David Roberts – Chief Executive Officer, Director Jonathan Lieberman – Chief Investment Officer, Director Brian Sigman – Chief Financial Officer.

Jason Stewart – Compass Point Douglas Harter – Credit Suisse.

Welcome to the AG Mortgage Investment Trust's Third Quarter 2014 Earnings Call. My name is Silvia and I will be your operator for today's call. At this time, all participants are in a listen-only mode. Later we’ll conduct a question-and-answer session. Please note that this conference is being recorded. I will now turn the call over to Mr. Karen Werbel.

Karen Werbel, you may begin..

Thanks, Silvia. Good morning, everyone. We appreciate you joining us for today's conference call to review AG Mortgage Investment Trust's third quarter 2014 results and recent developments.

Joining me on today's call are David Roberts, our Chief Executive Officer, Jonathan Lieberman, our Chief Investment Officer and Brian Sigman, our Chief Financial Officer. Before we begin, I would like to review our Safe Harbor statement.

Today's conference call and corresponding slide presentation contain forward-looking statements within the meaning of the Private Securities Litigation Reform Act of 1995. All such statements are intended to be subject to the protection provided by the Reform Act.

Statements regarding the following subjects are forward-looking statements by their nature. Our business and investment strategy, market trends and risks, assumptions regarding interest rates and prepayments, changes in the yield curve and changes in government programs or regulations affecting our business.

The company's actual results may differ materially from those projected due to the impact of many factors beyond its control. All forward-looking statements included in this conference call and the slide presentation are based on our beliefs and expectations as of today, November 3, 2014.

Please note that information reported on today's call speaks only as of today and therefore you are advised that time-sensitive information may no longer be accurate as of the time of any replay listening or transcript reading.

Additional information concerning the factors that could cause actual results to differ materially from those contained in the forward-looking statements are included in the Risk Factors section of the company's periodic reports filed with the Securities and Exchange Commission. Copies of the reports are available on the SEC's website at www.sec.gov.

Finally, we disclaim any obligation to update our forward-looking statements unless required by law. With that, I will turn the call over to David Roberts..

Thank you, Karen, and good morning everyone. The third quarter was yet again another good quarter for AG Mortgage Investment Trust. We hit all our goals. We again produced core earnings approximately in line with our dividends. This was by the way our fifth consecutive $0.60 dividend quarter.

Consistent with our business plan we continue to review the portfolio to a higher percentage of value added assets in both the residential and commercial sectors. We also finalized of important lending facility to support our commercial real estate origination program.

We maintained what we considered to be appropriately conservative leverage and interest rate positioning in a very volatile interest rate environment. Finally, we also continued to bolster our team and we’re pleased to welcome Karen Werbel as head of AG Mortgage Investment Trust Investor Relations. Karen comes to us from Prudential Mortgage Capital.

With that brief introduction I’ll turn things over to Jonathan Lieberman, President and Chief Investment Officer of AG Mortgage Investment Trust..

Thank you, David. Good morning all. For the third consecutive quarter, residential and commercial mortgage markets have been favorable, stable and notable for their relative life of volatility. U.S. Mortgage performance continues to be solid in a choppy and difficult investment environment.

The strong returns generate by more inflated assets despite the tapering of the Federal Reserve’s quantitative easing program, geo-political concerns, global economic recommenced, stagnant U.S. wages and softness in some parts of high yield markets. U.S.

investments with strong interest income attributes continued outperform under these market conditions. In October mortgage markets like many capital markets did experience a short period of underperformance.

We’re pleased that many mortgage strategies have recovered from short term weakness and seem poised for favorable returns through the balance of the year. One note with respect to agency on behalf the basis remains unsettle in response to lower interest rates and potentially higher prepayments in the future.

Accordingly, we’re very pleased with MITT’s portfolio and performance as well as our investment teams continued execution on several strategic initiatives. With respect to MITT’s assets and financial performance, we distributed our fifth consecutive quarterly dividend of $0.60.

MITT has paid cumulative dividends of $2.40 for shareholders over the past consecutive 12 months while retaining $1.89 of undistributed taxable income for future potential distribution.

The investment team continued executing on several key matrices such as yield on interest earning assets, net interest spread, debt to equity ratio asset liability gap, and the ratio of credit assets relative to agency RMBS allocations.

During the third quarter, annual award sourced on behalf of MITT and made several new investments on behalf of MITT in residential loans, non-agency RMBS, consumer RMBS and agency TBA or RMBS. Our asset manager Angela Gordon continues to add talented investment professionals who benefit MITT shareholders in the future.

As I noted on the prior quarters’ earnings call, we have specific investment with current objectives 2014.

The key observable metrics were measured rotation of capital in the credit assets, new investments in residential and commercial real estate loans, protection of book value and restoration of optimal risk adjusted earnings capacity for the company.

The investment team again executed and exceeded targets on all key objectives for MITT including core earnings covering our quarterly dividend, new residential investments and continuing ongoing migration into credit assets.

Among the quarters investment highlights with several new investments in residential loan pools and non-agency RMBS securities, although we did not close any new commercial real estate loans, this quarter we did established a new $150 million credit facilities David mentioned for this asset class.

Furthermore, we are developing a robust pipeline of future opportunities which will cost in future quarters. Overall we are pleased with our current portfolio and about the future investment opportunities we are seeing to deploy additional capital in the mortgage sector.

Now more specifically MITT earned $0.67 from net income during Q3 of which $0.63 was attributable to core earnings. Core earnings were subject to $0.01 retrospective adjustment for potential future agency prepayments. Book value was modestly to $20.33 netted for the impact of our dividend which was paid on October 27 to our shareholders.

Our undistributed taxable income was $1.89 at quarter end. The aggregate portfolio size declined modestly from the prior quarter at approximately $3.6 billion. This was the result of our continued rotation to lower levered credit assets. Our hedge ration stood at 106% of Agency RMBS repo notional and 59% of total repo notional.

The hedge ratio was modestly lower at quarter end with inclusion of our net TBA position. Prepayment fees for agency book remain well – for a season portfolio in content at 9.4% CPR.

Leverage stood at 4.05x inclusion of our net TBA mortgage position and was lower than last quarter as I mentioned due to our continued rotation of capital and residential loans and non-agency RMBS higher levered agency securities. Net interest margins excluding the net TBA position rose by 22 based points to 2.92% from the second quarter.

NIM benefited from the better mix of higher yielding assets and less hedges. During the quarter we invested approximately $35 million to purchase legacy residential mortgage loans and borrowed 22.5 million under our new credit facility to levered existing commercial real estate investments.

Before turning to more details on the portfolio, I would like to share a few brief thoughts on our 2014 outlook which we outlined on slide number 5. During the third quarter, technicals and fundamentals were main support of the both housing and the mortgage markets.

Although recent economic data hasn’t recovered strongly as anticipated and overall global economic regrets the federal to wind down new Q3 related treasuring agency and RMBS purchase in October. With respect to the economy, U.S. economy recovery continues to make steady and stable progress.

Steady growth with little inflation pressure looks reasonable to the balance 2014 and the first half 2015. A gradual pick up in nominal wages and lower oil crisis -- constructive future, consumer consumption and house. Well housing in 2015 will not repeat gains last few years.

We do believe home price appreciation will continue and beyond slower and at different levels across global markets. With regards to the interest rates we believe short term rates will remain low for next several months given high levels for worldwide liquidity.

As to the interest rate curve, we would not be surprised to see ongoing volatility in short term interest rates within a relatively contained range stemming economic headlines and potential monetary adjustments. Long term rates should remain benign given limited inflation pressure worldwide growth concerns, energy deflation and strong dollar.

Market participants will continue to use any new pieces of data to sway the interest rate markets. Foreign exchange flows may also be imposed in the treasury and interest rates markets. We remain vigilant and don't want to read too much into storied worldwide interest rate markets.

Our portfolio outlook and positioning reflects our objectives, vigilance and generally neutral interest rates posture. Overall the portfolio liquidity positioning with structured with standard wider range of interest rates, agency spreads and credit spread market movements than in the summer 2013.

The sharp decline in interest rates in October along with credit spread wide was a very good test for our portfolio and we are pleased with the portfolio's performance during this period time. Moving on to our portfolio, slide six details some of our top level sector metrics from the quarter.

The fair value of our agencies and credit book was approximately 2 billion and 1.6 billion respectively. Focusing first on our agency security book, we reduced the size of our agency portfolio by roughly 260 million fair value for our recorder.

The most significant change for our agency book was rotation out of lower yielding 15 years pools and replacement with approximately 122 million fair value of net 30 year TBA positions.

As shown on slide 7, hybrid adjust rate mortgages represent approximately 22% of our agency books exposure and over 70% of our fixed rate books have some or protected characteristics. From the prepayment perspective, our pools continued to perform in line with our expectation with a few CPR of 9.4% and October CPR of approximately 8.3%.

Our aggregated credit book was 1.6 billion which is essentially unchanged quarter-over-quarter. As I mentioned earlier in the call, we are pleased to have acquired four pools of residential mortgage loans in the prior quarter we were also active and acquired approximately $122 million residential mortgage loans.

As we have noted on several calls, we believe that (inaudible) well positioned to source and originate attractive investments in the loan space as well as the commercial space on behalf of MITT. Now turning to slide 9, we provided an update on our financing duration GAAP.

We currently have 33 financing counter parties funding conditions for MITT remain favorable and we continue to benefit from lower cost of funds and better financing terms. With respect to our duration gap, our MITT’s gap inclusive of our net TBA position increased slightly on 0.416 years to 0.25 years roughly quarter over year, quarter-over-quarter.

Given the strength of the mortgage market, continued economic recovery of the US we maintained our biased minimized our interest rate risk.

Interest rate swap positioning currently is overweight in the belly back in the interest rate curve in the front and belly of the rate curve have experienced the most severe volatility in response to potential monetary policy changes.

Looking forward we should be able to improve our earnings capacity by allowing this gap wide down to more normalized level in the future. Our hedging interest rates sensitivity our tables are also set out in the next slide. We continue to optimize our hedge book for our current portfolio and believe additional expense savings is achievable.

Given the construct of our assets and hedges, we believe our portfolio today should be better able to withstand a wider range of interest rates market movements that our portfolio was during the summer of 2013.

So in closing I would like to wrap up by saying we believe our portfolio is well positioned for today's market environment and should generate attractive future risk adjusted returns for our shareholders.

The investment team is excited by the flow of investment opportunities we are seeing over the bonds and loan market and with that I will turn the call over to Brian to review our financial results in more detail. .

Thanks Jonathan. In the third quarter we reported core earnings of 17.8 million or $0.63 per shares versus 17 million or $ 0.60 per share in the prior quarter. At September 30, we had a negative $0.01 with respective adjustment to our premium amortization on our agency portfolio stripping this out, core would have been $0.64 per share.

We are pleased with this result as it marks the fourth quarter in a row where our core has met or exceeded our common dividend. Overall for the quarter, we reported net income available to common shareholders of $19 million, or $0.67 per fully diluted share.

In addition to the $0.63 of core earnings our net income included realized and unrealized gains or $0.04 per share. The net $0.04 gain was primarily due to $0.37 of net unrealized gains on our securities and derivatives portfolio and $0.05 of net gains on our linked transactions. Offset by $0.39 of net of realized losses on our portfolio.

At June 30, our book value was $20.33, an increase of $0.07 from last quarter. To give you a better sense of our current $3.6 billion portfolio I like to highlight a few more statistics. As described on page three and four of our presentation, the portfolio at September 30, had a net interest margin of 2.92%.

This was composed of an asset yield of 4.63% offset by repo and swap cost of 0.99% and 0.72% respectively for a total cost of funds of 1.71%.

We are pleased that our net interest margin continues to trend higher as the increase was driven by an increase in our weighted average yield with the rotation into higher-yielding credit investments from lower yielding agency securities as well as the improved underlying performance of our securities.

On the derivatives side, we do not have any forward starting swaps and therefore our swap cost reflected the true cost of our swaps. On the funding side, we continue to be active and at September we entered into $159 million commercial loan facility with five year extended term and limited recourse.

Till September 30, we have only borrowed 22 million under the facility to finance 62 million of assets which equates to 36% advanced rates. As we add initial assets provide this advanced rate will increase to between 70% to 75%.

On the revenue side, we financed One of our loan pool purchases on our existing $100 million residential loan facility and entered into agreement with a one year initial term and one year extension for $48 million to finance the residential loan repurchase and security formats during the quarter.

The liquidity remained strong and at quarter end, we had a total liquidity of $198.9 million and close to $43.79 million of cash, $99 million of unlevered agency and $56 million of unlevered agency. That concludes our prepared remarks and we would now like to open the call for questions. Operator.

[Operator Instructions] And the first question comes from Jason Stewart from Compass Point..

Hey good morning. Thanks for taking the question. I want to start with the commercial loan portfolio main.

You talked about something over a multiple quarter period turning into volume but any more specific items on what the pipeline looks like and the ability to close maybe perhaps some commentary about the competitive environment and what’s perhaps going that volume down little bit..

Thank you for the question. Commercial loans take their gestation time. They also have a tendency to be quite combustion on the documentation side. And so we have had very normal challenges in terms of basically our originators closing transactions with borrowers.

And we have a robust pipeline but as I said it's sometimes its a little bit unpredictable with the borrower. There may be kind of require the property simultaneous with us and that can sometimes once again delay what we would anticipate closer.

In terms of the competitive environment, certainly over the past two years you have seen more capital into the space you see a reinvigorated life insurance where insurance company face participants come into those markets but for transitional properties given our origination team and our platform in the water side we are seeing within satisfactory flow and it's just really a question of basically tackling blocking and execution.

.

Okay. That helpful. Thank you. And then as we – as I listen to and read the presentation, was in your comment in the presentation I mean it sounds like you are still pretty risk adverse last conservative but you added some TBAs in lower of the 15 years and it doesn’t look like there was too much material change on the hedging side.

I mean, the encompass a little wider, can you just give me some context of how you are thinking about the dollar roles and how that fits in the overall risk framework of where you are thinking about the market..

The dollar roles effectively are an alternative to pools you have favorable liquidity with the TBA product. It is generic product so you do not have the same attribute to pools which is a negative. You certainly have very, very effective financing, you are effectively financing negative to LIBOR returns on the cost funds. We are conservative with that.

We like the pools that we currently own quite a bit. They are seasoning very, very nicely. They are prepayments are well held, so it's kind of a balance between giving up what is known commodity so to speak for the investment and basically adding where TBA which is going to be more generic in nature.

We also have to accommodate any tax accounting issues with TBA within our portfolio. In terms of hedging I think we have noted in my prepared remarks as well as David's that we made a conscious decision to be quite neutral on rates.

We saw effectively the exact opposite moving rates in October that we saw last summer and we expect that there can be these periodic volatility in either direction; rates up or rates down in response to either economic headlines or potential federal reserve policy change and so we have decided made a very conscious decision to try to be more neutral there and really basically provide most of our return on the credit spread side as well as take risk on the mortgage basis..

Okay.

Just to give you some context how long do you think the markets stays special with the Fed effectively out of the addition mode?.

Well, I think we are not sure. We just – we do know that they continue to reinvest proceeds that come off of the portfolio. We do not know when they will pertain that. We believe that basically supply of new mortgage paper is only keeping up with basically aggregate demand from just run off or replacement from the investment community.

So it's just not foreseeable when the TBA market might reverse..

Okay. Thanks for taking the question..

And the next question comes from Mathew Friedman from Credit Suisse..

Hi. It’s actually Douglas Harter.

I was hoping you could talk about what progress you have made or where are you looking on the residential home loan side right now?.

We have been very active in the markets over the past 12 months. We have been very selective in terms of pools that we are buying legacy. We are predominantly concentrating on legacy, non-performing and re-performing mortgages. We see better value and potential let's say new production jumbo or other products.

We did put a small starter MSR trade into the book last quarter that something we continue to watch closely but we allowed or put an allocation to MITT on four transactions this past quarter and we anticipate that will be measured and can continue to rotate capital into these mortgage pools has the team procures them in the marketplace..

Can you talk about how you see the return differential right now between loan and securities on the resident side?.

With the same delinquency profiles as securities, we see anywhere from a pickup of 2 to 400 basis points on our unlevered basis for both re-performing and non-performing loans. .

Great.

And so – I guess factoring in the if lack of the less liquid nature of it, does that make it a more attractive – does that make that more attractive on a risk adjusted basis?.

You aren’t giving up liquidity you are also – you have much greater execution risk. And you also have margin utilization challenges as well. So you are part of the 2 to 400 basis points of incremental pickup is to compensate for liquidity as well as those incremental risks. .

Got it. Thank you for that color. .

And the next question comes from (inaudible) Wells Fargo Securities..

Hey good morning guys. Hey! You have done a really good job of stability of book value that’s obviously very good.

Can you talk some volatility in interest rates in the book to quarter? But I believe you said in your prepared remarks that you are looking to potentially widen the duration gap to more normalized level, what would be outside of the volatility would are you looking towards to potentially move it back out to historical levels?.

I think what we would consider more normalized level where potentially different level than we are currently are somewhere between half a year and a year. .

Okay. And then you also talked about sort of slowing of home price appreciation I believe in the low single-digit now and I think you expect that to continue moderate.

If that turns negative for any period of time, whether it be geography or national level, how would you look to – how would your strategy potentially shift in that type of environment?.

Well, I think the first thing is would it be a broad based decline in home prices or is it more localized. I think that right now we are in a normalized housing market and you really have to think local.

You have to think MSA, you have to make stay, you have to think about jobs, and so we would potentially just basically mitigate some of that negativity by either existing some portion of our pools which we felt that the geography was not supportive of the asset, exist from securities that might be over certain geographies or potentially buy assets that we think would be well protected in those geographies..

Okay. Well I appreciate the comments and nice quarter and stable book value. .

And we have no further questions at this time. .

All right. With that I will turn the call back to David for any closing comments..

I just want to thank everybody and we look forward for attending our call and I look forward to giving you another report after we complete the fourth quarter..

All right. Well thank you all. Thank you operator. With that we conclude our quarterly call..

Thank you ladies and gentlemen. This concludes today's conference. Thank you for participating. You may now disconnect..