TPG Mortgage Investment Trust, Inc.

Welcome to the AG Mortgage Investment Trust Second Quarter 2022 Earnings Conference Call. My name is Vanessa, and I will be your operator for today's call. At this time, all participants are in a listen-only mode. Later, we will conduct a question-and-answer session. To queue up with your question during the question-and-answer session, you can press 0, then 1 on your touch-tone phone. I will now turn the call over to your host. Jenny Neslin, General Counsel to the company. You may begin.

Thank you, Vanessa. Good afternoon, everyone, and welcome to the second quarter 2022 earnings call for AEG Mortgage Investment Trust. With me on the call today are David Roberts, our Chairman and CEO, TJ Durkin, our President, Nick Smith, our Chief Investment Officer, and Anthony Rossiello, our Chief Financial Officer. Before we begin, please note that the information discussed in today's call may contain forward-looking statements. Any forward-looking statements made during today's call are subject to certain risks and uncertainties, which are outlined in our SEC filings, including under the headings cautionary statement regarding forward-looking statements, risk factors, and management discussion and analysis. The company's actual results may differ materially from these statements. We encourage you to read the disclosure regarding forward-looking statements contained in our SEC filings, including our most recently filed Form 10-K for the year ended December 31, 2021, and our subsequent reports filed from time to time with the SEC. Except as required by law, we are not obligated and do not intend to update or to review or revise any forward-looking statements, whether as a result of new information, future events, or otherwise. During the call today, we will refer to certain non-GAAP financial measures. Please refer to our SEC filings for reconciliations to the most comparable GAAP measures. We will also reference the earnings presentation that was posted to our website this afternoon. To view the slide presentation, turn to our website, www.agmit.com, and click on the link for the second quarter 2022 earnings presentation on the home page in the investor presentation section. Again, welcome to the call and thank you for joining us today. With that, I'd like to turn the call over to David.

Thanks, Jenny. Good afternoon and thanks to all for joining us. As it turned out, the first quarter was not the end of securitization credit spreads widening. Instead, the credit spread increase accelerated, ending the second quarter at elevated levels we have never seen before. Accordingly, Due to mark-to-market valuations, the unrealized losses on the loans we held for securitization were actually more severe in Q2 than in Q1. These unrealized losses were the primary reason we reported a gap loss of $2.27 per share. As we discussed last quarter, we hedge against movements in interest rates, but not against movements in spreads. That said, with this difficult quarter behind us, we continue to remain optimistic about our long-term earnings power and our strategy for several reasons. Credit spreads generally reflect the risk of loss. It is important to note that we see no deterioration in credit performance in the residential mortgage whole loans and securities we own. On a further positive note, Our current originations reflect fully the move in credit spreads as of today, based on what our team is observing in the securitization market. Our goal remains to increase originations over time, subject to our ability to match coupons with financing costs. In the second quarter, we utilized fully our common stock repurchase program. We repurchased 1.4 million shares for an average price of $7.70 per share. This helped offset our book value decline by about 29 cents per share. Our board has authorized a new common stock repurchase program of $15 million. We paid a dividend of 21 cents per common share for the second quarter, consistent with the past four quarters. Our dividend policy will continue to be guided by our view of earnings on a go-forward basis over a multi-quarter period. In other words, our dividend policy is not based on looking in the rearview mirror. Going forward, we will continue to execute on our business plan. We strongly believe in our origination to securitization strategy. Our infrastructure has given us the ability to continue growing our portfolio into higher yielding assets through both our comb and other origination partners, supporting our ability to remain active in the securitization market and to deliver attractive long-term returns to our shareholders. I'll now turn the call over to T.J. Durkin.