TPG Mortgage Investment Trust, Inc.

Your program is about to begin. If you need assistance during your conference today, please press star zero. Good day and thank you for standing by. Welcome to the AG Mortgage Investment Trust Second Quarter 2023 Earnings Conference Call. At this time, all participants are in a listen-only mode. I'd now like to turn the call over to Jenny Neslin, General Counsel for the company. Please go ahead.

Thank you. Good morning, everyone, and welcome to the second quarter 2023 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 headings Cautionary Statement Regarding Forward-Looking Statements, Risk Factors, and Management's 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, 2022, and our subsequent reports filed from time to time at 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 morning. To view the slide presentation, turn to our website, www.agmit.com, and click on the link for the Q2 2023 earnings presentation on the homepage. Further, please note that we are not going comment on or discuss the terms or status of our proposed transaction with Western Asset Mortgage Capital Corporation at this time. And as a result, we will not be taking Q&A after our prepared remarks. 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. We entered the second quarter on the heels of the turbulence from the regional banking crisis in March. unsure of where the market was headed. The policy actions taken to stem further broad-based deposit runs led markets in the second quarter to determine the regional banking crisis was largely contained, and then subsequently with the suspension of the debt ceiling in early June, we've seen the markets improve. That said, interest rates continue to rise throughout the quarter, bringing the higher-for-longer inverted yield curve back to the forefront and leaving the mortgage origination market challenged. Despite these challenges, our hard work continues to serve to protect our book value. Book value grew by 0.3% per share to $11.89 and $11.52 on an unadjusted and adjusted basis, respectively, while we maintained ample liquidity of $80 million and only 1.6 turns of economic leverage. During the quarter, MIT had $0.17 of earnings per share while generating $0.08 of EAD and paid its $0.18 dividends. As we've discussed in prior calls, our prudent and disciplined securitization strategy is beginning to evident itself in our earnings power. The EAD improvement quarter-over-quarter reflects a combination of higher NIM off our investment portfolio and related hedging strategy, as well as the improving fundamentals at our CONE. Based on our early preliminary read, up values were approximately flat for the month of July. During the second quarter, we saw strong demand from balance sheet players, namely insurance companies who were looking for residential whole loan exposure without the intent to securitize. We took advantage of this opportunity to sell both newly originated loans at a gain and to sell legacy RPL loans out of a 2020 securitization, further reducing our legacy exposure there. The pending sale of RPLs is expected to settle this month, bringing in approximately $30 million in additional liquidity available to deploy and generate in the higher ROEs that we're targeting today. As I stated last quarter, we continue to see an environment with higher ROEs based on both some competition retreating and opportunities that we believe are in the early innings of presenting themselves, given the lingering effects of the disruption amongst the regional bank balance sheets. Putting this all together, we are very pleased with Nick's performance year-to-date, and importantly believe we are well-positioned to drive higher results for both GAAP and EAD metrics per share looking forward. We remain focused on continuing to build on this positive momentum and look forward to updating you on our progress in the coming quarters. I'll now turn it over to Nick to discuss our investment activities in our home in more detail.