AG Mortgage Investment Trust(MITT) - 2020 Q1 - Quarterly Report

FORM 10-Q Cover Page Explanatory Note The Company's Q1 2020 Form 10-Q filing was delayed due to COVID-19 disruptions, relying on SEC Orders - Filing of Form 10-Q for Q1 2020 was delayed due to COVID-19 pandemic disruptions, impacting operations and information receipt from counterparties in New York City[7][8] - The delay was in reliance on SEC's Orders under Section 36 of the Securities Exchange Act of 1934[8] PART I. FINANCIAL INFORMATION Item 1. Financial Statements (unaudited) Presents AG Mortgage Investment Trust, Inc.'s unaudited consolidated financial statements and detailed explanatory notes Consolidated Balance Sheets Consolidated balance sheets show a significant decrease in total assets and liabilities from December 2019 to March 2020 | Metric | March 31, 2020 (in thousands) | December 31, 2019 (in thousands) | | :--- | :--- | :--- | | Total Assets | $1,558,636 | $4,347,817 | | Total Liabilities | $1,199,971 | $3,498,771 | | Total Stockholders' Equity | $358,665 | $849,046 | | Agency Real Estate Securities | $23,132 | $2,315,439 | | Non-Agency Real Estate Securities | $186,797 | $717,470 | | Residential Mortgage Loans | $766,960 | $417,785 | | Financing Arrangements | $969,857 | $3,233,468 | Consolidated Statements of Operations The Company reported a significant net loss for Q1 2020, driven by substantial realized and unrealized losses | Metric | Three Months Ended March 31, 2020 (in thousands) | Three Months Ended March 31, 2019 (in thousands) | | :--- | :--- | :--- | | Net Interest Income | $20,297 | $19,396 | | Net Realized Gain/(Loss) | $(151,143) | $(20,583) | | Unrealized Gain/(Loss) on Real Estate Securities and Loans, net | $(313,897) | $46,753 | | Total Other Income/(Loss) | $(456,779) | $18,279 | | Total Expenses | $4,343 | $6,715 | | Net Income/(Loss) | $(485,017) | $29,155 | | Net Income/(Loss) Available to Common Stockholders | $(490,684) | $25,788 | | Earnings/(Loss) Per Share - Basic | $(14.98) | $0.84 | Consolidated Statements of Stockholders' Equity Stockholders' equity declined substantially in Q1 2020, primarily due to a significant net loss | Metric | March 31, 2020 (in thousands) | January 1, 2020 (in thousands) | | :--- | :--- | :--- | | Balance at Beginning of Period | $849,046 | $849,046 | | Net Income/(Loss) | $(485,017) | N/A | | Preferred Series A dividends declared | $(1,067) | N/A | | Preferred Series B dividends declared | $(2,300) | N/A | | Preferred Series C dividends declared | $(2,300) | N/A | | Balance at End of Period | $358,665 | N/A | Consolidated Statements of Cash Flows Cash and cash equivalents increased slightly in Q1 2020, driven by investing activities offset by financing uses | Metric | Three Months Ended March 31, 2020 (in thousands) | Three Months Ended March 31, 2019 (in thousands) | | :--- | :--- | :--- | | Net Cash Provided by (Used in) Operating Activities | $7,431 | $9,251 | | Net Cash Provided by (Used in) Investing Activities | $1,976,276 | $(446,457) | | Net Cash Provided by (Used in) Financing Activities | $(1,975,294) | $440,893 | | Net Change in Cash, Cash Equivalents and Restricted Cash | $8,413 | $3,687 | | Cash, Cash Equivalents, and Restricted Cash, End of Period | $133,699 | $88,045 | Notes to Consolidated Financial Statements (unaudited) The notes detail the Company's organization, accounting policies, and COVID-19's significant impact on its financials 1. Organization AG Mortgage Investment Trust, Inc. is a hybrid mortgage REIT, significantly impacted by COVID-19, leading to asset sales and reduced leverage - The Company is a hybrid mortgage REIT investing in Agency RMBS, Agency Excess MSRs, Non-Agency RMBS, ABS, CMBS, loans, and Credit Excess MSRs[25][29] - The Company is externally managed by AG REIT Management, LLC, a wholly-owned subsidiary of Angelo, Gordon & Co., L.P[31] - The COVID-19 pandemic caused extreme duress in financial markets, leading to declines in asset value and margin calls. The Company sold a significant portion of investments, resulting in a material adverse impact on book value and earnings[36] Key Financial Impacts from COVID-19 (Q1 2020) | Metric | Value | | :--- | :--- | | Book Value per share (Dec 31, 2019) | $17.61 | | Book Value per share (Mar 31, 2020) | $2.63 | | Investment Portfolio (Dec 31, 2019) | $4.0 billion | | Investment Portfolio (Mar 31, 2020) | $1.3 billion | | Outstanding Financing Arrangements (Dec 31, 2019) | $3.2 billion | | Outstanding Financing Arrangements (Mar 31, 2020) | $969.9 million | | Overall Leverage Ratio (Dec 31, 2019) | 4.1x | | Overall Leverage Ratio (Mar 31, 2020) | 3.1x | 2. Summary of significant accounting policies This section outlines the Company's significant accounting policies, including GAAP, going concern, and fair value measurements - The financial statements are prepared assuming the Company will continue as a going concern, with management believing current cash, operating cash flows, positive equity, and financing ability are sufficient for over one year[41] - The COVID-19 pandemic introduces significant uncertainty to estimates and assumptions, making actual conditions potentially different from anticipated[42] - The Company uses a fair value election for its real estate securities, mortgage loan portfolio, and Excess MSRs, recording periodic changes in fair value in current period earnings[56][66][83] - The Company adopted ASU 2016-13, 'Financial Instruments – Credit Losses,' as of January 1, 2020, which changes how credit losses are measured for most financial assets not at fair value through net income, impacting unrealized and realized gain/(loss) amounts[59][72][85][129] - The Manager updated its Leveling policy under ASC 820 at the beginning of Q1 2020, reclassifying certain RMBS and CMBS positions from Level 3 to Level 2 due to increased observability of market inputs[52][54] 3. Real Estate Securities The Company's real estate securities portfolio significantly decreased in Q1 2020 due to sales and counterparty seizures Real Estate Securities Portfolio Overview (in thousands) | Metric | March 31, 2020 | December 31, 2019 | | :--- | :--- | :--- | | Total