TPG Mortgage Investment Trust, Inc.

Good day and thank you for standing by. Welcome to the AG Mortgage Investment Trust fourth quarter 2022 earnings conference call. At this time, all participants are in a listen-only mode. After management's remarks, there will be a question and answer session. In order to ask a question during the session, please press star 1 on your telephone keypad. Please be advised that today's conference is being recorded. If you require any further assistance, please press star zero. I'd now like to turn the call over to Jenny Neslin, General Counsel for the company. Please go ahead.

Thank you, Chelsea. Good morning, everyone, and welcome to the full year and fourth quarter 2022 earnings call for AG Mortgage Investment Trust. With me on the call today are T.J. Durkin, our CEO and 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 hot 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 31st, 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 reconciliation to the most comparable GAAP measures. We will also reference the earnings presentation that was posted to our website this morning. To view the slide presentation, turn to our website, www.agmit.com, and click on the link for the fourth quarter 2022 earnings presentation on the homepage 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 TJ.

Thank you, Jenny. Good morning, everyone. 2022 was an extremely challenging year across markets, but particularly in mortgage markets, where an abrupt pivot by the Fed created convexity movements we haven't seen since the taper tantrum of 2013. While MIT did experience mark-to-market losses on assets it owns coming into the year, the vast majority of these losses are unrealized, and we continue to have confidence in the earnings power of the portfolio, which Nick will walk you through in more detail later in the call. During this volatile year, MIT remained disciplined by programmatically terming out its financing and avoided taking undue risk by holding loans on warehouse lines, hoping things would simply get better. As a result of this discipline, we believe MIT is materially de-risked with ample liquidity as we head into 2023 in a position to play offense when others may not be. We used a portion of our excess liquidity to repurchase almost 2.7 million shares at a weighted average price of $6.82, creating 7% accretion for shareholders. We ended the year in a strong financial position with approximately $87 million of liquidity and 1.3 turns of economic leverage, and those numbers have both improved since quarter end, which Nick will walk through. Finishing out 2022 year in review on slide six, MIT created $67.6 million of NIM during the year while recording a loss of $3.12 in earnings per share. MIT declared 81 cents of dividends per share and created 8 cents of EED per share. EED is the performance metric we'll be using going forward to replace core, which Anthony will explain in further detail later in the call. Now turning to slide seven, The fourth quarter opened with continued weakness in the market, but December was the first month almost all year to show signs of life. With a significant reversal in interest rates, lower new issue volumes creating the catalyst for spreads within the non-agency space to tighten. As such, we saw our adjusted book value improve 3% from $10.68 to $11.03 per share. MIT had $0.33 of earnings per share while generating $0.05 of EED and declared its newly stated dividend of $0.18. Based on our early preliminary read, book value was up approximately another 3% to 4% for the month of January. Now, while the markets in January got off to a nice start, we don't think the path forward is going to be a straight line towards tighter spreads in our market. We believe the company was able to materially deliver and raise liquidity during a challenging 2022 in order to face 2023 with a clean balance sheet and lots of liquidity to deploy into this new higher interest rate environment. And lastly, before I pass it to Nick, I'll reiterate what I stated last quarter. The management team is frustrated with our stock price, particularly given what we believe to be a year in which MIT effectively navigated choppy markets, created lots of excess liquidity, and returned capital to shareholders via its share repurchase program. As a reminder, each of us on the management team and Angelo Gordon, the manager, have a meaningful ownership in MIT. We will continue to work hard in earning the confidence of the market by remaining focused, executing our strategy, and taking advantage of compelling opportunities, which we believe will translate into the earnings power to generate attractive risk-adjusted returns for our shareholders over the long term. In spite of what may be another year of challenging market conditions, we and AG are excited about MIT's outlook for the year and look forward to sharing our progress in the coming quarters.