Welcome to the AG Mortgage Investment Trust's Fourth Quarter 2014 Earnings Call. My name is Laura 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 Mr. Karen Werbel. Karen Werbel, you may begin.

Thanks, Laura. Good morning, everyone. We appreciate you joining us for today's conference call to review AG Mortgage Investment Trust's fourth 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, February 27, 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. With that I’ll turn the call over to David Roberts.

Thank you sic [Laura], and good morning everyone. The fourth quarter and full-year 2014 had solid and positive performance. Our core earnings exceeded our dividend for both the quarter and the year. This is sixth consecutive quarter issuing a $0.60 per share dividend. We continue our focus on increasing over the long-term the portfolios allocation to value added assets both in non-agency securities and assets that are not themselves securities, such as whole loans. MITT’s investment team is working hard at sourcing attractive investment opportunities in these sectors. We maintain what we consider to be appropriately conservative leverage and interest rate positioning in a volatile interest rate environment. With that I’ll turn things over to Jonathan Lieberman, our President and Chief Investment Officer.

Thank you, David. Good morning all. For the first nine months of 2014, RMBS and ABS markets delivered strong and solid investment recurrence across all strategies and sectors. This trend continued during the fourth quarter with less strength and vigor. Although structured credit in the agency MBS performance during the quarter was subdued. We would characterize it quite respectable in light of the collapse of commodity prices, the sharp decline in global interest rates and the stunning failure or several crowded idiosyncratic trades, for example Fannie and Freddie common and preferred stock, the Shire merger arbitrage transaction. Within the structured credit markets, RMBS and ABS credit spreads tightened earlier in the quarter, softened and then stage to modest recovery in December as security prices appreciated in response to favorable supply technical, lower interest rates and stable investment demand for superior yield products. The agency mortgage-backed securities performed well through November then struggled in December in reaction to lower long-term interest rates which prompted fears about potentially higher feature prepayments fees. We adjusted our hedges accordingly to reflect weaker worldwide growth, greater Central Bank intervention and falling oil prices during the quarter. As I look back to 2014, we are pleased with the investment team had success sourcing many unique and attractive investment opportunities that have considerable upside optionalities and continue to generate strong cash on cash investment returns. We believe our diversified asset allocation mix sets our portfolio up to continue to deliver strong superior risk adjusted return in 2015. So the overall market landscape remains positive for investing in residential mortgage loans and non-agency RMBS. Housing fundamentals remain inline with our forecast and consumer health is steadily improving. We believe that tight mortgage credit should loosen by the spring of 2015 at older housing stock along with legacy mortgage…

Thanks Jonathan. In the fourth quarter, we reported core earnings of $18.4 million or $0.65 per diluted share versus in the prior quarter. At December 31, we had a negative $0.06 retrospective adjustment to our premium amortization on our agency portfolio. We are pleased with this result and it marks the fifth 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 $11.3 million, or $0.40 per diluted share. The $0.65 of core earnings was offset by realized and unrealized losses of $0.25 per share. The $0.25 loss was primarily due to $0.20 of net realized losses on our securities and derivative portfolio and $0.02 of net realized and unrealized losses on our linked transaction as well as $0.03 of net unrealized losses on the securities and derivative portfolio. At 12/31, our book value was $20.13, a decrease of $0.20 or 1% from last quarter. To give you a better sense of our current $3.7 billion portfolio I would like to highlight a few more statistics. As described on pages three to five of our presentation, the portfolio at 12/31, 2014, had a net interest margin of 2.89%. This was composed of an asset yield of 4.67% offset by rebound swap costs of 1.07% and 0.71% respectively for a total cost of funds of 1.78%. We are pleased that our yield on the investment portfolio 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 and loans. Our corporate funds increased 7 basis points this quarter with majority of the increase due to new credit investments we entered into during the quarter. On the derivative 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, on the revenue side we financed a loan pool purchase of $28.4 million with loan level financing of $21.3 million. Additionally, we entered into our repurchase agreement with a one-year initial term and two six months extensions of $14.2 million to finance the residential loans we purchased in security format during the quarter. As Jonathan mentioned, we executed on our first ReREMIC transactions in the quarter, this reduced our short-term recourse debt and freed up capital. Our liquidity remains strong and at quarter end, we had total liquidity of $181 million compared to $64 million of cash, $53 million of unlevered agency [indiscernible] securities, and $64 million of unlevered agency IO securities. That concludes our prepared remarks and we would right now like to open the call for questions. Operator?

All right. We will now begin the question-and-answer session. [Operator Instructions] And we do have a question from Douglas Harter. Douglas, your line is now open.

Thanks. You had mentioned in your prepared remarks that the investment opportunities kind of exceed the available capital, even through paydowns. I guess how are you prioritizing, and what kind of a portfolio shifts might you make in order to take advantage of those opportunities?

Thank you for the question. So we do definitely see good opportunities starting with the agency side and we saw a lot of volatility in January on the agency derivative side and there was opportunities to step in there and buy very, very high yielding derivatives that we carry exceptionally well of a good side protection. On the non-agency side we’ve seen selling out of the GSCs of non-agency legacy securities, we have seen a serious of PE funds liquidating; we saw the serious of funds that got hurt in the fourth quarter away from our markets. Taking profits we are creating liquidity through the sale of non-agency securities, similar trend in CMBS in October, November and then excess supply in CMBS issuance in November, December. So we have been participating in all of those areas and then we were active in whole loans in fourth quarter. So we are taking a look at both intrinsic value, relative value liquidity and we’ve been putting capital into each of those different sectors and trying to once again have a balance portfolio that we think will perform well even if there is volatility due to central bank activity.

And then, also in your comments, you mentioned that you had taken some hedges off during January. If you could just give us a sense of kind of when in the month, just to help us kind of frame the benefit you might have received from removing those hedges?

We removed them fairly early in January.

Great. Thank you.

All right, and our next question comes from [Herbert Gransden]. Herbert your line is open.

Hi, this is Trevor. To follow up on that last question about the hedges, could you also maybe give us a sense of what the notional and the term and rate of the swaps that you removed was?

Maybe just a different way of approaching it is we roughly under a quarter year duration gap in the fourth quarter, we sought to open up a duration gap greater than a half of the year for the portfolio. The tenure of many of the swaps that we elected to take off were really on the longer end, once again consistent with longer term interest rates remaining depressed and also consistent with potentially protecting the book in case there was a curve flattening would occur, once again consistent with basically the expectation that the Fed may raise interest rates in mid-year, so that really outlining what we would expect is a flatter curve going forward.

Okay. Got it. And the ReREMIC transaction you did, can you give some details about what the collateral in there was, and whether or not you would expect to have the ability to do some more of those similar transactions in the future?

So the collateral was, I think 10/1, tenure fixed then adjustable non-agency CMBS was either prime or all day. So a little recollection there was a while ago, but it was probably an all day hybrid and I think it was 10/1 worse cases versus 7/1 and we did so for the front end cash flow at that level.

175-ish.

And retain that back in piece. And where we have sizeable pieces, sizeable positions we will engage in more of those transactions going forward.

Okay, got it. Appreciate the comments. Thank you.

And next we have Mike Widner. Mike, your line is open.

Good morning, guys. Let me just ask a quick follow-up on Herbert's first question. You had indicated taking off of swaps and going from sort of under a quarter-year to a little bit more than a half-year. Is that - so when you talk about sort of expanding the duration by, I don't know, a quarter-year, 1/3-year, whatever it is, is that purely by taking off the swaps? Or is that incorporating some view of kind of shortening of the asset side as well? And, obviously, what we are all trying to get at is how do we model the size of the swap portfolio.

It was purely on the swap side. As I said we would expect once again if interest rates remain relatively stable we would expect that to be positive for core going forward.

Yes. Okay. I think I get that piece. One other, just to follow up I think Doug asked the question. You made reference to sort of having more - seeing more opportunities than having available capital, basically. I mean, is there in a lot of occasions when we hear that, it is sort of suggests that you are contemplating a capital raise and that you would like to raise capital because you see such great opportunities out there. I mean, given the environment, is that a fair interpretation of that? Or how do you think about that?

I think first of all we would never comment if we were going to raise capital, we make that decision at the time and with the board of directors and other senior managers here. But I think the emphasis is that we like the fact that the investment team and myself are stressed and then we have to sell assets in order to rotate and then we like that challenge, we like the tension between our equity base in the investment opportunity at this time and that we are not in a situation where we have raised excess of capital and we are struggling to put the capital to work. I would also say that historically I think we have a track record of being fairly disciplined with our capital raisers, much can you - you can look back at even when the capital markets have been open to us where we founded to be accretive for our shareholders we have been very, very disciplined as only taking capital when we think it meets the opportunity set and here I said we are not trying to imply that we are going to do a capital raise, we are simply implying that we are not struggling which where to basically put capital.

So I mean, on that latter point, that is really - I would say, a fairly material difference between what I hear from you - you guys versus a number of other REITs, which would characterize the investment environment as a little less appealing - certainly less appealing that it has been in recent years, and both on the credit and the agency side. And so I guess I am curious - I guess two pieces. I mean, what specifically are you seeing that you find so appealing, particularly on the credit side? And why do you think your view is different than what we hear from a lot of your peers that are - you know, some of them are selling credit assets at this point, just because spreads have tightened and they feel like I said prices have run?

It’s David Roberts, I’ll take those questions, when we think about the world, we think about - we have our agency book and then we have what we have some time - what we have often referred to as our non-agency or our credit side. And within that what Jonathan is saying and what we are seeing, we see a lot of varied attractive opportunities across the spectrum of the market that we are active in. And that is the healthy tension that we are seeing and I think that really comes from two sources that maybe different from some of the other companies you are hearing from. One is that we have been very disciplined in terms of our capital base and keeping that tight and not having excessive equity. And the other is the strategy of AG Mortgage Investment Trust has always been to take advantage of all the different opportunities that flow into Angela Gordon and we’re seeing a lot of interesting opportunities that are appropriate for the REIT that perhaps others wouldn’t see if they were really just focused solely on the security side. So that’s really what we are saying.

Okay. And as far as specific things, maybe there is commercial assets; there is CMBS as well as commercial loans. There is residential nonperforming or re-performing loans. There is new non-QM originations. You guys have some excess mortgage servicing rights. So I guess I am just curious. Which of those areas seem a little more appealing than others right now? Or is it just kind of everything looks good to you?

Well look I think once again we’re a little bit talking about what we saw in the past, but in the fourth quarter we were not overweight in many of the sectors, we are very, very well diversified, we have a the de minimis exposure to MSR, we had a de minimis exposure to - so we had exposure to GIC risk transfer trades, and we really had the ability in the fourth quarter to increase size in several different sectors when there was press and credit spread widening in GIC risk transfer trades, in commercial CMBS issuance, in whole loans, once again and we took advantage of that and once again - our capital base and you can see our available capital is quite tight and so we have a team of 21 investment professionals in the residential side, a team of six on the CMBS side, we have quite a bit of sourcing capabilities.

Okay. Well, I certainly appreciate that. I was just trying to get a little bit of flavor for; again, your commentary on the market just seems more much enthusiastic than what we hear out of a lot of the other MREITs. And so I was just trying to get a little bit more of a sense of what specific segments you are more enthused about. But it sounds like you are kind of - I don't want to overstate it, but almost universally enthused about the credit opportunities today.

I wouldn’t characterize it as enthused about all sectors, I would just simply say that we are out there with the rifle taking specific shots at individual assets that we like, and we are not having to - once again I’m not having to redeploy a very material pay-downs, I’m not having to redeploy a lot of capital out of the Agency CMBS is we’ve already rotated pretty material portion of a book into credit assets over the last nine months. And so we are really in a position to harvest some attractive returns for the next several quarters while we continue to source replacement opportunities.

It’s David, Robert. I would just add that we wouldn’t want anyone to come away thinking that we were generally enthused about the investment environment. We all know how tough it is, but having said that again I point back to both our capital base, our existing portfolio with which we are very happy and then the volume of opportunities we get to look at and pick from. And I think that it’s important to keep that in context all those things together really form our enthusiasm for the investment opportunities we see, it’s not a general everything is just straight out there.

No, that makes more sense. I mean, like you said, you have a smaller equity base to put to work than a lot of your peers and, as you said, you are not facing $1 billion a month of runoff. So I think I understand that perspective, and it certainly makes sense. And thanks for the color and clarity, as always.

I think just a run-off, our average run-off is somewhere between $15 million and $25 million a month, just to give you a perspective.

Yes. And that's a lot easier to put to work than…

Once again it creates a very healthy tension and I think once again I’m not trying to quibble with you, but if you look at page seven of our deck and we probably get criticized for this. But as we think it’s a net benefit the diversity of the portfolio is very helpful in a period of time like today which we think is transitory. And it is challenging to many other firms in the marketplace.

I appreciate that. And I don't feel like - hopefully, it didn't feel like I was quibbling. I was just trying to understand, again, what sounded like a very enthusiastic sentiment, and I think you clarified that it is not [involved] with the investment environment in general. We can put $25 million to work across eight different asset classes without a whole lot of trouble, given the view of assets we get by being part of Angelo, Gordon. So it makes perfect sense to me.

Thank you.

And our next question comes from Charles. Charles, your line is open.

Hi, this is Charles Nevin. I was wondering if you could comment on the CMBS environment during the fourth quarter and into 2015 specifically if you were able to capitalize on some of the spread widening in December and any impact that may have had on book value during the fourth quarter and into January?

Yes, I think what we have said, we definitely did take advantage of some of the spread widening that was quite a bit of conduit issuance, quite a bit of CRE, CDO, CLO type of issuance, a lot of its floating rate and we did - that we did take advantage of it, we did add exposure in the fourth quarter and we would believe that will come through, we were underweight probably are still underweight in the CMBS market today and we’d like to once again be in a position to take advantage of if there is additional weakness. We have seen some recovery in January and February in those markets and so we’ll be face with the decision whether we monetize and crystallize those gains.

Great. And as a follow-up, you’ve been covering the dividend comfortably for several quarters now, there appears to be some earnings tailwinds in place and you have decent amount of UTI as well. I was wondering if you could comment on or give us little help thinking about the dividend going forward into 2015. How we should think about that?

It is David Roberts, I think that we look at it every quarter with the board and we don’t really like to give dividend guidance just repeat that we have been steady at $0.60 per six quarters and we’ll just continue to look at it as we go. I know that’s the most satisfying of answers, but we really do take a fresh look at the world every three months and we think that’s the appropriate way to run the business.

Okay, great. I appreciate the color guys. Thank you. End of Q&A

[Operator Instructions] All right and I’m seeing no further questions at this time.

Thank you very much for joining the call and thank you again.

Thank you.