPR for the Agency RMBS investment portfolio was 7.8% for the fourth
quarter, and 8.4% for the month of December 2012. The 2012 CPR on the Agency
RMBS investment portfolio was 6.4%. (5) 

The weighted average cost basis of the Agency RMBS investment portfolio,
excluding interest-only securities, was 105.1% as of December 31, 2012. The
amortization of premiums (net of any accretion of discounts) on these securities
for the fourth quarter of 2012 was $(6.5) million, or $(0.28) per share. The
Company recorded year-to-date premium amortization of $(17.4) million, or
$(0.95) per share. The unamortized net Agency RMBS premium as of December 31,
2012 was $171.4 million. 

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 zero cent
retrospective adjustment as a result of the projected cash flows on its bonds.
Since the cost basis of the Company's Agency RMBS securities, excluding
interest-only securities, exceeds the underlying principal balance by 5.1% as of
December 31, 2012, 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. 

We have also entered into "to-be-announced" ("TBA") positions to facilitate the
future purchase of Agency RMBS. Under the terms of these TBAs, the Company
agrees to purchase, for future delivery, Agency RMBS with certain principal and
interest specifications and certain types of underlying collateral, but the
particular Agency RMBS to be delivered are not identified until shortly before
(generally two days) the TBA settlement date. At December 31, 2012, we had $40.0
million net notional amount of TBA positions with a net weighted average
purchase price of 104.5%. As of December 31, 2012, our TBA portfolio had a net
weighted average yield at purchase of 2.36% and a net weighted average
settlement date of March 12, 2013. We have recorded derivative liabilities of
$0.1 million reflecting TBA positions. 

LEVERAGE AND HEDGING ACTIVITIES

The investment portfolio is financed with repurchase agreements as of December
31, 2012 as summarized below:

                                                                                                                
 Repurchase Agreements         Balance                  Weighted           Weighted               % Repo        
 
Maturing Within:                                      
Average Rate      
Average Maturity      
Outstanding  
 30 Days or Less               $     2,525,200,001      0.83%              15.3                   60.2%         
 31-60 Days                          783,969,000        0.52%              44.5                   18.7%         
 61-90 Days                          547,416,000        0.57%              70.7                   13.1%         
 Greater than 90 Days                337,178,271        1.30%              125.7                  8.0%          
 Total / Weighted Average      $     4,193,763,272      0.78%              36.9                   100.0%        
                                                                                                                


The Company has entered into repurchase agreements with 30 counterparties. We
continue to rebalance our exposures to counterparties, add new counterparties
and extend original maturities. We increased our original maturity to 87 days as
of December 31, 2012 from 79 days as September 30, 2012. 

We have entered into interest rate swap agreements to hedge our portfolio. The
Company`s swaps as of December 31, 2012 are summarized as follows:

                                                                                                         
 Interest Rate Swaps                                                                                     
                                                                                                         
 Maturity         Notional Amount             Weighted Average    Weighted            Weighted           
                                              
Pay Rate           
Average Receive    
Average Years to  
                                                                  
Rate**             
Maturity          
 2014             $         204,500,000       1.000%              0.332%              1.54               
 2015                       364,025,000       1.078%              0.299%              2.42               
 2016                       367,500,000       1.077%              0.297%              3.36               
 2017                       410,000,000       1.018%              0.312%              4.70               
 2018                       320,000,000    *  1.308%              0.309%              5.56               
 2019                       450,000,000    *  1.390%              0.315%              6.56               
 2022                       50,000,000        1.685%              0.311%              9.68               
 Total/Wtd Avg    $         2,166,025,000     1.172%              0.309%              4.42               
                                                                                                         
 * These figures include forward starting swaps with a total notional of $100.0 million and a weighted   
 
average start date of April 2, 2013. Weighted average rates shown are inclusive of rates corresponding to  
 
the terms of the swap as if the swap were effective as of December 31, 2012.                           
 ** Approximately 5% of our receive float interest rate swap notionals reset monthly based on one-month  
 
LIBOR and 95% of our receive float interest rate swap notionals reset 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 net premiums paid on investments, (iii) the timing
and amount of deductions related to stock-based compensation, and (iv) excise
taxes. As of December 31, 2012, the Company had undistributed taxable income of
approximately $2.15 per share, including the effects of dividends. 

DIVIDEND

On December 6, 2012, the Company`s board of directors declared the fourth
quarter dividend of $0.80 per share of common stock that was paid on January 28,
2013 to stockholders of record as of December 18, 2012. 

On November 16, 2012, the Company declared a dividend of $0.51563 per share of
Series A preferred stock and a partial quarterly dividend of $0.44 per share of
Series B preferred stock. The partial period for the Series B preferred stock
began on the initial issuance date and ended on December 16, 2012. The preferred
distributions were paid on December 17, 2012 to stockholders of record as of
November 30, 2012. 

STOCKHOLDER CALL

The Company invites stockholders, prospective stockholders and analysts to
attend MITT`s fourth quarter earnings conference call on March 6, 2013 at 10:00
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
8846814#. 

A presentation will accompany the conference call and will be available on the
Company`s website at www.agmit.com. Select the Q4 2012 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
midnight on March 20, 2013. 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 8732511#. 

For further information or questions, please contact Lisa Yahr, the Company`s
Head of Investor Relations, at (212) 692-2282 or lyahr@angelogordon.com. 

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 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. was founded in 1988 and has approximately $25 billion under
management. Currently, the firm's investment disciplines encompass five
principal areas: (i) distressed debt and leveraged loans, (ii) real estate,
(iii) mortgage-backed securities and other structured credit, (iv) private
equity and special situations and (v) a number of hedge fund strategies. Angelo,
Gordon & Co. employs over 280 employees, including more than 100 investment
professionals, and is headquartered in New York, with associated offices in
Amsterdam, Chicago, Los Angeles, London, Hong Kong, Seoul, Shanghai, Sydney and
Tokyo. 

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 future dividends, the credit component of our
portfolio book valve, deploying capital, the preferred stock offering and
repurchase agreements. 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, market conditions, conditions
in the market for Agency RMBS, Non-Agency RMBS, ABS and CMBS securities, 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"). Copies are available free of charge on the SEC's website,
http://www.sec.gov/. The Company does not undertake or accept any obligation or
undertaking to release publicly any updates or revisions to 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.

                                                                                                                                                                              
 AG Mortgage Investment Trust, Inc. and Subsidiaries                                                                                                                          
 Consolidated Balance Sheets                                                                                                                                                  
                                                                                                                                                                              
                                                                                                                                                                              
                                                                                                                      December 31, 2012             December 31, 2011         
 Assets                                                                                                                                                                       
 Real estate securities, at fair value:                                                                                                                                       
 Agency - $3,536,876,135 and $1,186,149,842 pledged as collateral, respectively                                       $          3,785,867,151      $          1,263,214,099  
 Non-Agency - $529,455,020 and $47,227,005 pledged as collateral, respectively                                                   568,858,645                   58,787,051     
 ABS - $33,937,097 and $4,526,620 pledged as collateral, respectively                                                            33,937,097                    4,526,620      
 CMBS - $148,307,262 and $2,747,080 pledged as collateral, respectively                                                          148,365,887                   13,537,851     
 Commercial loans receivable, at fair value                                                                                      2,500,000                     -              
 Linked transactions, net, at fair value                                                                                         44,246,169                    8,787,180      
 Cash and cash equivalents                                                                                                       149,594,782                   35,851,249     
 Restricted cash                                                                                                                 9,130,000                     3,037,055      
 Interest receivable                                                                                                             15,417,877                    4,219,640      
 Receivable on unsettled trades                                                                                                  96,310,999                    -              
 Derivative assets, at fair value                                                                                                -                             1,428,595      
 Other assets                                                                                                                    454,069                       370,126        
 Due from broker                                                                                                                 884,605                       341,491        
 Due from affiliates                                                                                                             -                             104,994        
 Total Assets                                                                                                         $          4,855,567,281      $          1,394,205,951  
                                                                                                                                                                              
 Liabilities                                                                                                                                                                  
 Repurchase agreements                                                                                                $          3,911,419,818      $          1,150,149,407  
 Payable on unsettled trades                                                                                                     84,658,035                    18,759,200     
 Interest payable                                                                                                                3,502,974                     613,803        
 Derivative liabilities, at fair value                                                                                           36,375,947                    9,569,643      
 Dividend payable                                                                                                                18,540,667                    7,011,171      
 Due to affiliates                                                                                                               3,910,065                     770,341        
 Accrued expenses                                                                                                                2,537,994                     668,552        
 Due to broker                                                                                                                   -                             379,914        
 Total Liabilities                                                                                                               4,060,945,500                 1,187,922,031  
                                                                                                                                                                              
 Stockholders' Equity                                                                                                                                                         
 Preferred stock - $0.01 par value; 50,000,000 shares authorized:                                                                                                             
 8.25% Series A Cumulative Redeemable Preferred Stock, 2,070,000 and 0 shares                                                    49,920,772                    -              
 
issued and outstanding ($51,750,000 and $0 aggregate liquidation preference) at                                                                                             
 
December 31, 2012 and December 31, 2011, respectively                                                                                                                       
 8.00% Series B Cumulative Redeemable Preferred Stock, 4,600,000 and 0                                                           111,293,233                   -              
 
shares issued and outstanding ($115,000,000 and $0 aggregate liquidation preference) at                                                                                     
 
December 31, 2012 and December 31, 2011, respectively                                                                                                                       
 Common stock, par value $0.01 per share; 450,000,000 shares of common stock                                                     269,620                       100,100        
 
authorized and 26,961,936 and 10,009,958 shares issued and outstanding at                                                                                                   
 
December 31, 2012 and December 31, 2011, respectively                                                                                                                       
 Additional paid-in capital                                                                                                      552,067,681                   198,228,694    
 Retained earnings                                                                                                               81,070,475                    7,955,126      
                                                                                                                                 794,621,781                   206,283,920    
                                                                                                                                                                              
 Total Liabilities & Equity                                                                                           $          4,855,567,281      $          1,394,205,951  
                                                                                                                                                                              


                                                                                                                                                                                                                                     
 AG Mortgage Investment Trust, Inc. and Subsidiaries                                                                                                                                                                                 
 Consolidated Statements of Operations                                                                                                                                                                                               
                                                                                                                                                                                                                                     
                                                                                                                                                                                                             Period from             
                                                                                                                          Three Months Ended           Three Months Ended         Year Ended                 March 7, 2011 to        
                                                                                                                          December 31, 2012            December 31, 2011          December 31, 2012          December 31, 2011       
 Net Interest Income                                                                                                      (Unaudited)                  (Unaudited)                                                                   
 Interest income                                                                                                          $            36,211,940      $           10,022,275     $          96,376,692      $          18,748,669   
 Interest expense                                                                                                                      6,504,403                   1,106,097                 15,010,444                 1,696,344    
                                                                                                                                       29,707,537                  8,916,178                 81,366,248                 17,052,325   
                                                                                                                                                                                                                                     
 Other Income                                                                                                                                                                                                                        
 Net realized gain/(loss)                                                                                                              15,450,117                  (589,747)                 29,537,240                 3,701,392    
 Gain/(loss) on linked transactions, net                                                                                               6,522,386                   (1,013,291)               20,014,654                 (808,564)    
 Realized loss on periodic interest settlements of interest rate swaps, net                                                            (3,900,171)                 (1,175,788)               (9,962,125)                (2,162,290)  
 Unrealized gain/(loss) on derivative instruments, net                                                                                 2,706,607                   70,663                    (24,086,526)               (6,491,430)  
 Unrealized gain/(loss) on real estate securities, net                                                                                 (26,683,774)                1,346,237                 52,071,455                 11,040,692   
                                                                                                                                       (5,904,835)                 (1,361,926)               67,574,698                 5,279,800    
                                                                                                                                                                                                                                     
 Expenses                                                                                                                                                                                                                            
 Management fee to affiliate                                                                                                           2,510,065                   770,341                   6,413,443                  1,512,898    
 Other operating expenses                                                                                                              2,215,273                   811,372                   5,443,059                  1,566,642    
 Equity based compensation to affiliate                                                                                                87,488                      97,343                    400,200                    176,165      
 Excise tax                                                                                                                            1,142,554                   105,724                   1,748,327                  105,724      
                                                                                                                                       5,955,380                   1,784,780                 14,005,029                 3,361,429    
                                                                                                                                                                                                                                     
 Net Income                                                                                                                            17,847,322                  5,769,472                 134,935,917                18,970,696   
                                                                                                                                                                                                                                     
 Dividends on preferred stock                                                                                                          3,346,910                   -                         4,137,010                  -            
                                                                                                                                                                                                                                     
 Net Income Available to Common Stockholders                                                                              $            14,500,412      $           5,769,472      $          130,798,907     $          18,970,696   
                                                                                                                                                                                                                                     
 Earnings Per Share of Common Stock                                                                                                                                                                                                  
 Basic                                                                                                                    $            0.62            $           0.58           $          7.20            $          3.20         
 Diluted                                                                                                                  $            0.62            $           0.58           $          7.18            $          3.20         
                                                                                                                                                                                                                                     
 Weighted Average Number of Shares of Common Stock Outstanding                                                                                                                                                                       
 Basic                                                                                                                                 23,314,040                  10,009,958                18,167,227                 5,933,839    
 Diluted                                                                                                                               23,433,041                  10,010,799                18,227,060                 5,933,930    
                                                                                                                                                                                                                                     
 Dividends Declared per Share of Common Stock                                                                             $            0.80            $           0.70           $          2.97            $          1.10         
                                                                                                                                                                                                                                     


NON-GAAP FINANCIAL MEASURE

This press release contains Core Earnings, a non-GAAP financial measure. AG
Mortgage Investment Trust, Inc.`s management believes that this non-GAAP
measure, when considered with GAAP, provides supplemental information useful in
evaluating the results of the Company`s operations. 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. 

Core Earnings are defined by the Company as net income excluding both realized
and unrealized gains (losses) on the sale or termination of securities,
including underlying linked transactions and derivatives. As defined, Core
Earnings include the net interest earned on these transactions, including credit
derivatives, linked transactions, inverse Agency securities, interest rate
derivatives or any other investment activity that may earn net interest. One of
the objectives of the Company is to generate net income from net interest margin
on the portfolio and management uses Core Earnings to measure this objective. 

A reconciliation of GAAP net income to Core Earnings for the three months and
year ended December 31, 2012, the three months ended December 31, 2011 and for
the period from March 7, 2011 to December 31, 2011 is set forth below:

                                                                                                                                                                                               
                                                                                                                                                                  Period from                  
                                                            Three Months Ended                 Three Months Ended                Year Ended                       March 7, 2011 to             
                                                            December 31, 2012                  December 31, 2011                 December 31, 2012                December 31, 2011            
                                                                                                                                                                                               
 Net Income available to common stockholders                $        14,500,412                $        5,769,472                $       130,798,907              $       18,970,696           
 Add (Deduct):                                                                                                                                                                                 
 Net realized gain/(loss)                                            (15,450,117  )                     589,747                          (29,537,240  )                   (3,701,392   )       
 Gain/(loss) on linked transactions, net                             (6,522,386   )                     1,013,291                        (20,014,654  )                   808,564              
 Net interest income on linked transactions                          3,303,415                          554,729                          10,164,849                       900,638              
 Unrealized gain/(loss) on derivative instruments, net               (2,706,607   )                     (70,663     )                    24,086,526                       6,491,430            
 Unrealized gain/(loss) on real estate securities, net               26,683,774                         (1,346,237  )                    (52,071,455  )                   (11,040,692  )       
 Core Earnings                                              $        19,808,491                $        6,510,339                $       63,426,933               $       12,429,244           
                                                                                                                                                                                               
 Core Earnings, per Diluted Share                           $        0.85                      $        0.65                     $       3.48                     $       2.09                 
                                                                                                                                                                                               


Footnotes

(1) Per share figures are calculated using a denominator of all outstanding
common shares including all shares granted to our Manager and our independent
directors under our equity incentive plans as of quarter end. Net book value
uses stockholders` equity less net proceeds of the Company`s 8.25% Series A and
8.00% Series B Cumulative Redeemable Preferred Stock as the numerator. 

(2) Generally when we purchase a security and finance it with a repurchase
agreement, the security is included in our assets and the repurchase agreement
is separately reflected in our liabilities on our balance sheet. For securities
with certain characteristics (including those which are not readily obtainable
in the market place) that are purchased and then simultaneously sold back to the
seller under a repurchase agreement, US GAAP requires these transactions be
netted together and recorded as a forward purchase commitment. Throughout this
press release where we disclose our investment portfolio and the repurchase
agreements that finance it, including our leverage metrics, we have un-linked
the transaction and used the gross presentation as used for all other
securities. This presentation is consistent with how the Company`s management
evaluates the business, and believes provides the most accurate depiction of the
Company`s investment portfolio and financial condition. 

(3) Net interest margin is calculated by subtracting the weighted average cost
of funds from the weighted average yield for the Company`s investment portfolio,
which excludes cash held by the Company. See footnotes (10) and (11) for further
detail. 

(4) The total investment portfolio is calculated by summing the fair market
value of our Agency RMBS, Non-Agency RMBS, ABS, CMBS and commercial loan assets,
including linked transactions. The percentage of Agency RMBS and credit
investments are calculated by dividing the respective fair market value of each,
including linked transactions, by the total investment portfolio. 

(5) This represents the weighted average monthly CPRs published during the
quarter for our in-place portfolio during the same period. 

(6) Diluted per share figures are calculated using weighted average outstanding
shares in accordance with GAAP. 

(7) The leverage ratio during the quarter was calculated by dividing our daily
weighted average repurchase agreements, including those included in linked
transactions, for the quarter by the weighted average stockholders` equity for
the quarter. The leverage ratio at quarter end was calculated by dividing total
repurchase agreements, including repurchase agreements accounted for as linked
transactions, plus or minus the net payable or receivable, as applicable, on
unsettled trades on our GAAP balance sheet by our GAAP stockholders` equity at
quarter end. 

(8) The swap ratio during the quarter was calculated by dividing our daily
weighted average swap notionals, including receive fixed swap notionals as
negative values, as applicable, for the period by our daily weighted average
repurchase agreements secured by Agency RMBS. The swap ratio at quarter end was
calculated by dividing the notional value of our interest rate swaps by total
repurchase agreements secured by Agency RMBS, plus the net payable/receivable on
unsettled Agency trades. 

(9) The yield on our investment portfolio 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. The yield on our investment
portfolio during the quarter was calculated by annualizing interest income for
the quarter and dividing by our daily weighted average securities held. This
calculation excludes cash held by the Company. 

(10) The cost of funds during the quarter was calculated by annualizing the sum
of our interest expense and our net pay rate of our interest rate swaps, and
dividing by our daily weighted average repurchase agreements for the period. The
cost of funds at quarter end was calculated as the sum of the weighted average
rate on the repurchase agreements outstanding at quarter end and the weighted
average net pay rate on our interest rate swaps. Both elements of the cost of
funds at quarter end were weighted by the repurchase agreements outstanding at
quarter end. 

(11) The management fee percentage during the quarter was calculated by
annualizing the management fees recorded during the quarter and dividing by the
weighted average stockholders` equity for the quarter. The management fee
percentage at quarter end was calculated by annualizing management fees recorded
during the quarter and dividing by quarter end stockholders` equity. 

(12) The other operating expenses percentage during the quarter was calculated
by annualizing the other operating expenses recorded during the quarter and
dividing by our weighted average stockholders` equity for the quarter. The other
operating expenses percentage at quarter end was calculated by annualizing other
operating expenses recorded during the quarter and dividing by quarter end
stockholders` equity.

AG Mortgage Investment Trust, Inc.
Lisa Yahr, 212-692-2282
Head of Investor Relations
lyahr@angelogordon.com

Copyright Business Wire 2013

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