Good morning and welcome to the AG Mortgage Investment Trust, Fourth Quarter 2019 Earnings Call. My name is Brandon and I’ll be your operator for today. At this time all participants are in a listen-only mode. [Operator Instructions] Please note, this conference is being recorded.And I will now turn the call over to Raul Moreno. You may begin, sir.

Thank you, Brandon. Good morning everyone and welcome to the fourth quarter 2019 earnings call for AG Mortgage Investment Trust, Inc. Before we begin, please note that the information discussed on today's conference 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 the Risk Factors section in our most recent SEC filings.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 earnings release, in our earnings presentation and in our SEC filings.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 after the market closed yesterday. To view the slide presentation, turn to our website, www.agmit.com, and click on the Q4 2019 Earnings Presentation link on the home page. Again, welcome and thank you for joining us today.With that, I would like to turn the call over to our CEO, David Roberts.

Thanks Raul and good morning to everyone. We are very pleased with MITTs performance in the fourth quarter. Core earnings were $0.52 per share and book value per share rose by 2.6%. T. J. and Brian will provide further detailed comment on our financial results for the quarter and for the year.During the quarter, we continue to rotate more of the portfolio into credit investments, both residential and commercial. This is consistent with our long term strategy of leveraging the Angelo Gordon Credit and Real Estate engines that have 85 investment professionals who touched upon a wide range of MITTs opportunity set in credit.An important example is our activities in non-QM. In 2019 we successfully launched our non-QM platform and completed three securitizations under our GCAT Securitization Program for MITT and other Angelo Gordon funds. Our GCAT securitization platform is already well known to the market based on our many past whole loan securitizations. This calendar year we've already come to market with our first of what we would expect to be many non-QM securitizations transactions this year.We have a slide in our presentation, slides five, that shows the total return to our MITT shareholder over the period from our IPO in July of 2011 to the end of 2019, and we compare that to the FTSE mortgage REIT index. Both calculations assume reinvestment of dividends. The MITT cumulative return is 125% versus the index's cumulative return of 103%.We also have a slide, slide six, that looks at the two key related metrics of price-to-book ratio and dividend yield. As of year-end, MITT traded at a steeper discount to book and had a higher dividend yield than our peer group. Looking forward, we intend to address this through continuing to execute on our differentiated credit strategy in which we leverage the AG platform, as well as providing greater clarity in communicating what we believe to be a very good and appropriate strategy in this environment.Before turning the call over to T.J., I'll end my remarks by saying that I'm very proud to be part of both Angelo Gordon and our MITT team.

Thank you, David. Good morning everyone. On slide eight of our presentation we walk through our 2019 fiscal year highlights. We reported $2.39 of net income per share and $1.70 of core earnings per share, while producing an economic return on equity of 13.4%.During the year, we launched our Non-QM securitization program by issuing free rated deals throughout the course of the year. Additionally we issued our first rated RPL deal this summer, further expanding our securitization footprint away from just our historical unrated three year step-up structures.And finally on capital raising, we are very pleased we were able to access the equity capital markets in February 2019 for the first time in seven years, and we're able to follow-up thereafter with our preferred capital raise in September, raising a net total of $177 million in 2019.Turning to slide 10, as David mentioned the investment portfolio performed well in the fourth quarter. After several challenging quarters for the Agency MBS and rate markets, those headwinds faded and some even turned to tailwinds during the fourth quarter.A return to more normalized funding markets and a third federal reserve rate cut helped boost net interest margins for levered investors such as ourselves. A modest rise in longer term rates, the resulting steeper yield curve and declining implied volatility further helped create an environment where Agency RMBS valuations could tighten along with other spread product.Our core earnings in the quarter were $0.52 per share, including a $0.02 retrospective adjustment. After accounting for a one-time positive $0.05 impact due to a discounted security paying off earlier than expected, our run rate core came in at $0.45, covering our current dividend.I wanted to provide some more color with respect to the one time positive $0.05 contribution to core this quarter. Non agency mortgage backed securities…

Thanks T.J. Overall for the fourth quarter we reported net income available to common stockholders of $29.4 million or $0.90 per fully diluted share. Core earnings in the fourth quarter were $16.9 million or $0.52 per share versus $13 million or $0.40 per share in the prior quarter. There was a positive $0.02 retrospective adjustment in the fourth quarter versus a negative $0.02 retrospective adjustment in the third quarter.Additionally, we recognize the positive $0.05 impact to core as a result of a discounted security paying off earlier than expected as T.J. previously mentioned. As described on Page 10 of our presentation, net interest margin increased from 2.1% at September 30 to 2.5% at December 31. This was comprised of an asset yield of 4.8%, offset by total cost of funds of 2.3%. The increase in net interest margin was driven mostly by steepening of the yield curve as T.J. previously mentioned.Our economic leverage ratio was 4.1x at December 31 as compared to 4.7x at September 30. The decrease is primarily a result of agency sales during the period as we rotated our capital into credit investments. As of December 31 we had 44% financing counter parties, and are financing investments with 30 of them. Despite the recent market volatility, the GC and credit repo markets have remained stable.At quarter end we had liquidity of approximately $163 million comprised of $82 million of cash and $81 million of unlevered agency whole pool and treasury securities. We closed the year with an elevated amount of liquidity, in anticipation of purchasing the pool of clean RPLs, T.J. previously mentioned.As previously mentioned, during the quarter we completed the sale of our SFR portfolio. We concluded that that disposition of this portfolio met the criteria for discontinued operations. As such, for all current and prior periods presented, we have reclassified the related assets and liabilities as held for sale on our balance sheet and related operating results as discontinued operations on our income statement.The operating results have also been excluded from our core earnings for all current and prior periods presented. Additionally, at quarter end our estimated undistributed taxable income was $36 million or $1.10 per share. We continued to evaluate this on a quarterly basis to make sure they weren’t in compliance with our REIT distribution requirement.That concludes our prepared remarks, and we’d now like to open the call for questions. Operator?

Thank you. [Operator Instructions]. And from KBW we have Eric Hagen. Please go ahead.

Hi, thanks, good morning. Thanks for the comment on spreads this week. But I know there's a lot of uncertainty that's kind of overhanging the market right now, but how do you think about deploying capital in this environment, just obviously given what’s happened this week. Do you think spreads have sort of over corrected in your view or is this a better time to wait or is it just better to wait for things to I guess kind calm down.And number two, another question separately, but what are the types of non-QM that you're originating and what are the cumulative losses that you expect in that portfolio.

Sure Eric. I think it's probably still too early to tell in terms of where spreads are shaking out, just given like I mentioned, the lack of real trading volume to, I guess I would say kind of reset the market, so I think it's too early to tell. I think we would expect potentially commercial mortgage investments, thinking about hotels to probably be more affected in credit spreads and say residential mortgages, just kind of thinking about the near to medium term effects of what's going on out there. So I mean that's how we're thinking about risk and just trying to see if the markets are pricing that accordingly.In terms of non-QM, we are buying a variety of products across the different – you know originators, each somewhat have their own programs or niches if you well, and we're sort of aggregating them to what we think is a well-diversified pool when we go to securitized. So I mean that’s everything from loan type in terms of investor property, alternative verification of income, etcetera. It’s a foreign national, so there's a mix going in there.We've generally stayed away from the lower, you know the lower month verification income programs that are out there, so one month bank statements etcetera has not really been our focus on today. So non-QM losses given the LTV’s I think are anywhere from – and they are in a single digits cume loss numbers depending on the profile.

Got it.

So again, generally it’s given the credit and then again it's a particularly, I think strong LTV profile. We are not seeing or expecting a lot of cume loss.

Right. Okay, so like low single digits I would imagine is kind of extrapolating from your comments.

Yeah, yeah.

Is that fair? Okay, okay. And then what percentage of your legacy non-agency portfolio is callable at this point.

I don't know that off the top of my head, we’d have to get back to you on that.

Okay, is it a large percentage or is it kind of relatively minor.

I would think it's a large percentage, but let us verify.

Sure. Okay, thank you very much for the comments.

From JMP Securities we have Trevor Cranston. Please go ahead.

Hey, thanks. Follow-up on the question about your capital deployment given what's going on in the markets over the last week or so. I guess are you guys comfortable continuing to acquire non-QM loans like over the last week and currently sort of pending seeing where spreads shake out and where securitizations would be executed, or at this point would you be more likely to sort of wait or sort of not acquire loans near term and wait and see where you think securitizations could be done with new loans you acquire.

So, just to take a step back, there hasn't been a lot of opportunities to deploy capital this week. For a variety of reasons, from starting with an Industry Conference at the beginning of the week to just generally people not looking to transact given the volatility.You know I think with regard to non-QM loans, I don't think we're overly concerned about securitization being able to get executed, albeit at probably wider spreads. And part of my comments from earlier were, you know we – from what we understand, there are a few deals that aren’t lined up to come, you know again originally next week, we’ll see if they potentially put that on hold given the market volatility and should try and weigh that out.The last part I would say is that we look at new loans today and in the current rate environment, you know we want to be sensitive to probably newer expectations on the duration or prepayment speeds, and so we’ll be very sensitive to the premiums that maybe some of these originators are looking for in today's rate environment.

Okay, that makes sense. And then I guess also related to you know how things have moved this quarter, can you provide any update on any changes you might have made to the portfolio or the hedge book as rates have come down.

Yes, I mean I wouldn't say there was anything materially different than what we would do in a normal situation where rates are coming down and trying to you know keep up with the complexity on the agency book. I wouldn't say its anything out of the ordinary. What I would say is you know, the drastic move lower of late, you know I think it will be hard for originators to keep up with potential volume, given that we were already seeing a rate declined before this week.So, I think a lot of – you know you're not going to see the same linear move on the 25 basis points this week as you would have seen coming from where we started this rate moved down and I think we're pretty comfortable with the way we’re positioned on the agencies and how we’re hedged and what the already high expectations of prepayments were coming into this week.

Okay gotcha. And I think I missed in the prepared remarks you guys said something about an RPL transaction that settled post quarter end, but I missed if any details about the size of that or anything else you guys provided. If you could comment on that again?

Yeah. Just prior to year end we entered a purchase agreement on $480 million UPB notional of RPLs that have subsequently settled this quarter.

Okay. Thank you.

Yep.

Yep, thanks.

[Operator Instructions]. Okay, I’m showing no further questions at the moment. I will turn it back to our speakers for closing remarks.

Thanks everyone. I look forward to speaking with you next quarter.

Thank you. Ladies and gentlemen, this concludes today's conference. Thank you for joining. You may now disconnect.