Karen Werbel - Head, Investor Relations David Roberts - Chief Executive Officer Jonathan Lieberman - President and Chief Investment Officer Brian Sigman - Chief Financial Officer.

Jason Stewart - Compass Point.

Welcome to the AG Mortgage Investment Trust First Quarter 2015 Earnings Call. My name is Christine 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. Please note that this conference is being recorded.

I will now turn the call over to Karen Werbel, Head of Investor Relations. You may begin..

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, May 7, 2015. 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..

Thank you, Karen and good morning everyone. From an overview point of view, this quarter was very similar to the past quarter. We again had solid core earnings exceeding our dividend. It’s our seventh consecutive quarter issuing a $0.60 dividend. We continue to move out of the agency section of the portfolio and look for value-added assets.

That is a key metric for us and a key focus of our team using the Angelo, Gordon platform. We are seeing a lot of very interesting opportunities. We maintain what we consider to be appropriately conservative leverage and interest rate positioning in a volatile interest rate environment.

With that introduction, I will turn things over to Jonathan Lieberman, President and CIO of AG Mortgage Investment Trust. Thank you..

Thank you, David. Good morning, all. So, just to talk a little bit first about the markets and then go into the details of our quarter, so for the first three months of 2015, RMBS non-agency and ABS markets rebounded and experienced strong increase in trading activity after relatively soft December.

Credit and ABS credit spreads moderately tightened as new capital float into the markets, especially the higher yielding securities with favorable technicals and sound fundamentals. The one notable exception to this trend was in agency RMBS.

The mortgage basis came under pressure in response to lower interest rates and fewer potentially higher prepayment speeds. The agency MBS market like the interest rate market has been a challenging sector to navigate over the past four months with a material pickup in volatility and weakening liquidity.

In contrast, structured credit markets were generally unaffected by the sharp decline in oil prices, unanticipated lower interest rates and losses in high yield and bank loan markets. Index or beta-like securities such as Fannie Mae and Freddie Mac’s risk transferred transactions rallied in the first quarter after struggling in the fourth quarter.

Interest rates during the quarter declined in response to weakening U.S.

economic activity, geopolitical concerns, concerns over Greece, declining worldwide interest rates that dragged us lower, but as many of you have seen in the last two weeks they have risen significantly even in the face of choppy, poor economic data other than maybe just overall employment levels.

Negative net issuance or non-agency RMBS and ABS continues to support our market with respect to borrower performance, the trend of improving consumer and mortgage credit quality continues to hold. Overall, the U.S. economy continues to grow, but in a sideways and modeled fashion with few indications of acceleration.

The rapid worldwide currency adjustments continue to challenge economic forecasters and their econometric models. Inflation generally remains under pressure worldwide and the importation of deflation vis-à-vis dollar strength, we believe will probably continue.

So, under these market and economic conditions, we are pleased with the performance from our investment team in both sourcing, unique opportunities as well as attractive investment, where we think the assets carry well and generate good carry income, good cash-on-cash income.

We believe our asset allocation portfolio opt to continue to deliver strong, superior risk-adjusted performance throughout the balance of the year. The overall market landscape remains a positive one for investing in residential mortgage loans and non-agency RMBS.

Housing fundamentals remain in line with our forecast and consumer health is steadily improving. We believe that mortgage credit is loosening gradually and older housing stock along with legacy mortgage loans will benefit from this credit expansion.

Greater credit availability should increase prepayment activity for our legacy non-agency mortgages and ultimately translate into greater returns for MITT. So, now moving on to specifics of our company’s asset and financial performance. As David mentioned, we distributed our seventh consecutive quarterly dividend of $0.60.

MITT paid out a cumulative dividend of $2.40 to our shareholders over the past consecutive 12 months, while retaining $1.81 of undistributed taxable income for future distribution potentially.

The investment team continues to execute on several key metrics such as net interest rate spreads, debt to equity ratios, asset liability gap, diversification, duration management, and the ratio of credit assets relative to agency RMBS allocation.

MITT continues to benefit from Angelo, Gordon’s multi-disciplined platform, where we continue to add investment capabilities and source interesting non-agency RMBS, consumer ABS, CMBS, CRE assets and risk transfer securities. Our team continues to add and grow as Slide 6 will show you and we think this will benefit MITT in future quarters.

As I have noted on our prior earnings calls, we have specific investment return objectives for 2015. The key observable metrics are a measured rotation capital into our credit assets.

This means that we are organically allowing our agency book to shrink and rotating that capital into credit assets as they become available, new investments and less liquid assets, core earnings coverage relative to our quarterly dividend, reductions in aggregate leverage and expansion of our net interest margin.

So, now moving to more specifics, MITT earned $0.33 of net income and core earnings of $0.63 during the quarter. The decrease in net income from last quarter was primarily due to losses on interest rate swaps and volatility attributable to agency mortgage basis.

Throughout the quarter, agency MBS volatility was extremely challenging with the mortgage basis jumping back and forth in response to lower U.S. interest rates.

In addition, you had the FHA cut their guarantee fee, which added additional volatility to the marketplace because of associated prepayment concerns that carryover from the Ginnie Mae market to the Fannie and Freddie markets. Carry income associated with agency MBS continues to be favorable, but book value stability was not as favorable.

Core earnings were subject to a negative retrospective adjustment of $0.02 for future potential agency prepayments. Book value declined modestly to $19.87, netted for the impact of our dividend paid to shareholders on April 30. As we have mentioned, our undistributed taxable income was $1.81 at quarter end.

The aggregate size of our portfolio decreased modestly from prior quarter, stood at $3.5 billion, approximately, as a result of our continued rotation into less levered credit assets and organic amortization of our agency assets. We had 6.8% annualized economic return on equity as well as 18.7% total stock return including reinvestment of dividends.

Our hedge ratio stood at 65% of our agency RMBS repo notional and 34% of our financing. The hedge ratio was lower at the end of the first quarter versus the fourth quarter. This was due to a reduction in our interest rate hedge positions.

Prepayment speeds for our agency book remain well challenged, channeled for a seasoned portfolio and contained at 6.8% CPR. Leverage stood at 3.97 times, inclusive of our net TBA mortgage positions down from 4.17 times last quarter.

Net interest margin, excluding the net TBA position, increased to 3.08% due to lower cost of swaps resulted from the termination of several of our interest rate swap positions. So now, before turning to details of our portfolio, I would just like to share a few brief thoughts on our outlook for 2015, which is outlined on Slide 7.

The precipitous fall in oil prices during the second half of 2014 seems to have stabilized in the first quarter, but continues to pressure headline inflation globally. Inflation expectations have remained largely stable as the Fed Reserve characterized the drop as having a transitory effect on inflation and a positive impact on future growth.

But there exists a potentially stabilizing uncertainty over the lingering effects of both capital expenditures and hiring reductions.

The trends that have been emerging during the first quarter of 2015 have resulted in mixed economic news at best and have continued to drive a global supply demand imbalance for high quantity fixed income products that has driven rates globally back towards in some parts of the world through the lows of the yields experienced during the financial crisis.

And we would characterize some of this volatility as a function of the thin liquidity in the market and the growth of algorithmic trading that is leading to wider swings in fixed income products that theoretically have liquid markets. With respect to U.S.

interest rates, many market participants were positioned during the first quarter for rising in rates given stronger U.S. economic data and expectations of the Federal Reserve normalize new monitory policy. Instead, U.S.

interest rates declined sharply in response to deteriorating global economic conditions, widened geopolitical conflicts and loser monetary policies. Global QE is pervasive and continues to manifest itself in the U.S. in the form of stronger U.S. dollar and lower treasury yields even in light of current unemployment levels. Recent talk of U.S.

economic strength has now given way to concerns regarding structural stagnation, currency wars and global deflation. These global conditions and headwinds will continue to confound U.S. policymakers in the Fed. More recently, we have seen material sell off in European and U.S. government debt markets.

This sell-off is occurring despite recent unfavorable economic data and small and corporate profits. As I mentioned, liquidity in many markets remains weak and volatility is increasing.

Given these distortions in many markets due to Central Bank QE programs, we expect benchmark interest rates to widen and volatility to continue for the foreseeable future. So notwithstanding these headwinds, we still remain cautious, but positive on U.S.

economic growth prospects for 2015 and believe that over time, the benefits of lower oil prices will reach consumers and that the U.S. economy could muster growth up to 2.5%. But we do expect the volatility to continue as policies, politics, conflicts and investor uncertainty continue to pull markets at various different directions.

Home prices in most markets remained firm. Appraisals for legacy and stress legacy home loans continue to improve and track our expectations. Distress home sales continue to decline as a percentage of overall sales and generally housing markets have reached equilibrium levels.

So now, moving to our portfolios, Slide 8 shows details of our top level sector metrics quarter-over-quarter. Fair value of our agency credit book was approximately $1.9 billion and $1.6 billion, respectively.

So first focusing on our agency book, our agency portfolio decreased modestly with the main difference quarter-over-quarter being a slight reduction in agency mortgage pools and a modest decrease in agency TBA positions. We did replace several of our TBA positions with specified pools that have better prepayment profiles.

It would withstand a greater range of interest rates lower. We proactively rotated out of select inverse aisle positions, leaving it might under perform if refinance activity accelerated or long-term interest rates continue to decline.

And from a prepayment perspective, our pools continue to perform in line with expectations with first quarter CPR of 6.8% and the April CPR of approximately 11.1% with most of that prepayment speed increased pickup due to seasonality.

So now, moving to our credit book, which stood at $1.6 billion fair value at quarter end, during the first quarter we continue to leverage Angelo, Gordon’s multidiscipline platform, investing in a diverse range of asset classes such as short and long duration non-agency RMBS, CMBS floaters, ABS and risk transfer transactions from the GSCs.

We selectively pruned certain non-agency MBS and CMBS positions to realize price appreciation for some lower dollar priced assets that appreciated and we rotated into assets with superior carry profiles. We replaced credit sales with $24 million of short duration NPLs and $15 million of RPLs in securitized form.

During the quarter, we added two positions in the GSC risk transfer section of the book and on the commercial side we purchased a new CRE B piece position for the portfolio.

Finally, MITT participated with other Angelo, Gordon funds in the acquisition of an ABS consumer securitized portfolio and we believe has high potential future returns and a favorable risk profile. Now turning to Slide 11, we provide you with a brief update of our financing and duration gap.

We currently have 35 financing counterparties, funding continues to be plentiful and stable for the company. Our funding counterparties actively continue to seek out business with MITT.

MITT’s duration gap inclusive of our net TBA position did increase from 0.17 years to 0.62 years quarter-over-quarter due to the termination of approximately $400 million in interest rate swaps at the beginning of the quarter and the addition of selective treasury loan positions. We took this action in response to weaker U.S.

economic activity and to counter potentially faster future prepayment speeds in the portfolio. This would offset some duration shortening on the asset side of our ledger. We believe this adjustment will help protect the portfolio under a wider range of interest rates, faster prepayments and potentially occur flat.

In the event that rates were to rise like they have in the last two weeks due to uptick in economic activity, which is certainly not ascertainable at this time or whether we continue to track sideways. Our credit portfolio may offset any negative impact from incremental interest rate rises over time.

If the Fed decided to raise short-term interest rates by 0.25%, quarter of a point and the front end of interest rate curve was to pivot upward, but long-term interest rates remain anchored and we did not move any other characteristics of our portfolio such as prepayment speeds, interest rate hedges, reinvestment of proceeds from our portfolio, our overall portfolio could experience modest spread compression.

Using our portfolio models and holding many important variables caused it, including no reinvestment of pay-downs. Our core income could experience a modest reduction of 2.4% in response to 1 month LIBOR increasing by 0.25%. This might equate to roughly a 2% per quarter reduction in core income during the quarter.

As I said, this is not a multivariable simulation, it’s just simply one variable in how we might look at the overall portfolio. Overall, the portfolio and liquidity position should help us navigate a wider range of interest rate, credit spread and credit market movements over future quarters.

With respect to hedging interest rate sensitivity, we lay out on the next slide tables that lay that sensitivity out for you. As previously mentioned in January, we adjusted our hedge position in response to changes in our portfolio, weaker U.S. economic conditions and potentially normalization in U.S. monetary policy.

With this, we opened up bigger interest rate duration GAAP and reduced our overall hedge notional. We believe that this unwind of select interest rate hedges will allow the portfolio to continue to perform over a wider range of interest rate scenarios and ultimately should generate higher potential future core earnings going forward in 2015.

In closing, I would like to wrap up by saying we believe that portfolio remains well positioned for today’s markets, should generate future – attractive future risk-adjusted returns for our shareholders. And with that, I will turn the call over to Brian to review details of our financial results..

Thanks, Jonathan. In the first quarter, we reported core earnings of $17.9 million, or $0.63 per fully diluted share versus $18.4 million or $0.65 per share in the prior quarter. At March 31, we had a negative $0.02 retrospective adjustment to our premium amortization on our agency portfolio. Stripping this out, core would have been $0.65.

If we rerun our cash flow today, we would have a positive retrospective adjustment of $0.02. We are pleased with this result and it marks the sixth 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 stockholders of $9.4 million, or $0.33 per fully diluted share.

The $0.63 of core earnings was offset by net realized and unrealized losses of $0.29 per share. The $0.29 million loss was primarily due to $0.34 of net realized losses on our security portfolio, which was offset by $0.05 of net unrealized gains on the portfolio.

At March 31, our book value was $19.87, a slight decrease of $0.26 or 1.3% from last quarter. To give you a better sense of our current $3.5 billion portfolio, I would like to highlight a few more statistics. As described on Page 3, 4 and 5 of our presentation, the portfolio of March 31, 2015 had a net interest margin of 3.08%.

This was composed of an asset yield of 4.6% offset by rebound swap cost of 1.13% and 0.40% respectively for a total cost of funds of 1.5%. We are pleased that our net interest margin continued to trend higher.

This quarter, the increase was driven primarily by a decrease of 31 basis points in our cost of hedging mostly as a result of the termination of approximately $400 million of interest rate swaps during the quarter. We do not have any forward starting swaps and therefore our swap costs reflect the true cost of our swaps.

On the funding side, we continue to be active. In February, we extended the funding period for another year on the $100 million facility that finances our residential mortgage loan. In April, we extended the maturity on our facility that finances some of our non-agency securities.

This facility was extended for another year and as part of the renewal, we increased close to $200 million, while also lowering certain borrowing rates as well as certain bond specific haircuts. Additionally, we entered into a new 3-year financing on another $100 million of agency repo during the quarter.

Our liquidity remains strong and at quarter end we have a total liquidity of $185.4 million, which was composed of $42 million of cash, $100 million of un-levered agency hopeful securities and $43 million of un-levered agency IO securities. That concludes our prepared remarks. And we would now like to open the call for questions.

Operator?.

Thank you. [Operator Instructions] And our first question is from Jason Stewart of Compass Point. Please go ahead..

Hi, good morning. Thanks for taking the questions. I was hoping you could give us a little bit more detail on the consumer portfolio.

Maybe on if there is a secured portion to it unsecured, just any details there would be very helpful?.

Sure. It’s an unsecured product, installment sale contract types of contracts from respected counterparty issuer. We bought it in securitized format. MITT participated with other Angelo, Gordon funds in buying junior securities, which have attractive carry profiles, very, very secured in terms of their ability to tolerate any potential credit loss.

The issuer retains material economic exposure as the securities carry very well. They are rated securities..

Okay. So, this would be – I think I understand where this position is.

I am actually I am more interested in where you think that could go whether you think it could translate into an investment into actual loans or how big this could end up getting?.

We don’t have any distinct plans to basically acquire consumer loans to put into MITT. This would really fell into more of an opportunistic trade with great carry profile, potentially some capital appreciation when we exit the position..

Okay, fair enough. And then if we could just pullback a little bit and look at MITT from the global Angelo, Gordon platform and if you could just take a multi-year view and describe what you think the plan is in-house. I mean, it’s obviously when you described the investment professionals, there is quite a few there.

That’s clearly not supported necessarily only by MITT, in part by MITT, but if you could just describe what Angelo, Gordon’s maybe multiyear plan is for this product?.

Yes, it’s David Roberts talking. We have deep background in the real estate business and that’s led us to really looking globally at real estate assets of all sorts of different sectors and it’s also led us to look at real estate debt in all sorts of different sectors.

So, we have got all these professionals looking at real estate related assets and MITT is our only permanent capital vehicle. And so what we are constantly looking at are opportunities to use the expertise at our platform to match up assets with MITT’s structure, which is permanent capital yield oriented assets.

We all know it’s a very pricy time relative to other times in the past in the real estate area, but we see a lot of opportunities and I would say we are optimistic that over the coming years or quarters, hopefully, we are going to find some good matches.

So, we have a broad network, where the people who are focused on MITT are in constant dialogue with our real estate professionals and we would hope to take advantage of that over time..

Okay, thanks for taking the questions. Appreciate it..

Thank you. [Operator Instructions] We have no further questions. Thank you ladies and gentlemen. This concludes today’s conference. Thank you for participating. You may now disconnect..