4 unchanged sentences
(in thousands, except per share data)
−Removed: September 30, 2022 December 31, 2021
+Added: March 31, 2023 December 31, 2022
Securitized residential mortgage loans, at fair value - $ 441,113 and $ 423,967 pledged as collateral, respectively (1)
2 unchanged sentences
130,741 356,467
+Added: Residential mortgage loans held for sale, at fair value - $ 0 and $ 64,984 pledged as collateral, respectively
Real estate securities, at fair value - $ 322,984 and $ 41,653 pledged as collateral, respectively
15 unchanged sentences
Common stock, par value $ 0.01 per share;
−Removed: 450,000 shares of common stock authorized and 22,117 and 23,908 shares issued and outstanding at September 30, 2022 and December 31, 2021, respectively
+Added: 450,000 shares of common stock authorized and 20,377 and 21,284 shares issued and outstanding at March 31, 2023 and December 31, 2022, respectively
Additional paid-in capital 773,457 778,606
10 unchanged sentences
(in thousands, except per share data)
−Removed: Three Months Ended Nine Months Ended
−Removed: September 30, 2022 September 30, 2021 September 30, 2022 September 30, 2021
+Added: Three Months Ended
+Added: March 31, 2023 March 31, 2022
Net Interest Income
6 unchanged sentences
Net unrealized gain/(loss) 8,717 ( 22,420 )
−Removed: Other income/(loss), net — — — 37
Total Other Income/(Loss) 9,837 ( 15,907 )
Management fee to affiliate (1) 2,075 1,962
−Removed: Other operating expenses (1) 4,083 2,997 11,594 10,128
+Added: Non-investment related expenses (1) 2,820 2,674
+Added: Investment related expenses (1) 2,326 2,021
Transaction related expenses (1) 1,707 5,879
−Removed: Servicing fees 986 849 3,005 2,136
Total Expenses 8,928 12,536
2 unchanged sentences
Net Income/(Loss) 12,540 ( 13,202 )
−Removed: Gain on Exchange Offers, net (Note 11) — — — 472
Dividends on preferred stock ( 4,586 ) ( 4,586 )
7 unchanged sentences
(1) Refer to Note 10 for additional details on related party transactions.
−Removed: (2) Amounts have been adjusted to reflect the one-for-three reverse stock split effected July 22, 2021.
−Removed: See Note 2 and Note 11 for additional details.
The accompanying notes are an integral part of these unaudited consolidated financial statements.
3 unchanged sentences
(in thousands)
−Removed: For the Three Months Ended September 30, 2022 and September 30, 2021
−Removed: Common Stock Preferred
−Removed: Stock Additional
−Removed: Paid-in Capital Retained
−Removed: Earnings/(Deficit)
−Removed: Shares Amount Total
−Removed: Balance at July 1, 2022 22,490 $ 225 $ 220,472 $ 785,610 $ ( 527,642 ) $ 478,665
−Removed: Repurchase of common stock ( 385 ) ( 4 ) — ( 2,335 ) — ( 2,339 )
−Removed: Grant of restricted stock 12 — — 80 — 80
−Removed: Common dividends declared — — — — ( 4,655 ) ( 4,655 )
−Removed: Preferred dividends declared — — — — ( 4,586 ) ( 4,586 )
−Removed: Net Income/(Loss) — — — — ( 2,869 ) ( 2,869 )
−Removed: Balance at September 30, 2022 22,117 $ 221 $ 220,472 $ 783,355 $ ( 539,752 ) $ 464,296
−Removed: Common Stock (1) Preferred
−Removed: Stock Additional
−Removed: Paid-in Capital (1) Retained
−Removed: Earnings/(Deficit)
−Removed: Shares Amount Total
−Removed: Balance at July 1, 2021 16,164 $ 162 $ 220,472 $ 719,940 $ ( 474,697 ) $ 465,877
−Removed: Repurchase of common stock ( 258 ) ( 3 ) — ( 2,844 ) — ( 2,847 )
−Removed: Grant of restricted stock 6 — — 80 — 80
−Removed: Common dividends declared — — — — ( 3,354 ) ( 3,354 )
−Removed: Preferred dividends declared — — — — ( 4,586 ) ( 4,586 )
−Removed: Net Income/(Loss) — — — — 34,579 34,579
−Removed: Balance at September 30, 2021 15,912 $ 159 $ 220,472 $ 717,176 $ ( 448,058 ) $ 489,749
−Removed: For the Nine Months Ended September 30, 2022 and September 30, 2021
+Added: For the Three Months Ended March 31, 2023 and March 31, 2022
Common Stock Preferred
9 unchanged sentences
Net Income/(Loss) — — — — 12,540 12,540
−Removed: Balance at September 30, 2022 22,117 $ 221 $ 220,472 $ 783,355 $ ( 539,752 ) $ 464,296
+Added: Balance at March 31, 2023 20,377 $ 204 $ 220,472 $ 773,457 $ ( 532,220 ) $ 461,913
Common Stock Preferred
4 unchanged sentences
Balance at January 1, 2022 23,908 $ 239 $ 220,472 $ 796,469 $ ( 446,800 ) $ 570,380
−Removed: Net proceeds from issuance of common stock 972 10 — 13,123 — 13,133
−Removed: Repurchase of common stock ( 258 ) ( 3 ) — ( 2,844 ) — ( 2,847 )
Grant of restricted stock 7 — — 80 — 80
1 unchanged sentence
Preferred dividends declared — — — — ( 4,586 ) ( 4,586 )
−Removed: Exchange Offers (Note 11) 1,368 14 ( 18,006 ) 17,510 472 ( 10 )
Net Income/(Loss) — — — — ( 13,202 ) ( 13,202 )
−Removed: Balance at September 30, 2021
−Removed: 15,912 $ 159 $ 220,472 $ 717,176 $ ( 448,058 ) $ 489,749
−Removed: (1) Amounts have been adjusted to reflect the one-for-three reverse stock split effected July 22, 2021.
−Removed: See Note 2 and Note 11 for additional details.
+Added: Balance at March 31, 2022 23,915 $ 239 $ 220,472 $ 796,549 $ ( 469,610 ) $ 547,650
The accompanying notes are an integral part of these unaudited consolidated financial statements.
3 unchanged sentences
(in thousands)
−Removed: Nine Months Ended
−Removed: September 30, 2022 September 30, 2021
+Added: Three Months Ended
+Added: March 31, 2023 March 31, 2022
Cash Flows from Operating Activities
13 unchanged sentences
Purchase of real estate securities ( 276,265 ) ( 79,564 )
−Removed: Origination of commercial loans — ( 1,881 )
−Removed: Purchase of commercial loans — ( 3,219 )
Investments in debt and equity of affiliates ( 700 ) ( 417 )
1 unchanged sentence
Proceeds from sales of real estate securities — 197,232
−Removed: Proceeds from sales of commercial loans — 74,579
Principal repayments on residential mortgage loans 73,956 146,388
Principal repayments on real estate securities 712 14,596
−Removed: Principal repayments on commercial loans — 70,232
Distributions received in excess of income from investments in debt and equity of affiliates 1,983 5,318
4 unchanged sentences
Cash Flows from Financing Activities
−Removed: Net proceeds from issuance of common stock — 13,133
Repurchase of common stock ( 5,244 ) —
1 unchanged sentence
Deferred financing costs paid ( 9 ) ( 17 )
−Removed: Repayments of secured debt — ( 10,000 )
Proceeds from issuance of securitized debt 235,709 1,078,189
4 unchanged sentences
Net cash provided by (used in) financing activities 154,312 615,611
−Removed: Nine Months Ended
−Removed: September 30, 2022 September 30, 2021
Net change in cash and cash equivalents and restricted cash 3,619 ( 4,058 )
Cash and cash equivalents and restricted cash, Beginning of Period 98,803 100,229
−Removed: Effect of exchange rate changes on cash — 10
Cash and cash equivalents and restricted cash, End of Period $ 102,422 $ 96,171
Supplemental disclosure of cash flow information:
−Removed: Cash paid for interest on financing arrangements $ 62,645 $ 15,416
+Added: Cash paid for interest on financing arrangements and securitized debt $ 42,932 $ 13,532
Cash paid for excise and income taxes $ — $ 3
+Added: Three Months Ended
+Added: March 31, 2023 March 31, 2022
Supplemental disclosure of non-cash financing and investing activities:
+Added: Receivable on unsettled trades $ — $ 107,788
Common stock dividends declared but not paid $ 3,684 $ 5,022
−Removed: Exchange Offers (Note 11) $ — $ 18,006
−Removed: Holdback on sale of excess MSRs $ — $ 134
−Removed: Purchase price payable on loans $ 794 $ —
Transfer from residential mortgage loans to other assets $ 915 $ 707
The following table provides a reconciliation of cash and cash equivalents and restricted cash reported within the consolidated balance sheets that sum to the total of the same such amounts shown in the consolidated statements of cash flows:
−Removed: September 30, 2022 September 30, 2021
+Added: March 31, 2023 March 31, 2022
Cash and cash equivalents $ 87,876 $ 50,541
Restricted cash 14,546 45,630
−Removed: Total cash and cash equivalents and restricted cash $ 99,436 $ 128,836
+Added: Total cash, cash equivalents and restricted cash shown in the consolidated statement of cash flows $ 102,422 $ 96,171
The accompanying notes are an integral part of these unaudited consolidated financial statements.
2 unchanged sentences
Notes to Consolidated Financial Statements (Unaudited)
−Removed: September 30, 2022
+Added: March 31, 2023
AG Mortgage Investment Trust, Inc.
4 unchanged sentences
The Company’s assets, excluding its ownership in Arc Home, include Residential Investments and Agency RMBS.
−Removed: Currently, its Residential Investments primarily consist of Non-Agency Loans and Agency-Eligible Loans.
+Added: Currently, its Residential Investments primarily consist of newly originated Non-Agency Loans and Agency-Eligible Loans.
The Company may invest in other types of residential mortgage loans and other mortgage related assets.
6 unchanged sentences
Non-Agency Loans consist of Qualified mortgage loans ("QM Loans") and Non-Qualified mortgage loans ("Non-QM Loans").
−Removed: QM Loans are residential mortgage loans that comply with the Ability-To-Repay rules and related guidelines of the Consumer Finance Protection Bureau ("CFPB").
+Added: QM Loans are residential mortgage loans that comply with the Ability-To-Repay rules and related guidelines of the Consumer Finance Protection Bureau.
Agency-Eligible Loans (1)
−Removed: • Agency-Eligible Loans are loans that are underwritten in accordance with GSE guidelines and are primarily secured by investment properties.
+Added: • Agency-Eligible Loans are loans that are underwritten in accordance with GSE guidelines and are primarily secured by investment properties, but are not guaranteed by a GSE.
+Added: Although these loans are underwritten in accordance with GSE guidelines and can be delivered to Fannie Mae and Freddie Mac, the Company includes these loans within its Non-Agency securitizations.
Re- and Non-Performing Loans (1)
7 unchanged sentences
Government such as Ginnie Mae.
−Removed: (1) These investments are included in the "Securitized residential mortgage loans, at fair value" and "Residential mortgage loans, at fair value" line items on the consolidated balance sheets.
+Added: (1) These investments are included in the "Securitized residential mortgage loans, at fair value," "Residential mortgage loans, at fair value," and "Residential mortgage loans held for sale, at fair value" line items on the consolidated balance sheets.
(2) These investments are included in the "Real estate securities, at fair value" line item on the consolidated balance sheets.
5 unchanged sentences
The Manager has delegated to Angelo Gordon the overall responsibility of its day-to-day duties and obligations arising under the management agreement.
−Removed: The consolidated financial statements include the accounts of the Company and its wholly-owned subsidiaries.
−Removed: All intercompany balances and transactions have been eliminated in consolidation.
AG Mortgage Investment Trust Inc.
1 unchanged sentence
Notes to Consolidated Financial Statements (Unaudited)
−Removed: September 30, 2022
−Removed: COVID-19 Impact
−Removed: In March 2020, the global novel coronavirus ("COVID-19") pandemic and the related economic conditions caused financial and mortgage-related asset markets to come under extreme duress, resulting in credit spread widening, a sharp decrease in interest rates and unprecedented illiquidity in repurchase agreement financing and mortgage-backed securities ("MBS") markets.
−Removed: The illiquidity was exacerbated by inadequate demand for MBS among primary dealers due to balance sheet constraints.
−Removed: Although market conditions have improved since 2020, the COVID-19 pandemic is ongoing with new variants emerging despite growing vaccination rates.
−Removed: As a result, the full impact of COVID-19 on the mortgage REIT industry, credit markets, and, consequently, on the Company’s financial condition and results of operations for future periods remains uncertain.
+Added: March 31, 2023
+Added: The consolidated financial statements include the accounts of the Company and its wholly-owned subsidiaries.
+Added: All intercompany balances and transactions have been eliminated in consolidation.
Summary of significant accounting policies
+Added: Consolidation and basis of presentation
The accompanying unaudited consolidated financial statements and related notes have been prepared on the accrual basis of accounting in accordance with accounting principles generally accepted in the United States of America ("GAAP") for interim financial reporting and the instructions to Form 10-Q and Rule 10-01 of Regulation S-X.
−Removed: For all periods presented, all per share amounts and common shares outstanding have been adjusted on a retroactive basis to reflect the Company's one-for-three reverse stock split which was effected following the close of business on July 22, 2021.
+Added: For the three months ended March 31, 2022, the Company reclassified $ 2.7 million and $ 1.0 million of other operating expenses into the "Non-investment related expenses" and "Investment related expenses" line items on the consolidated statement of operations, respectively.
+Added: Furthermore for the three months ended March 31, 2022, the Company reclassified $ 1.0 million of servicing fees into the "Investment related expenses" line item on the consolidated statement of operations.
In the opinion of management, all adjustments considered necessary for a fair statement of the Company’s financial position, results of operations, and cash flows have been included for the interim period and are of a normal and recurring nature.
The operating results presented for interim periods are not necessarily indicative of the results that may be expected for any other interim period or for the entire year.
+Added: Significant accounting policies
+Added: There have been no significant changes to the Company's accounting policies included in Note 2 to the consolidated financial statements of the Company’s Form 10-K for the year ended December 31, 2022 .
+Added: These unaudited consolidated financial statements and related notes should be read in conjunction with the consolidated financial statements and related notes for the year ended December 31, 2022 included in the Company’s Form 10-K.
Use of estimates
1 unchanged sentence
Actual results may differ from those estimates.
−Removed: Valuation of financial instruments
−Removed: The fair value of the financial instruments that the Company records at fair value is determined by the Manager, subject to oversight of the Company’s Board of Directors, and in accordance with the provisions of Accounting Standards Codification ("ASC") 820, "Fair Value Measurements and Disclosures." When possible, the Company determines fair value using third-party data sources.
−Removed: ASC 820 establishes a hierarchy that prioritizes the inputs to valuation techniques giving the highest priority to readily available unadjusted quoted prices in active markets for identical assets (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements) when market prices are not readily available or reliable.
−Removed: The three levels of the hierarchy under ASC 820 are described below:
−Removed: • Level 1 – Quoted prices in active markets for identical assets or liabilities.
−Removed: • Level 2 – Prices determined using other significant observable inputs.
−Removed: These may include quoted prices for similar assets and liabilities in active markets.
−Removed: • Level 3 – Prices determined using significant unobservable inputs.
−Removed: In situations where quoted prices or observable inputs are unavailable (for example, when there is little or no market activity for an investment at the end of the period), unobservable inputs may be used.
−Removed: Unobservable inputs reflect the Company’s assumptions about the factors that market participants would use in pricing an asset or liability, and would be based on the best information available.
−Removed: Transfers between levels are assumed to occur at the beginning of the reporting period.
−Removed: Accounting for loans
−Removed: Investments in loans are recorded in accordance with ASC 310-10, "Receivables" and are classified as held-for-investment when the Company has the intent and ability to hold such loans for the foreseeable future or to maturity/payoff.
−Removed: Loans are classified as held for sale upon the Company determining that it intends to sell or liquidate the loan in the short-term and certain criteria have been met.
−Removed: Loans held-for-sale are accounted for under ASC 948-310, "Financial services—mortgage banking." Loans meeting all criteria for reclassification are presented separately on the consolidated balance sheets.
−Removed: Transfers between held-for-investment and held-for-sale occur once the Company's intent to sell the loans changes.
−Removed: AG Mortgage Investment Trust Inc.
−Removed: and Subsidiaries
−Removed: Notes to Consolidated Financial Statements (Unaudited)
−Removed: September 30, 2022
−Removed: The Company has chosen to make a fair value election pursuant to ASC 825 for its loan portfolio.
−Removed: Electing the fair value option allows the Company to record changes in fair value in the consolidated statement of operations, which, in management's view, more appropriately reflects the results of operations for a particular reporting period as all loan activities will be recorded in a similar manner.
−Removed: As such, loans are recorded at fair value on the consolidated balance sheets and any periodic change in fair value is recorded in current period earnings on the consolidated statement of operations as a component of "Net unrealized gain/(loss)." The Company recognizes certain upfront costs and fees relating to loans for which the fair value option has been elected in current period earnings as incurred and does not defer those costs, which is in accordance with ASC 825-10-25.
−Removed: Purchases and sales of loans are recorded on the settlement date, concurrent with the completion of due diligence and the removal of any contingencies.
−Removed: At purchase, the Company may aggregate its residential mortgage loans into pools based on common risk characteristics.
−Removed: Once a pool of loans is assembled, its composition is maintained.
−Removed: When the Company purchases mortgage loans with evidence of credit deterioration since origination and it determines that it is probable it will not collect all contractual cash flows on those loans, it will apply the guidance found in ASC 310-30.
−Removed: Mortgage loans that are delinquent 60 or more days are considered non-performing for purposes of this determination.
−Removed: The Company updates its estimate of the cash flows expected to be collected on at least a quarterly basis for loans accounted for under ASC 310-30.
−Removed: In estimating these cash flows, there are a number of assumptions that will be subject to uncertainties and contingencies including both the rate and timing of principal and interest receipts, and assumptions of prepayments, repurchases, defaults and liquidations.
−Removed: If based on the most current information and events it is probable that there is a significant increase in cash flows previously expected to be collected or if actual cash flows are significantly greater than cash flows previously expected, the Company will recognize these changes prospectively through an adjustment of the loan’s yield over its remaining life.
−Removed: The Company will adjust the amount of accretable yield by reclassification from the nonaccretable difference.
−Removed: The Company accrues interest income on its loan portfolio.
−Removed: Loans are typically moved to non-accrual status and income recognition is suspended if the loan becomes 90 days or more delinquent.
−Removed: A loan is written off when it is no longer realizable and/or legally discharged.
−Removed: Accounting for real estate securities
−Removed: Investments in real estate securities are recorded in accordance with ASC 320-10, "Investments – Debt and Equity Securities" or ASC 325-40, "Beneficial Interests in Securitized Financial Assets." The Company has chosen to make a fair value election pursuant to ASC 825, "Financial Instruments" for its real estate securities portfolio.
−Removed: Electing the fair value option allows the Company to record changes in fair value in the consolidated statement of operations, which, in management’s view, more appropriately reflects the results of operations for a particular reporting period as all securities activities will be recorded in a similar manner.
−Removed: Real estate securities are recorded at fair value on the consolidated balance sheets and the periodic change in fair value is recorded in current period earnings on the consolidated statement of operations as a component of "Net unrealized gain/(loss)." Purchases and sales of real estate securities are recorded on the trade date.
−Removed: Investments in debt and equity of affiliates
−Removed: The Company’s unconsolidated ownership interests in affiliates are accounted for using the equity method in accordance with ASC 323, "Investments – Equity Method and Joint Ventures." Substantially all of the Company’s investments held through affiliated entities are comprised of real estate securities, loans, and its interest in AG Arc LLC.
−Removed: Certain entities have chosen to make a fair value election on their financial instruments and certain financing arrangements pursuant to ASC 825;
−Removed: as such, the Company will treat these financial instruments and financing arrangements consistently with this election.
−Removed: On December 9, 2015, the Company, alongside private funds managed by Angelo Gordon, through AG Arc LLC, one of the Company’s indirect affiliates ("AG Arc"), formed Arc Home.
−Removed: The Company has an approximate 44.6 % interest in AG Arc.
−Removed: Arc Home originates residential mortgage loans and retains the mortgage servicing rights associated with certain loans it originates.
−Removed: Arc Home is led by an external management team.
−Removed: The Company has chosen to make a fair value election with respect to its investment in AG Arc pursuant to ASC 825.
−Removed: The Company elected to treat its investment in AG Arc as a taxable REIT subsidiary.
−Removed: As a result, income or losses recognized by the Company from its investment in AG Arc are recorded in "Equity in earnings/(loss) from affiliates" line item on the Company's consolidated statement of operations net of income taxes.
−Removed: AG Mortgage Investment Trust Inc.
−Removed: and Subsidiaries
−Removed: Notes to Consolidated Financial Statements (Unaudited)
−Removed: September 30, 2022
−Removed: From time to time, the Company acquires newly originated residential mortgage loans from Arc Home.
−Removed: In connection with the sale of loans from Arc Home to the Company, gains or losses recorded by Arc Home are consolidated into AG Arc.
−Removed: In accordance with ASC 323-10, for loans acquired from Arc Home that remain on the Company's consolidated balance sheet at period end, the Company eliminates any profits or losses typically recognized through the "Equity in earnings/(loss) from affiliates" line item on the Company's consolidated statement of operations and adjusts the cost basis of the underlying loans resulting in unrealized gains or losses.
−Removed: During the three and nine months ended September 30, 2022 and 2021, the Company eliminated intra-entity profits recognized by Arc Home and also decreased the cost basis of the underlying loans by the same amount in connection with loan sales to the Company, as detailed below (in thousands).
−Removed: Three Months Ended Nine Months Ended
−Removed: September 30, 2022
−Removed: September 30, 2021
−Removed: September 30, 2022
−Removed: September 30, 2021
−Removed: Intra-Entity Profits Eliminated $ 1,755 $ 1,580 $ 5,869 $ 3,467
−Removed: Additionally, the Company enters into forward purchase commitments with Arc Home whereby the Company commits to purchase residential mortgage loans from Arc Home at a particular price on a best-efforts basis.
−Removed: See the "Accounting for derivative financial instruments - Forward purchase commitments" policy below and Note 10 for additional detail.
−Removed: On August 29, 2017, the Company, alongside private funds managed by Angelo Gordon, formed Mortgage Acquisition Holding I LLC ("MATH") to conduct a residential mortgage investment strategy.
−Removed: The Company has an approximate 44.6 % interest in MATH.
−Removed: MATH in turn sponsored the formation of an entity called Mortgage Acquisition Trust I LLC ("MATT") to purchase predominantly Non-QM Loans.
−Removed: MATT made an election to be treated as a real estate investment trust beginning with the 2018 tax year.
−Removed: As of September 30, 2022, MATT primarily holds retained tranches from past securitizations which continue to pay down and the Company does not expect to acquire additional investments within this equity method investment.
−Removed: On May 15, 2019 and November 14, 2019, the Company, alongside private funds managed by Angelo Gordon, formed LOT SP I LLC and LOT SP II LLC, respectively, (collectively, "LOTS").
−Removed: The Company has an approximate 47.5 % and 50 % interest in LOT SP I LLC and LOT SP II LLC, respectively.
−Removed: LOTS were formed to originate first mortgage loans to third-party land developers and home builders for the acquisition and horizontal development of land ("Land Related Financing").
−Removed: The LOTS investments continue to pay down and the Company does not expect to originate new loans within this equity method investment.
Investment consolidation
An entity is a variable interest entity ("VIE") if the equity investors (i) do not have sufficient equity at risk for the entity to finance its activities without additional subordinated financial support, (ii) are unable to direct the entity’s activities or (iii) are not exposed to the entity’s losses or entitled to its residual returns.
−Removed: VIEs within the scope of ASC 810-10, "Consolidation," are required to be consolidated by their primary beneficiary.
+Added: VIEs within the scope of Accounting Standards Codification ("ASC") 810-10, "Consolidation" are required to be consolidated by their primary beneficiary.
The primary beneficiary of a VIE is determined to be the party that has both the power to direct the activities of a VIE that most significantly impact the VIE’s economic performance and the obligation to absorb losses or the right to receive benefits from the VIE that could potentially be significant to the VIE.
7 unchanged sentences
Securitization involves transferring assets to an SPE to convert all or a portion of those assets into cash before they would have been realized in the normal course of business through the SPE’s issuance of debt or equity instruments.
−Removed: Investors in an SPE usually have recourse only to the assets in the SPE and depending
+Added: Investors in an SPE usually have recourse only to the assets in the SPE and depending on the overall structure of the transaction, may benefit from various forms of credit enhancement, such as over-collateralization in the form of excess assets in the SPE, priority with respect to receipt of cash flows relative to holders of other debt or equity instruments issued by the SPE, or a line of credit or other form of liquidity agreement that is designed with the objective of ensuring that investors receive principal and/or interest cash flow on the investment in accordance with the terms of their investment agreement.
AG Mortgage Investment Trust Inc.
1 unchanged sentence
Notes to Consolidated Financial Statements (Unaudited)
−Removed: September 30, 2022
−Removed: on the overall structure of the transaction, may benefit from various forms of credit enhancement, such as over-collateralization in the form of excess assets in the SPE, priority with respect to receipt of cash flows relative to holders of other debt or equity instruments issued by the SPE, or a line of credit or other form of liquidity agreement that is designed with the objective of ensuring that investors receive principal and/or interest cash flow on the investment in accordance with the terms of their investment agreement.
−Removed: The Company enters into securitization transactions collateralized by its Non-Agency Loans ("Non-Agency VIEs"), Agency-Eligible Loans ("Agency-Eligible VIEs"), and re- and non-performing loans ("RPL/NPL VIEs") (collectively, "Residential Mortgage Loan VIEs"), which may result in the Company consolidating the respective VIEs that are created to facilitate these securitizations.
+Added: March 31, 2023
+Added: The Company enters into securitization transactions collateralized by its Non-Agency Loans/Agency-Eligible Loans and re- and non-performing loans (the trusts in which these loans are deposited are referred to as "Non-Agency VIEs" and "RPL/NPL VIEs", respectively, and collectively "Residential Mortgage Loan VIEs"), which may result in the Company consolidating the respective VIEs that are created to facilitate these securitizations.
Based on the evaluations of each VIE, the Company may conclude that the VIEs should be consolidated and, as a result, transferred assets of these VIEs would be determined to be secured borrowings.
4 unchanged sentences
See Note 3 for more detail regarding the Residential Mortgage Loan VIEs and Note 5 for more detail related to the Company's determination of fair value for the assets and liabilities included within these VIEs.
−Removed: Transfers of financial assets
−Removed: The Company may periodically enter into transactions in which it transfers assets to a third party.
−Removed: Upon a transfer of financial assets, the Company will sometimes retain or acquire senior or subordinated interests in the related assets.
−Removed: Pursuant to ASC 860-10, "Transfers and Servicing" a determination must be made as to whether a transferor has surrendered control over transferred financial assets.
−Removed: That determination must consider the transferor’s continuing involvement in the transferred financial asset, including all arrangements or agreements made contemporaneously with, or in contemplation of, the transfer, even if they were not entered into at the time of the transfer.
−Removed: The financial components approach under ASC 860-10 limits the circumstances in which a financial asset, or portion of a financial asset, should be derecognized when the transferor has not transferred the entire original financial asset to an entity that is not consolidated with the transferor in the financial statements being presented and/or when the transferor has continuing involvement with the transferred financial asset.
−Removed: It defines the term "participating interest" to establish specific conditions for reporting a transfer of a portion of a financial asset as a sale.
−Removed: Under ASC 860-10, after a transfer of financial assets that meets the criteria for treatment as a sale—legal isolation, ability of transferee to pledge or exchange the transferred assets without constraint and transferred control—an entity recognizes the financial and servicing assets it acquired or retained and the liabilities it has incurred, derecognizes financial assets it has sold and derecognizes liabilities when extinguished.
−Removed: The transferor would then determine the gain or loss on sale of financial assets by allocating the carrying value of the underlying mortgage between securities or loans sold and the interests retained based on their fair value.
−Removed: The gain or loss on sale is the difference between the cash proceeds from the sale and the amount allocated to the securities or loans sold.
−Removed: When a transfer of financial assets does not qualify for sale accounting, ASC 860-10 requires the transfer to be accounted for as a secured borrowing with a pledge of collateral.
−Removed: From time to time, the Company may securitize mortgage loans it holds if such financing is available.
−Removed: These transactions will be recorded in accordance with ASC 860-10 and will be accounted for as either a "sale" and the loans will be removed from the consolidated balance sheets or as a "financing" and will be classified as "Securitized residential mortgage loans, at fair value" on the consolidated balance sheets, depending upon the structure of the securitization transaction.
−Removed: ASC 860-10 is a standard that may require the Company to exercise significant judgment in determining whether a transaction should be recorded as a "sale" or a "financing."
−Removed: Cash and cash equivalents
−Removed: Cash is comprised of cash on deposit with financial institutions.
−Removed: The Company classifies highly liquid investments with original maturities of three months or less from the date of purchase as cash equivalents.
−Removed: Cash equivalents may include cash invested in money market funds.
−Removed: Cash and cash equivalents are carried at cost, which approximates fair value.
−Removed: The Company places its
−Removed: AG Mortgage Investment Trust Inc.
−Removed: and Subsidiaries
−Removed: Notes to Consolidated Financial Statements (Unaudited)
−Removed: September 30, 2022
−Removed: cash with high credit quality institutions to minimize credit risk exposure.
−Removed: Cash pledged to the Company as collateral is unrestricted in use and, accordingly, is included as a component of "Cash and cash equivalents" on the consolidated balance sheets.
−Removed: Any cash held by the Company as collateral is included in the "Other liabilities" line item on the consolidated balance sheets and in cash flows from financing activities on the consolidated statement of cash flows.
−Removed: "Other liabilities" does not include variation margin received on centrally cleared derivatives.
−Removed: Refer to the "Accounting for derivative financial instruments" policy below for additional detail.
−Removed: Any cash due to the Company in the form of principal payments is included in the "Other assets" line item on the consolidated balance sheets and in cash flows from operating activities on the consolidated statement of cash flows.
−Removed: Restricted cash
−Removed: Restricted cash includes cash pledged as collateral for clearing and executing trades, derivatives, and financing arrangements, as well as restricted cash deposited into accounts held at certain consolidated trusts.
−Removed: Restricted cash is not available to the Company for general corporate purposes.
−Removed: Restricted cash may be returned to the Company when the related collateral requirements are exceeded or at the maturity of the derivative or financing arrangement.
−Removed: Restricted cash is carried at cost, which approximates fair value.
−Removed: Restricted cash also includes variation margin pledged on centrally cleared derivatives.
−Removed: Refer to the "Accounting for derivative financial instruments" policy below for additional detail.
−Removed: Financing arrangements
−Removed: The Company finances the acquisition of certain assets within its portfolio through the use of financing arrangements.
−Removed: Financing arrangements primarily include repurchase agreements, but may also include revolving facilities.
−Removed: Repurchase agreements are treated as collateralized financing transactions and carried at their contractual amounts, including accrued interest, as specified in the respective agreements.
−Removed: The carrying amount of the Company’s repurchase agreements and revolving facilities approximates fair value.
−Removed: The Company pledges certain loans or securities as collateral under financing arrangements with financial institutions, the terms and conditions of which are negotiated on a transaction-by-transaction basis.
−Removed: The amounts available to be borrowed under repurchase agreements and revolving facilities are dependent upon the fair value of the loans or securities pledged as collateral, which can fluctuate with changes in interest rates, type of security and liquidity conditions within the banking, mortgage finance, and real estate industries.
−Removed: If the fair value of pledged assets declines due to changes in market conditions, lenders typically would require the Company to post additional securities as collateral, pay down borrowings, or establish cash margin accounts with the counterparties in order to re-establish the agreed-upon collateral requirements, referred to as margin calls.
−Removed: The fair value of financial instruments pledged as collateral on the Company’s financing arrangements represents the Company’s fair value of such instruments which may differ from the fair value assigned to the collateral by its counterparties.
−Removed: The Company maintains a level of liquidity in order to meet these obligations.
−Removed: If the fair value of pledged assets increases due to changes in market conditions, counterparties may be required to return collateral to the Company in the form of securities or cash or post additional collateral to the Company.
−Removed: Financings pursuant to repurchase agreements and revolving facilities are generally recourse to the Company.
−Removed: As of September 30, 2022 and December 31, 2021, the Company had met all margin call requirements.
−Removed: Accounting for derivative financial instruments
−Removed: Derivative contracts
−Removed: The Company enters into derivative contracts as a means of mitigating interest rate risk rather than to enhance returns.
−Removed: The Company accounts for derivative financial instruments in accordance with ASC 815-10, "Derivatives and Hedging." ASC 815-10 requires an entity to recognize all derivatives as either assets or liabilities on the balance sheet and to measure those instruments at fair value with corresponding changes in fair value recognized in the consolidated statement of operations.
−Removed: The Company records derivative asset and liability positions on a gross basis with respect to its counterparties.
−Removed: During the period in which the Company unwinds a derivative, it records a realized gain/(loss) in the "Net realized gain/(loss)" line item in the consolidated statement of operations.
−Removed: As of September 30, 2022 and December 31, 2021, the Company did not have any interest rate derivatives designated as hedges for accounting purposes.
−Removed: To-be-announced securities
−Removed: A to-be-announced security ("TBA") is a forward contract for the purchase or sale of Agency RMBS at a predetermined price,
−Removed: AG Mortgage Investment Trust Inc.
−Removed: and Subsidiaries
−Removed: Notes to Consolidated Financial Statements (Unaudited)
−Removed: September 30, 2022
−Removed: face amount, issuer, coupon and stated maturity on an agreed-upon future date.
−Removed: The specific Agency RMBS delivered into or received from the contract upon the settlement date, published each month by the Securities Industry and Financial Markets Association, are not known at the time of the transaction.
−Removed: The Company may also choose, prior to settlement, to move the settlement of these securities out to a later date by entering into an offsetting short or long position (referred to as a pair off), net settling the paired off positions for cash, simultaneously purchasing or selling a similar TBA contract for a later settlement date.
−Removed: This transaction is commonly referred to as a dollar roll.
−Removed: The Agency RMBS purchased or sold for a forward settlement date are typically priced at a discount to Agency RMBS for settlement in the current month.
−Removed: This difference, or discount, is referred to as the price drop.
−Removed: The price drop is the economic equivalent of net interest carry income on the underlying Agency RMBS over the roll period (interest income less implied financing cost) and is commonly referred to as dollar roll income/(loss).
−Removed: Consequently, forward purchases of Agency RMBS and dollar roll transactions represent a form of off-balance sheet financing.
−Removed: Dollar roll income is recognized in the consolidated statement of operations in the line item "Net unrealized gain/(loss)."
−Removed: Variation margin
−Removed: The Company may exchange cash "variation margin" with the counterparties to its derivative instruments on a daily basis based upon changes in the fair value of such derivative instruments as measured by the Chicago Mercantile Exchange ("CME") and the London Clearing House, the central clearinghouses ("CCPs") through which those derivatives are cleared.
−Removed: In addition, the CCPs require market participants to deposit and maintain an "initial margin" amount which is determined by the CCPs and is generally intended to be set at a level sufficient to protect the CCPs from the maximum estimated single-day price movement in that market participant’s contracts.
−Removed: Receivables recognized for the right to reclaim cash initial margin posted in respect of derivative instruments are included in the "Restricted cash" line item in the consolidated balance sheets.
−Removed: The daily exchange of variation margin associated with a CCP instrument is legally characterized as the daily settlement of the derivative instrument itself, as opposed to a pledge of collateral.
−Removed: Accordingly, the Company accounts for the daily receipt or payment of variation margin associated with its centrally cleared derivative instruments as a direct reduction to the carrying value of the derivative asset or liability, respectively.
−Removed: The daily receipt or payment is included as a settlement of the derivative in cash flows from investing activities on the consolidated statement of cash flows.
−Removed: The carrying amount of centrally cleared derivative instruments reflected in the Company’s consolidated balance sheets approximates the unsettled fair value of such instruments.
−Removed: As variation margin is exchanged on a one-day lag, the unsettled fair value of such instruments represents the change in fair value that occurred on the last day of the reporting period.
−Removed: Forward purchase commitments
−Removed: The Company may enter into forward purchase commitments with counterparties whereby the Company commits to purchasing residential mortgage loans at a particular price.
−Removed: Actual loan purchases are contingent upon successful loan closings.
−Removed: The counterparties deliver the committed loans on either a mandatory basis or best-efforts basis.
−Removed: These commitments to purchase mortgage loans are classified as derivatives and are therefore recorded at fair value on the consolidated balance sheets, with corresponding changes in fair value recognized in the consolidated statement of operations.
−Removed: Derivatives with a positive fair value to the Company are reported as assets and derivatives with a negative fair value to the Company are reported as liabilities.
−Removed: Earnings/(Loss) per share
−Removed: In accordance with ASC 260, "Earnings per Share," the Company calculates basic income/(loss) per share by dividing net income/(loss) available to common stockholders for the period by weighted average shares of the Company’s common stock outstanding for that period.
−Removed: Diluted income per share takes into account the effect of dilutive instruments, such as stock options, warrants, unvested restricted stock and unvested restricted stock units using the average share price for the period in determining the number of incremental shares that are to be added to the weighted-average number of shares outstanding.
−Removed: Potential dilutive shares are excluded from the calculation, if they have an anti-dilutive effect in the period.
−Removed: Interest income recognition
−Removed: Interest income on the Company’s loan and securities portfolio is accrued based on the actual coupon rate and the outstanding principal balance of such loans or securities.
−Removed: The Company has elected to record interest in accordance with ASC 835-30-35-2, "Imputation of Interest," using the effective interest method for all loans and securities accounted for under the fair value option in accordance with ASC 825, "Financial Instruments." As such, premiums and discounts are amortized or accreted into interest income over the lives of the loans or securities in accordance with ASC 310-20, "Nonrefundable Fees and Other Costs," ASC
−Removed: AG Mortgage Investment Trust Inc.
−Removed: and Subsidiaries
−Removed: Notes to Consolidated Financial Statements (Unaudited)
−Removed: September 30, 2022
−Removed: 320-10 or ASC 325-40, as applicable.
−Removed: Total interest income is recorded in the "Interest income" line item on the consolidated statement of operations.
−Removed: For Agency RMBS, exclusive of interest-only securities, prepayments of the underlying collateral are estimated on a quarterly basis, which directly affect the speed at which the Company amortizes premiums on its securities.
−Removed: If actual and anticipated cash flows differ from previous estimates, the Company records an adjustment in the current period to the amortization of premiums for the impact of the cumulative change in the effective yield retrospectively through the reporting date.
−Removed: Similarly, the Company also reassesses the cash flows on at least a quarterly basis for loans and securities, including Non-Agency Loans, Agency-Eligible Loans, Non-Agency RMBS, and interest-only securities.
−Removed: In estimating these cash flows, there are a number of assumptions made that are uncertain and subject to judgments and assumptions based on subjective and objective factors and contingencies.
−Removed: These include the rate and timing of principal and interest receipts (including assumptions of prepayments, repurchases, defaults and liquidations), the pass-through or coupon rate and interest rate fluctuations.
−Removed: In addition, interest payment shortfalls due to delinquencies on the underlying mortgage loans have to be estimated.
−Removed: Differences between previously estimated cash flows and current actual and anticipated cash flows are recognized prospectively through an adjustment of the yield over the remaining life of the security based on the current amortized cost of the investment.
−Removed: For loan and security investments purchased with evidence of deterioration of credit quality for which it is probable, at acquisition, that the Company will be unable to collect all contractually required payments receivable, the Company will apply the provisions of ASC 310-30.
−Removed: For purposes of income recognition, the Company aggregates loans that have common risk characteristics into pools and uses a composite interest rate and expectation of cash flows expected to be collected for the pool.
−Removed: ASC 310-30 addresses accounting for differences between contractual cash flows and cash flows expected to be collected from an investor’s initial investment in loans or debt securities acquired in a transfer if those differences are attributable, at least in part, to credit quality.
−Removed: ASC 310-30 limits the yield that may be accreted (the "accretable yield") to the excess of the investor’s estimate of undiscounted expected principal, interest, and other cash flows (cash flows expected at acquisition to be collected) over the investor’s initial investment in the loan.
−Removed: ASC 310-30 requires that the excess of contractual cash flows over cash flows expected to be collected (the "nonaccretable difference") not be recognized as an adjustment of yield.
−Removed: Subsequent changes in cash flows expected to be collected generally should be recognized prospectively through an adjustment of the loan’s yield over its remaining life.
−Removed: Realized gains and losses
−Removed: Realized gains or losses on sales of loans, securities, and derivatives are included in the "Net realized gain/(loss)" line item on the consolidated statement of operations.
−Removed: The cost of loans, securities, and derivatives sold is calculated using a first in, first out ("FIFO") basis.
−Removed: Realized gains and losses are recorded in earnings at the time of disposition.
−Removed: Manager compensation
−Removed: The management agreement, as amended, provides for payment to the Manager of a management fee, an incentive fee, and reimbursements of certain expenses incurred by the Manager or its affiliates on behalf of the Company.
−Removed: The management fee, incentive fee, and reimbursements are accrued and expensed during the period for which they are earned or for which the expenses are incurred, respectively.
−Removed: These expenses are included in the "Management fee to affiliate" line item and in the "Other operating expenses" and "Transaction related expenses" line items, respectively, on the consolidated statement of operations.
−Removed: For a more detailed discussion on the fees payable under the management agreement, see Note 10.
−Removed: Transaction related expenses
−Removed: The Company incurs transaction related expenses associated with purchasing and securitizing residential mortgage loans.
−Removed: In accordance with ASC 825 "Financial Instruments," nonrefundable fees and costs associated with originating or acquiring loans that are carried at fair value shall be recognized in earnings as incurred.
−Removed: Transaction related expenses are accrued and expensed during the period in which they are incurred and are included in the "Transaction related expenses" line item on the consolidated statement of operations.
−Removed: AG Mortgage Investment Trust Inc.
−Removed: and Subsidiaries
−Removed: Notes to Consolidated Financial Statements (Unaudited)
−Removed: September 30, 2022
−Removed: The Company conducts its operations to qualify and be taxed as a REIT.
−Removed: Accordingly, the Company will generally not be subject to federal or state corporate income tax to the extent that the Company makes qualifying distributions to its stockholders, and provided that it satisfies on a continuing basis, through actual investment and operating results, the REIT requirements including certain asset, income, distribution and stock ownership tests.
−Removed: If the Company fails to qualify as a REIT, and does not qualify for certain statutory relief provisions, it will be subject to U.S.
−Removed: federal, state and local income taxes and may be precluded from qualifying as a REIT for the four taxable years following the year in which the Company fails to qualify as a REIT.
−Removed: The dividends paid deduction of a REIT for qualifying dividends to its stockholders is computed using the Company’s taxable income/(loss) as opposed to net income/(loss) reported on the Company’s GAAP financial statements.
−Removed: Taxable income/(loss), generally, will differ from net income/(loss) reported on the financial statements because the determination of taxable income/(loss) is based on tax principles and not financial accounting principles.
−Removed: Cash distributions declared by the Company that do not exceed its current or accumulated earnings and profits will be considered ordinary income to stockholders for income tax purposes unless all or a portion of a distribution is designated by the Company as a capital gain dividend.
−Removed: Distributions in excess of the Company’s current and accumulated earnings and profits will be characterized as return of capital or capital gains.
−Removed: The Company elected to treat certain domestic subsidiaries as taxable REIT subsidiaries ("TRSs") and may elect to treat other subsidiaries as TRSs.
−Removed: In general, a TRS may hold assets and engage in activities that the Company cannot hold or engage in directly and generally may engage in any real estate or non-real estate-related business.
−Removed: A domestic TRS may declare dividends to the Company which will be included in the Company’s taxable income/(loss) which may necessitate a distribution to stockholders.
−Removed: Conversely, if the Company retains earnings at the domestic TRS level, no distribution is required and the Company can increase book equity of the consolidated entity.
−Removed: A domestic TRS is subject to U.S.
−Removed: federal, state and local corporate income taxes.
−Removed: The Company’s financial results are generally not expected to reflect provisions for current or deferred income taxes, except for any activities conducted through one or more TRSs that are subject to corporate income taxation.
−Removed: The Company believes that it will operate in a manner that will allow it to qualify for taxation as a REIT.
−Removed: As a result of the Company’s expected REIT qualification, it does not generally expect to pay federal or state corporate income tax.
−Removed: Many of the REIT requirements, however, are highly technical and complex.
−Removed: As a REIT, if the Company fails to distribute in any calendar year (subject to specific timing rules for certain dividends paid in January) at least the sum of (i) 85% of its ordinary income for such year, (ii) 95% of its capital gain net income for such year, and (iii) any undistributed taxable income from the prior year, the Company would be subject to a non-deductible 4% excise tax on the excess of such required distribution over the sum of (i) the amounts actually distributed and (ii) the amounts of income retained and on which the Company has paid corporate income tax.
−Removed: The Company evaluates uncertain income tax positions, if any, in accordance with ASC 740, "Income Taxes." The Company classifies interest and penalties, if any, related to unrecognized tax benefits as a component of provision for income taxes.
−Removed: See Note 9 for further details.
−Removed: Reverse stock split
−Removed: On July 12, 2021, the Company announced that its Board of Directors approved a one-for-three reverse stock split of the Company's outstanding shares of common stock.
−Removed: The reverse stock split was effected following the close of business on July 22, 2021 (the "Effective Time").
−Removed: At the Effective Time, every three issued and outstanding shares of the Company’s common stock were combined into one share of the Company’s common stock.
−Removed: No fractional shares were issued in connection with the reverse stock split.
−Removed: Instead, each stockholder holding fractional shares was entitled to receive, in lieu of such fractional shares, cash in an amount determined based on the closing price of the Company's common stock on the date of the Effective Time.
−Removed: The reverse stock split applied to all of the Company's outstanding shares of common stock and did not affect any stockholder’s ownership percentage of shares of the Company's common stock, except for immaterial changes resulting from the payment of cash for fractional shares.
−Removed: All per share amounts and common shares outstanding for all periods presented in the unaudited
−Removed: AG Mortgage Investment Trust Inc.
−Removed: and Subsidiaries
−Removed: Notes to Consolidated Financial Statements (Unaudited)
−Removed: September 30, 2022
−Removed: consolidated financial statements have been adjusted on a retroactive basis to reflect the Company's reverse stock split, where applicable.
−Removed: See Note 11 for further details.
−Removed: Dividends on Preferred Stock
−Removed: Holders of the Company’s 8.25 % Series A Cumulative Redeemable Preferred Stock ("Series A Preferred Stock"), 8.00 % Series B Cumulative Redeemable Preferred Stock ("Series B Preferred Stock"), and 8.000 % Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock ("Series C Preferred Stock") are entitled to receive cumulative cash dividends at a rate of 8.25 %, 8.00 % and 8.000 % per annum, respectively, of the $ 25.00 per share liquidation preference for each series.
−Removed: On and after September 17, 2024, dividends on the Series C Preferred Stock will accumulate at a percentage of the $ 25.00 liquidation preference equal to an annual floating rate of the then three-month LIBOR (or as replaced by the existing LIBOR cessation fallback language) plus a spread of 6.476 % per annum.
−Removed: If the Company’s Board of Directors does not declare a dividend in a given period, an accrual is not recorded on the balance sheet.
−Removed: However, undeclared preferred stock dividends are reflected in earnings per share as discussed in ASC 260-10-45-11.
−Removed: Preferred stock dividends that are not declared accumulate and are added to the liquidation preference as of the scheduled payment date for the respective series of the preferred stock.
−Removed: The undeclared and unpaid dividends on the Company’s preferred stock accrue without interest, and if dividends on the Company's preferred stock are in arrears, the Company cannot pay cash dividends with respect to its common stock.
−Removed: See Note 11 for further detail on the Company’s Preferred Stock.
−Removed: Offering costs
−Removed: The Company has incurred offering costs in connection with common stock offerings, registration statements, preferred stock offerings, and exchanges.
−Removed: Where applicable, the offering costs were paid out of the proceeds of the respective offerings.
−Removed: Offering costs in connection with common stock offerings and costs in connection with registration statements have been accounted for as a reduction of additional paid-in capital.
−Removed: Offering costs in connection with preferred stock offerings have been accounted for as a reduction of their respective gross proceeds.
−Removed: Exchange costs in connection with the Company's preferred stock exchanges have been accounted for as a reduction to the Company's retained earnings.
Recent accounting pronouncements
In March 2020, FASB issued ASU 2020-04, "Reference Rate Reform (Topic 848):
−Removed: Facilitation of the Effects of Reference Rate Reform on Financial Reporting." This ASU provides temporary optional guidance intended to ease the burden of reference rate reform on financial reporting.
−Removed: This ASU is effective as of March 12, 2020 through December 31, 2022 and may be elected over time as reference rate reform activities occur.
+Added: Facilitation of the Effects of Reference Rate Reform on Financial Reporting." This ASU provides temporary optional guidance intended to ease the burden of reference rate reform on financial reporting and may be elected over time as reference rate reform activities occur.
+Added: This ASU is effective as of March 12, 2020 and was amended by ASU 2022-06 to sunset on December 31, 2024.
The ASU applies to all entities that have contracts, hedging relationships and other transactions that reference LIBOR and certain other reference rates that are expected to be discontinued.
2 unchanged sentences
The guidance provides optional expedients and exceptions for applying existing guidance to contract modifications, hedging relationships and other transactions that are expected to be affected by reference rate reform and meet certain scope guidance.
−Removed: The Manager has an established cross-functional team that focuses on evaluating exposure to LIBOR and monitoring regulatory updates to assess the potential impact to the portfolios under management from the cessation set to occur in 2023 and has established a LIBOR transition plan to facilitate an orderly transition to alternative reference rates.
−Removed: As of September 30, 2022, the Company is continuing to assess the impact of the LIBOR transition and does not expect the transition or the adoption of ASU 2020-04 to have a material impact on the consolidated financial statements.
−Removed: The Company's primary exposure to LIBOR includes certain financing arrangements, interest rate swaps, and the Series C Preferred Stock.
−Removed: The Company's financing arrangements either have provisions in place that provide for an alternative to LIBOR upon its phase-out or contain maturities of one year or less and therefore would mature prior to the phase out of LIBOR in June 2023.
−Removed: In addition, the Company has begun amending terms of certain financing arrangements, where necessary, to transition or direct the transition to an alternative benchmark.
−Removed: Interest rate swaps will experience an orderly market transition prior to the cessation of LIBOR, although the Company has begun transitioning its interest rate swap portfolio away from LIBOR benchmarks.
+Added: The Manager has an established cross-functional team that focuses on evaluating exposure to LIBOR and monitoring regulatory updates to assess the potential impact to the portfolios under management from the cessation set to occur on June 30, 2023 and has established a LIBOR transition plan to facilitate an orderly transition to alternative reference rates.
+Added: As of March 31, 2023, the Company is continuing to assess the impact of the LIBOR transition and does not expect the transition or the adoption of ASU 2020-04 to have a material impact on the consolidated financial statements.
+Added: The Company's primary exposure to LIBOR has historically included its financing arrangements and derivative contracts.
+Added: In addition, the Company's Series C Preferred Stock is set to transition to a floating rate in September of 2024.
+Added: As of March 31, 2023, the Company no longer has derivative contracts indexed to LIBOR and all LIBOR-based financing arrangements have transitioned to alternative benchmark rates.
The Company does not currently intend to amend the Series C Preferred Stock to change the existing LIBOR cessation fallback language.
2 unchanged sentences
Notes to Consolidated Financial Statements (Unaudited)
−Removed: September 30, 2022
+Added: March 31, 2023
Residential mortgage loans
−Removed: The table below details information regarding the Company’s residential mortgage loan portfolio as of September 30, 2022 and December 31, 2021 ($ in thousands).
+Added: The table below details information regarding the Company’s residential mortgage loan portfolio as of March 31, 2023 and December 31, 2022 ($ in thousands).
The gross unrealized gains/(losses) in the table below represent inception to date gains/(losses).
Unpaid Principal Balance Gross Unrealized Weighted Average
−Removed: September 30, 2022
+Added: March 31, 2023
(Discount) Amortized Cost Gains Losses Fair Value Coupon Yield Life
1 unchanged sentence
Non-Agency Loans (3) $ 4,049,191 $ 52,650 $ 4,101,841 $ — $ ( 405,098 ) $ 3,696,743 4.81 % 4.66 % 9.78
−Removed: Agency-Eligible Loans 1,263,827 ( 1,641 ) 1,262,186 — ( 120,041 ) 1,142,145 3.87 % 4.07 % 9.84
Re- and Non-Performing Loans 319,949 ( 35,070 ) 284,879 2,451 ( 15,303 ) 272,027 3.76 % 6.57 % 6.37
5 unchanged sentences
Total Residential mortgage loans, at fair value $ 130,260 $ ( 1,803 ) $ 128,457 $ 3,637 $ ( 1,353 ) $ 130,741 7.16 % 8.57 % 3.57
−Removed: Total as of September 30, 2022
+Added: Total as of March 31, 2023
$ 4,499,400 $ 15,777 $ 4,515,177 $ 6,088 $ ( 421,754 ) $ 4,099,511 4.80 % 4.91 % 9.36
17 unchanged sentences
(2) Refer to the "Variable interest entities" section below for additional details related to the assets and liabilities of VIEs consolidated on the Company's consolidated balance sheets.
+Added: (3) Securitized Non-Agency Loans include loans that were considered to be Agency-Eligible prior to the Company's securitization.
+Added: (4) Includes fair value of $ 46.8 million and $ 18.2 million of Non-Agency Loans and Agency-Eligible Loans, respectively, classified as held for sale and presented in the "Residential mortgage loans held for sale, at fair value" line item on the consolidated balance sheets as of December 31, 2022.
AG Mortgage Investment Trust Inc.
1 unchanged sentence
Notes to Consolidated Financial Statements (Unaudited)
−Removed: September 30, 2022
+Added: March 31, 2023
The following tables present information regarding credit quality of the Company's residential mortgage loans ($ in thousands).
Unpaid Principal Balance Weighted Average (1)(2) Aging by Unpaid Principal Balance (1)(3)
−Removed: September 30, 2022
+Added: March 31, 2023
Loan Count (1) Original LTV Ratio Current FICO (4) Current 30-59 Days 60-89 Days 90+ Days
1 unchanged sentence
Non-Agency Loans $ 4,049,191 9,330 68.57 % 737 $ 3,978,280 $ 43,019 $ 11,220 $ 16,672
−Removed: Agency-Eligible Loans 1,263,827 3,876 66.28 % 760 1,253,858 9,969 — —
Re- and Non-Performing Loans 319,949 2,178 79.67 % 644 218,839 37,673 10,230 53,207
5 unchanged sentences
Total Residential mortgage loans 130,260 229 70.18 % 725 123,754 — 1,130 2,085
−Removed: Total as of September 30, 2022
+Added: Total as of March 31, 2023
$ 4,499,400 11,737 69.41 % 730 $ 4,320,873 $ 80,692 $ 22,580 $ 71,964
15 unchanged sentences
(2) Amounts are weighted based on unpaid principal balance.
−Removed: (3) As of September 30, 2022, the Company had residential mortgage loans that were 90+ days delinquent and loans in the process of foreclosure with a fair value of $ 23.2 million and $ 39.0 million, respectively.
−Removed: As of December 31, 2021, the Company had residential mortgage loans that were 90+ days delinquent and loans in the process of foreclosure with a fair value of $ 47.4 million and $ 29.0 million, respectively.
+Added: (3) As of March 31, 2023, the Company had securitized residential mortgage loans and residential mortgage loans that were 90+ days delinquent and loans in the process of foreclosure with a fair value of $ 26.6 million and $ 37.6 million, respectively.
+Added: As of December 31, 2022, the Company had securitized residential mortgage loans and residential mortgage loans that were 90+ days delinquent and loans in the process of foreclosure with a fair value of $ 31.4 million and $ 33.7 million, respectively.
(4) Weighted average current FICO excludes borrowers where FICO scores were not available.
−Removed: During the three and nine months ended September 30, 2022, the Company purchased Non-Agency Loans and Agency-Eligible Loans, as detailed below (in thousands).
−Removed: A portion of these loans were purchased from Arc Home.
−Removed: See Note 10 for more detail.
−Removed: Three Months Ended September 30, 2022
−Removed: Nine Months Ended September 30, 2022
−Removed: Unpaid Principal Balance Fair Value Unpaid Principal Balance Fair Value
+Added: Data is as of February 28, 2023 and November 30, 2022, respectively.
+Added: During the three months ended March 31, 2023, the Company purchased residential mortgage loans, as detailed below (in thousands).
+Added: Unpaid Principal Balance Fair Value
Non-Agency Loans $ 22,550 $ 22,954
−Removed: Agency-Eligible Loans 386,003 381,256 993,126 986,734
−Removed: Total $ 901,595 $ 891,584 $ 2,434,418 $ 2,437,626
−Removed: The Company did no t sell any residential mortgage loans during the three and nine months ended September 30, 2022 or the three months ended September 30, 2021.
−Removed: For the nine months ended September 30, 2021, the Company sold residential mortgage loans as detailed below ($ in thousands).
+Added: The Company did no t sell any residential mortgage loans during the three months ended March 31, 2022.
+Added: For the three months ended March 31, 2023, the Company sold residential mortgage loans as detailed below ($ in thousands).
Number of Loans Proceeds Realized Gains Realized Losses
−Removed: Nine months ended September 30, 2021 (1)
+Added: Non-Agency Loans
116 $ 46,909 $ — $ ( 9,745 )
−Removed: (1) Includes $ 1.6 million of proceeds on one residual position where the Company previously consolidated the securitization.
+Added: Agency-Eligible Loans 47 18,474 69 ( 85 )
AG Mortgage Investment Trust Inc.
1 unchanged sentence
Notes to Consolidated Financial Statements (Unaudited)
−Removed: September 30, 2022
+Added: March 31, 2023
The Company’s residential mortgage loan portfolio consisted of mortgage loans on residential real estate located throughout the United States.
−Removed: The following is a summary of the geographic concentration of credit risk as of September 30, 2022 and December 31, 2021 and includes states where the exposure is greater than 5% of the fair value the Company's residential mortgage loan portfolio.
−Removed: Geographic Concentration of Credit Risk (1) September 30, 2022 December 31, 2021
+Added: The following is a summary of the geographic concentration of credit risk as of March 31, 2023 and December 31, 2022 and includes states where the exposure is greater than 5% of the fair value the Company's residential mortgage loan portfolio.
+Added: Geographic Concentration of Credit Risk (1) March 31, 2023 December 31, 2022
California 34 % 33 %
2 unchanged sentences
New Jersey 6 % 6 %
+Added: Texas 5 % 5 %
(1) Excludes the Re- and Non-Performing Loans subcategory of Residential mortgage loans above as there may be limited data available regarding the underlying collateral of these residual positions.
−Removed: The following is a summary of the changes in the accretable portion of the discount for the Company’s securitized re-performing and non-performing loan portfolios for the three and nine months ended September 30, 2022 and 2021, which is determined by the Company’s estimate of undiscounted principal expected to be collected in excess of the amortized cost of the mortgage loan (in thousands).
−Removed: Three Months Ended Nine Months Ended
−Removed: September 30, 2022 September 30, 2021 September 30, 2022 September 30, 2021
+Added: The following is a summary of the changes in the accretable portion of the discount for the Company’s securitized re-performing and non-performing loan portfolios for the three months ended March 31, 2023 and 2022, which is determined by the Company’s estimate of undiscounted principal expected to be collected in excess of the amortized cost of the mortgage loan (in thousands).
+Added: Three Months Ended
+Added: March 31, 2023 March 31, 2022
Beginning Balance $ 42,237 $ 46,521
6 unchanged sentences
Notes to Consolidated Financial Statements (Unaudited)
−Removed: September 30, 2022
+Added: March 31, 2023
Variable interest entities
−Removed: The following table details certain information related to the assets and liabilities of the Residential Mortgage Loan VIEs as of September 30, 2022 and December 31, 2021 ($ in thousands).
−Removed: September 30, 2022 December 31, 2021
+Added: The following table details certain information related to the assets and liabilities of the Residential Mortgage Loan VIEs as of March 31, 2023 and December 31, 2022 ($ in thousands).
+Added: March 31, 2023 December 31, 2022
Carrying Value Weighted Average Carrying Value Weighted Average
1 unchanged sentence
Non-Agency VIEs (2) $ 3,696,743 4.66 % 9.78 $ 3,436,201 4.65 % 10.20
−Removed: Agency-Eligible VIEs 1,142,145 4.07 % 9.84 — — % —
RPL/NPL VIEs 272,027 6.57 % 6.37 270,945 6.66 % 6.33
4 unchanged sentences
Non-Agency VIEs (2) $ 3,323,861 4.26 % 7.38 $ 3,078,593 4.18 % 7.49
−Removed: Agency-Eligible VIEs 1,047,059 3.91 % 9.29 — — % —
RPL/NPL VIEs 181,668 3.12 % 3.23 183,759 3.10 % 3.13
6 unchanged sentences
Maturities are affected by the contractual lives of the underlying mortgages, periodic payments of principal, and prepayments of principal.
+Added: (2) Securitized Non-Agency Loans include loans that were considered to be Agency-Eligible prior to the Company's securitization.
(3) The holders of the securitized debt have no recourse to the general credit of the Company.
The Company has no obligation to provide any other explicit or implicit support to the Residential Mortgage Loan VIEs.
−Removed: (3) As of September 30, 2022 and December 31, 2021, the Company had outstanding financing arrangements of $ 211.5 million and $ 71.3 million, respectively, collateralized by certain of the Company's retained interests in the Residential Mortgage Loan VIEs.
+Added: (4) As of March 31, 2023 and December 31, 2022, the Company had outstanding financing arrangements of $ 232.1 million and $ 232.1 million, respectively, collateralized by certain of the Company's retained interests in the Residential Mortgage Loan VIEs.
See Note 6 for more detail regarding the Company's financing arrangements.
−Removed: Commercial loans
−Removed: As of September 30, 2022 and December 31, 2021, the Company did not hold any commercial loans.
−Removed: During the first quarter of 2021, the Company sold two commercial loans for total proceeds of $ 74.3 million, recording realized losses of $ 2.9 million.
−Removed: During the third quarter of 2021, the Company's two remaining commercial loans were repaid in full for total proceeds of $ 74.1 million, recording realized gains of $ 0.4 million.
−Removed: In connection with the repayment of one of these loans, the Company received $ 3.0 million of deferred interest for the 12-month period following a loan modification entered into with the borrower during the fourth quarter of 2020.
AG Mortgage Investment Trust Inc.
1 unchanged sentence
Notes to Consolidated Financial Statements (Unaudited)
−Removed: September 30, 2022
+Added: March 31, 2023
Real Estate Securities
−Removed: The following tables detail the Company’s real estate securities portfolio as of September 30, 2022 and December 31, 2021 ($ in thousands).
+Added: The following tables detail the Company’s real estate securities portfolio as of March 31, 2023 and December 31, 2022 ($ in thousands).
The gross unrealized gains/(losses) in the tables below represent inception to date unrealized gains/(losses).
1 unchanged sentence
Amortized Cost Gross Unrealized Weighted Average
−Removed: September 30, 2022 Gains Losses Fair Value Coupon (1) Yield
+Added: March 31, 2023 Gains Losses Fair Value Coupon (1) Yield
Non-Agency RMBS
−Removed: Agency-Eligible Securities $ 16,897 $ ( 6,762 ) $ 10,135 $ 169 $ ( 110 ) $ 10,194 2.99 % 8.50 %
Non-Agency Securities (2) $ 45,452 $ ( 9,686 ) $ 35,766 $ 209 $ ( 4,806 ) $ 31,169 3.78 % 6.70 %
1 unchanged sentence
Total Non-Agency RMBS $ 151,238 $ ( 112,719 ) $ 38,519 $ 2,074 $ ( 4,806 ) $ 35,787 1.95 % 10.08 %
+Added: 30 Year Fixed Rate $ 263,445 $ 1,377 $ 264,822 $ 3,694 $ — $ 268,516 5.74 % 5.62 %
Interest Only 125,018 ( 105,775 ) 19,243 48 ( 610 ) 18,681 2.84 % 7.95 %
−Removed: Total as of September 30, 2022
+Added: Total Agency RMBS $ 388,463 $ ( 104,398 ) $ 284,065 $ 3,742 $ ( 610 ) $ 287,197 4.81 % 5.77 %
+Added: Total as of March 31, 2023
$ 539,701 $ ( 217,117 ) $ 322,584 $ 5,816 $ ( 5,416 ) $ 322,984 4.23 % 6.25 %
5 unchanged sentences
Non-Agency RMBS Interest Only (2) 108,464 ( 105,626 ) 2,838 2,220 — 5,058 0.38 % 34.42 %
−Removed: Re/Non-Performing Securities 696 ( 24 ) 672 90 — 762 5.25 % 29.69 %
Total Non-Agency RMBS $ 140,177 $ ( 112,501 ) $ 27,676 $ 2,248 $ ( 5,329 ) $ 24,595 1.62 % 12.26 %
−Removed: 30 Year Fixed Rate 490,435 11,927 502,362 — ( 6,649 ) 495,713 2.18 % 1.78 %
+Added: Interest Only $ 127,356 $ ( 107,585 ) $ 19,771 $ 28 $ ( 675 ) $ 19,124 2.87 % 7.54 %
Total as of December 31, 2022
1 unchanged sentence
(1) Equity residual investments with a zero coupon rate are excluded from this calculation.
−Removed: (2) Comprised of Non-QM securities and Non-QM interest-only bonds.
−Removed: The following tables summarize the Company's real estate securities according to their projected weighted average life classifications as of September 30, 2022 and December 31, 2021 ($ in thousands).
+Added: (2) Includes Non-Agency Securities and Non-Agency RMBS Interest Only securities collateralized by Non-QM loans and Agency-Eligible loans.
+Added: The following tables summarize the Company's real estate securities according to their projected weighted average life classifications as of March 31, 2023 and December 31, 2022 ($ in thousands).
Non-Agency RMBS Agency RMBS
−Removed: September 30, 2022
+Added: March 31, 2023
Weighted Average Life (1)
4 unchanged sentences
Greater than ten years 27,491 32,024 3.61 % — — — %
−Removed: Total as of September 30, 2022
+Added: Total as of March 31, 2023
$ 35,787 $ 38,519 1.95 % $ 287,197 $ 284,065 4.81 %
4 unchanged sentences
Fair Value Amortized Cost Weighted Average Coupon
−Removed: Less than or equal to 1 year $ 543 $ 511 5.25 % $ — $ — — %
Greater than one year and less than or equal to five years $ 5,058 $ 2,838 0.38 % $ — $ — — %
10 unchanged sentences
Notes to Consolidated Financial Statements (Unaudited)
−Removed: September 30, 2022
−Removed: During the three and nine months ended September 30, 2022 and 2021, the Company sold real estate securities, as summarized below ($ in thousands).
−Removed: Three Months Ended Nine Months Ended
−Removed: Number of Securities Proceeds Realized Gains Realized Losses Number of Securities Proceeds Realized Gains Realized Losses
−Removed: September 30, 2022
−Removed: 2 $ 13,017 $ 168 — 18 $ 526,258 $ 736 $ ( 35,240 )
−Removed: September 30, 2021
+Added: March 31, 2023
+Added: The Company did not sell any real estate securities during the three months ended March 31, 2023.
+Added: During the three months ended March 31, 2022, the Company sold real estate securities, as summarized below ($ in thousands).
+Added: Three months ended Number of Securities Proceeds Realized Gains Realized Losses
+Added: March 31, 2022 (1)
13 $ 304,665 $ 568 $ ( 17,408 )
+Added: (1) Includes $ 107.7 million of proceeds on six security sales which were unsettled as of March 31, 2022.
+Added: Unconsolidated variable interest entities
+Added: The Company's Non-Agency RMBS includes certain securities retained from a rated Non-QM Loan securitization the Company participated in alongside a private fund under the management of Angelo Gordon.
+Added: Upon evaluating its investment in the VIE, the Company determined it was not the primary beneficiary and, as a result, did not consolidate the securitization trust.
+Added: The Company has a 40.9 % interest in the retained subordinate tranches which represents its continuing involvement in the securitization trust.
+Added: The following table summarizes the Company’s investment in unconsolidated VIEs (in thousands).
+Added: March 31, 2023 December 31, 2022
+Added: Current Face Fair Value Current Face Fair Value
+Added: Retained interest in unconsolidated VIEs
+Added: Non-Agency Securities $ 14,894 $ 10,421 $ 14,894 $ 9,859
+Added: Non-Agency RMBS Interest Only 105,786 4,618 108,464 5,058
+Added: Total retained interest in unconsolidated VIEs (1)(2) $ 120,680 $ 15,039 $ 123,358 $ 14,917
+Added: (1) Maximum loss exposure from the Company’s involvement with unconsolidated VIEs pertains to the fair value of the securities retained from these VIEs.
+Added: The Company has no obligation to provide any other explicit or implicit support to the securitization trust.
+Added: (2) As of March 31, 2023 and December 31, 2022, the Company held securities exposed to the first loss of the securitization with a fair value of $ 3.7 million and $ 4.1 million, respectively.
+Added: The following table summarizes information regarding the residential mortgage loans transferred to the Company’s unconsolidated VIEs ($ in thousands).
+Added: Assets transferred to unconsolidated VIEs:
+Added: March 31, 2023 December 31, 2022
+Added: Total unpaid principal balance of loans outstanding (1) $ 129,238 $ 132,509
+Added: Weighted average coupon on loans outstanding 5.62 % 5.62 %
+Added: Percent of unpaid principal balance greater than 90 days delinquent 1.49 % 1.32 %
+Added: (1) The Company contributed approximately 40.9 % of the unpaid principal balance into the securitization trust.
Fair value measurements
−Removed: The following tables present the Company’s financial instruments measured at fair value on a recurring basis as of September 30, 2022 and December 31, 2021 (in thousands).
−Removed: Fair Value at September 30, 2022
+Added: The fair value of the Company's financial instruments is determined in accordance with the provisions of ASC 820, "Fair Value Measurements and Disclosures." When possible, the Company determines fair value using third-party data sources.
+Added: ASC 820 establishes a hierarchy that prioritizes the inputs to valuation techniques.
+Added: Level 1 inputs are observable inputs that reflect quoted prices for identical assets or liabilities in active markets.
+Added: Level 2 inputs are observable inputs other than quoted prices and may include quoted prices for similar assets and liabilities in active markets.
+Added: Level 3 inputs are significant unobservable inputs.
+Added: In situations where quoted prices or observable inputs are unavailable (for example, when there is little or no market activity for an investment at the end of the period), unobservable inputs may be used and reflect the Company’s assumptions about the factors that market participants would use in pricing an asset or liability, and would be based on the best information available.
+Added: In certain cases, inputs used to measure fair value fall into different levels of the fair value hierarchy.
+Added: In such cases, the level at which the fair value measurement falls is determined based on the lowest level input that is significant to the fair value measurement.
+Added: AG Mortgage Investment Trust Inc.
+Added: and Subsidiaries
+Added: Notes to Consolidated Financial Statements (Unaudited)
+Added: March 31, 2023
+Added: The following tables present the Company’s financial instruments measured at fair value on a recurring basis as of March 31, 2023 and December 31, 2022 (in thousands).
+Added: Fair Value at March 31, 2023
Level 1 Level 2 Level 3 Total
2 unchanged sentences
Non-Agency RMBS — 20,748 15,039 35,787
−Removed: Non-Agency RMBS Interest Only — — 4,921 4,921
−Removed: Agency Interest Only — 19,543 — 19,543
+Added: Agency RMBS — 287,197 — 287,197
Derivative assets (1) — 3,904 2,475 6,379
+Added: Cash equivalents (2) 441 — — 441
AG Arc (3) — — 37,540 37,540
8 unchanged sentences
Non-Agency RMBS — 9,678 14,917 24,595
−Removed: Non-Agency RMBS Interest Only — — 3,395 3,395
−Removed: 30 Year Fixed Rate Agency RMBS — 495,713 — 495,713
+Added: Agency Interest Only — 19,124 — 19,124
Derivative assets (1) — 18,401 98 18,499
+Added: Cash equivalents (2) 442 — — 442
AG Arc (3) — — 39,680 39,680
3 unchanged sentences
Total Liabilities Measured at Fair Value $ — $ — $ ( 3,262,361 ) $ ( 3,262,361 )
−Removed: (1) Non-Agency RMBS is comprised of Non-Agency, Agency-Eligible, and Re/Non-Performing Securities.
−Removed: (2) As of September 30, 2022, the Company applied a reduction in fair value of $ 38.3 million to its interest rate swap assets related to variation margin with a corresponding increase in restricted cash, net of collateral posted by the Company's derivative counterparties.
−Removed: As of December 31, 2021, the Company applied a reduction in fair value of $ 19.6 million and $ 0.9 million to its interest rate swap assets and liabilities, respectively, related to variation margin with a corresponding increase or decrease in
+Added: (1) As of March 31, 2023, the Company applied a reduction in fair value of $ 3.9 million and $ 6.6 million to its interest rate swap assets and liabilities, respectively, related to variation margin with a corresponding increase or decrease in restricted cash.
+Added: As of December 31, 2022, the Company applied a reduction in fair value of $ 17.3 million to its interest rate swap assets related to variation margin with a corresponding increase in restricted cash, net of collateral posted by the Company's derivative counterparties.
+Added: Derivative assets and liabilities are included in the "Other assets" and "Other liabilities" line items on the consolidated balance sheets, respectively.
+Added: Refer to Note 7 for more information on the Company's derivatives.
+Added: (2) The Company classifies highly liquid investments with original maturities of three months or less from the date of purchase as cash equivalents.
+Added: Cash equivalents may include cash invested in money market funds and are carried at cost, which approximates fair value.
+Added: (3) The table above includes the Company's investment in AG Arc, which is included in its "Investments in debt and equity of affiliates" line item on the consolidated balance sheets, as the Company has chosen to elect the fair value option with respect to its investment pursuant to ASC 825.
+Added: (4) Includes Residential mortgage loans held for sale as of December 31, 2022.
AG Mortgage Investment Trust Inc.
1 unchanged sentence
Notes to Consolidated Financial Statements (Unaudited)
−Removed: September 30, 2022
−Removed: restricted cash, respectively.
−Removed: Derivative assets and liabilities are included in the "Other assets" and "Other liabilities" line items on the consolidated balance sheets, respectively.
−Removed: Refer to Note 2 and Note 7 for more information on the Company's accounting policies with regard to derivatives.
−Removed: (3) Refer to Note 2 for more information on the Company's accounting policies with regard to AG Arc.
−Removed: The table above includes the Company's investment in AG Arc, which is included in its "Investments in debt and equity of affiliates" line item on the consolidated balance sheets, as the Company has chosen to elect the fair value option with respect to its investment pursuant to ASC 825.
+Added: March 31, 2023
The valuation of the Company’s residential mortgage loans, securitized debt relating to the Residential Mortgage Loan VIEs, certain securities, and forward purchase commitments is determined by the Manager using third-party pricing services where available, valuation analyses from third-party pricing service providers, or model-based pricing.
18 unchanged sentences
Changes in the market environment and other events that may occur over the life of these investments may cause the gains or losses ultimately realized to be different than the valuations currently estimated.
−Removed: If applicable, analyses provided by valuation service providers are reviewed and considered by the Manager.
The significant unobservable inputs used in the fair value measurement of the Company’s loans and securities are yields, prepayment rates, probability of default, and loss severity in the event of default.
3 unchanged sentences
Significant increases (decreases) in the multiple applied would result in a significantly higher (lower) fair value measurement.
−Removed: The Company did not have any transfers of assets or liabilities between Levels 1 and 2 of the fair value hierarchy during the three and nine months ended September 30, 2022 and 2021.
−Removed: AG Mortgage Investment Trust Inc.
−Removed: and Subsidiaries
−Removed: Notes to Consolidated Financial Statements (Unaudited)
−Removed: September 30, 2022
−Removed: Refer to the tables below for details on transfers between the Level 3 and Level 2 categories under ASC 820.
+Added: The Company did not have any transfers of assets or liabilities between Levels 1 and 2 of the fair value hierarchy during the three months ended March 31, 2023 and 2022.
+Added: The Company did not have any transfers between the Levels 2 and 3 of the fair value hierarchy during the three months ended March 31, 2023 and 2022.
Transfers into the Level 3 category of the fair value hierarchy occur due to instruments exhibiting indications of reduced levels of market transparency.
2 unchanged sentences
Changes in these indications could impact price transparency, and thereby cause a change in level designations in future periods.
+Added: AG Mortgage Investment Trust Inc.
+Added: and Subsidiaries
+Added: Notes to Consolidated Financial Statements (Unaudited)
+Added: March 31, 2023
The following tables present additional information about the Company’s assets and liabilities which are measured at fair value on a recurring basis for which the Company has utilized Level 3 inputs to determine fair value:
−Removed: Three Months Ended September 30, 2022 (in thousands)
−Removed: Mortgage Loans (1) Non-Agency
−Removed: RMBS Non-Agency
−Removed: RMBS Interest Only Derivative assets AG Arc Securitized
+Added: Three Months Ended March 31, 2023 (in thousands)
+Added: Loans (1) Non-Agency
+Added: RMBS Derivative assets (2) AG Arc Securitized
debt Derivative liabilities (2)
2 unchanged sentences
Issuances of Securitized Debt — — — — ( 234,754 ) —
−Removed: Capital distributions — — — — ( 1,070 ) — —
−Removed: Proceeds from settlement ( 95,895 ) ( 43 ) — ( 1,792 ) — 82,826 6,709
−Removed: Total net gains/(losses) (2)
+Added: Proceeds from sales ( 65,383 ) — — —
+Added: Principal repayments ( 73,956 ) — — — 66,957 —
Included in net income:
−Removed: Ending Balance $ 4,202,365 $ 10,198 $ 4,921 $ 340 $ 46,588 $ ( 3,025,128 ) $ ( 1,543 )
−Removed: Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held as of September 30, 2022 (3)
−Removed: $ ( 153,687 ) $ ( 1,019 ) $ 607 $ 340 $ ( 2,512 ) $ 123,106 $ ( 1,543 )
−Removed: (1) Includes Securitized residential mortgage loans.
−Removed: (2) Gains/(losses) are recorded in the following line items in the consolidated statement of operations:
−Removed: Net unrealized gain/(loss) $ ( 28,345 )
+Added: Net premium and discount amortization (3) 1,144 ( 76 ) — — ( 2,738 ) —
Net realized gain/(loss) ( 9,758 ) — — — — —
−Removed: Equity in earnings/(loss) from affiliates ( 2,512 )
−Removed: Total $ ( 35,649 )
−Removed: (3) Unrealized gains/(losses) are recorded in the following line items in the consolidated statement of operations:
Net unrealized gain/(loss) 97,211 198 2,377 — ( 72,642 ) ( 66 )
Equity in earnings/(loss) from affiliates — — — ( 2,140 ) — —
−Removed: Total $ ( 34,594 )
−Removed: Three Months Ended September 30, 2021 (in thousands)
−Removed: Mortgage Loans (1) Non-Agency
−Removed: RMBS Commercial
−Removed: Loans Excess Mortgage
−Removed: Servicing Rights Derivative Assets AG Arc Securitized
−Removed: debt Derivative Liabilities
−Removed: Beginning balance $ 1,028,378 $ 1,183 $ 62,279 $ 2,608 $ — $ 50,862 $ ( 482,533 ) $ —
−Removed: Purchases/Transfers 608,771 — — — — — — —
−Removed: Issuances of Securitized Debt — — — — — — ( 260,086 ) —
−Removed: Capital distributions — — — — — ( 893 ) — —
−Removed: Proceeds from sales of assets — — — ( 2,364 ) — — — —
−Removed: Proceeds from settlement ( 42,095 ) ( 396 ) ( 70,195 ) — — — 34,407 —
−Removed: Total net gains/(losses) (2)
−Removed: Included in net income 11,137 ( 27 ) 7,916 ( 174 ) 841 1,980 ( 209 ) ( 46 )
+Added: Other (4) ( 1,083 ) — — — — —
Ending Balance $ 4,098,773 $ 15,039 $ 2,475 $ 37,540 $ ( 3,505,529 ) $ ( 75 )
−Removed: Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held as of September 30, 2021 (3)
−Removed: $ 10,880 $ ( 27 ) $ — $ 523 $ 841 $ 1,980 $ ( 209 ) $ ( 46 )
−Removed: (1) Includes Securitized residential mortgage loans.
−Removed: (2) Gains/(losses) are recorded in the following line items in the consolidated statement of operations:
−Removed: AG Mortgage Investment Trust Inc.
−Removed: and Subsidiaries
−Removed: Notes to Consolidated Financial Statements (Unaudited)
−Removed: September 30, 2022
−Removed: Net unrealized gain/(loss) $ 20,389
−Removed: Net realized gain/(loss) ( 951 )
−Removed: Equity in earnings/(loss) from affiliates 1,980
−Removed: Total $ 21,418
−Removed: (3) Unrealized gains/(losses) are recorded in the following line items in the consolidated statement of operations:
+Added: Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held as of March 31, 2023
+Added: Net premium and discount amortization (3) 1,144 ( 76 ) — — ( 2,738 ) —
Net unrealized gain/(loss) 87,029 198 2,377 — ( 72,642 ) ( 66 )
Equity in earnings/(loss) from affiliates — — — ( 2,140 ) — —
−Removed: Total $ 13,942
−Removed: Nine Months Ended September 30, 2022 (in thousands)
+Added: (1) The beginning balance includes Securitized residential mortgage loans and Residential mortgage loans held for sale.
+Added: (2) Derivative assets and derivative liabilities are included in the "Other assets" and "Other liabilities" line items, respectively, on the consolidated balance sheets.
+Added: (3) Included in the interest income and interest expense line items for assets and liabilities, respectively.
+Added: (4) Includes transfers of residential mortgage loans to real estate owned as well as activity related to advances.
+Added: Three Months Ended March 31, 2022 (in thousands)
Mortgage Loans (1) Non-Agency
−Removed: RMBS Non-Agency
−Removed: RMBS Interest Only Derivative assets AG Arc Securitized
+Added: RMBS AG Arc Securitized
debt Derivative liabilities (2)
2 unchanged sentences
Issuances of Securitized Debt — — — ( 1,074,852 ) —
−Removed: Capital distributions — — — — ( 1,070 ) — —
−Removed: Proceeds from settlement ( 393,170 ) ( 664 ) — ( 2,208 ) — 320,502 14,514
−Removed: Total net gains/(losses) (2)
+Added: Principal repayments ( 146,388 ) ( 78 ) — 116,866 —
Included in net income:
−Removed: Ending Balance $ 4,202,365 $ 10,198 $ 4,921 $ 340 $ 46,588 $ ( 3,025,128 ) $ ( 1,543 )
−Removed: Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held as of September 30, 2022 (3)
−Removed: $ ( 455,293 ) $ ( 4,401 ) $ 1,526 $ 340 $ ( 5,777 ) $ 304,201 $ ( 1,543 )
−Removed: (1) Includes Securitized residential mortgage loans.
−Removed: (2) Gains/(losses) are recorded in the following line items in the consolidated statement of operations:
−Removed: Net unrealized gain/(loss) $ ( 154,843 )
+Added: Net premium and discount amortization (3) ( 1,717 ) ( 161 ) — 49 —
Net realized gain/(loss) ( 87 ) — — — —
−Removed: Equity in earnings/(loss) from affiliates ( 5,777 )
−Removed: Total $ ( 172,857 )
−Removed: (3) Unrealized gains/(losses) are recorded in the following line items in the consolidated statement of operations:
Net unrealized gain/(loss) ( 158,116 ) 263 — 97,235 79
Equity in earnings/(loss) from affiliates — — 686 — —
−Removed: Total $ ( 160,947 )
−Removed: Nine Months Ended September 30, 2021 (in thousands)
−Removed: Mortgage Loans (1) Non-Agency
−Removed: RMBS Commercial
−Removed: Loans Excess Mortgage
−Removed: Servicing Rights Derivative assets AG Arc Securitized
−Removed: debt Derivative liabilities
−Removed: Beginning balance $ 433,307 $ 3,100 $ 125,508 $ 3,158 $ — $ 45,341 $ ( 355,159 ) $ —
−Removed: Transfers (2):
−Removed: Transfers out of level 3 — ( 1,499 ) — — — — — —
−Removed: Purchases 1,261,568 — 5,100 — — — — —
−Removed: Issuances of Securitized Debt — — — — — — ( 463,478 ) —
−Removed: Capital distributions — — — — — ( 893 ) — —
−Removed: Proceeds from sales of assets ( 45,615 ) — ( 74,342 ) ( 2,364 ) — — — —
−Removed: Proceeds from settlement ( 75,746 ) ( 897 ) ( 70,232 ) — — — 113,338 —
−Removed: Total net gains/(losses) (3)
−Removed: Included in net income 32,677 56 13,966 ( 724 ) 841 7,501 ( 3,122 ) ( 46 )
+Added: Other (4) ( 727 ) — — — —
Ending Balance $ 3,271,786 $ 18,781 $ 54,121 $ ( 1,859,917 ) $ —
−Removed: Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held as of September 30, 2021 (4)
−Removed: $ 25,481 $ 56 $ — $ ( 27 ) $ 841 $ 7,501 $ ( 3,122 ) $ ( 46 )
+Added: Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held as of March 31, 2022
+Added: Net premium and discount amortization (3) ( 2,971 ) ( 161 ) — 49 —
+Added: Net unrealized gain/(loss) ( 158,925 ) 263 — 97,235 —
+Added: Equity in earnings/(loss) from affiliates — — 686 — —
(1) Includes Securitized residential mortgage loans.
−Removed: (2) Transfers are assumed to occur at the beginning of the period.
−Removed: During the nine months ended September 30, 2021, the Company transferred one Non-Agency RMBS into the Level 2 category from the Level 3 category under the fair value hierarchy of ASC 820.
−Removed: (3) Gains/(losses) are recorded in the following line items in the consolidated statement of operations:
+Added: (2) Derivative liabilities are included in the "Other liabilities" line item on the consolidated balance sheets.
+Added: (3) Included in the interest income and interest expense line items for assets and liabilities, respectively.
+Added: (4) Includes transfers of residential mortgage loans to real estate owned as well as activity related to advances.
AG Mortgage Investment Trust Inc.
1 unchanged sentence
Notes to Consolidated Financial Statements (Unaudited)
−Removed: September 30, 2022
−Removed: Net unrealized gain/(loss) $ 40,472
−Removed: Net realized gain/(loss) 3,176
−Removed: Equity in earnings/(loss) from affiliates 7,501
−Removed: Total $ 51,149
−Removed: (4) Unrealized gains/(losses) are recorded in the following line items in the consolidated statement of operations:
−Removed: Net unrealized gain/(loss) $ 23,183
−Removed: Equity in earnings/(loss) from affiliates 7,501
−Removed: Total $ 30,684
−Removed: The following tables present a summary of quantitative information about the significant unobservable inputs used in the fair value measurement of investments for which the Company has utilized Level 3 inputs to determine fair value.
−Removed: Asset Class Fair Value at September 30, 2022
−Removed: (in thousands) Valuation Technique Unobservable Input Range
+Added: March 31, 2023
+Added: The following table presents a summary of quantitative information about the significant unobservable inputs used in the fair value measurement of investments for which the Company has utilized Level 3 inputs to determine fair value ($ in thousands).
+Added: March 31, 2023 December 31, 2022
+Added: Valuation Technique Unobservable Input Fair Value Range
+Added: (Weighted Average) (1) Fair Value Range
(Weighted Average) (1)
+Added: Securitized Residential Mortgage Loans
Yield 4.75 % - 6.74 % ( 6.00 %)
−Removed: Securitized residential mortgage loans $ 3,419,408 Discounted Cash Flow Projected Collateral Prepayments 5.31 % - 16.78 % ( 6.76 %)
+Added: 4.75 % - 7.32 % ( 6.40 %)
+Added: Discounted Cash Flow Projected Collateral Prepayments $ 3,968,770 5.20 % - 10.21 % ( 6.75 %)
+Added: $ 3,707,146 4.81 % - 10.19 % ( 6.44 %)
Projected Collateral Losses 0.05 % - 1.42 % ( 0.20 %)
+Added: 0.05 % - 1.40 % ( 0.22 %)
Projected Collateral Severities - 2.22 % - 26.00 % ( 16.13 %)
+Added: - 4.16 % - 20.00 % ( 15.40 %)
+Added: Residential Mortgage Loans (2)
Yield 6.02 % - 8.04 % ( 6.56 %)
−Removed: Residential mortgage loans $ 779,876 Discounted Cash Flow Projected Collateral Prepayments 2.79 % - 26.25 % ( 14.89 %)
+Added: 6.29 % - 9.82 % ( 7.16 %)
+Added: Discounted Cash Flow Projected Collateral Prepayments $ 127,551 0.00 % - 34.58 % ( 25.05 %)
+Added: $ 418,023 1.38 % - 31.28 % ( 16.37 %)
Projected Collateral Losses 0.00 % - 14.74 % ( 0.64 %)
+Added: 0.00 % - 14.44 % ( 0.48 %)
Projected Collateral Severities - 23.29 % - 10.55 % ( 9.79 %)
+Added: - 2.64 % - 10.19 % ( 9.99 %)
Consensus Pricing Offered Quotes $ 2,452 94.68 - 106.52 ( 101.50 )
−Removed: Yield 6.45 % - 11.85 % ( 8.92 %)
−Removed: Non-Agency RMBS $ 10,198 Discounted Cash Flow Projected Collateral Prepayments 8.55 % - 8.55 % ( 8.55 %)
−Removed: Projected Collateral Losses 0.19 % - 0.19 % ( 0.19 %)
−Removed: Projected Collateral Severities 10.00 % - 10.00 % ( 10.00 %)
−Removed: Yield 10.00 % - 14.00 % ( 13.32 %)
−Removed: Non-Agency RMBS Interest Only $ 4,921 Discounted Cash Flow Projected Collateral Prepayments 8.55 % - 8.55 % ( 8.55 %)
−Removed: Projected Collateral Losses 0.19 % - 0.19 % ( 0.19 %)
−Removed: Projected Collateral Severities 10.00 % - 10.00 % ( 10.00 %)
−Removed: Yield 6.55 % - 8.53 % ( 7.25 %)
−Removed: Derivative assets $ 340 Discounted Cash Flow Projected Collateral Prepayments 10.83 % - 34.73 % ( 23.47 %)
−Removed: Projected Collateral Losses 0.01 % - 1.66 % ( 0.49 %)
−Removed: Projected Collateral Severities 10.00 % - 10.00 % ( 10.00 %)
−Removed: Pull Through Percentages 45.00 % - 100.00 % ( 73.63 %)
−Removed: AG Arc $ 46,588 Comparable Multiple Book Value Multiple 0.94 x - 0.94 x ( 0.94 x)
−Removed: Liability Class Fair Value at September 30, 2022
−Removed: (in thousands) Valuation Technique Unobservable Input Range
−Removed: (Weighted Average) (1)
+Added: $ 2,674 93.46 - 107.05 ( 101.11 )
+Added: Non-Agency RMBS
Yield 6.61 % - 14.00 % ( 10.14 %)
−Removed: Securitized debt $ ( 3,025,128 ) Discounted Cash Flow Projected Collateral Prepayments 5.31 % - 16.78 % ( 6.67 %)
+Added: 7.18 % - 14.00 % ( 10.59 %)
+Added: Discounted Cash Flow Projected Collateral Prepayments $ 15,039 8.72 % - 8.72 % ( 8.72 %)
+Added: $ 14,917 8.14 % - 8.14 % ( 8.14 %)
Projected Collateral Losses 0.35 % - 0.35 % ( 0.35 %)
+Added: 0.18 % - 0.18 % ( 0.18 %)
Projected Collateral Severities 10.00 % - 10.00 % ( 10.00 %)
+Added: 10.00 % - 10.00 % ( 10.00 %)
+Added: Derivative Assets (3)
Yield 6.20 % - 7.26 % ( 6.63 %)
−Removed: Derivative liabilities $ ( 1,543 ) Discounted Cash Flow Projected Collateral Prepayments 9.04 % - 31.75 % ( 21.86 %)
+Added: 6.69 % - 7.68 % ( 7.54 %)
+Added: Discounted Cash Flow Projected Collateral Prepayments $ 2,475 14.97 % - 33.59 % ( 25.18 %)
+Added: $ 98 12.63 % - 34.19 % ( 26.71 %)
Projected Collateral Losses 0.00 % - 1.97 % ( 0.58 %)
+Added: 0.01 % - 0.96 % ( 0.39 %)
Projected Collateral Severities 10.00 % - 10.96 % ( 10.01 %)
+Added: 10.00 % - 10.00 % ( 10.00 %)
Pull Through Percentages 45.00 % - 100.00 % ( 78.13 %)
−Removed: (1) Amounts are weighted based on fair value.
−Removed: AG Mortgage Investment Trust Inc.
−Removed: and Subsidiaries
−Removed: Notes to Consolidated Financial Statements (Unaudited)
−Removed: September 30, 2022
−Removed: Asset Class Fair Value at December 31, 2021
−Removed: (in thousands) Valuation Technique Unobservable Input Range
−Removed: (Weighted Average) (1)
−Removed: Yield 2.26 % - 13.00 % ( 3.12 %)
−Removed: Securitized residential mortgage loans $ 1,158,134 Discounted Cash Flow Projected Collateral Prepayments 4.75 % - 11.05 % ( 9.51 %)
−Removed: Projected Collateral Losses 0.38 % - 4.40 % ( 0.83 %)
−Removed: Projected Collateral Severities -18.08% - 29.11 % ( 10.10 %)
−Removed: Yield 2.77 % - 7.50 % ( 3.37 %)
−Removed: Residential mortgage loans $ 1,465,523 Discounted Cash Flow Projected Collateral Prepayments 0.00 % - 25.89 % ( 15.28 %)
−Removed: Projected Collateral Losses 0.00 % - 15.37 % ( 0.30 %)
−Removed: Projected Collateral Severities -14.86% - 10.00% (9.97%)
−Removed: $ 4,405 Consensus Pricing Broker Quotes 88.57 - 112.89 ( 102.59 )
−Removed: $ 6,129 Recent Transaction Cost N/A
−Removed: Yield 3.42 % - 15.00 % ( 5.32 %)
−Removed: Non-Agency RMBS $ 15,362 Discounted Cash Flow Projected Collateral Prepayments 5.70 % - 12.99 % ( 12.63 %)
−Removed: Projected Collateral Losses 0.23 % - 2.66 % ( 0.35 %)
−Removed: Projected Collateral Severities -43.98% - 10.00 % ( 7.32 %)
−Removed: Yield 10.00 % - 12.50 % ( 12.10 %)
−Removed: Non-Agency RMBS Interest Only $ 3,395 Discounted Cash Flow Projected Collateral Prepayments 12.99 % - 12.99 % ( 12.99 %)
−Removed: Projected Collateral Losses 0.23 % - 0.23 % ( 0.23 %)
−Removed: Projected Collateral Severities 10.00 % - 10.00 % ( 10.00 %)
−Removed: AG Arc $ 53,435 Comparable Multiple Book Value Multiple 1.06 x - 1.06 x ( 1.06 x)
−Removed: Liability Class Fair Value at December 31, 2021
−Removed: (in thousands) Valuation Technique Unobservable Input Range
−Removed: (Weighted Average) (1)
+Added: 55.00 % - 100.00 % ( 72.78 %)
+Added: Comparable Multiple Book Value Multiple $ 37,540 0.94 x - 0.94 x ( 0.94 x)
+Added: $ 39,680 0.94 x - 0.94 x ( 0.94 x)
+Added: Securitized Debt
Yield 5.05 % - 15.00 % ( 5.65 %)
−Removed: Securitized debt $ ( 999,215 ) Discounted Cash Flow Projected Collateral Prepayments 5.86 % - 11.05 % ( 9.66 %)
+Added: 5.25 % - 15.00 % ( 6.07 %)
+Added: Discounted Cash Flow Projected Collateral Prepayments $ ( 3,505,529 ) 5.20 % - 10.21 % ( 6.68 %)
+Added: $ ( 3,262,352 ) 4.81 % - 10.19 % ( 6.36 %)
Projected Collateral Losses 0.05 % - 1.42 % ( 0.18 %)
+Added: 0.05 % - 1.40 % ( 0.19 %)
Projected Collateral Severities - 2.22 % - 26.00 % ( 16.53 %)
+Added: - 4.16 % - 20.00 % ( 15.81 %)
+Added: Derivative Liabilities (3)
Yield 6.46 % - 6.84 % ( 6.62 %)
−Removed: Derivative liabilities $ ( 79 ) Discounted Cash Flow Projected Collateral Prepayments 14.08 % - 15.14 % ( 14.23 %)
+Added: 7.29 % - 7.61 % ( 7.36 %)
+Added: Discounted Cash Flow Projected Collateral Prepayments $ ( 75 ) 25.77 % - 36.00 % ( 31.43 %)
+Added: $ ( 9 ) 21.51 % - 31.31 % ( 27.92 %)
Projected Collateral Losses 0.00 % - 0.50 % ( 0.06 %)
+Added: 0.01 % - 0.46 % ( 0.16 %)
Projected Collateral Severities 10.00 % - 10.00 % ( 10.00 %)
+Added: 10.00 % - 10.00 % ( 10.00 %)
Pull Through Percentages 45.00 % - 100.00 % ( 73.75 %)
+Added: 100.00 % - 100.00 % ( 100.00 %)
(1) Amounts are weighted based on fair value.
+Added: (2) Includes Residential mortgage loans held for sale as of December 31, 2022.
+Added: (3) Derivative assets and derivative liabilities are included in the "Other assets" and "Other liabilities" line items, respectively, on the consolidated balance sheets.
AG Mortgage Investment Trust Inc.
1 unchanged sentence
Notes to Consolidated Financial Statements (Unaudited)
−Removed: September 30, 2022
−Removed: Financing arrangements
−Removed: The following table presents a summary of the Company's financing arrangements as of September 30, 2022 and December 31, 2021 ($ in thousands).
−Removed: September 30, 2022
+Added: March 31, 2023
+Added: The following table presents a summary of the Company's financing as of March 31, 2023 and December 31, 2022 ($ in thousands).
+Added: March 31, 2023
December 31, 2022
−Removed: Weighted Average Collateral (1)(2)
−Removed: Repurchase Agreements Carrying Value Stated Maturity Funding Cost Life (Years) Amortized Cost Basis Fair Value Carrying Value
−Removed: Securitized residential mortgage loans (3) $ 211,483 Oct 2022 to Dec 2022 4.57 % 0.08 $ 419,389 $ 371,094 $ 71,308
−Removed: Residential mortgage loans (4)(5) 693,835 Oct 2022 to Sept 2023 4.83 % 0.60 834,777 779,876 1,286,287
−Removed: Non-Agency RMBS 15,891 Oct 2022 4.40 % 0.05 27,729 25,313 10,213
−Removed: Agency RMBS 14,556 Oct 2022 3.41 % 0.02 18,247 17,428 409,935
+Added: Weighted Average Collateral Fair Value (1)(2)
+Added: Current Face Carrying Value Stated Maturity Funding Cost Life (Years) Carrying Value
+Added: Financing Arrangements by Asset Type
+Added: Securitized Non-Agency Loans (3) $ 192,964 $ 192,964 Apr 2023 - May 2024 6.62 % 0.23 $ 372,882 $ 197,937
+Added: Securitized Re- and Non-Performing Loans (3) 39,147 39,147 Apr 2023 7.39 % 0.06 68,231 34,151
+Added: Residential mortgage loans (4)(5) 105,768 105,768 June 2023 - Jan 2024 6.78 % 0.40 126,131 360,241
+Added: Non-Agency RMBS 22,390 22,390 Apr 2023 - May 2024 6.11 % 0.18 35,787 14,695
+Added: Agency RMBS 269,189 269,189 Apr 2023 4.98 % 0.04 287,197 14,163
Total Financing Arrangements $ 629,458 $ 629,458 5.97 % 0.16 $ 890,228 $ 621,187
−Removed: (1) The Company also had $ 1.4 million and $ 5.0 million of cash pledged under repurchase agreements as of September 30, 2022 and December 31, 2021, respectively.
+Added: Securitized debt, at fair value (6) $ 4,052,498 $ 3,505,529 N/A 4.20 % 7.18 N/A $ 3,262,352
+Added: Total Financing $ 4,681,956 $ 4,134,987 4.47 % 6.24 $ 890,228 $ 3,883,539
+Added: (1) The Company also had $ 1.1 million and $ 3.4 million of cash pledged under repurchase agreements as of March 31, 2023 and December 31, 2022, respectively.
(2) Under the terms of the Company’s financing agreements, the Company's financing counterparties may, in certain cases, sell or re-hypothecate the pledged collateral.
3 unchanged sentences
(5) The funding cost includes deferred financing costs.
−Removed: The weighted average stated rate on the Residential mortgage loans repurchase agreements was 4.82 % as of September 30, 2022.
−Removed: The following table presents contractual maturity information about the Company's borrowings under financing arrangements as of September 30, 2022 ($ in thousands).
−Removed: Repurchase Agreements Within 30 Days Over 30 Days to 3 Months Over 3 Months to 12 Months Total
−Removed: Securitized residential mortgage loans $ 162,232 $ 49,251 $ — $ 211,483
+Added: The weighted average stated rate on the Residential mortgage loans financing arrangements was 6.49 % as of March 31, 2023.
+Added: (6) The holders of the securitized debt have no recourse to the general credit of the Company.
+Added: The Company has no obligation to provide any other explicit or implicit support to the Residential Mortgage Loan VIEs.
+Added: The following table presents contractual maturity information about the Company's borrowings under financing arrangements as of March 31, 2023 (in thousands).
+Added: Securitized debt is excluded from the below table as it does not have a contractual maturity.
+Added: Financing Arrangements by Asset Type Within 30 Days Over 30 Days to 3 Months Over 3 Months to 12 Months Over 12 Months Total
+Added: Securitized Non-Agency Loans $ 151,894 $ 7,591 $ — $ 33,479 $ 192,964
+Added: Securitized Re- and Non-Performing Loans 39,147 — — — 39,147
Residential mortgage loans — 32,173 73,595 — 105,768
2 unchanged sentences
Total Financing Arrangements $ 479,629 $ 39,764 $ 73,595 $ 36,470 $ 629,458
+Added: AG Mortgage Investment Trust Inc.
+Added: and Subsidiaries
+Added: Notes to Consolidated Financial Statements (Unaudited)
+Added: March 31, 2023
Counterparties
−Removed: The Company had outstanding financing arrangements with six and five counterparties as of September 30, 2022 and December 31, 2021, respectively.
−Removed: The following table presents information as of September 30, 2022 and December 31, 2021 with respect to each counterparty that provides the Company with financing for which the Company had greater than 5% of its stockholders’ equity at risk, excluding stockholders’ equity at risk under financing through affiliated entities ($ in thousands).
−Removed: September 30, 2022
+Added: The Company had outstanding financing arrangements with six counterparties as of March 31, 2023 and December 31, 2022.
+Added: The following table presents information as of March 31, 2023 and December 31, 2022 with respect to each counterparty that provides the Company with financing for which the Company had greater than 5% of its stockholders’ equity at risk, excluding stockholders’ equity at risk under financing through affiliated entities ($ in thousands).
+Added: March 31, 2023
December 31, 2022
6 unchanged sentences
Stockholders' Equity
−Removed: Credit Suisse AG, Cayman Islands Branch
+Added: BofA Securities, Inc.
$ 96,738 80 20.9 % $ 36,193 93 7.8 %
1 unchanged sentence
87,548 71 19.0 % 81,445 113 17.6 %
−Removed: BofA Securities, Inc.
−Removed: 35,718 191 7.7 % 33,153 317 5.8 %
JP Morgan Securities, LLC 28,682 41 6.2 % (2) (2) (2)
+Added: Credit Suisse AG, Cayman Islands Branch (1) (1) (1) 130,587 71 28.2 %
+Added: (1) As of March 31, 2023, the Company had less than 5 % of its equity at risk under financing arrangements with Credit Suisse AG, Cayman Islands Branch.
(2) As of December 31, 2022, the Company had less than 5 % of its equity at risk under financing arrangements with JP Morgan Securities, LLC.
2 unchanged sentences
Although specific to each financing arrangement, typical supplemental terms include requirements of minimum equity and liquidity, leverage ratios, and performance triggers.
−Removed: AG Mortgage Investment Trust Inc.
−Removed: and Subsidiaries
−Removed: Notes to Consolidated Financial Statements (Unaudited)
−Removed: September 30, 2022
−Removed: addition, some of the financing arrangements contain cross default features, whereby default under an agreement with one lender simultaneously causes default under agreements with other lenders.
+Added: In addition, some of the financing arrangements contain cross default features, whereby default under an agreement with one lender simultaneously causes default under agreements with other lenders.
To the extent that the Company fails to comply with the covenants contained in these financing arrangements or is otherwise found to be in default under the terms of such agreements, the counterparty has the right to accelerate amounts due under the associated agreement.
Financings pursuant to repurchase agreements and revolving facilities are generally recourse to the Company.
−Removed: As of September 30, 2022, the Company is in compliance with all of its financial covenants.
+Added: As of March 31, 2023, the Company is in compliance with all of its financial covenants.
Other assets and liabilities
−Removed: The following table details certain information related to the Company's "Other assets" and "Other liabilities" line items on its consolidated balance sheet as of September 30, 2022 and December 31, 2021 (in thousands).
−Removed: September 30, 2022 December 31, 2021
+Added: The following table details certain information related to the Company's "Other assets" and "Other liabilities" line items on its consolidated balance sheet as of March 31, 2023 and December 31, 2022 (in thousands).
+Added: March 31, 2023 December 31, 2022
Interest receivable $ 20,274 $ 20,593
7 unchanged sentences
Derivative liabilities, at fair value 609 9
−Removed: Purchase price payable on loans (2) 794 87
Accrued expenses 2,222 1,811
2 unchanged sentences
(1) Refer to Note 10 for more information.
−Removed: (2) Represents the portion of the purchase price on certain Non-Agency and Agency-Eligible Loans that had not yet settled as of September 30, 2022 and December 31, 2021.
−Removed: The following table presents the fair value of the Company's derivatives and other instruments and their balance sheet location as of September 30, 2022 and December 31, 2021 (in thousands).
+Added: AG Mortgage Investment Trust Inc.
+Added: and Subsidiaries
+Added: Notes to Consolidated Financial Statements (Unaudited)
+Added: March 31, 2023
+Added: The following table presents the fair value of the Company's derivatives and other instruments and their balance sheet location as of March 31, 2023 and December 31, 2022 (in thousands).
Derivatives and Other Instruments (1) Balance Sheet
−Removed: Location September 30, 2022 December 31, 2021
+Added: Location March 31, 2023 December 31, 2022
Pay Fix/Receive Float Interest Rate Swap Agreements (2) Other assets $ — $ 470
+Added: Pay Fix/Receive Float Interest Rate Swap Agreements (2) Other liabilities ( 280 ) —
+Added: Long TBAs Other assets 8 —
+Added: Long TBAs Other liabilities ( 3 ) —
+Added: Short TBAs Other assets 2 650
Short TBAs Other liabilities ( 251 ) —
3 unchanged sentences
Other liabilities ( 75 ) ( 9 )
−Removed: (1) As of September 30, 2022 and December 31, 2021, all derivatives held by the Company are not designated as hedges for accounting purposes.
−Removed: (2) As of September 30, 2022, the Company applied a reduction in fair value of $ 38.3 million to its interest rate swap assets related to variation margin with a corresponding increase in restricted cash, net of collateral posted by the Company's derivative counterparties.
−Removed: As of December 31, 2021, the Company applied a reduction in fair value of $ 19.6 million and $ 0.9 million to its interest rate swap assets and liabilities, respectively, related to variation margin with a corresponding increase or decrease in restricted cash, respectively.
−Removed: AG Mortgage Investment Trust Inc.
−Removed: and Subsidiaries
−Removed: Notes to Consolidated Financial Statements (Unaudited)
−Removed: September 30, 2022
+Added: (1) As of March 31, 2023 and December 31, 2022, no derivatives held by the Company were designated as hedges for accounting purposes.
+Added: (2) As of March 31, 2023, the Company applied a reduction in fair value of $ 3.9 million and $ 6.6 million to its interest rate swap assets and liabilities, respectively, related to variation margin with a corresponding increase or decrease in restricted cash.
+Added: As of December 31, 2022, the Company applied a reduction in fair value of $ 17.3 million to its interest rate swap assets related to variation margin with a corresponding increase in restricted cash, net of collateral posted by the Company's derivative counterparties.
The following table summarizes information related to derivatives and other instruments (in thousands).
Notional amount of non-hedge derivatives and other instruments:
−Removed: Notional Currency September 30, 2022 December 31, 2021
+Added: Notional Currency March 31, 2023 December 31, 2022
Pay Fix/Receive Float Interest Rate Swap Agreements (1) USD $ 468,000 $ 335,000
1 unchanged sentence
Forward Purchase Commitments USD 163,773 8,006
−Removed: (1) As of September 30, 2022, the Company's pay fix/receive float interest rate swaps had a weighted average pay-fixed rate of 2.65 %, a weighted average receive-variable rate of 2.98 %, and a weighted average years to maturity of 4.76 years.
+Added: (1) As of March 31, 2023, the Company's pay fix/receive float interest rate swaps had a weighted average pay-fixed rate of 3.69 %, a weighted average receive-variable rate of 4.87 %, and a weighted average years to maturity of 4.37 years.
As of December 31, 2022, the Company's pay fix/receive float interest rate swaps had a weighted average pay-fixed rate of 2.77 %, a weighted average receive-variable rate of 4.30 %, and a weighted average years to maturity of 4.77 years.
−Removed: Derivative and other instruments eligible for offset are presented gross on the consolidated balance sheets as of September 30, 2022 and December 31, 2021, if applicable.
+Added: Derivative and other instruments eligible for offset are presented gross on the consolidated balance sheets as of March 31, 2023 and December 31, 2022, if applicable.
The Company has not offset or netted any derivatives or other instruments with any financial instruments or cash collateral posted or received.
1 unchanged sentence
This typically occurs when prevailing market rates change adversely, with the severity of the change also dependent on the term of the derivatives involved.
−Removed: The posting of collateral is generally bilateral, meaning that if the fair value of the Company’s derivatives increases, its counterparty will post collateral to it.
−Removed: As of September 30, 2022, the Company's restricted cash balance included $ 19.2 million of collateral related to certain derivatives, of which $ 0.4 million represents cash collateral posted by the Company and $ 18.8 million represents amounts related to variation margin.
+Added: The posting of collateral is generally bilateral, meaning that if the fair value of the Company’s derivatives increases, its counterparty must post collateral.
+Added: As of March 31, 2023, the Company's restricted cash balance included $ 12.3 million of collateral related to certain derivatives, of which $ 15.0 million represents cash collateral posted by the Company and has been reduced by $ 2.7 million related to variation margin.
As of December 31, 2022, the Company's restricted cash balance included $ 9.6 million of collateral related to certain derivatives, of which $ 1.3 million represents cash collateral posted by the Company and $ 8.3 million represents amounts related to variation margin.
+Added: AG Mortgage Investment Trust Inc.
+Added: and Subsidiaries
+Added: Notes to Consolidated Financial Statements (Unaudited)
+Added: March 31, 2023
The following table summarizes gains/(losses) related to derivatives and other instruments (in thousands):
−Removed: Three Months Ended Nine Months Ended
−Removed: September 30, 2022 September 30, 2021 September 30, 2022 September 30, 2021
+Added: Three Months Ended
+Added: March 31, 2023 March 31, 2022
Included within Net unrealized gain/(loss)
4 unchanged sentences
( 19,969 ) 49,917
−Removed: British Pound Futures — — — 64
−Removed: ( 21,741 ) 2,095 18,669 14,781
Included within Net realized gain/(loss)
Interest Rate Swaps 9,823 15,707
−Removed: Long TBAs ( 3,154 ) — ( 10,789 ) —
Short TBAs 179 9,946
−Removed: Forward Purchase Commitments
10,002 25,653
−Removed: British Pound Futures — — — ( 165 )
−Removed: 50,094 570 93,864 1,302
Total income/(loss) $ ( 9,967 ) $ 75,570
−Removed: AG Mortgage Investment Trust Inc.
−Removed: and Subsidiaries
−Removed: Notes to Consolidated Financial Statements (Unaudited)
−Removed: September 30, 2022
−Removed: The following table presents information about the Company’s TBAs for the three and nine months ended September 30, 2022 and 2021 (in thousands).
+Added: The following table presents information about the Company’s to-be-announced securities ("TBAs") for the three months ended March 31, 2023 and 2022 (in thousands).
Three Months Ended
Buys or Covers Sales or Shorts Ending Notional
−Removed: Amount Fair Value as of
−Removed: Period End Receivable/(Payable)
+Added: Amount Fair Value as of Period End Receivable/(Payable)
from/to Broker Derivative
−Removed: September 30, 2022
+Added: Asset Derivative
+Added: March 31, 2023
Long TBAs $ — $ 10,000 $ ( 10,000 ) $ — $ — $ 5 $ 8 $ ( 3 )
−Removed: September 30, 2021
+Added: March 31, 2023
Short TBAs ( 40,000 ) 100,000 ( 60,000 ) — — ( 249 ) 2 ( 251 )
−Removed: Nine Months Ended
−Removed: Buys or Covers Sales or Shorts Ending Notional
−Removed: Amount Fair Value as of
−Removed: Period End Receivable/(Payable)
−Removed: from/to Broker Derivative
−Removed: September 30, 2022
+Added: March 31, 2022
Long TBAs — 150,000 — 150,000 150,270 ( 150,481 ) — ( 211 )
−Removed: September 30, 2022
−Removed: Short TBAs ( 385,963 ) 1,320,852 ( 934,889 ) — — — —
−Removed: September 30, 2021
+Added: March 31, 2022
Short TBAs ( 385,963 ) 1,320,852 ( 934,889 ) — — 3,631 6,733 ( 3,102 )
+Added: AG Mortgage Investment Trust Inc.
+Added: and Subsidiaries
+Added: Notes to Consolidated Financial Statements (Unaudited)
+Added: March 31, 2023
Earnings per share
−Removed: Following the close of business on July 22, 2021, the Company effected a one-for-three reverse stock split of its outstanding shares of common stock.
−Removed: All per share amounts and common shares outstanding for all applicable periods presented in the unaudited consolidated financial statements have been adjusted on a retroactive basis to reflect the Company’s one-for-three reverse stock split.
−Removed: Refer to Note 2 and Note 11 for additional information.
−Removed: The following table presents a reconciliation of the earnings and shares used in calculating basic and diluted earnings per share for the three and nine months ended September 30, 2022 and 2021 (in thousands, except per share data).
−Removed: Three Months Ended Nine Months Ended
−Removed: September 30, 2022 September 30, 2021 September 30, 2022 September 30, 2021
+Added: The following table presents a reconciliation of the earnings and shares used in calculating basic and diluted earnings per share for the three months ended March 31, 2023 and 2022 (in thousands, except per share data).
+Added: Three Months Ended
+Added: March 31, 2023 March 31, 2022
Net Income/(Loss) $ 12,540 $ ( 13,202 )
−Removed: Gain on Exchange Offers, net (Note 11) — — — 472
Dividends on preferred stock ( 4,586 ) ( 4,586 )
2 unchanged sentences
Diluted weighted average common shares outstanding 21,066 23,915
−Removed: Earnings/(Loss) Per Share of Common Stock
+Added: Earnings/(Loss) Per Share
Basic $ 0.38 $ ( 0.74 )
Diluted $ 0.38 $ ( 0.74 )
−Removed: AG Mortgage Investment Trust Inc.
−Removed: and Subsidiaries
−Removed: Notes to Consolidated Financial Statements (Unaudited)
−Removed: September 30, 2022
−Removed: The following tables detail the Company's common stock dividends declared during the nine months ended September 30, 2022 and 2021.
−Removed: Declaration Date Record Date Payment Date Cash Dividend Per Share
−Removed: 3/18/2022 3/31/2022 4/29/2022 $ 0.21
−Removed: 6/15/2022 6/30/2022 7/29/2022 0.21
−Removed: 9/15/2022 9/30/2022 10/31/2022 0.21
−Removed: Declaration Date Record Date Payment Date Cash Dividend Per Share
−Removed: 3/22/2021 4/1/2021 4/30/2021 $ 0.18
−Removed: 6/15/2021 6/30/2021 7/30/2021 0.21
+Added: The following tables detail the Company's common stock dividends declared during the three months ended March 31, 2023 and 2022.
+Added: Three Months Ended March 31, 2023
+Added: Three Months Ended March 31, 2022
+Added: Declaration Date Record Date Payment Date Cash Dividend Per Share Declaration Date Record Date Payment Date Cash Dividend Per Share
3/15/2023 3/31/2023 4/28/2023 $ 0.18 3/18/2022 3/31/2022 4/29/2022 $ 0.21
−Removed: The following tables detail the Company's preferred stock dividends declared and paid during the nine months ended September 30, 2022 and 2021.
+Added: The following tables detail the Company's preferred stock dividends declared and paid during the three months ended March 31, 2023 and 2022.
2023 Cash Dividend Per Share
3 unchanged sentences
2/16/2023 2/28/2023 3/17/2023 $ 0.51563 $ 0.50 $ 0.50
−Removed: 5/2/2022 5/31/2022 6/17/2022 0.51563 0.50 0.50
−Removed: 8/3/2022 8/31/2022 9/19/2022 0.51563 0.50 0.50
−Removed: Total $ 1.54689 $ 1.50 $ 1.50
2022 Cash Dividend Per Share
3 unchanged sentences
2/18/2022 2/28/2022 3/17/2022 $ 0.51563 $ 0.50 $ 0.50
−Removed: 5/17/2021 5/28/2021 6/17/2021 0.51563 0.50 0.50
−Removed: 7/30/2021 8/31/2021 9/17/2021 0.51563 0.50 0.50
−Removed: Total $ 1.54689 $ 1.50 $ 1.50
+Added: The Company conducts its operations to qualify and be taxed as a REIT.
As a REIT, the Company is not subject to federal income tax to the extent that it makes qualifying distributions to its stockholders, and provided it satisfies on a continuing basis, through actual investment and operating results, the REIT requirements including certain asset, income, distribution, and stock ownership tests.
−Removed: Most states follow U.S.
−Removed: federal income tax treatment of REITs.
−Removed: The Company elected to treat certain domestic subsidiaries as TRSs.
−Removed: The Company’s financial results are generally not expected to reflect provisions for current or deferred income taxes, except for any activities conducted through one or more TRSs that are subject to corporate income taxation.
−Removed: During the three and nine months ended September 30, 2022, the Company accrued income tax expense of $ 0.2 million which is recorded in the "Other operating expenses" line item on the consolidated statement of operations.
−Removed: The Company did no t record any income tax expense for the three and nine months ended September 30, 2021.
+Added: The state and local tax jurisdictions for which the Company is subject to tax-filing obligations recognize the Company’s status as a REIT, and therefore, the Company generally does not pay income tax in such jurisdictions.
+Added: The Company may, however, be subject to certain minimum state and local tax filing fees as well as certain excise, franchise, or business taxes.
AG Mortgage Investment Trust Inc.
1 unchanged sentence
Notes to Consolidated Financial Statements (Unaudited)
−Removed: September 30, 2022
−Removed: Excise tax represents a four percent tax on the required amount of the Company’s ordinary income and net capital gains not distributed during the year.
+Added: March 31, 2023
+Added: Excise tax represents a non-deductible 4% tax on the required amount of the Company’s ordinary income and net capital gains not distributed during the year.
The expense is calculated in accordance with applicable tax regulations.
−Removed: For the three and nine months ended September 30, 2022 and 2021, the Company did no t record any excise tax expense.
−Removed: The Company files tax returns in several U.S.
−Removed: jurisdictions.
+Added: For the three months ended March 31, 2023 and 2022, the Company did no t recognize any excise tax.
+Added: Taxable REIT Subsidiaries
+Added: The Company elected to treat certain domestic subsidiaries as taxable REIT subsidiaries ("TRSs").
+Added: The Company’s financial results are generally not expected to reflect provisions for current or deferred income taxes, except for any activities conducted through one or more TRSs that are subject to corporate income taxation.
+Added: Currently, the Company has wholly owned domestic TRSs that are taxable as corporations and subject to U.S.
+Added: federal, state and local income tax on net income at the applicable corporate rates.
+Added: The federal statutory rate for the three months ended March 31, 2023 and 2022 was 21%.
+Added: The Company’s effective tax rate differs from its combined U.S.
+Added: federal, state and local corporate statutory tax rate primarily due to income earned at the REIT, which is not subject to tax, due to the deduction for qualifying distributions made by the Company, and any change in the valuation allowance as disclosed in further detail below.
+Added: For the three months ended March 31, 2023 and 2022, the Company recorded $ 0.2 million and $ 9.0 thousand of tax expense attributable to its TRSs, respectively, which is recorded in the "Non-investment related expenses" line item on the consolidated statement of operations.
+Added: Deferred income taxes reflect the net tax effects of temporary differences between the carrying amount of assets and liabilities for financial reporting and tax reporting purposes at the TRS level.
+Added: As of March 31, 2023 and December 31, 2022 the Company recorded a deferred tax asset of approximately $ 30.8 million and $ 30.2 million, respectively relating to net operating loss carryforwards, capital loss carryforwards and basis differences of certain investments held within TRSs.
+Added: In assessing the realizability of deferred tax assets, the Company considers whether it is more likely than not that some portion or all of the deferred tax assets will not be realized.
+Added: The ultimate realization of deferred tax assets is dependent upon the generation of future taxable income during periods in which temporary differences become deductible.
+Added: The Company concluded it is more likely than not the deferred tax asset will not be realized and established a full valuation allowance of as of March 31, 2023 and December 31, 2022.
+Added: Uncertain Income Tax Positions
+Added: Based on its analysis of any potential uncertain income tax positions, the Company concluded it did not have any uncertain tax positions that meet the recognition or measurement criteria of ASC 740 as of March 31, 2023 and December 31, 2022.
+Added: The Company’s federal income tax returns for the last three tax years are open to examination by the Internal Revenue Service.
There are no ongoing U.S.
federal, state or local tax examinations related to the Company.
−Removed: Based on its analysis of any potential uncertain income tax positions, the Company concluded it did not have any uncertain tax positions that meet the recognition or measurement criteria of ASC 740 as of September 30, 2022.
−Removed: The Company’s federal income tax returns for the last three tax years are open to examination by the Internal Revenue Service.
In the event that the Company incurs income tax related interest and penalties, its policy is to classify them as a component of provision for income taxes.
9 unchanged sentences
The Manager is entitled to a management fee equal to 1.50 % per annum, calculated and paid quarterly, of the Company’s Stockholders’ Equity.
−Removed: For purposes of calculating the management fee, "Stockholders’ Equity" means the sum of the net proceeds from any issuances of equity securities (including preferred securities) since inception (allocated on a pro rata daily basis for such issuances during the fiscal quarter of any such issuance, and excluding any future equity issuance to the Manager), plus the Company’s retained earnings at the end of such quarter (without taking into account any non-cash equity compensation expense or other non-cash items described below incurred in current or prior periods), less any amount that the Company pays for repurchases of its common stock, excluding any unrealized gains, losses or other non-cash items that have impacted stockholders’ equity as reported in the Company’s financial statements prepared in accordance with GAAP, regardless of whether such items are included in other comprehensive income or loss, or in net income, and excluding one-time events pursuant to changes in GAAP, and certain other non-cash charges after discussions between the Manager and the Company’s independent directors and after approval by a majority of the Company’s independent directors.
+Added: For purposes of calculating the management fee, "Stockholders’ Equity" means the sum of the net proceeds from any issuances of equity securities (including preferred securities) since inception (allocated on a pro rata daily basis for such issuances during the fiscal quarter of any such issuance, and excluding any future equity issuance to the Manager), plus the Company’s retained earnings at the end of such quarter (without taking into account any non-cash equity compensation expense or other non-cash items described below incurred in current or prior periods), less any amount that the Company pays for repurchases of its common stock, excluding any unrealized gains, losses or other non-cash items that have
+Added: AG Mortgage Investment Trust Inc.
+Added: and Subsidiaries
+Added: Notes to Consolidated Financial Statements (Unaudited)
+Added: March 31, 2023
+Added: impacted stockholders’ equity as reported in the Company’s financial statements prepared in accordance with GAAP, regardless of whether such items are included in other comprehensive income or loss, or in net income, and excluding one-time events pursuant to changes in GAAP, and certain other non-cash charges after discussions between the Manager and the Company’s independent directors and after approval by a majority of the Company’s independent directors.
Stockholders’ Equity, for purposes of calculating the management fee, could be greater or less than the amount of stockholders’ equity shown on the Company’s financial statements.
−Removed: The below table details the management fees incurred during the three and nine months ended September 30, 2022 and 2021 (in thousands).
−Removed: Three Months Ended Nine Months Ended
−Removed: September 30, 2022 September 30, 2021 September 30, 2022 September 30, 2021
+Added: The below table details the management fees incurred during the three months ended March 31, 2023 and 2022 (in thousands).
+Added: Three Months Ended
+Added: Consolidated statements of operations line item:
+Added: March 31, 2023 March 31, 2022
Management fee to affiliate $ 2,075 $ 1,962
−Removed: As of September 30, 2022 and December 31, 2021, the Company recorded management fees payable of $ 2.1 million and $ 1.8 million, respectively.
+Added: As of March 31, 2023 and December 31, 2022, the Company recorded management fees payable of $ 2.1 million and $ 2.1 million, respectively.
The management fee payable is included within the "Due to affiliates" item within the "Other liabilities" line item on the consolidated balance sheets.
Incentive fee
−Removed: In connection with the common stock offering in November 2021, including the Manager's purchase of 700,000 shares in the offering, on November 22, 2021, the Company and the Manager executed an amendment (the "Third Management Agreement Amendment") to the management agreement, pursuant to which the Company will pay the Manager an annual incentive fee in addition to the base management fee.
−Removed: Pursuant to the Third Amendment, the Manager waived the annual incentive fee with
−Removed: AG Mortgage Investment Trust Inc.
−Removed: and Subsidiaries
−Removed: Notes to Consolidated Financial Statements (Unaudited)
−Removed: September 30, 2022
−Removed: respect to the fiscal years ending December 31, 2021 and December 31, 2022, and the annual incentive fee will first be payable with respect to the fiscal year ending December 31, 2023.
−Removed: The annual incentive fee with respect to each applicable fiscal year will be equal to 15 % of the amount by which the Company's cumulative adjusted net income from the date of the Third Amendment exceeds the cumulative hurdle amount, which represents an 8 % return (cumulative, but not compounding) on an equity hurdle base consisting of the sum of (i) the Company's adjusted book value (calculated in the manner described in the Company's public filings) as of October 31, 2021, (ii) $ 80.0 million, and (iii) the gross proceeds of any subsequent public or private common stock offerings by the Company.
+Added: In connection with the common stock offering in November 2021, including the Manager's purchase of 700,000 shares in the offering, on November 22, 2021, the Company and the Manager executed an amendment (the "Third Amendment") to the management agreement, pursuant to which the Company will pay the Manager an annual incentive fee in addition to the base management fee.
+Added: Pursuant to the Third Amendment, the Manager waived the annual incentive fee with respect to the fiscal years ending December 31, 2021 and December 31, 2022, and the annual incentive fee will first be payable with respect to the fiscal year ending December 31, 2023.
+Added: During the three months ended March 31, 2023, the Company did not incur any incentive fee expense.
+Added: The annual incentive fee with respect to each applicable fiscal year will be equal to 15 % of the amount by which the Company's cumulative adjusted net income from the date of the Third Amendment exceeds the cumulative hurdle amount, which represents an 8 % return (cumulative, but not compounding) on an equity hurdle base consisting of the sum of (i) $ 341.5 million and (ii) the gross proceeds of any subsequent public or private common stock offerings by the Company.
The annual incentive fee will be payable in cash, or, at the option of the Company's Board of Directors, shares of common stock or a combination of cash and shares.
−Removed: In addition, pursuant to the Third Amendment, the term of the management agreement was extended until June 30, 2023, unless earlier terminated in accordance with its terms.
−Removed: Thereafter, the management agreement will continue to renew automatically each year for an additional one-year period, unless the Company or the Manager exercise its respective termination rights.
−Removed: All other terms and conditions of the management agreement continued without change.
Termination fee
Upon the occurrence of (i) the Company’s termination of the management agreement without cause or (ii) the Manager’s termination of the management agreement upon a breach by the Company of any material term of the management agreement, the Manager will be entitled to a termination fee equal to three times the average annual management fee during the 24 -month period prior to such termination, calculated as of the end of the most recently completed fiscal quarter.
−Removed: As of September 30, 2022 and December 31, 2021, no event of termination of the management agreement had occurred.
+Added: As of March 31, 2023 and December 31, 2022, no event of termination of the management agreement had occurred.
Expense reimbursement
2 unchanged sentences
however, the reimbursement is subject to an annual budget process which combines guidelines from the management agreement with oversight by the Company’s Board of Directors.
−Removed: The Company reimburses the Manager or its affiliates for the Company’s allocable share of the compensation, including, without limitation, annual base salary, bonus, any related withholding taxes and employee benefits paid to (i) the Company’s chief financial officer based on the percentage of time spent on Company affairs, (ii) the Company’s general counsel based on the percentage of time spent on the Company’s affairs, and (iii) other corporate finance, tax, accounting, internal audit, legal, risk management, operations, compliance and other non-investment personnel of the Manager and its affiliates who spend all or a portion of their time managing the Company’s affairs based upon the percentage of time devoted by such personnel to the Company’s affairs.
−Removed: In their capacities as officers or personnel of the Manager or its affiliates, they devote such portion of their time to the Company’s affairs as is necessary to enable the Company to operate its business.
−Removed: The Company records its expenses reimbursed to the Manager or its affiliates within the "Other operating expenses" and "Transaction related expenses" line items on the consolidated statements of operations.
−Removed: The below table details the expense reimbursement incurred during the three and nine months ended September 30, 2022 and 2021 (in thousands).
−Removed: Three Months Ended Nine Months Ended
−Removed: September 30, 2022 September 30, 2021 September 30, 2022 September 30, 2021
−Removed: Operating expenses (1) $ 1,405 $ 1,125 $ 4,215 $ 3,375
−Removed: Deal related expenses (1) 261 189 637 518
−Removed: Transaction related expenses (2) 738 251 2,484 331
−Removed: Expense reimbursements to affiliates $ 2,404 $ 1,565 $ 7,336 $ 4,224
−Removed: (1) Included in the "Other operating expenses" line item on the consolidated statement of operations.
−Removed: (2) Included in the "Transaction related expenses" line item on the consolidated statement of operations.
−Removed: For the year ended December 31, 2021, the Manager agreed to waive its right to receive expense reimbursements of $ 0.8 million.
−Removed: For the three and nine months ended September 30, 2021, the Company reduced its expense reimbursement
AG Mortgage Investment Trust Inc.
1 unchanged sentence
Notes to Consolidated Financial Statements (Unaudited)
−Removed: September 30, 2022
−Removed: amount by $ 0.2 million and $ 0.6 million, respectively.
−Removed: As of September 30, 2022 and December 31, 2021, the Company recorded a reimbursement payable to the Manager or its affiliates of $ 2.5 million and $ 2.1 million, respectively.
+Added: March 31, 2023
+Added: The Company reimburses the Manager or its affiliates for the Company’s allocable share of the compensation, including, without limitation, annual base salary, bonus, any related withholding taxes and employee benefits paid to (i) the Company’s chief financial officer based on the percentage of time spent on Company affairs, (ii) the Company’s general counsel based on the percentage of time spent on the Company’s affairs, and (iii) other corporate finance, tax, accounting, internal audit, legal, risk management, operations, compliance and other non-investment personnel of the Manager and its affiliates who spend all or a portion of their time managing the Company’s affairs based upon the percentage of time devoted by such personnel to the Company’s affairs.
+Added: In their capacities as officers or personnel of the Manager or its affiliates, they devote such portion of their time to the Company’s affairs as is necessary to enable the Company to operate its business.
+Added: The below table details the expense reimbursement incurred during the three months ended March 31, 2023 and 2022 (in thousands).
+Added: Three Months Ended
+Added: Consolidated statements of operations line item:
+Added: March 31, 2023 March 31, 2022
+Added: Non-investment related expenses
+Added: $ 1,400 $ 1,405
+Added: Investment related expenses
+Added: Transaction related expenses 63 971
+Added: Expense reimbursements to Manager or its affiliates $ 1,565 $ 2,511
+Added: As of March 31, 2023 and December 31, 2022, the Company recorded a reimbursement payable to the Manager or its affiliates of $ 1.4 million and $ 1.3 million, respectively.
The reimbursement payable to the Manager or its affiliates is included within the "Due to affiliates" item within the "Other liabilities" line item on the consolidated balance sheets.
3 unchanged sentences
The maximum number of shares of common stock granted during a single fiscal year to any non-employee director, taken together with any cash fees paid to such non-employee director during any fiscal year, shall not exceed $ 300,000 in total value (calculating the value of any such awards based on the grant date fair value).
−Removed: As of September 30, 2022, 570,901 shares of common stock were available to be awarded under the 2020 Equity Incentive Plan.
−Removed: Since inception of the 2020 Equity Incentive Plan and through September 30, 2022, the Company has granted an aggregate of 95,765 shares of restricted common stock to its independent directors under its 2020 Equity Incentive Plan, all of which have vested.
+Added: As of March 31, 2023, 535,530 shares of common stock were available to be awarded under the 2020 Equity Incentive Plan.
+Added: Since inception of the 2020 Equity Incentive Plan and through March 31, 2023, the Company has granted an aggregate of 131,136 shares of restricted common stock to its independent directors under its 2020 Equity Incentive Plan, all of which have vested.
Manager Equity Incentive Plans
1 unchanged sentence
2021 Manager Equity Incentive Plan (the "2021 Manager Plan") became effective on April 7, 2021 and provides for a maximum of 573,425 shares of common stock that may be subject to awards thereunder to the Manager.
−Removed: As of September 30, 2022, there were no shares or awards issued under the 2021 Manager Plan.
+Added: As of March 31, 2023, there were no shares or awards issued under the 2021 Manager Plan.
Director compensation
+Added: As of March 31, 2023, the Company's Board of Directors consisted of four independent directors.
The annual base director's fee for each independent director is $ 150,000 , $ 70,000 of which is payable on a quarterly basis in cash and $ 80,000 of which is payable on a quarterly basis in shares of restricted common stock.
1 unchanged sentence
To the extent that any fractional shares would otherwise be issuable and payable to each independent director, a cash payment is made to each independent director in lieu of any fractional shares.
−Removed: All directors’ fees are paid pro rata (and restricted stock grants determined) on a quarterly basis in arrears, and shares issued are fully vested and non-forfeitable.
+Added: All directors’ fees are paid pro rata (and restricted common stock grants
+Added: AG Mortgage Investment Trust Inc.
+Added: and Subsidiaries
+Added: Notes to Consolidated Financial Statements (Unaudited)
+Added: March 31, 2023
+Added: determined) on a quarterly basis in arrears, and shares issued are fully vested and non-forfeitable.
These shares may not be sold or transferred by such director during the time of their service as an independent member of the Company’s board.
−Removed: As of September 30, 2022, the Company's Board of Directors consisted of four independent directors.
+Added: In addition to the annual base director's fee, the non-executive chair of the Board receives an annual fee of $ 60,000 , of which $ 30,000 is payable in cash and $ 30,000 is payable in shares of restricted common stock, the chair of the Audit Committee receives an annual fee of $ 25,000 , and the chairs of the Compensation and Nominating and Corporate Governance Committees each receive an annual fee of $ 10,000 .
Investments in debt and equity of affiliates
1 unchanged sentence
The Company is one investor, amongst other investors managed by affiliates of Angelo Gordon, in such entities and has applied the equity method of accounting for such investments.
+Added: On December 9, 2015, the Company, alongside private funds managed by Angelo Gordon, through AG Arc LLC, one of the Company’s indirect affiliates ("AG Arc"), formed Arc Home.
+Added: The Company has an approximate 44.6 % interest in AG Arc.
+Added: Arc Home originates residential mortgage loans and retains the mortgage servicing rights associated with certain loans it originates.
+Added: Arc Home is led by an external management team.
+Added: The Company has chosen to make a fair value election with respect to its investment in AG Arc pursuant to ASC 825.
+Added: The Company elected to treat its investment in AG Arc as a taxable REIT subsidiary.
+Added: On August 29, 2017, the Company, alongside private funds managed by Angelo Gordon, formed Mortgage Acquisition Holding I LLC ("MATH") to conduct a residential mortgage investment strategy.
+Added: The Company has an approximate 44.6 % interest in MATH.
+Added: MATH in turn sponsored the formation of an entity called Mortgage Acquisition Trust I LLC ("MATT") to purchase predominantly Non-QM Loans.
+Added: On May 15, 2019 and November 14, 2019, the Company, alongside private funds managed by Angelo Gordon, formed LOT SP I LLC and LOT SP II LLC, respectively, (collectively, "LOTS").
+Added: The Company has an approximate 47.5 % and 50.0 % interest in LOT SP I LLC and LOT SP II LLC, respectively.
+Added: LOTS were formed to originate first mortgage loans to third-party land developers and home builders for the acquisition and horizontal development of land ("Land Related Financing").
AG Mortgage Investment Trust Inc.
1 unchanged sentence
Notes to Consolidated Financial Statements (Unaudited)
−Removed: September 30, 2022
−Removed: The below table reconciles the fair value of investments to the "Investments in debt and equity of affiliates" line item on the Company's consolidated balance sheets as of September 30, 2022 and December 31, 2021 (in thousands).
−Removed: September 30, 2022 December 31, 2021
+Added: March 31, 2023
+Added: Summary of investments in debt and equity of affiliates and related earnings
+Added: The below table summarizes the components of the "Investments in debt and equity of affiliates" line item on the Company's consolidated balance sheets as of March 31, 2023 and December 31, 2022 (in thousands).
+Added: March 31, 2023 December 31, 2022
Assets Liabilities Equity Assets Liabilities Equity
−Removed: MATT Non-QM Loans (1) $ 38,824 $ ( 24,406 ) $ 14,418 $ 45,837 $ ( 30,471 ) $ 15,366
+Added: Non-QM Securities (1) $ 31,581 $ ( 15,210 ) $ 16,371 $ 31,067 $ ( 16,409 ) $ 14,658
Land Related Financing (2) 10,814 — 10,814 10,688 — 10,688
−Removed: Re/Non-Performing Loans 8,212 ( 4,820 ) 3,392 9,298 ( 5,538 ) 3,760
+Added: Re/Non-Performing Securities 7,785 ( 3,521 ) 4,264 7,854 ( 4,406 ) 3,448
Total Residential Investments 50,180 ( 18,731 ) 31,449 49,609 ( 20,815 ) 28,794
2 unchanged sentences
Investments in debt and equity of affiliates $ 89,075 $ ( 19,437 ) $ 69,638 $ 92,579 $ ( 21,515 ) $ 71,064
−Removed: (1) As of September 30, 2022 and December 31, 2021, MATT primarily holds retained tranches from past securitizations which continue to pay down and the Company does not expect to acquire additional investments within this equity method investment.
+Added: (1) As of March 31, 2023 and December 31, 2022, MATT only holds retained tranches from past securitizations which continue to pay down and the Company does not expect to acquire additional investments within this equity method investment.
(2) Land Related Financing continues to pay down and the Company does not expect to originate new loans within this equity method investment.
−Removed: The below table reconciles the net income/(loss) to the "Equity in earnings/(loss) from affiliates" line item on the Company's consolidated statements of operations for the three and nine months ended September 30, 2022 and 2021 (in thousands).
−Removed: Three Months Ended Nine Months Ended
−Removed: September 30, 2022 September 30, 2021 September 30, 2022 September 30, 2021
−Removed: MATT Non-QM Loans $ 1,413 $ ( 644 ) $ 154 $ 15,277
+Added: The below table reconciles the net income/(loss) to the "Equity in earnings/(loss) from affiliates" line item on the Company's consolidated statements of operations for the three months ended March 31, 2023 and 2022 (in thousands).
+Added: Three Months Ended
+Added: March 31, 2023 March 31, 2022
+Added: Non-QM Securities $ 1,625 $ ( 889 )
Land Related Financing 339 502
−Removed: Re/Non-Performing Loans 927 6,553 758 13,370
+Added: Re/Non-Performing Securities 192 3
AG Arc (1) ( 2,140 ) ( 1,670 )
−Removed: Other — ( 24 ) — ( 32 )
Equity in earnings/(loss) from affiliates
1 unchanged sentence
(1) Earnings/(loss) recognized by AG Arc do not include the Company's portion of gains recorded by Arc Home in connection with the sale of residential mortgage loans to the Company.
−Removed: Refer to Note 2 for more information on this accounting policy.
+Added: Refer to "Transactions with Arc Home" below for more information on this accounting policy.
Transactions with affiliates
2 unchanged sentences
The Company engaged Red Creek Asset Management LLC ("Asset Manager"), a related party of the Manager and direct subsidiary of Angelo Gordon, as the asset manager for certain of its residential mortgage loans.
−Removed: The Company pays the Asset Manager separate arm’s-length asset management fees as assessed periodically by a third-party valuation firm.
−Removed: The below table details the fees paid by the Company to the Asset Manager during the three and nine months ended September 30, 2022 and 2021 (in thousands).
−Removed: Three Months Ended Nine Months Ended
−Removed: September 30, 2022 September 30, 2021 September 30, 2022 September 30, 2021
−Removed: Fees paid to Asset Manager $ 825 $ 531 $ 2,007 $ 1,651
−Removed: As of September 30, 2022 and December 31, 2021, the Company recorded asset management fees payable of $ 0.2 million and $ 0.2 million, respectively.
−Removed: Asset management fees payable are included within the "Due to affiliates" item within the "Other liabilities" line item on the consolidated balance sheets.
+Added: The Company pays the Asset Manager asset management fees which are assessed periodically
AG Mortgage Investment Trust Inc.
1 unchanged sentence
Notes to Consolidated Financial Statements (Unaudited)
−Removed: September 30, 2022
+Added: March 31, 2023
+Added: and determined to be commercially reasonable by a third-party valuation firm.
+Added: The below table details the fees paid by the Company to the Asset Manager during the three months ended March 31, 2023 and 2022 (in thousands).
+Added: Three Months Ended
+Added: March 31, 2023 March 31, 2022
+Added: Fees paid to Asset Manager $ 683 $ 573
+Added: As of March 31, 2023 and December 31, 2022, the Company recorded asset management fees payable of $ 0.2 million and $ 0.2 million, respectively.
+Added: Asset management fees payable are included within the "Due to affiliates" item within the "Other liabilities" line item on the consolidated balance sheets.
Transactions with Arc Home
Arc Home may sell loans to the Company, third-parties, or affiliates of the Manager.
−Removed: The below table details the unpaid principal balance of Non-Agency Loans and Agency-Eligible Loans sold to the Company and private funds under the management of Angelo Gordon during the three and nine months ended September 30, 2022 and 2021 (in thousands).
−Removed: Three Months Ended Nine Months Ended
−Removed: September 30, 2022 September 30, 2021 September 30, 2022 September 30, 2021
+Added: The below table details the unpaid principal balance of Non-Agency Loans and Agency-Eligible Loans sold to the Company and private funds under the management of Angelo Gordon during the three months ended March 31, 2023 and 2022 (in thousands).
+Added: Three Months Ended
+Added: March 31, 2023 March 31, 2022
Residential mortgage loans sold by Arc Home to the Company $ — $ 377,832
Residential mortgage loans sold by Arc Home to private funds under the management of Angelo Gordon 90,584 125,702
−Removed: Arc Home may also enter into agreements with third-parties or affiliates of the Manager to sell rights to receive the excess servicing spread related to MSRs that it either purchases from third-parties or originates.
−Removed: The Company, directly or through its subsidiaries, previously entered into agreements with Arc Home to purchase rights to receive the excess servicing spread related to certain of Arc Home's MSRs, all of which were sold during 2021 as detailed below.
−Removed: In July 2021, the Company, alongside private funds under the management of Angelo Gordon, sold its remaining Agency Excess MSRs to Arc Home for total proceeds of $ 9.9 million.
−Removed: The portfolio had a total unpaid principal balance of $ 2.0 billion.
−Removed: The Company's share of the total proceeds was $ 2.7 million, representing its approximate 45 % ownership interest.
−Removed: Arc Home subsequently sold its MSR portfolio to a third party.
+Added: In connection with the sale of loans from Arc Home to the Company, the Company eliminates any intra-entity profits or losses typically recognized through the "Equity in earnings/(loss) from affiliates" line item on the Company's consolidated statement of operations and adjusts the cost basis of the underlying loans resulting in unrealized gains or losses.
+Added: The Company did not purchase any loans from Arc Home during the three months ended March 31, 2023.
+Added: The table below summarizes intra-entity profits eliminated during the three months ended March 31, 2023 and 2022 (in thousands).
+Added: Three Months Ended
+Added: March 31, 2023
+Added: March 31, 2022
+Added: Intra-Entity Profits Eliminated $ — $ 2,356
+Added: As of December 31, 2022, the Company recorded a $ 0.5 million receivable from Arc Home related to certain loans purchased from Arc Home which was recorded within the "Other assets" line item on the consolidated balance sheets.
+Added: During the three months ended March 31, 2023, the Company received payment for the full amount from Arc Home.
The Company enters into forward purchase commitments with Arc Home whereby the Company commits to purchase residential mortgage loans from Arc Home at a particular price on a best-efforts basis.
2 unchanged sentences
See Note 7 and Note 12 for more detail.
−Removed: Securitization Transactions
−Removed: In May 2021, the Company, alongside private funds under the management of Angelo Gordon, participated through its unconsolidated ownership interest in MATT in a rated Non-QM Loan securitization, in which Non-QM Loans with a fair value of $ 171.4 million were securitized.
−Removed: Certain senior tranches in the securitization were sold to third parties with the Company and private funds under the management of Angelo Gordon retaining the subordinate tranches, which had a fair value of $ 25.7 million as of June 30, 2021.
−Removed: In November 2021, the Company, alongside a private fund under the management of Angelo Gordon, participated in a rated Non-QM Loan securitization, in which Non-QM Loans with a fair value of $ 225.9 million were securitized.
−Removed: Upon evaluating its investment in the VIE, the Company determined it was not the primary beneficiary and, as a result, did not consolidate the securitization trust.
−Removed: In addition, the Company determined the sale of the residential mortgage loans into the securitization qualified for sale accounting and derecognized the loans from its consolidated balance sheets.
−Removed: Certain senior tranches in the securitization were sold to third-parties with the Company and the private fund under the management of Angelo Gordon retaining the subordinate tranches, which had a fair value of $ 44.0 million as of December 31, 2021.
−Removed: The Company has a 40.9 % interest in the retained subordinate tranches which represents its continuing involvement in the securitization trust.
−Removed: These retained subordinate tranches are included within the "Real estate securities, at fair value" line item on its consolidated balance sheets.
+Added: During the year ended December 31, 2022, the Company determined that certain loans that it had previously committed to purchase from Arc Home would be sold to third parties.
+Added: The Company net settled its commitment to purchase these loans with Arc Home for $ 0.8 million, which represented the difference between the Company's committed price and the ultimate sale price, inclusive of costs to sell the loans.
+Added: The settlement of these derivatives were recorded within the "Net realized gain/(loss)" and "Transaction related expenses" line items on the consolidated statement of operations.
AG Mortgage Investment Trust Inc.
1 unchanged sentence
Notes to Consolidated Financial Statements (Unaudited)
−Removed: September 30, 2022
−Removed: Transactions under the Company's Affiliated Transaction Policy
−Removed: The below table details transactions where the Company purchased or sold assets from or to an affiliate of the Manager ($ in millions).
−Removed: The transactions were executed in accordance with the Company's Affiliated Transaction Policy.
−Removed: Refer to the "Transactions with Arc Home" section above for additional information related to transactions with Arc Home, which are excluded from the table below.
−Removed: Date Transaction Fair value (1) Pricing methodology
−Removed: March 2021 Sale of real estate securities $ 6.9 Competitive bidding process (2)
−Removed: April 2021 Sale of real estate securities 16.8 Third party pricing vendors (3)
−Removed: July 2021 Sale of real estate securities 17.6 Competitive bidding process (2)
−Removed: October 2021 Purchase of real estate securities (4) 3.5 Third party pricing vendors (3)
−Removed: November 2021 Purchase of residential mortgage loans (5) 181.8 Third party pricing vendors (3)
−Removed: (1) As of the transaction date.
−Removed: (2) The affiliate submitted an offer to purchase the securities from the Company in a competitive bidding process, which allowed the Company to confirm third-party market pricing and best execution.
−Removed: (3) Pricing was based on valuations prepared by third-party pricing vendors in accordance with the Company's policy.
−Removed: (4) The Company purchased the real estate securities through one of its unconsolidated affiliated entities.
−Removed: (5) MATT exercised its call rights on two securitization trusts in which it held interests in the subordinate tranches.
−Removed: Upon exercising its call rights and acquiring the remaining residential mortgage loans within the trusts, MATT sold the loans to the Company and a private fund under the management of Angelo Gordon in accordance with the Company’s Affiliated Transactions Policy.
−Removed: As of the date of the transaction, the residential mortgage loans sold to the private fund had a total fair value of $ 183.6 million.
−Removed: Reverse stock split
−Removed: On July 12, 2021, the Company announced that its Board of Directors approved a one-for-three reverse stock split of its outstanding shares of common stock.
−Removed: The reverse stock split was effected following the close of business on July 22, 2021.
−Removed: At the Effective Time, every three issued and outstanding shares of the Company’s common stock were converted into one share of the Company’s common stock.
−Removed: No fractional shares were issued in connection with the reverse stock split.
−Removed: Instead, each stockholder holding fractional shares was entitled to receive, in lieu of such fractional shares, cash in an amount determined based on the closing price of the Company's common stock on the date of the Effective Time.
−Removed: As a result, the number of common shares outstanding was reduced from 48,510,978 immediately prior to the Effective Time to 16,170,312 .
−Removed: The reverse stock split applied to all of the Company's outstanding shares of common stock and did not affect any stockholder’s ownership percentage of shares of the Company's common stock, except for immaterial changes resulting from the payment of cash for fractional shares.
−Removed: All per share amounts and common shares outstanding for all applicable periods presented in the unaudited consolidated financial statements have been adjusted on a retroactive basis to reflect the Company's one-for-three reverse stock split.
+Added: March 31, 2023
Stock repurchase programs
−Removed: During the nine months ended September 30, 2022, the Company repurchased 1.4 million shares for $ 11.0 million under the common stock repurchase program authorized by the Company's Board of Directors on November 3, 2015 (the "2015 Repurchase Program").
−Removed: During the three and nine months ended September 30, 2021, the Company repurchased 0.3 million shares for $ 2.8 million under the 2015 Repurchase Program.
+Added: On November 3, 2015, the Company’s Board of Directors authorized a stock repurchase program (the "2015 Repurchase Program") to repurchase up to $ 25.0 million of the Company's outstanding common stock.
As of June 30, 2022, the $ 25.0 million maximum repurchase amount authorized under the 2015 Repurchase Program was fully utilized.
+Added: No shares were repurchased under the 2015 Repurchase Program during the three months ended March 31, 2022.
On August 3, 2022, the Company's Board of Directors authorized a stock repurchase program (the "2022 Repurchase Program") to repurchase up to $ 15.0 million of the Company’s outstanding common stock on substantially the same terms as the 2015 Repurchase Program.
1 unchanged sentence
The Company may repurchase shares of its common stock from time to time in compliance with SEC regulations and other legal requirements.
−Removed: The extent to which the Company repurchases its shares, and the timing, manner, price, and amount of any such repurchases, will depend upon a variety of factors including market conditions and other corporate considerations as determined by the Company’s management, as well as the limits of the 2022 Repurchase Program
−Removed: AG Mortgage Investment Trust Inc.
−Removed: and Subsidiaries
−Removed: Notes to Consolidated Financial Statements (Unaudited)
−Removed: September 30, 2022
−Removed: and the Company's liquidity and business strategy.
+Added: The extent to which the Company repurchases its shares, and the timing, manner, price, and amount of any such repurchases, will depend upon a variety of factors including market conditions and other corporate considerations as determined by the Company’s management, as well as the limits of the 2022 Repurchase Program and the Company's liquidity and business strategy.
The 2022 Repurchase Program does not obligate the Company to acquire any particular amount of shares and may be modified or discontinued at any time.
−Removed: During the three and nine months ended September 30, 2022, the Company repurchased 0.4 million shares for $ 2.3 million under the 2022 Repurchase Program.
−Removed: As of September 30, 2022, approximately $ 12.7 million of common stock remained authorized for future share repurchases under the 2022 Repurchase Program.
−Removed: On February 22, 2021, the Company's Board of Directors authorized a stock repurchase program (the "Preferred Repurchase Program") pursuant to which the Company's Board of Directors granted a repurchase authorization to acquire shares of its Series A Preferred Stock, Series B Preferred Stock, and Series C Preferred Stock having an aggregate value of up to $ 20.0 million.
+Added: As of March 31, 2023, approximately $ 2.6 million of common stock remained authorized for future share repurchases under the 2022 Repurchase Program.
+Added: The table below details the Company's share repurchases under the 2022 Repurchase Program during the three months ended March 31, 2023:
+Added: Total Number of Shares Purchased Weighted Average Price Paid per Share (2)
+Added: Total Number of Shares Purchased as Part of Publicly Announced Program Maximum Approximate Dollar Value that May Yet Be Purchased Under the Program (2)
+Added: Three Months Ended March 31, 2023
+Added: January 1, 2023 to January 31, 2023 91,173 $ 5.66 91,173 $ 7,300,982
+Added: February 1, 2023 to February 28, 2023 85,438 6.26 85,438 6,766,462
+Added: March 1, 2023 to March 31, 2023 746,650 5.62 746,650 2,569,940
+Added: Total 923,261 $ 5.68 923,261 $ 2,569,940
+Added: (1) Based on trade date.
+Added: (2) Includes brokerage commissions and clearing fees.
+Added: Subsequent to March 31, 2023, the Company repurchased 0.1 million shares of common stock for $ 0.8 million, representing a weighted average cost of $ 5.85 per share, under the 2022 Repurchase Program, following which $ 1.7 million remained available for future repurchases under such program.
+Added: On May 4, 2023, the Company's Board of Directors authorized a stock repurchase program (the "2023 Repurchase Program") to repurchase up to $ 15 million of the Company’s outstanding common stock on substantially the same terms as the 2022 Repurchase Program.
+Added: As of the date of this filing, the full $ 15 million authorized amount remains available for repurchase under the 2023 Repurchase Program.
+Added: This authorization is in addition to the amount remaining under the 2022 Repurchase Program.
+Added: On February 22, 2021, the Company's Board of Directors authorized a stock repurchase program (the "Preferred Repurchase Program") pursuant to which the Company's Board of Directors granted a repurchase authorization to acquire shares of the Company's 8.25 % Series A Cumulative Redeemable Preferred Stock ("Series A Preferred Stock"), 8.00 % Series B Cumulative Redeemable Preferred Stock ("Series B Preferred Stock"), and 8.000 % Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock ("Series C Preferred Stock") having an aggregate value of up to $ 20.0 million.
No share repurchases under the Preferred Repurchase Program have been made since its authorization.
1 unchanged sentence
The cost of the acquisition by the Company of shares of its own stock in excess of the aggregate par value of the shares first reduces additional paid-in capital, to the extent available, with any residual cost applied against retained earnings.
+Added: AG Mortgage Investment Trust Inc.
+Added: and Subsidiaries
+Added: Notes to Consolidated Financial Statements (Unaudited)
+Added: March 31, 2023
Equity distribution agreements
−Removed: On May 5, 2017, the Company entered into an equity distribution agreement with each of Credit Suisse Securities (USA) LLC and JMP Securities LLC (collectively, the "Sales Agents"), which the Company refers to as the "Equity Distribution Agreements," pursuant to which the Company may sell up to $ 100.0 million aggregate offering price of shares of its common stock from time to time through the Sales Agents under the Securities Act of 1933.
−Removed: For the three and nine months ended September 30, 2022, the Company did no t issue any shares of common stock under the Equity Distribution Agreements.
−Removed: For the three months ended September 30, 2021, the Company did no t issue any shares under the Equity Distribution Agreements.
−Removed: For the nine months ended September 30, 2021, the Company issued 1.0 million shares of common stock under the Equity Distribution Agreements for net proceeds of approximately $ 13.1 million.
+Added: The Company has entered into an equity distribution agreement with each of Credit Suisse Securities (USA) LLC and JMP Securities LLC (collectively, the "Sales Agents"), which the Company refers to as the "Equity Distribution Agreements," pursuant to which the Company may sell up to $ 100.0 million aggregate offering price of shares of its common stock from time to time through the Sales Agents under the Securities Act of 1933.
+Added: The Company did no t issue any shares of common stock under the Equity Distribution Agreements during the three months ended March 31, 2023 and 2022.
Since inception of the program, the Company has issued approximately 2.2 million shares of common stock under the Equity Distribution Agreements for gross proceeds of $ 48.3 million.
3 unchanged sentences
Upon effectiveness of the 2021 Registration Statement, the Company's previous registration statement filed in 2018 was terminated.
−Removed: Common stock offering
−Removed: On November 22, 2021, the Company completed a public offering of 7.0 million shares of its common stock and subsequently issued an additional 1.1 million shares pursuant to the underwriters' exercise of their over-allotment option at a price of $ 9.98 per share.
−Removed: Net proceeds to the Company from the offering were approximately $ 80.0 million, after deducting offering expenses.
Preferred stock
The Company is authorized to designate and issue up to 50.0 million shares of preferred stock, par value $ 0.01 per share, in one or more classes or series.
−Removed: As of September 30, 2022 and December 31, 2021, there were 1.7 million, 3.7 million, and 3.7 million of Series A Preferred Stock, Series B Preferred Stock, and Series C Preferred Stock, respectively, issued and outstanding.
−Removed: AG Mortgage Investment Trust Inc.
−Removed: and Subsidiaries
−Removed: Notes to Consolidated Financial Statements (Unaudited)
−Removed: September 30, 2022
−Removed: The following table includes a summary of preferred stock issued and outstanding as of September 30, 2022 ($ and shares in thousands).
+Added: As of March 31, 2023 and December 31, 2022, there were 1.7 million, 3.7 million, and 3.7 million of Series A Preferred Stock, Series B Preferred Stock, and Series C Preferred Stock, respectively, issued and outstanding.
+Added: The following table includes a summary of preferred stock issued and outstanding as of March 31, 2023 ($ and shares in thousands).
Preferred Stock Series Issuance Date Shares Outstanding Carrying Value Aggregate Liquidation Preference (1) Optional Redemption
14 unchanged sentences
In addition, certain material and adverse changes to the terms of any series of the Company's Series A Preferred Stock, Series B Preferred Stock, and Series C Preferred Stock cannot be made without the affirmative vote of holders of at least two-thirds of the outstanding shares of the series of the Company's Series A Preferred Stock, Series B Preferred Stock, and Series C Preferred Stock whose terms are being changed.
−Removed: Exchange offers
−Removed: The below details privately negotiated exchange agreements with existing holders of the Company's preferred shares exchanged for common shares during 2021.
−Removed: The Company did not complete any exchange offers during the nine months ended September 30, 2022.
−Removed: Subsequent to each transaction, the Preferred Stock exchanged pursuant to the exchange agreement was reclassified as authorized but unissued shares of preferred stock without designation as to class or series ($ in thousands).
−Removed: Preferred Shares Exchanged
−Removed: Date Shares of Series A Preferred Stock Shares of Series B Preferred Stock Shares of Series C Preferred Stock Total Preferred Stock Par Value Common Shares Exchanged
−Removed: March 17, 2021
−Removed: 153,325 350,609 — $ 12,598 937,462
−Removed: June 14, 2021 — 86,478 154,383 6,022 429,802
AG Mortgage Investment Trust Inc.
1 unchanged sentence
Notes to Consolidated Financial Statements (Unaudited)
−Removed: September 30, 2022
+Added: March 31, 2023
Commitments and Contingencies
From time to time, the Company may become involved in various claims and legal actions arising in the ordinary course of business.
−Removed: As of September 30, 2022, the Company was not involved in any material legal proceedings.
−Removed: The below table details the Company's outstanding commitments as of September 30, 2022 (in thousands).
+Added: As of March 31, 2023, the Company was not involved in any material legal proceedings.
+Added: The below table details the Company's outstanding commitments as of March 31, 2023 (in thousands).
Commitment type Date of Commitment Total Commitment Funded Commitment Remaining Commitment
1 unchanged sentence
Land Related Financing (2) Various 13,344 10,814 2,530
−Removed: MATT Non-QM Loans (2) January 28, 2022 15,607 — 15,607
Total $ 179,860 $ 10,814 $ 169,046
−Removed: (1) The Company entered into forward purchase commitments to acquire certain Non-Agency and Agency-Eligible Loans from Arc Home which have not yet settled as of September 30, 2022.
+Added: (1) The Company entered into forward purchase commitments to acquire certain Non-Agency and Agency-Eligible Loans from Arc Home which have not yet settled as of March 31, 2023.
Refer to Note 10 "Transactions with affiliates" for more information.
−Removed: (2) Refer to Note 2 and Note 10 "Investments in debt and equity of affiliates" for more information regarding LOTS and MATH.
+Added: (2) Refer to Note 10 "Investments in debt and equity of affiliates" for more information regarding LOTS.
Subsequent Events
−Removed: The Company announced that on November 3, 2022 its Board of Directors declared fourth quarter 2022 preferred stock dividends on its Series A Preferred Stock, Series B Preferred Stock, and Series C Preferred Stock in the amount of $ 0.51563 , $ 0.50 , and $ 0.50 per share, respectively.
−Removed: The dividends will be paid on December 19, 2022 to holders of record on November 30, 2022.
−Removed: The Company executed a rated Non-Agency securitization, in which loans with a total unpaid principal balance of $ 457.4 million were securitized.
−Removed: The securitization converted financing from recourse financing with mark-to-market margin calls to non-recourse financing without mark-to-market margin calls.
−Removed: The Company repurchased 0.1 million shares of common stock for $ 0.3 million under the 2022 Repurchase Program .
+Added: Subsequent to March 31, 2023, the Company repurchased 144,772 shares of common stock for $ 0.8 million, representing a weighted average cost of $ 5.85 per share.
+Added: As of the date of this filing, the Company has $ 1.7 million of capacity remaining under the 2022 Repurchase Program.
+Added: On May 4, 2023, the Company's Board of Directors authorized the 2023 Repurchase Program to repurchase up to $ 15 million of the Company’s outstanding common stock on substantially the same terms as the 2022 Repurchase Program.
+Added: As of the date of this filing, the full $ 15 million authorized amount remains available for repurchase under the 2023 Repurchase Program.
+Added: This authorization is in addition to the amount remaining under the 2022 Repurchase Program.
+Added: The Company announced that on May 4, 2023 its Board of Directors declared second quarter 2023 preferred stock dividends on its Series A Preferred Stock, Series B Preferred Stock, and Series C Preferred Stock in the amount of $ 0.51563 , $ 0.50 and $ 0.50 per share, respectively.
+Added: The dividends will be paid on June 20, 2023 to holders of record on May 31, 2023.
Compared sentence by sentence after normalising whitespace, quotation marks, case and digits, so re-formatting and restated figures do not read as changed language. Wording changes appear as one removal and one addition. The current filing and the prior one are authoritative.