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AG Mortgage Investment Trust, Inc. Reports Third Quarter Earnings

The Company had net realized gains of $4.1 million during the quarter ended September 30, 2012. Of this amount, $1.6 million, or $0.08 per share, was from sales of Agency RMBS and TBAs, $2.6 million, or $0.13 per share, was from the transfer of securities previously accounted for as derivatives through linked transactions and $(0.1) million, or $(0.00) per share, was from the net settlement of interest rate swaps. The Company had year-to-date net realized gains of $14.1 million. Of this amount, $9.4 million, or $0.57 per share, was from sales of Agency RMBS and TBAs, $2.4 million, or $0.15 per share, was from sales of credit investments, $2.6 million, or $0.16 per share was from the transfer of securities previously accounted for as derivatives through linked transactions and $(0.3) million, or $(0.02) per share, was from the net settlement of interest rate swaps.

The CPR for the Agency RMBS investment portfolio was 6.2% for the third quarter and 6.8% for the month of September 2012. The 2012 year-to-date CPR on the Agency RMBS investment portfolio was 5.5%. (6)

The weighted average cost basis of the Agency RMBS investment portfolio, excluding interest-only securities, was 105.0% as of September 30, 2012. The amortization of premiums (net of any accretion of discounts) on these securities for the third quarter was $(4.2) million, or $(0.21) per share. The Company recorded year-to-date premium amortization of $(10.9) million, or $(0.66) per share. The unamortized net Agency RMBS premium as of September 30, 2012 was $173.2 million.

Premiums and discounts associated with purchases of the Company's securities are amortized or accreted into interest income over the estimated life of such securities, using the effective yield method. The Company recorded $1.2 million, or $0.06 per share, of retrospective adjustment due to the change in projected cash flows on its bonds. Since the cost basis of the Company's Agency RMBS securities, excluding interest-only securities, exceeds the underlying principal balance by 5.0% as of September 30, 2012, slower actual and projected prepayments can have a meaningful positive impact, while faster actual or projected prepayments can have a meaningful negative impact on the Company's asset yields.

LEVERAGE AND HEDGING ACTIVITIES
 

The investment portfolio is financed with repurchase agreements as of September 30, 2012 as summarized below:

     

Repurchase Agreements Maturing Within:

Balance

Weighted Average Rate

Weighted Average Maturity

30 Days or Less $ 2,656,350,000 0.74% 15.4
31-60 Days 582,068,000 0.48% 44.9
61-90 Days 297,628,000 0.52% 70.7
Greater than 90 Days   581,475,386 0.70% 170.2
Total / Weighted Average $ 4,117,521,386 0.68% 45.4

The Company has entered into repurchase agreements with 26 counterparties. We continue to rebalance our exposures to counterparties and add new counterparties.

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