4 unchanged sentences
(in thousands, except per share data)
−Removed: March 31, 2024 December 31, 2023
+Added: June 30, 2024 December 31, 2023
Securitized residential mortgage loans, at fair value - $ 675,429 and $ 645,876 pledged as collateral, respectively (1)
2 unchanged sentences
214,386 317,631
+Added: Residential mortgage loans held for sale, at fair value - $ 87,077 and $ 0 pledged as collateral, respectively
Commercial loans, at fair value - $ 66,753 and $ 66,303 pledged as collateral, respectively
19 unchanged sentences
Common stock, par value $ 0.01 per share;
−Removed: 450,000 shares of common stock authorized and 29,453 and 29,437 shares issued and outstanding at March 31, 2024 and December 31, 2023, respectively
+Added: 450,000 shares of common stock authorized and 29,474 and 29,437 shares issued and outstanding at June 30, 2024 and December 31, 2023, respectively
Additional paid-in capital 824,106 823,715
3 unchanged sentences
(1) These balances relate to certain residential mortgage loans which were securitized resulting in the Company consolidating the variable interest entities that were created to facilitate these securitizations as the Company was determined to be the primary beneficiary.
−Removed: See Note 3 for additional details.
+Added: The "Securitized debt, at fair value" is collateralized by the "Securitized residential mortgage loans, at fair value" held within the securitization trusts.
+Added: See Note 3 and Note 6 for additional details.
(2) Refer to Note 7 and Note 10 for additional details on amounts payable to affiliates.
4 unchanged sentences
(in thousands, except per share data)
−Removed: Three Months Ended
−Removed: March 31, 2024 March 31, 2023
+Added: Three Months Ended Six Months Ended
+Added: June 30, 2024 June 30, 2023 June 30, 2024 June 30, 2023
Net Interest Income
29 unchanged sentences
(in thousands)
−Removed: For the Three Months Ended March 31, 2024 and March 31, 2023
+Added: For the Three Months Ended June 30, 2024 and June 30, 2023
Common Stock Preferred
3 unchanged sentences
Shares Amount Total
+Added: Balance at April 1, 2024 29,453 $ 295 $ 220,472 $ 823,908 $ ( 505,110 ) $ 539,565
+Added: Grant of restricted stock and amortization of equity based compensation 21 — — 198 — 198
+Added: Common dividends declared — — — — ( 5,600 ) ( 5,600 )
+Added: Preferred dividends declared — — — — ( 4,586 ) ( 4,586 )
+Added: Net Income/(Loss) — — — — 3,925 3,925
+Added: Balance at June 30, 2024 29,474 $ 295 $ 220,472 $ 824,106 $ ( 511,371 ) $ 533,502
+Added: Common Stock Preferred
+Added: Stock Additional
+Added: Paid-in Capital Retained
+Added: Earnings/(Deficit)
+Added: Shares Amount Total
+Added: Balance at April 1, 2023 20,377 $ 204 $ 220,472 $ 773,457 $ ( 532,220 ) $ 461,913
+Added: Repurchase of common stock ( 187 ) ( 2 ) — ( 1,106 ) — ( 1,108 )
+Added: Grant of restricted stock 15 — — 87 — 87
+Added: Common dividends declared — — — — ( 3,637 ) ( 3,637 )
+Added: Preferred dividends declared — — — — ( 4,586 ) ( 4,586 )
+Added: Net Income/(Loss) — — — — 8,056 8,056
+Added: Balance at June 30, 2023 20,205 $ 202 $ 220,472 $ 772,438 $ ( 532,387 ) $ 460,725
+Added: For the Six Months Ended June 30, 2024 and June 30, 2023
+Added: Common Stock Preferred
+Added: Stock Additional
+Added: Paid-in Capital Retained
+Added: Earnings/(Deficit)
+Added: Shares Amount Total
Balance at January 1, 2024 29,437 $ 294 $ 220,472 $ 823,715 $ ( 516,113 ) $ 528,368
3 unchanged sentences
Net Income/(Loss) — — — — 24,815 24,815
−Removed: Balance at March 31, 2024 29,453 $ 295 $ 220,472 $ 823,908 $ ( 505,110 ) $ 539,565
+Added: Balance at June 30, 2024 29,474 $ 295 $ 220,472 $ 824,106 $ ( 511,371 ) $ 533,502
Common Stock Preferred
9 unchanged sentences
Net Income/(Loss) — — — — 20,596 20,596
−Removed: Balance at March 31, 2023 20,377 $ 204 $ 220,472 $ 773,457 $ ( 532,220 ) $ 461,913
+Added: Balance at June 30, 2023 20,205 $ 202 $ 220,472 $ 772,438 $ ( 532,387 ) $ 460,725
The accompanying notes are an integral part of these unaudited consolidated financial statements.
3 unchanged sentences
(in thousands)
−Removed: Three Months Ended
−Removed: March 31, 2024 March 31, 2023
+Added: Six Months Ended
+Added: June 30, 2024 June 30, 2023
Cash Flows from Operating Activities
37 unchanged sentences
Net cash provided by (used in) financing activities 918,673 148,227
−Removed: Three Months Ended
−Removed: March 31, 2024 March 31, 2023
+Added: Six Months Ended
+Added: June 30, 2024 June 30, 2023
Net change in cash and cash equivalents and restricted cash 22,861 6,561
8 unchanged sentences
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: March 31, 2024 March 31, 2023
+Added: June 30, 2024 June 30, 2023
Cash and cash equivalents $ 120,912 $ 80,308
5 unchanged sentences
Notes to Consolidated Financial Statements (Unaudited)
−Removed: March 31, 2024
+Added: June 30, 2024
AG Mortgage Investment Trust, Inc.
30 unchanged sentences
• Commercial Mortgage-Backed Securities ("CMBS") represent investments of fixed-rate and floating-rate CMBS, secured by, or evidencing an ownership interest in, a single commercial mortgage loan or a pool of commercial mortgage loans.
−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.
−Removed: (3) The Company's investments include commercial loans, CMBS and other securities (collectively, the "Legacy WMC Commercial Investments") that were acquired in the WMC acquisition.
−Removed: The Company expects to either hold the Legacy WMC Commercial Investments until maturity or opportunistically exit these investments.
AG Mortgage Investment Trust Inc.
1 unchanged sentence
Notes to Consolidated Financial Statements (Unaudited)
−Removed: March 31, 2024
+Added: June 30, 2024
+Added: (3) The Company's investments include commercial loans, CMBS and other securities (collectively, the "Legacy WMC Commercial Investments") that were acquired in the WMC acquisition.
+Added: The Company expects to either hold the Legacy WMC Commercial Investments until maturity or opportunistically exit these investments.
The Company conducts its business through one reportable segment, Loans and Securities, which reflects how the Company manages its business and analyzes and reports its results of operations.
19 unchanged sentences
Christian Mitchell and Lisa G.
−Removed: Quateman, who were appointed to the MITT board of directors as of the Effective Time, the 2023 WMC Director Awards were equitably adjusted effective as of the Effective Time into awards relating to shares of MITT common stock that have the same value, vesting terms and other terms and conditions as applied to the corresponding WMC restricted stock units immediately prior to the Effective Time and (ii) for the other members of the WMC board of directors, the 2023 WMC Director Awards accelerated and vested pro-rata effective as of immediately prior to the Effective Time based on a fraction, the numerator of which was 166 (the number of days between the grant date and the Closing Date) and the denominator of which was 365, and the remaining unvested portion of such 2023 WMC Director Awards was cancelled without any consideration.
+Added: Quateman, who were appointed to the MITT board of directors as of the Effective Time, the 2023 WMC Director Awards were equitably adjusted effective as of the Effective Time into awards relating to shares of MITT common stock that have the same value, vesting terms and other terms and conditions as applied to the corresponding WMC restricted stock units immediately prior to the Effective Time and (ii) for the other members of the WMC board of directors, the 2023 WMC Director Awards accelerated and vested pro-rata effective as of immediately prior to the Effective Time based on a fraction, the
AG Mortgage Investment Trust Inc.
1 unchanged sentence
Notes to Consolidated Financial Statements (Unaudited)
−Removed: March 31, 2024
+Added: June 30, 2024
+Added: numerator of which was 166 (the number of days between the grant date and the Closing Date) and the denominator of which was 365, and the remaining unvested portion of such 2023 WMC Director Awards was cancelled without any consideration.
Pursuant to the Merger Agreement, approximately 9.2 million shares of MITT common stock were issued to former WMC common stockholders and, following the consummation of the Merger, former WMC common stockholders owned approximately 31 % of the common equity of MITT.
29 unchanged sentences
(3) The unpaid principal balance of residential mortgage loans acquired in connection with the Merger was $ 1.1 billion.
+Added: AG Mortgage Investment Trust Inc.
+Added: and Subsidiaries
+Added: Notes to Consolidated Financial Statements (Unaudited)
+Added: June 30, 2024
The fair value of the assets acquired and liabilities assumed required the use of significant assumptions and estimates.
2 unchanged sentences
however, actual results may differ from these estimates.
−Removed: The assessment of fair value is based on information that was available to management at the
−Removed: AG Mortgage Investment Trust Inc.
−Removed: and Subsidiaries
−Removed: Notes to Consolidated Financial Statements (Unaudited)
−Removed: March 31, 2024
−Removed: time the consolidated financial statements were prepared.
+Added: The assessment of fair value is based on information that was available to management at the time the consolidated financial statements were prepared.
Those estimates and assumptions are subject to change as management obtains additional information related to those estimates during the applicable measurement period.
6 unchanged sentences
Unaudited Supplemental Pro Forma Financial Information
−Removed: The following table presents unaudited pro forma combined interest income and net income/(loss) available to common stockholders for the three months ended March 31, 2023 prepared as if the Merger had been consummated on January 1, 2023 (in thousands).
−Removed: Three months ended March 31, 2023
+Added: The following table presents unaudited pro forma combined interest income and net income/(loss) available to common stockholders for the six months ended June 30, 2023 prepared as if the Merger had been consummated on January 1, 2022 (in thousands).
+Added: Six months ended June 30, 2023
Interest income $ 156,655
Net Income/(Loss) Available to Common Stockholders 10,229
−Removed: The unaudited supplemental pro forma financial information includes adjustments to reflect the deconsolidation of certain VIEs held by WMC, as well as adjustments to management fees and certain other expenses.
+Added: The unaudited supplemental pro forma financial information for the six months ended June 30, 2023 includes adjustments to reflect the deconsolidation of certain variable interest entities ("VIE") held by WMC, as well as adjustments to management fees and certain other expenses.
+Added: In addition, for the year ended December 31, 2022, the pro-forma financial information includes adjustments related to any bargain purchase gain and transaction related expenses.
The unaudited supplemental pro forma financial information does not include any anticipated expense synergies or other anticipated benefits of the Merger and, accordingly, the unaudited supplemental pro forma financial information is not necessarily indicative of either future results of operations or results that might have been achieved had the Merger occurred on January 1, 2022.
2 unchanged sentences
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: 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.
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.
3 unchanged sentences
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, 2023 included in the Company’s Form 10-K.
−Removed: Use of estimates
−Removed: The preparation of consolidated financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the amounts reported in the consolidated financial statements and accompanying notes.
−Removed: Actual results may differ from those estimates.
AG Mortgage Investment Trust Inc.
1 unchanged sentence
Notes to Consolidated Financial Statements (Unaudited)
−Removed: March 31, 2024
+Added: June 30, 2024
+Added: Use of estimates
+Added: The preparation of consolidated financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the amounts reported in the consolidated financial statements and accompanying notes.
+Added: Actual results may differ from those estimates.
Investment consolidation
−Removed: 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.
+Added: An entity is a 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.
VIEs within the scope of Accounting Standards Codification ("ASC") 810-10, "Consolidation" are required to be consolidated by their primary beneficiary.
17 unchanged sentences
Debt issuance costs
−Removed: Debt issuance costs are costs incurred by the Company in connection with the issuance of Senior Unsecured Notes or other financing where the fair value option has not been elected.
+Added: Debt issuance costs are costs incurred by the Company in connection with the issuance of Senior Unsecured Notes (as defined below) or other financing where the fair value option has not been elected.
These costs may include underwriting commissions, rating agency, legal, accounting, and other fees.
4 unchanged sentences
Notes to Consolidated Financial Statements (Unaudited)
−Removed: March 31, 2024
+Added: June 30, 2024
Recent accounting pronouncements
Debt with conversion and other options
−Removed: In August 2020, FASB issued ASU 2020-06, "Debt-Debt with Conversion and Other Options (Subtopic 470-20) and Derivatives and Hedging- Contracts in Entity's Own Equity (Subtopic 815-40)." The amendments in this update affect entities that issue convertible instruments and/or contracts in an entity's own equity.
+Added: In August 2020, the Financial Accounting Standards Board ("FASB") issued ASU 2020-06, "Debt-Debt with Conversion and Other Options (Subtopic 470-20) and Derivatives and Hedging- Contracts in Entity's Own Equity (Subtopic 815-40)." The amendments in this update affect entities that issue convertible instruments and/or contracts in an entity's own equity.
For convertible instruments, the instruments primarily affected are those issued with beneficial conversion features or cash conversion features because the accounting models for those specific features are removed.
This ASU is effective for the year ended December 31, 2024.
−Removed: The Company's adoption of ASU 2020-06 during the three months ended March 31, 2024 did not have a material impact on the consolidated financial statements.
+Added: The Company's adoption of ASU 2020-06 during the six months ended June 30, 2024 did not have a material impact on the consolidated financial statements.
Segment reporting
1 unchanged sentence
Improvements to Reportable Segment Disclosures." ASU 2023-07 intends to improve reportable segment disclosure requirements, primarily through enhanced disclosures related to significant segment expenses.
−Removed: In addition, this standard is expected to enhance interim disclosure requirements, clarify circumstances in which an entity can disclose multiple segment measures of profit or loss and provides new segment disclosure requirements for entities with a single reportable segment.
+Added: In addition, this standard is expected to enhance interim disclosure requirements, clarify circumstances in which an entity can disclose multiple segment measures of profit or loss and provides segment disclosure requirements for entities with a single reportable segment.
ASU 2023-07 is effective on a retrospective basis for annual periods beginning after December 15, 2023, for interim periods within fiscal years beginning after December 15, 2024, and early adoption is permitted.
3 unchanged sentences
Notes to Consolidated Financial Statements (Unaudited)
−Removed: March 31, 2024
+Added: June 30, 2024
Residential mortgage loans
−Removed: The tables below detail information regarding the Company’s residential mortgage loan portfolio as of March 31, 2024 and December 31, 2023 ($ in thousands).
−Removed: The gross unrealized gains/(losses) in the table below represent inception to date gains/(losses).
+Added: The tables below detail information regarding the Company’s residential mortgage loan portfolio as of June 30, 2024 and December 31, 2023 ($ in thousands).
+Added: The gross unrealized gains/(losses) in the table below represent inception to date gains/(losses) since acquisition.
Unpaid Principal Balance Gross Unrealized Weighted Average
−Removed: March 31, 2024
+Added: June 30, 2024
(Discount) Amortized Cost Gains Losses Fair Value Coupon Yield Life
8 unchanged sentences
Total Residential mortgage loans, at fair value $ 296,457 $ 2,452 $ 298,909 $ 3,489 $ ( 935 ) $ 301,463 7.57 % 7.74 % 4.21
−Removed: Total as of March 31, 2024
+Added: Total as of June 30, 2024
$ 6,508,229 $ ( 28,091 ) $ 6,480,138 $ 30,849 $ ( 417,678 ) $ 6,093,309 5.49 % 5.82 % 8.69
18 unchanged sentences
(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 $ 87.1 million of Non-Agency Loans 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 June 30, 2024.
AG Mortgage Investment Trust Inc.
1 unchanged sentence
Notes to Consolidated Financial Statements (Unaudited)
−Removed: March 31, 2024
+Added: June 30, 2024
The following tables present information regarding credit quality of the Company's residential mortgage loans ($ in thousands).
−Removed: Unpaid Principal Balance Weighted Average (1)(2) Aging by Unpaid Principal Balance (1)(3)
−Removed: March 31, 2024
−Removed: Loan Count (1) Original LTV Ratio (4) Current FICO (5) Current 30-59 Days 60-89 Days 90+ Days
+Added: Unpaid Principal Balance Loan Count (1) Aging by Unpaid Principal Balance (1)(2)
+Added: June 30, 2024
+Added: Current 30-59 Days 60-89 Days 90+ Days
Securitized residential mortgage loans
5 unchanged sentences
Agency-Eligible Loans 194,047 494 191,333 2,714 — —
−Removed: Re- and Non-Performing Loans (1) 2,439 N/A N/A N/A N/A N/A N/A N/A
+Added: Re- and Non-Performing Loans (1) 2,271 N/A N/A N/A N/A N/A
Total Residential mortgage loans $ 296,457 685 $ 282,571 $ 5,171 $ 590 $ 5,854
−Removed: Total as of March 31, 2024
+Added: Total as of June 30, 2024
$ 6,508,229 16,860 $ 6,283,129 $ 82,959 $ 35,558 $ 104,312
−Removed: Unpaid Principal Balance Weighted Average (1)(2) Aging by Unpaid Principal Balance (1)(3)
+Added: Unpaid Principal Balance Loan Count (1) Aging by Unpaid Principal Balance (1)(2)
December 31, 2023
−Removed: Loan Count (1) Original LTV Ratio (4) Current FICO (5) Current 30-59 Days 60-89 Days 90+ Days
+Added: Current 30-59 Days 60-89 Days 90+ Days
Securitized residential mortgage loans
5 unchanged sentences
Agency-Eligible Loans 212,350 536 211,499 851 — —
−Removed: Re- and Non-Performing Loans (1) 2,604 N/A N/A N/A N/A N/A N/A N/A
+Added: Re- and Non-Performing Loans (1) 2,604 N/A N/A N/A N/A N/A
Total Residential mortgage loans $ 306,987 706 $ 295,081 $ 1,861 $ 615 $ 6,826
1 unchanged sentence
$ 6,124,045 15,661 $ 5,896,344 $ 87,248 $ 36,268 $ 101,581
−Removed: (1) Loan count, weighted average, and aging data 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: (2) Amounts are weighted based on unpaid principal balance.
−Removed: (3) As of March 31, 2024, the Company had securitized residential mortgage loans and residential mortgage loans that were 90+ days delinquent with a fair value of $ 52.2 million and loans in the process of foreclosure with a fair value of $ 52.6 million.
+Added: (1) Loan count and aging data exclude 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.
+Added: (2) As of June 30, 2024, the Company had securitized residential mortgage loans and residential mortgage loans that were 90+ days delinquent with a fair value of $ 44.1 million and loans in the process of foreclosure with a fair value of $ 53.1 million.
As of December 31, 2023, the Company had securitized residential mortgage loans and residential mortgage loans that were 90+ days delinquent with a fair value of $ 41.7 million and loans in the process of foreclosure with a fair value of $ 51.8 million.
−Removed: (4) Represents the original LTV or, for Re- and Non-Performing Loans and Non-Agency Loans acquired from WMC, the LTV at acquisition.
−Removed: (5) Weighted average current FICO excludes borrowers where FICO scores were not available.
−Removed: Data is based on the latest available information, which is primarily as of February 29, 2024 and November 30, 2023, respectively.
−Removed: As of March 31, 2024 and December 31, 2023, 11.4 % and 12.0 %, respectively, of the unpaid principal balance of the Company's securitized residential mortgage loans and residential mortgage loans were adjustable rate mortgages.
−Removed: During the three months ended March 31, 2024 and 2023, the Company purchased residential mortgage loans, as detailed below (in thousands).
−Removed: Three Months Ended March 31, 2024
−Removed: Three Months Ended March 31, 2023
−Removed: Unpaid Principal Balance Fair Value Unpaid Principal Balance Fair Value
+Added: As of June 30, 2024 and December 31, 2023, 10.6 % and 12.0 %, respectively, of the unpaid principal balance of the Company's securitized residential mortgage loans and residential mortgage loans were adjustable rate mortgages.
+Added: During the three and six months ended June 30, 2024 and 2023, the Company purchased residential mortgage loans, as detailed below (in thousands).
+Added: Three Months Ended Six Months Ended
+Added: June 30, 2024
+Added: June 30, 2023
+Added: June 30, 2024
+Added: June 30, 2023
+Added: Unpaid Principal Balance Fair Value Unpaid Principal Balance Fair Value Unpaid Principal Balance Fair Value Unpaid Principal Balance Fair Value
Non-Agency Loans $ 9,460 $ 9,582 $ 159,906 $ 162,524 $ 23,506 $ 23,796 $ 182,456 $ 185,478
4 unchanged sentences
Notes to Consolidated Financial Statements (Unaudited)
−Removed: March 31, 2024
−Removed: The Company did no t sell any residential mortgage loans during the three months ended March 31, 2024.
−Removed: For the three months ended March 31, 2023, the Company sold residential mortgage loans as detailed below ($ in thousands).
−Removed: Number of Loans Proceeds Realized Gains Realized Losses
+Added: June 30, 2024
+Added: The Company did no t sell any residential mortgage loans during the three and six months ended June 30, 2024.
+Added: For the three and six months ended June 30, 2023, the Company sold residential mortgage loans as detailed below ($ in thousands).
+Added: Three Months Ended June 30, 2023 Six Months Ended June 30, 2023
+Added: Number of Loans Proceeds Realized Gains Realized Losses Number of Loans Proceeds Realized Gains Realized Losses
Non-Agency Loans 165 $ 99,871 $ 1,051 $ ( 1,400 ) 281 $ 146,780 $ 1,051 $ ( 11,145 )
1 unchanged sentence
The Company’s residential mortgage loan portfolio consists 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 March 31, 2024 and December 31, 2023 and includes states where the exposure is greater than 5% of the fair value of the Company's residential mortgage loan portfolio.
−Removed: Geographic Concentration of Credit Risk (1) March 31, 2024 December 31, 2023
+Added: The following is a summary of the geographic concentration of credit risk as of June 30, 2024 and December 31, 2023 and includes states where the exposure is greater than 5% of the fair value of the Company's residential mortgage loan portfolio.
+Added: Geographic Concentration of Credit Risk (1) June 30, 2024 December 31, 2023
California 36 % 38 %
5 unchanged sentences
Variable interest entities
−Removed: The Company entered into securitization transactions collateralized by its Non-Agency Loans/Agency-Eligible Loans and re- and non-performing loans, which are considered VIEs.
−Removed: The Company was determined to be the primary beneficiary of the VIEs and, as a result, consolidated the assets and liabilities of the VIEs on its consolidated balance sheets.
+Added: The Company enters into securitization transactions collateralized by its Non-Agency Loans/Agency-Eligible Loans and re- and non-performing loans, which are considered VIEs.
+Added: The Company was determined to be the primary beneficiary of certain VIEs and, as a result, consolidated the assets and liabilities of the VIEs on its consolidated balance sheets.
In a securitization transaction, a pool of loans is transferred to a wholly-owned subsidiary of the Company and the loans are deposited into a newly created securitization trust.
6 unchanged sentences
Notes to Consolidated Financial Statements (Unaudited)
−Removed: March 31, 2024
−Removed: The following table details certain information related to the assets and liabilities of the Non-Agency VIEs as of March 31, 2024 and December 31, 2023 ($ in thousands).
−Removed: March 31, 2024 December 31, 2023
+Added: June 30, 2024
+Added: The following table details certain information related to the assets and liabilities of the Non-Agency VIEs as of June 30, 2024 and December 31, 2023 ($ in thousands).
+Added: June 30, 2024 December 31, 2023
Carrying Value Weighted Average Carrying Value Weighted Average
13 unchanged sentences
The Company has no obligation to provide any other explicit or implicit support to the Non-Agency VIEs.
−Removed: (4) As of March 31, 2024 and December 31, 2023, the Company had outstanding financing arrangements of $ 315.0 million and $ 301.2 million, respectively, collateralized by $ 597.4 million and $ 578.8 million of the Company's retained interests in the Non-Agency VIEs, respectively.
+Added: (4) As of June 30, 2024 and December 31, 2023, the Company had outstanding financing arrangements of $ 330.3 million and $ 301.2 million, respectively, collateralized by $ 610.2 million and $ 578.8 million of the Company's retained interests in the Non-Agency VIEs, respectively.
See Note 6 for more detail regarding the Company's financing arrangements.
−Removed: The following table details certain information related to the assets and liabilities of the RPL/NPL VIEs as of March 31, 2024 and December 31, 2023 ($ in thousands).
−Removed: March 31, 2024 December 31, 2023
+Added: The following table details certain information related to the assets and liabilities of the RPL/NPL VIEs as of June 30, 2024 and December 31, 2023 ($ in thousands).
+Added: June 30, 2024 December 31, 2023
Carrying Value Weighted Average Carrying Value Weighted Average
13 unchanged sentences
The Company has no obligation to provide any other explicit or implicit support to the RPL/NPL VIEs.
−Removed: (3) As of March 31, 2024 and December 31, 2023, the Company had outstanding financing arrangements of $ 43.6 million and $ 44.9 million, respectively, collateralized by $ 66.0 million and $ 67.1 million of the Company's retained interests in the RPL/NPL VIEs, respectively.
+Added: (3) As of June 30, 2024 and December 31, 2023, the Company had outstanding financing arrangements of $ 43.0 million and $ 44.9 million, respectively, collateralized by $ 65.3 million and $ 67.1 million of the Company's retained interests in the RPL/NPL VIEs, respectively.
See Note 6 for more detail regarding the Company's financing arrangements.
2 unchanged sentences
Notes to Consolidated Financial Statements (Unaudited)
−Removed: March 31, 2024
+Added: June 30, 2024
Revolving Mortgage Investment Trust 2015-1QR2
3 unchanged sentences
The Company classifies the underlying Non-Agency Loans and REO owned by the trust in the "Residential mortgage loans, at fair value" and "Other assets" line items on the consolidated balance sheets, respectively, and has eliminated the intercompany trust certificate in consolidation.
−Removed: As of March 31, 2024, the RMI 2015 Trust holds Non-Agency Loans with a fair value of $ 5.3 million and REO with a carrying value of $ 3.4 million.
+Added: As of June 30, 2024, the RMI 2015 Trust holds Non-Agency Loans with a fair value of $ 5.4 million and REO with a carrying value of $ 3.4 million.
As of December 31, 2023, the RMI 2015 Trust held Non-Agency Loans with a fair value of $ 6.6 million and REO with a carrying value of $ 3.4 million.
Legacy WMC Commercial loans
−Removed: The tables below detail information regarding the Company's Legacy WMC Commercial loan portfolio as of March 31, 2024 and December 31, 2023 ($ in thousands).
−Removed: The gross unrealized gains/(losses) in the table below represent inception to date gains/(losses).
−Removed: March 31, 2024 Premium /
+Added: The tables below detail information regarding the Company's Legacy WMC Commercial loan portfolio as of June 30, 2024 and December 31, 2023 ($ in thousands).
+Added: The gross unrealized gains/(losses) in the table below represent inception to date gains/(losses) since acquisition.
+Added: June 30, 2024 Premium /
Amortized Cost Gross Unrealized Gains Fair Value Weighted Average Maturity Date (5) LTV (6) Location
25 unchanged sentences
Notes to Consolidated Financial Statements (Unaudited)
−Removed: March 31, 2024
+Added: June 30, 2024
Real Estate Securities
−Removed: The following tables detail the Company’s real estate securities portfolio as of March 31, 2024 and December 31, 2023 ($ in thousands).
−Removed: The gross unrealized gains/(losses) in the tables below represent inception to date unrealized gains/(losses).
+Added: The following tables detail the Company’s real estate securities portfolio as of June 30, 2024 and December 31, 2023 ($ in thousands).
+Added: The gross unrealized gains/(losses) in the tables below represent inception to date unrealized gains/(losses) since acquisition.
Current Face Premium /
Amortized Cost Gross Unrealized Weighted Average
−Removed: March 31, 2024 Gains Losses Fair Value Coupon (1) Yield
+Added: June 30, 2024 Gains Losses Fair Value Coupon (1) Yield
Non-Agency RMBS
11 unchanged sentences
Total Agency RMBS 540,198 3,618 565,443 1,324 ( 2,244 ) 564,523 5.57 % 5.97 %
−Removed: Total as of March 31, 2024
+Added: Total as of June 30, 2024
$ 723,303 $ ( 48,350 ) $ 700,507 $ 6,075 $ ( 16,653 ) $ 689,929 5.00 % 7.30 %
20 unchanged sentences
The notional value is used solely to determine interest distributions on the interest only classes of securities.
−Removed: As of March 31, 2024, the notional values of the GCAT Non-Agency RMBS Interest Only, Non-Agency RMBS Interest Only and Agency RMBS Interest Only line items were $ 93.9 million, $ 30.6 million and $ 114.8 million, respectively.
+Added: As of June 30, 2024, the notional values of the GCAT Non-Agency RMBS Interest Only, Non-Agency RMBS Interest Only and Agency RMBS Interest Only line items were $ 89.2 million, $ 56.5 million and $ 112.3 million, respectively.
As of December 31, 2023, the notional values of the GCAT Non-Agency RMBS Interest Only, Non-Agency RMBS Interest Only and Agency RMBS Interest Only line items were $ 98.3 million, $ 128.8 million and $ 92.2 million, respectively.
+Added: (4) As of June 30, 2024, there are Legacy WMC CMBS with an unpaid principal balance of $ 15.5 million and a fair value of $ 0.8 million which are on non-accrual status.
(5) Legacy WMC Other securities include residual interests in asset-backed securities which have no principal balance.
2 unchanged sentences
Notes to Consolidated Financial Statements (Unaudited)
−Removed: March 31, 2024
−Removed: The following tables summarize the Company's real estate securities according to their projected weighted average life classifications as of March 31, 2024 and December 31, 2023 ($ in thousands).
−Removed: March 31, 2024 Non-Agency RMBS Legacy WMC CMBS Legacy WMC Other Securities Agency RMBS
+Added: June 30, 2024
+Added: The following tables summarize the Company's real estate securities according to their projected weighted average life classifications as of June 30, 2024 and December 31, 2023 ($ in thousands).
+Added: June 30, 2024 Non-Agency RMBS Legacy WMC CMBS Legacy WMC Other Securities Agency RMBS
Weighted Average Life (1)
5 unchanged sentences
Greater than ten years 20,778 23,573 — — — — — —
−Removed: Total as of March 31, 2024
+Added: Total as of June 30, 2024
$ 71,628 $ 75,397 $ 52,570 $ 58,590 $ 1,208 $ 1,077 $ 564,523 $ 565,443
11 unchanged sentences
Maturities are affected by the contractual lives of the underlying mortgages, periodic payments of principal and prepayments of principal.
−Removed: The Company sold real estate securities during the three months ended March 31, 2024, as detailed below ($ in thousands).
−Removed: The Company did not sell any real estate securities during the three months ended March 31, 2023.
−Removed: Number of Securities Proceeds Realized Gains Realized Losses
−Removed: Three Months Ended March 31, 2024 7 $ 19,318 $ 1,160 $ ( 409 )
+Added: The Company sold real estate securities during the three and six months ended June 30, 2024, as detailed below ($ in thousands).
+Added: The Company did no t sell any real estate securities during the three and six months ended June 30, 2023.
+Added: Three Months Ended Six Months Ended
+Added: Number of Securities Proceeds Realized Gains Realized Losses Number of Securities Proceeds Realized Gains Realized Losses
+Added: June 30, 2024 6 $ 19,858 $ 2,005 $ ( 73 ) 13 $ 39,176 $ 3,165 $ ( 482 )
Unconsolidated variable interest entities
4 unchanged sentences
Through its 44.6 % investment in MATH, the Company participated in rated Non-QM Loan securitizations issued under the GCAT shelf.
−Removed: As of March 31, 2024 and December 31, 2023, the Company's Non-Agency RMBS includes the non-risk retention bonds from these securitizations acquired from MATH.
+Added: As of June 30, 2024 and December 31, 2023, the Company's Non-Agency RMBS includes the non-risk retention bonds from these securitizations acquired from MATH.
Upon evaluating its investment in these VIEs, the Company determined it was not the primary beneficiary and, as a result, did not consolidate the securitization trusts sponsored by MATH.
1 unchanged sentence
See Note 10 for additional details on the MATH transaction.
+Added: During the second quarter 2024, the Company participated in a rated securitization collateralized by $ 369.2 million of Agency-Eligible Loans.
+Added: The Company entered into a co-sponsorship agreement with an unrelated third party whereby a wholly owned subsidiary of the Company acted as a sponsor of the securitization within the meaning of the U.S.
+Added: credit risk retention rules
AG Mortgage Investment Trust Inc.
1 unchanged sentence
Notes to Consolidated Financial Statements (Unaudited)
−Removed: March 31, 2024
−Removed: The following table summarizes the Company’s investment in unconsolidated VIEs as of March 31, 2024 and December 31, 2023 (in thousands).
−Removed: March 31, 2024 December 31, 2023
+Added: June 30, 2024
+Added: while the securitization was issued under the third party’s securitization shelf.
+Added: As the co-sponsor, the Company retained an "eligible vertical interest" to comply with risk retention rules which consists of at least 5% of each class of securities issued in the securitization.
+Added: The remaining tranches were sold to third parties and certain private funds under the management of TPG 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's retained risk-retention tranches, which represent its continuing involvement in the securitization trust, are included in the Non-Agency RMBS line item.
+Added: The following table summarizes the Company’s investment in unconsolidated VIEs as of June 30, 2024 and December 31, 2023 (in thousands).
+Added: June 30, 2024 December 31, 2023
Current Face Fair Value Current Face Fair Value
2 unchanged sentences
GCAT Non-Agency RMBS Interest Only (1) N/A 4,227 N/A 4,991
+Added: Non-Agency Securities 18,464 18,208 — —
+Added: Non-Agency RMBS Interest Only (1) N/A 345 — —
Total retained interest in unconsolidated VIEs (2) (3) $ 62,258 $ 57,392 $ 43,794 $ 37,533
1 unchanged sentence
The notional value is used solely to determine interest distributions on the Interest Only classes of securities.
−Removed: As of March 31, 2024 and December 31, 2023, the notional values of the GCAT Non-Agency RMBS Interest Only line item were $ 93.9 million and $ 98.3 million, respectively.
+Added: As of June 30, 2024 and December 31, 2023, the notional value of the GCAT Non-Agency RMBS Interest Only line item was $ 89.2 million and $ 98.3 million, respectively.
+Added: As of June 30, 2024, the notional value of the Non-Agency RMBS Interest Only line item was $ 26.6 million.
(2) Maximum loss exposure from the Company’s involvement with unconsolidated VIEs pertains to the fair value of the securities retained from these VIEs.
The Company has no obligation to provide any other explicit or implicit support to the securitization trust.
−Removed: (3) As of March 31, 2024 and December 31, 2023, the Company held securities exposed to the first loss of the securitization with a fair value of $ 4.1 million and $ 4.1 million, respectively.
−Removed: The following table summarizes information regarding the residential mortgage loans transferred to the Company’s unconsolidated VIEs as of March 31, 2024 and December 31, 2023 ($ in thousands).
+Added: (3) As of June 30, 2024 and December 31, 2023, the Company held securities exposed to the first loss of the securitization with a fair value of $ 3.6 million and $ 4.1 million, respectively.
+Added: The following table summarizes information regarding the residential mortgage loans transferred to the Company’s unconsolidated VIEs as of June 30, 2024 and December 31, 2023 ($ in thousands).
Assets transferred to unconsolidated VIEs:
−Removed: March 31, 2024 December 31, 2023
+Added: June 30, 2024 December 31, 2023
Total unpaid principal balance of loans outstanding (1) $ 784,261 $ 450,366
1 unchanged sentence
Percent of unpaid principal balance greater than 90 days delinquent (2) 0.93 % 1.94 %
−Removed: (1) The Company contributed approximately 40.9 % of the unpaid principal balance into one of the securitization trusts and, through the Company's investment in MATH, contributed approximately 44.6 % of the unpaid principal balance into the remaining four securitization trusts.
−Removed: (2) As of March 31, 2024, 0.88 % of loans were 90+ days delinquent and 0.69 % of loans were in process of foreclosure.
−Removed: As of December 31, 2023, 0.70 % of loans were 90+ days delinquent and 1.24 % loans were in process of foreclosure.
+Added: (1) Represents the total balance of loans as of June 30, 2024 and December 31, 2023 that were contributed to the unconsolidated securitization trusts, inclusive of loans contributed by the Company and loans contributed by other parties.
+Added: (2) As of June 30, 2024, 0.69 % of loans were 90+ days delinquent or in bankruptcy, 0.16 % of loans were REO, and 0.08 % of loans were in process of foreclosure.
+Added: As of December 31, 2023, 0.70 % of loans were 90+ days delinquent or in bankruptcy and 1.24 % loans were in process of foreclosure.
Fair value measurements
10 unchanged sentences
Notes to Consolidated Financial Statements (Unaudited)
−Removed: March 31, 2024
−Removed: The following tables present the Company’s financial instruments measured at fair value on a recurring basis as of March 31, 2024 and December 31, 2023 (in thousands).
−Removed: Fair Value at March 31, 2024
+Added: June 30, 2024
+Added: The following tables present the Company’s financial instruments measured at fair value on a recurring basis as of June 30, 2024 and December 31, 2023 (in thousands).
+Added: Fair Value at June 30, 2024
Level 1 Level 2 Level 3 Total
29 unchanged sentences
Total Liabilities Measured at Fair Value $ — $ ( 7,783 ) $ ( 4,711,630 ) $ ( 4,719,413 )
−Removed: (1) As of March 31, 2024, the Company applied a reduction in fair value of $ 10.1 million and $ 1.0 million to its interest rate swap assets and liabilities, respectively, related to variation margin with a corresponding increase or decrease in restricted cash.
+Added: (1) As of June 30, 2024, Residential mortgage loans includes the "Residential mortgage loans, at fair value" and "Residential mortgage loans held for sale, at fair value" line items on the consolidated balance sheets.
+Added: (2) As of June 30, 2024, the Company applied a reduction in fair value of $ 12.1 million and $ 3.1 million to its interest rate swap assets and liabilities, respectively, related to variation margin with a corresponding increase or decrease in restricted cash.
As of December 31, 2023, the Company applied a reduction in fair value of $ 9.3 million and $ 7.7 million to its interest rate swap assets and liabilities, respectively, related to variation margin with a corresponding increase or decrease in restricted cash.
7 unchanged sentences
Notes to Consolidated Financial Statements (Unaudited)
−Removed: March 31, 2024
+Added: June 30, 2024
The valuation of the Company’s residential mortgage loans, securitized debt relating to the Non-Agency VIEs and RPL/NPL VIEs, commercial loans, 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.
23 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 months ended March 31, 2024 and 2023.
−Removed: 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, 2024 and 2023.
+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 and six months ended June 30, 2024 and 2023.
+Added: The Company did not have any transfers between the Levels 2 and 3 of the fair value hierarchy during the three and six months ended June 30, 2024 and 2023.
Transfers into the Level 3 category of the fair value hierarchy occur due to instruments exhibiting indications of reduced levels of market transparency.
5 unchanged sentences
Notes to Consolidated Financial Statements (Unaudited)
−Removed: March 31, 2024
+Added: June 30, 2024
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 (in thousands).
−Removed: Three Months Ended March 31, 2024
+Added: Three Months Ended June 30, 2024
Loans (1) Legacy WMC Commercial Loans Non-Agency
14 unchanged sentences
Ending Balance $ 6,092,516 $ 66,753 $ 57,392 $ 727 $ 1,208 $ 446 $ 34,954 $ ( 5,117,189 ) $ ( 560 )
−Removed: Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held as of March 31, 2024
+Added: Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held as of June 30, 2024
Net premium and discount amortization (3) 4,131 140 17 — ( 43 ) — — ( 7,738 ) —
1 unchanged sentence
Equity in earnings/(loss) from affiliates — — — — — — 1,933 — —
−Removed: Three Months Ended March 31, 2023
+Added: Three Months Ended June 30, 2023
Loans (1) Non-Agency
3 unchanged sentences
Purchases 220,729 — — — — —
+Added: Capital distributions — — — ( 402 ) — —
+Added: Proceeds from sales or settlements ( 99,871 ) — ( 2,557 ) — — 634
+Added: Principal repayments ( 97,388 ) — — — 94,399 —
+Added: Included in net income:
+Added: Net premium and discount amortization (3) 359 ( 97 ) — — ( 3,125 ) —
+Added: Net realized gain/(loss) ( 456 ) — 2,557 — — ( 634 )
+Added: Net unrealized gain/(loss) ( 18,130 ) ( 275 ) ( 1,549 ) — 12,195 ( 1,160 )
+Added: Equity in earnings/(loss) from affiliates — — — 309 — —
+Added: Other (4) ( 406 ) — — — — —
+Added: Ending Balance $ 4,103,610 $ 14,667 $ 926 $ 37,447 $ ( 3,402,060 ) $ ( 1,235 )
+Added: Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held as of June 30, 2023
+Added: Net premium and discount amortization (3) 395 ( 97 ) — — ( 3,125 ) —
+Added: Net unrealized gain/(loss) ( 17,412 ) ( 275 ) 900 — 12,195 ( 1,235 )
+Added: Equity in earnings/(loss) from affiliates — — — 309 — —
+Added: (1) Includes Securitized residential mortgage loans, Securitized residential mortgage loans held for sale, 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 on the consolidated statement of operations 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: AG Mortgage Investment Trust Inc.
+Added: and Subsidiaries
+Added: Notes to Consolidated Financial Statements (Unaudited)
+Added: June 30, 2024
+Added: Six Months Ended June 30, 2024
+Added: Loans (1) Legacy WMC Commercial Loans Non-Agency
+Added: RMBS Legacy WMC CMBS Legacy WMC Other Securities Derivative Assets (2) AG Arc Securitized
+Added: Debt Derivative Liabilities (2)
+Added: Beginning balance $ 5,675,135 $ 66,303 $ 37,533 $ 5,796 $ 1,156 $ 1,172 $ 33,574 $ ( 4,711,623 ) $ ( 7 )
+Added: Purchases 710,197 — 18,051 — — — — — —
Issuances of Securitized Debt — — — — — — — ( 658,255 ) —
+Added: Capital distributions — — — — — — ( 481 ) — —
Proceeds from sales or settlements — — — — — ( 1,728 ) — — 757
7 unchanged sentences
Ending Balance $ 6,092,516 $ 66,753 $ 57,392 $ 727 $ 1,208 $ 446 $ 34,954 $ ( 5,117,189 ) $ ( 560 )
−Removed: Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held as of March 31, 2023
+Added: Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held as of June 30, 2024
Net premium and discount amortization (3) 8,328 200 33 ( 63 ) ( 97 ) — — ( 15,316 ) —
1 unchanged sentence
Equity in earnings/(loss) from affiliates — — — — — — 1,861 — —
−Removed: (1) Includes Securitized residential mortgage loans, Securitized residential mortgage loans held for sale, and Residential mortgage loans held for sale.
+Added: Six Months Ended June 30, 2023
+Added: Loans (1) Non-Agency
+Added: RMBS Derivative assets (2) AG Arc Securitized
+Added: debt Derivative liabilities (2)
+Added: Beginning balance $ 4,127,843 $ 14,917 $ 98 $ 39,680 $ ( 3,262,352 ) $ ( 9 )
+Added: Purchases 243,484 — — — — —
+Added: Issuances of Securitized Debt — — — — ( 234,754 ) —
+Added: Capital distributions — — — ( 402 ) — —
+Added: Proceeds from sales or settlements ( 165,254 ) — ( 2,557 ) — — 634
+Added: Principal repayments ( 171,344 ) — — — 161,356 —
+Added: Included in net income:
+Added: Net premium and discount amortization (3) 1,503 ( 173 ) — — ( 5,863 ) —
+Added: Net realized gain/(loss) ( 10,214 ) — 2,557 — — ( 634 )
+Added: Net unrealized gain/(loss) 79,081 ( 77 ) 828 — ( 60,447 ) ( 1,226 )
+Added: Equity in earnings/(loss) from affiliates — — — ( 1,831 ) — —
+Added: Other (4) ( 1,489 ) — — — — —
+Added: Ending Balance $ 4,103,610 $ 14,667 $ 926 $ 37,447 $ ( 3,402,060 ) $ ( 1,235 )
+Added: Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held as of June 30, 2023
+Added: Net premium and discount amortization (3) 1,539 ( 173 ) — — ( 5,863 ) —
+Added: Net unrealized gain/(loss) 69,267 ( 77 ) 926 — ( 60,447 ) ( 1,235 )
+Added: Equity in earnings/(loss) from affiliates — — — ( 1,831 ) — —
+Added: (1) Includes Securitized residential mortgage loans, Securitized residential mortgage loans held for sale, Residential mortgage loans, and Residential mortgage loans held for sale.
(2) Derivative assets and derivative liabilities are included in the "Other assets" and "Other liabilities" line items, respectively, on the consolidated balance sheets.
4 unchanged sentences
Notes to Consolidated Financial Statements (Unaudited)
−Removed: March 31, 2024
−Removed: 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 as of March 31, 2024 and December 31, 2023 ($ in thousands).
−Removed: March 31, 2024 December 31, 2023
+Added: June 30, 2024
+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 as of June 30, 2024 and December 31, 2023 ($ in thousands).
+Added: June 30, 2024 December 31, 2023
Valuation Technique Unobservable Input Fair Value Range
77 unchanged sentences
(1) Amounts are weighted based on fair value.
−Removed: (2) Represents the proportion of the principal expected to be collected relative to the loan balances as of March 31, 2024 and December 31, 2023.
+Added: (2) As of June 30, 2024, Residential mortgage loans includes loans within the "Residential mortgage loans, at fair value" and "Residential mortgage loans held for sale, at fair value" line items on the consolidated balance sheets.
+Added: (3) Represents the proportion of the principal expected to be collected relative to the loan balances as of June 30, 2024 and December 31, 2023.
(4) Derivative assets and derivative liabilities are included in the "Other assets" and "Other liabilities" line items, respectively, on the consolidated balance sheets.
2 unchanged sentences
Notes to Consolidated Financial Statements (Unaudited)
−Removed: March 31, 2024
+Added: June 30, 2024
Other Fair Value Disclosures
3 unchanged sentences
Legacy WMC Convertible Notes, Senior Unsecured Notes, and fixed-rate long-term financing arrangements
−Removed: The following table presents the carrying value and estimated fair value of the Company's Legacy WMC Convertible Notes, Senior Unsecured Notes, and fixed-rate financing arrangements with contractual maturities of greater than one year as of March 31, 2024 and December 31, 2023 (in thousands).
+Added: The following table presents the carrying value and estimated fair value of the Company's Legacy WMC Convertible Notes, Senior Unsecured Notes, and fixed-rate financing arrangements with contractual maturities of greater than one year as of June 30, 2024 and December 31, 2023 (in thousands).
The fair value of the Company's Legacy WMC Convertibles Notes and Senior Unsecured Notes is based upon prices obtained from third-party pricing services or broker quotations and are classified as Level 2.
The fair value of the Company's fixed-rate long-term financing arrangements is based on a discounted cash flow valuation approach using valuation analyses of the underlying collateral sourced from third-party pricing service providers and is classified as Level 3.
−Removed: March 31, 2024 December 31, 2023
+Added: June 30, 2024 December 31, 2023
Carrying Value (1) Estimated Fair Value Carrying Value (1) Estimated Fair Value
6 unchanged sentences
Notes to Consolidated Financial Statements (Unaudited)
−Removed: March 31, 2024
−Removed: The following table presents a summary of the Company's financing as of March 31, 2024 and December 31, 2023 ($ in thousands).
−Removed: March 31, 2024
+Added: June 30, 2024
+Added: The following table presents a summary of the Company's financing as of June 30, 2024 and December 31, 2023 ($ in thousands).
+Added: June 30, 2024
December 31, 2023
3 unchanged sentences
Securitized Residential Mortgage Loans (3)
−Removed: Non-Agency Loans (4) $ 312,953 $ 315,007 Apr 2024 - Jul 2025 7.34 % 0.31 $ 597,357 $ 301,205
−Removed: Re- and Non-Performing Loans 43,628 43,628 Apr 2024 7.27 % 0.03 65,970 44,928
+Added: Non-Agency Loans (4) $ 328,652 $ 330,291 July 2024 - July 2025 7.26 % 0.32 $ 610,152 $ 301,205
+Added: Re- and Non-Performing Loans 43,032 43,032 July 2024 7.28 % 0.04 65,277 44,928
Residential Mortgage Loans (5)
−Removed: Non-Agency Loans 77,191 77,191 Jun 2024 - Jan 2025 7.29 % 0.49 93,797 77,345
−Removed: Agency-Eligible Loans 94,819 94,819 Dec 2024 - Mar 2025 7.18 % 0.91 102,955 200,617
+Added: Non-Agency Loans 7,576 7,576 Aug 2024 - June 2025 7.29 % 0.38 9,898 77,345
+Added: Agency-Eligible Loans 183,648 183,648 June 2025 7.20 % 0.96 197,004 200,617
+Added: Residential Mortgage Loans Held for Sale 72,129 72,129 Aug 2024 - June 2025 7.29 % 0.35 87,077 —
Legacy WMC Commercial Loans (6) 47,222 47,222 Mar 2025 8.35 % 0.73 66,753 48,032
−Removed: Non-Agency RMBS 36,415 36,415 Apr 2024 - May 2024 6.76 % 0.08 70,054 51,251
−Removed: Legacy WMC CMBS 21,348 21,348 Apr 2024 7.28 % 0.01 51,121 31,620
−Removed: Agency RMBS 98,371 98,371 Apr 2024 5.48 % 0.03 102,774 12,594
+Added: Non-Agency RMBS 44,120 44,120 July 2024 - May 2025 6.43 % 0.19 68,199 51,251
+Added: Legacy WMC CMBS 21,889 21,889 July 2024 7.10 % 0.02 51,843 31,620
+Added: Agency RMBS 485,898 485,898 July 2024 5.49 % 0.06 505,254 12,594
Total Financing Arrangements $ 1,234,166 $ 1,235,805 6.57 % 0.31 $ 1,661,457 $ 767,592
4 unchanged sentences
Legacy WMC Convertible Notes $ 79,120 $ 78,849 Sep 2024 8.42 % 0.21 N/A $ 85,266
−Removed: Senior Unsecured Notes $ 34,500 $ 32,810 Feb 2029 10.80 % 4.95 N/A $ —
+Added: Senior Unsecured Notes
+Added: February 2029 Senior Unsecured Notes $ 34,500 $ 32,890 Feb 2029 10.79 % 4.73 N/A $ —
+Added: May 2029 Senior Unsecured Notes 65,000 62,490 May 2029 10.52 % 4.94 N/A —
+Added: Total Senior Unsecured Notes $ 99,500 $ 95,380 10.61 % 4.87 N/A $ —
Total Financing $ 6,972,885 $ 6,527,223 5.54 % 5.50 $ 1,661,457 $ 5,564,481
−Removed: (1) The Company also had $ 2.1 million and $ 1.7 million of cash pledged under repurchase agreements as of March 31, 2024 and December 31, 2023, respectively.
+Added: (1) The Company also had $ 3.4 million and $ 1.7 million of cash pledged under repurchase agreements as of June 30, 2024 and December 31, 2023, 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.
1 unchanged sentence
Refer to Note 3 for more information on the Non-Agency VIEs and RPL/NPL VIEs.
−Removed: (4) As of March 31, 2024, the weighted average stated rate on the financing arrangements on the Company's Securitized non-agency loans was 7.91 %.
+Added: (4) As of June 30, 2024, the weighted average stated rate on the financing arrangements on the Company's Securitized non-agency loans was 7.78 %.
(5) The Company's Residential mortgage loan financing arrangements include a maximum uncommitted borrowing capacity of $ 1.8 billion on facilities used to finance Non-Agency and Agency-Eligible Loans.
−Removed: (6) As of March 31, 2024, the weighted average stated rate on the financing arrangements on the Company's Legacy WMC Commercial Loans was 8.08 %.
+Added: (6) As of June 30, 2024, the weighted average stated rate on the financing arrangements on the Company's Legacy WMC Commercial Loans was 8.08 %.
(7) 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 Non-Agency VIEs and RPL/NPL VIEs.
−Removed: (8) As of March 31, 2024, the amortized cost of Securitized debt in the Company's Non-Agency VIEs was $ 5.2 billion.
+Added: (8) As of June 30, 2024, the amortized cost of Securitized debt in the Company's Non-Agency VIEs was $ 5.3 billion.
(9) The current face on the Company's Securitized debt in the Company's Non-Agency VIEs excludes Interest Only classes which have no principal balances and bear interest based on a notional value.
The notional value is used solely to determine interest distributions on the interest only classes of securities.
−Removed: As of March 31, 2024, the notional value of interest only classes of Securitized debt was $ 131.3 million.
−Removed: (10) As of March 31, 2024, the amortized cost of Securitized debt in the Company's RPL/NPL VIEs was $ 119.8 million.
+Added: As of June 30, 2024, the notional value of interest only classes of Securitized debt was $ 621.6 million.
+Added: (10) As of June 30, 2024, the amortized cost of Securitized debt in the Company's RPL/NPL VIEs was $ 116.4 million.
Legacy WMC Convertible Notes
1 unchanged sentence
The Legacy WMC Convertible Notes have an interest rate of 6.75 % and interest is paid semiannually.
−Removed: The Legacy WMC Convertible Notes are convertible into, at the Company's election, cash, shares of the Company's common stock or a combination of both, subject to the satisfaction of certain conditions and during specified periods.
−Removed: The conversion rate is subject to further adjustment upon the occurrence of certain specified events and the holders may require the Company to repurchase all or any portion of their notes for cash equal to 100 % of the principal amount of the Legacy WMC Convertible Notes, plus accrued and unpaid interest, if the Company undergoes a fundamental change as specified in the supplemental indenture for the Legacy WMC Convertible Notes.
−Removed: Immediately prior to the Effective Time of the
+Added: The Legacy WMC Convertible Notes are convertible into, at the Company's election, cash, shares of the
AG Mortgage Investment Trust Inc.
1 unchanged sentence
Notes to Consolidated Financial Statements (Unaudited)
−Removed: March 31, 2024
−Removed: WMC acquisition, holders of the Legacy WMC Convertible Notes had the right to convert each $1,000 principal amount into 33.7952 shares of WMC common stock.
+Added: June 30, 2024
+Added: Company's common stock or a combination of both, subject to the satisfaction of certain conditions and during specified periods.
+Added: The conversion rate is subject to further adjustment upon the occurrence of certain specified events and the holders may require the Company to repurchase all or any portion of their notes for cash equal to 100 % of the principal amount of the Legacy WMC Convertible Notes, plus accrued and unpaid interest, if the Company undergoes a fundamental change as specified in the supplemental indenture for the Legacy WMC Convertible Notes.
+Added: Immediately prior to the Effective Time of the WMC acquisition, holders of the Legacy WMC Convertible Notes had the right to convert each $1,000 principal amount into 33.7952 shares of WMC common stock.
As a result of the WMC acquisition, and pursuant to the terms of the Legacy WMC Convertible Notes, the conversion rate was amended whereby each holder now has to the right to convert each $1,000 principal amount of Legacy WMC Convertible Notes into 50.6252 shares of common stock, representing a total conversion price of $ 19.75 per share.
The total conversion price consists of common stock of $ 19.13 per share and cash of $ 0.62 per share.
−Removed: The Legacy WMC Convertible Notes can be redeemed at the Company's option on or after June 15, 2024, and mature on September 15, 2024, unless earlier converted, redeemed or repurchased by the holders pursuant to their terms.
−Removed: For the three months ended March 31, 2024, total interest expense on the Legacy WMC Convertible Notes was $ 1.7 million, which included coupon interest expense of $ 1.4 million and amortization expense of $ 0.3 million.
−Removed: During the three months ended March 31, 2024, the Company repurchased $ 7.1 million of principal amount of its outstanding Legacy WMC Convertible Notes.
+Added: The Legacy WMC Convertible Notes became redeemable at the Company's option on June 15, 2024, and mature on September 15, 2024, unless earlier converted, redeemed or repurchased by the holders pursuant to their terms.
+Added: The below table details the total interest expense incurred on the Legacy WMC Convertible Notes during the three and six months ended June 30, 2024 (in thousands).
+Added: There was no interest expense incurred during the three or six months ended June 30, 2023 as the Company assumed the Legacy WMC Convertible Notes in connection with the Merger in December 2023.
+Added: Three Months Ended Six Months Ended
+Added: June 30, 2024 June 30, 2024
+Added: Coupon interest expense
+Added: $ 1,335 $ 2,708
+Added: Amortization expense
+Added: Total interest expense $ 1,654 $ 3,349
+Added: During the six months ended June 30, 2024, the Company repurchased $ 7.1 million of principal amount of its outstanding Legacy WMC Convertible Notes.
Senior Unsecured Notes
−Removed: On January 26, 2024, the Company issued $ 34.5 million principal amount of its 9.500 % Senior Notes due 2029 in a public offering for net proceeds of approximately $ 32.8 million.
−Removed: The Senior Unsecured Notes were issued at 100 % of the principal amount, bear interest at a rate equal to 9.500 % per year, payable in cash quarterly in arrears on February 15, May 15, August 15 and November 15 of each year, beginning on May 15, 2024, and mature February 15, 2029, unless redeemed earlier.
−Removed: The Company may redeem the Senior Unsecured Notes in whole or in part at any time or from time to time at the Company’s option on or after February 15, 2026, upon not less than 30 days written notice to holders prior to the redemption date, at a redemption price equal to 100 % of the outstanding principal amount of the Senior Unsecured Notes to be redeemed plus accrued and unpaid interest to, but excluding, the redemption date.
−Removed: For the three months ended March 31, 2024, total interest expense on the Senior Unsecured Notes was $ 0.6 million, which includes coupon interest expense of $ 0.6 million and amortization expense of $ 47 thousand.
+Added: The Company’s Senior Unsecured Notes consist of $ 34.5 million principal amount 9.500 % Senior Notes due February 2029 ("February 2029 Senior Unsecured Notes") and $ 65.0 million principal amount 9.500 % Senior Notes due May 2029 ("May 2029 Senior Unsecured Notes" and together with the February 2029 Senior Unsecured Notes, the "Senior Unsecured Notes").
+Added: The February 2029 Senior Unsecured Notes were issued on January 26, 2024 in a public offering for net proceeds of approximately $ 32.8 million and the May 2029 Senior Unsecured Notes were issued on May 15, 2024 in a public offering for net proceeds of approximately $ 62.4 million.
+Added: The below table provides a summary of the Senior Unsecured Notes ($ in thousands).
+Added: Principal Amount (1) Carrying Value First Pay Date Maturity
+Added: Date (2) Redemption Date (3) Rate (4)
+Added: February 2029 Senior Unsecured Notes
+Added: $ 34,500 $ 32,890 May 15, 2024 February 15, 2029 February 15, 2026 9.500 %
+Added: May 2029 Senior Unsecured Notes
+Added: 65,000 62,490 August 15, 2024 May 15, 2029 May 15, 2026 9.500 %
+Added: (1) The Senior Unsecured Notes were issued at 100 % of the principal amount.
+Added: (2) The Company has the option to redeem the Senior Unsecured Notes earlier than the maturity date.
+Added: (3) The Company may redeem the Senior Unsecured Notes in whole or in part at any time or from time to time at the Company’s option on or after the redemption date, upon not less than 30 days written notice to holders prior to the redemption date, at a redemption price equal to 100 % of the outstanding principal amount of the Senior Unsecured Notes to be redeemed plus accrued and unpaid interest to, but excluding, the redemption date.
+Added: (4) The Senior Unsecured Notes bear interest at a rate equal to 9.500 % per year, payable in cash quarterly in arrears on February 15, May 15, August 15 and November 15 of each year, beginning on the applicable first pay date.
+Added: The below table details the total interest expense incurred on the Senior Unsecured Notes during the three and six months ended June 30, 2024 (in thousands).
+Added: There was no interest expense incurred during the three or six months ended June 30, 2023 as the Senior Unsecured Notes were issued during 2024.
+Added: Three Months Ended Six Months Ended
+Added: June 30, 2024 June 30, 2024
+Added: Coupon interest expense
+Added: $ 1,608 $ 2,200
+Added: Amortization expense
+Added: Total interest expense $ 1,725 $ 2,364
+Added: AG Mortgage Investment Trust Inc.
+Added: and Subsidiaries
+Added: Notes to Consolidated Financial Statements (Unaudited)
+Added: June 30, 2024
Contractual maturities
−Removed: The following table allocates the current face of the Company's borrowings under financing arrangements, the Legacy WMC Convertible Notes, and Senior Unsecured Notes as of March 31, 2024 by contractual maturity (in thousands).
+Added: The following table allocates the current face of the Company's borrowings under financing arrangements, the Legacy WMC Convertible Notes, and Senior Unsecured Notes as of June 30, 2024 by contractual maturity (in thousands).
Securitized debt is excluded from the below table as it does not have a contractual maturity.
7 unchanged sentences
Agency-Eligible Loans — — 183,648 — 183,648
+Added: Residential Mortgage Loans Held for Sale — 42,807 29,322 — 72,129
Legacy WMC Commercial Loans — — 47,222 — 47,222
5 unchanged sentences
Senior Unsecured Notes
−Removed: AG Mortgage Investment Trust Inc.
−Removed: and Subsidiaries
−Removed: Notes to Consolidated Financial Statements (Unaudited)
−Removed: March 31, 2024
+Added: February 2029 Senior Unsecured Notes $ — $ — $ — $ 34,500 $ 34,500
+Added: May 2029 Senior Unsecured Notes — — — 65,000 65,000
+Added: Total Senior Unsecured Notes $ — $ — $ — $ 99,500 $ 99,500
Counterparties
−Removed: The Company had outstanding financing arrangements with six and seven counterparties as of March 31, 2024 and December 31, 2023, respectively.
−Removed: The following table presents information as of March 31, 2024 and December 31, 2023 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: March 31, 2024
+Added: The Company had outstanding financing arrangements with six and seven counterparties as of June 30, 2024 and December 31, 2023, respectively.
+Added: The following table presents information as of June 30, 2024 and December 31, 2023 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: June 30, 2024
December 31, 2023
17 unchanged sentences
The Company’s financing arrangements generally include customary representations, warranties, and covenants, but may also contain more restrictive supplemental terms and conditions.
−Removed: Although specific to each financing arrangement, typical supplemental terms include requirements of minimum equity and liquidity, leverage ratios, and performance triggers.
+Added: Although specific to each financing arrangement, typical
+Added: AG Mortgage Investment Trust Inc.
+Added: and Subsidiaries
+Added: Notes to Consolidated Financial Statements (Unaudited)
+Added: June 30, 2024
+Added: supplemental terms include requirements of minimum equity and liquidity, leverage ratios, and performance triggers.
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.
1 unchanged sentence
Financings pursuant to financing arrangements are generally recourse to the Company.
−Removed: As of March 31, 2024, the Company is in compliance with all of its financial covenants.
+Added: As of June 30, 2024, 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 sheets as of March 31, 2024 and December 31, 2023 (in thousands).
−Removed: March 31, 2024 December 31, 2023
+Added: The following table details certain information related to the Company's "Other assets" and "Other liabilities" line items on its consolidated balance sheets as of June 30, 2024 and December 31, 2023 (in thousands).
+Added: June 30, 2024 December 31, 2023
Interest receivable $ 35,403 $ 30,315
12 unchanged sentences
(1) Refer to Note 10 for more information.
−Removed: AG Mortgage Investment Trust Inc.
−Removed: and Subsidiaries
−Removed: Notes to Consolidated Financial Statements (Unaudited)
−Removed: March 31, 2024
−Removed: The following table presents information related to the Company's derivatives and other instruments and their balance sheet location as of March 31, 2024 and December 31, 2023 (in thousands).
+Added: The following table presents information related to the Company's derivatives and other instruments and their balance sheet location as of June 30, 2024 and December 31, 2023 (in thousands).
All notional amounts are denominated in USD.
−Removed: March 31, 2024 December 31, 2023
−Removed: Derivatives and Other Instruments (1) Balance Sheet
−Removed: Location Notional Fair Value Notional Fair Value
+Added: Balance Sheet
+Added: Location June 30, 2024 December 31, 2023
+Added: Derivatives and Other Instruments (1) Notional Fair Value Notional Fair Value
Pay Fix/Receive Float Interest Rate Swap Agreements (2) (3) Other assets $ 384,500 $ 243 $ 165,000 $ 149
5 unchanged sentences
Other liabilities 89,583 ( 560 ) 2,566 ( 7 )
−Removed: (1) As of March 31, 2024 and December 31, 2023, no derivatives held by the Company were designated as hedges for accounting purposes.
−Removed: (2) As of March 31, 2024, the Company applied a reduction in fair value of $ 10.1 million and $ 1.0 million to its interest rate swap assets and liabilities, respectively, related to variation margin with a corresponding increase or decrease in restricted cash.
+Added: (1) As of June 30, 2024 and December 31, 2023, no derivatives held by the Company were designated as hedges for accounting purposes.
+Added: (2) As of June 30, 2024, the Company applied a reduction in fair value of $ 12.1 million and $ 3.1 million to its interest rate swap assets and liabilities, respectively, related to variation margin with a corresponding increase or decrease in restricted cash.
As of December 31, 2023, the Company applied a reduction in fair value of $ 9.3 million and $ 7.7 million to its interest rate swap assets and liabilities, respectively, related to variation margin with a corresponding increase or decrease in restricted cash.
−Removed: (3) As of March 31, 2024, the Company's pay fix/receive float interest rate swaps had a weighted average pay-fixed rate of 3.74 %, a weighted average receive-variable rate of 5.34 %, and a weighted average years to maturity of 4.95 years.
+Added: (3) As of June 30, 2024, the Company's pay fix/receive float interest rate swaps had a weighted average pay-fixed rate of 3.95 %, a weighted average receive-variable rate of 5.33 %, and a weighted average years to maturity of 5.60 years.
As of December 31, 2023, the Company's pay fix/receive float interest rate swaps had a weighted average pay-fixed rate of 3.65 %, a weighted average receive-variable rate of 5.38 %, and a weighted average years to maturity of 4.01 years.
−Removed: Derivative and other instruments eligible for offset are presented gross on the consolidated balance sheets as of March 31, 2024 and December 31, 2023, if applicable.
+Added: AG Mortgage Investment Trust Inc.
+Added: and Subsidiaries
+Added: Notes to Consolidated Financial Statements (Unaudited)
+Added: June 30, 2024
+Added: Derivative and other instruments eligible for offset are presented gross on the consolidated balance sheets as of June 30, 2024 and December 31, 2023, if applicable.
The Company has not offset or netted any derivatives or other instruments with any financial instruments or cash collateral posted or received.
2 unchanged sentences
The posting of collateral is generally bilateral, meaning that if the fair value of the Company’s derivatives increases, its counterparty must post collateral.
−Removed: As of March 31, 2024, the Company's restricted cash balance included $ 14.2 million of collateral related to certain derivatives, of which $ 5.1 million represents cash collateral posted by the Company and $ 9.1 million represents amounts related to variation margin.
+Added: As of June 30, 2024, the Company's restricted cash balance included $ 24.1 million of collateral related to certain derivatives, of which $ 15.1 million represents cash collateral posted by the Company and $ 9.0 million represents amounts related to variation margin.
As of December 31, 2023, the Company's restricted cash balance included $ 12.3 million of collateral related to certain derivatives, of which $ 10.7 million represents cash collateral posted by the Company and $ 1.6 million represents amounts related to variation margin.
−Removed: AG Mortgage Investment Trust Inc.
−Removed: and Subsidiaries
−Removed: Notes to Consolidated Financial Statements (Unaudited)
−Removed: March 31, 2024
−Removed: The following table summarizes total income related to derivatives and other instruments for the three months ended March 31, 2024 and 2023 (in thousands).
−Removed: Three Months Ended
−Removed: March 31, 2024 March 31, 2023
+Added: The following table summarizes total income related to derivatives and other instruments for the three and six months ended June 30, 2024 and 2023 (in thousands).
+Added: Three Months Ended Six Months Ended
+Added: June 30, 2024 June 30, 2023 June 30, 2024 June 30, 2023
Included within Net interest component of interest rate swaps
9 unchanged sentences
Interest Rate Swaps 80 711 ( 3,061 ) 10,534
+Added: Long TBAs — 5 — 5
Short TBAs 14 ( 249 ) 24 ( 70 )
1 unchanged sentence
( 161 ) 1,923 971 1,923
+Added: ( 67 ) 2,390 ( 2,066 ) 12,392
Total income/(loss) $ 309 $ 13,694 $ 9,579 $ 4,747
+Added: AG Mortgage Investment Trust Inc.
+Added: and Subsidiaries
+Added: Notes to Consolidated Financial Statements (Unaudited)
+Added: June 30, 2024
Derivative Activity
−Removed: The following tables present information about the Company’s derivatives for the three months ended March 31, 2024 and 2023 (in thousands).
+Added: The following tables present information about the Company’s derivatives for the three and six months ended June 30, 2024 and 2023 (in thousands).
+Added: Three Months Ended
Beginning Notional
+Added: Amount Buys or Covers Sales or Shorts Ending Notional
+Added: Amount Derivative
+Added: Asset Derivative
+Added: June 30, 2024 Short TBAs $ ( 32,000 ) $ 96,000 $ ( 64,000 ) $ — $ — $ —
+Added: June 30, 2024 Interest Rate Swaps 454,250 498,000 ( 134,250 ) 818,000 243 —
+Added: June 30, 2023 Interest Rate Swaps 468,000 256,000 ( 117,000 ) 607,000 — ( 41 )
+Added: Six Months Ended
+Added: Beginning Notional
Amount Buys or Covers Sales or Shorts (1)
2 unchanged sentences
Asset Derivative
−Removed: Three Months Ended March 31, 2024
−Removed: Short TBAs (2) $ ( 9,000 ) $ 34,000 $ ( 57,000 ) $ ( 32,000 ) $ — $ ( 155 )
−Removed: Interest Rate Swaps 503,000 219,750 ( 268,500 ) 454,250 267 —
−Removed: Three Months Ended March 31, 2023
−Removed: Long TBAs $ — $ 10,000 $ ( 10,000 ) $ — $ 8 $ ( 3 )
−Removed: Short TBAs (2) ( 40,000 ) 100,000 ( 60,000 ) — 2 ( 251 )
−Removed: Interest Rate Swaps 335,000 342,000 ( 209,000 ) 468,000 — ( 280 )
−Removed: (1) The sales or shorts includes $ 60.0 million of swaps that matured during the three months ended March 31, 2024.
−Removed: (2) As of March 31, 2024, the Company recorded a receivable from broker of $ 32.5 million and a fair value of $ 32.7 million related to its short TBAs.
−Removed: As of March 31, 2023, the Company recorded a payable to broker of $ 0.3 million related to its short TBAs.
−Removed: AG Mortgage Investment Trust Inc.
−Removed: and Subsidiaries
−Removed: Notes to Consolidated Financial Statements (Unaudited)
−Removed: March 31, 2024
+Added: June 30, 2024 Short TBAs $ ( 9,000 ) $ 130,000 $ ( 121,000 ) $ — $ — $ —
+Added: June 30, 2024 Interest Rate Swaps 503,000 717,750 ( 402,750 ) 818,000 243 —
+Added: June 30, 2023 Long TBAs — 10,000 ( 10,000 ) — — —
+Added: June 30, 2023 Short TBAs ( 40,000 ) 100,000 ( 60,000 ) — — —
+Added: June 30, 2023 Interest Rate Swaps 335,000 598,000 ( 326,000 ) 607,000 — ( 41 )
+Added: (1) The sales or shorts includes $ 60.0 million of swaps that matured during the six months ended June 30, 2024.
Earnings per share
−Removed: 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, 2024 and 2023 (in thousands, except per share data).
−Removed: Three Months Ended
−Removed: March 31, 2024 March 31, 2023
+Added: The following table presents a reconciliation of the earnings and shares used in calculating basic and diluted earnings per share for the three and six months ended June 30, 2024 and 2023 (in thousands, except per share data).
+Added: Three Months Ended Six Months Ended
+Added: June 30, 2024 June 30, 2023 June 30, 2024 June 30, 2023
Net Income/(Loss) $ 3,925 $ 8,056 $ 24,815 $ 20,596
2 unchanged sentences
Basic weighted average common shares outstanding 29,474 20,249 29,463 20,655
+Added: Dilutive effect of restricted stock units (1) — — 27 —
Diluted weighted average common shares outstanding 29,474 20,249 29,490 20,655
2 unchanged sentences
Diluted $ ( 0.02 ) $ 0.17 $ 0.53 $ 0.55
−Removed: For the three months ended March 31, 2024, the Company excluded the potential effects of the Legacy WMC Convertible Notes from the computation of diluted earnings per share because the market value per share of the Company's common stock was below the conversion price of the Legacy WMC Convertible Notes.
−Removed: The following tables detail the Company's common stock dividends declared during the three months ended March 31, 2024 and 2023.
−Removed: Three Months Ended March 31, 2024 Three Months Ended March 31, 2023
+Added: (1) Restricted stock units issued to certain directors of 27 thousand were excluded from the computation of diluted earnings per share because its effect would be anti-dilutive for the three months ended June 30, 2024.
+Added: For the three and six months ended June 30, 2024, the Company excluded the potential effects of the Legacy WMC Convertible Notes from the computation of diluted earnings per share because the market value per share of the Company's common stock was below the conversion price of the Legacy WMC Convertible Notes.
+Added: AG Mortgage Investment Trust Inc.
+Added: and Subsidiaries
+Added: Notes to Consolidated Financial Statements (Unaudited)
+Added: June 30, 2024
+Added: The following tables detail the Company's common stock dividends declared during the six months ended June 30, 2024 and 2023.
+Added: Six Months Ended June 30, 2024 Six Months Ended June 30, 2023
Declaration Date Record Date Payment Date Cash Dividend Per Share Declaration Date Record Date Payment Date Cash Dividend Per Share
3/15/2024 3/29/2024 4/30/2024 $ 0.18 3/15/2023 3/31/2023 4/28/2023 $ 0.18
−Removed: The following tables detail the Company's preferred stock dividends declared and paid during the three months ended March 31, 2024 and 2023.
+Added: 6/13/2024 6/28/2024 7/31/2024 0.19 6/15/2023 6/30/2023 7/31/2023 0.18
+Added: Total $ 0.37 Total $ 0.36
+Added: The following tables detail the Company's preferred stock dividends declared and paid during the six months ended June 30, 2024 and 2023.
2024 Cash Dividend Per Share
3 unchanged sentences
2/16/2024 2/29/2024 3/18/2024 $ 0.51563 $ 0.50 $ 0.50
+Added: 5/2/2024 5/31/2024 6/17/2024 0.51563 0.50 0.50
+Added: Total $ 1.03126 $ 1.00 $ 1.00
2023 Cash Dividend Per Share
3 unchanged sentences
2/16/2023 2/28/2023 3/17/2023 $ 0.51563 $ 0.50 $ 0.50
−Removed: AG Mortgage Investment Trust Inc.
−Removed: and Subsidiaries
−Removed: Notes to Consolidated Financial Statements (Unaudited)
−Removed: March 31, 2024
+Added: 5/4/2023 5/31/2023 6/20/2023 0.51563 0.50 0.50
+Added: Total $ 1.03126 $ 1.00 $ 1.00
The Company conducts its operations to qualify and be taxed as a REIT.
7 unchanged sentences
The expense is calculated in accordance with applicable tax regulations.
−Removed: For the three months ended March 31, 2024 and 2023, the Company did no t record any excise tax.
+Added: For the three and six months ended June 30, 2024 and 2023, the Company did no t record any excise tax.
REIT Net Operating Loss and Net Capital Loss Carryforwards
−Removed: As of March 31, 2024 and December 31, 2023, the Company had federal net operating loss ("NOL") carryforwards of $ 2.1 million and $ 2.1 million, respectively, that can be used to offset future taxable ordinary income and reduce its REIT distribution requirements.
+Added: As of June 30, 2024 and December 31, 2023, the Company had federal net operating loss ("NOL") carryforwards of $ 2.1 million and $ 2.1 million, respectively, that can be used to offset future taxable ordinary income and reduce its REIT distribution requirements.
These NOL carryforwards (which exclude NOLs acquired from WMC) do not have an expiration date and can be carried forward indefinitely.
−Removed: In connection with the Merger, the Company obtained NOL carryforwards of $ 321.6 million, of which $ 223.8 million do not have an expiration date and can be carried forward indefinitely.
+Added: In connection with the Merger, the Company obtained NOL carryforwards of
+Added: AG Mortgage Investment Trust Inc.
+Added: and Subsidiaries
+Added: Notes to Consolidated Financial Statements (Unaudited)
+Added: June 30, 2024
+Added: $ 321.6 million, of which $ 223.8 million do not have an expiration date and can be carried forward indefinitely.
However, the Company’s use of these obtained NOLs is limited under Section 382 of the Internal Revenue Code.
−Removed: As of March 31, 2024 and December 31, 2023, the Company had estimated net capital loss ("NCL") carryforwards of $ 300.0 million and $ 293.7 million, respectively, the majority of which were generated during the year ended December 31, 2020 and will expire in 2025.
+Added: As of June 30, 2024 and December 31, 2023, the Company had estimated net capital loss ("NCL") carryforwards of $ 298.9 million and $ 293.7 million, respectively, the majority of which were generated during the year ended December 31, 2020 and will expire in 2025.
These NCL carryforwards (which exclude the NCLs acquired from WMC) can be utilized to offset future net gains from the sale of capital assets.
1 unchanged sentence
However, the Company’s use of these obtained NCLs is limited under Sections 382 and 383 of the Internal Revenue Code.
−Removed: AG Mortgage Investment Trust Inc.
−Removed: and Subsidiaries
−Removed: Notes to Consolidated Financial Statements (Unaudited)
−Removed: March 31, 2024
Taxable REIT Subsidiaries
3 unchanged sentences
federal, state, and local income tax on net income at the applicable corporate rates.
−Removed: The federal statutory rate for the three months ended March 31, 2024 and 2023 was 21%.
+Added: The federal statutory rate for the three and six months ended June 30, 2024 and 2023 was 21%.
The Company’s effective tax rate differs from its combined U.S.
1 unchanged sentence
The tax expense attributable to its TRSs is recorded in the "Non-investment related expenses" line item on the consolidated statement of operations.
−Removed: The below table details the tax expense attributable to its TRSs for the three months ended March 31, 2024 and 2023 (in thousands).
−Removed: Three Months Ended
−Removed: March 31, 2024 March 31, 2023
+Added: The below table details the tax expense attributable to its TRSs for the three and six months ended June 30, 2024 and 2023 (in thousands).
+Added: Three Months Ended Six Months Ended
+Added: June 30, 2024 June 30, 2023 June 30, 2024 June 30, 2023
Income tax expense $ 17 $ — $ 42 $ 225
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.
−Removed: As of March 31, 2024 and December 31, 2023, the Company recorded a deferred tax asset of approximately $ 38.9 million and $ 37.3 million, respectively, relating to net operating loss carryforwards, capital loss carryforwards, and basis differences of certain investments held within TRSs.
+Added: As of June 30, 2024 and December 31, 2023, the Company recorded a deferred tax asset of approximately $ 38.0 million and $ 37.3 million, respectively, relating to net operating loss carryforwards, capital loss carryforwards, and basis differences of certain investments held within TRSs.
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.
The ultimate realization of deferred tax assets is dependent upon the generation of future taxable income during periods in which temporary differences become deductible.
−Removed: The Company concluded it is more likely than not the deferred tax asset will not be realized and established a full valuation allowance as of March 31, 2024 and December 31, 2023.
+Added: The Company concluded it is more likely than not the deferred tax asset will not be realized and established a full valuation allowance as of June 30, 2024 and December 31, 2023.
Uncertain Income Tax Positions
−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 March 31, 2024 and December 31, 2023.
+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 June 30, 2024 and December 31, 2023.
The Company’s federal income tax returns for the last three tax years are open to examination by the Internal Revenue Service.
2 unchanged sentences
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.
−Removed: The Company did no t incur any interest or penalties during the three months ended March 31, 2024 and 2023.
+Added: The Company did no t incur any interest or penalties during the three or six months ended June 30, 2024 and 2023.
+Added: AG Mortgage Investment Trust Inc.
+Added: and Subsidiaries
+Added: Notes to Consolidated Financial Statements (Unaudited)
+Added: June 30, 2024
Related party transactions
9 unchanged sentences
The independent directors of the Company's Board of Directors unanimously consented to such assignment on July 31, 2023 in advance of the TPG Transaction closing.
−Removed: There were no changes to the management agreement in connection with
−Removed: AG Mortgage Investment Trust Inc.
−Removed: and Subsidiaries
−Removed: Notes to Consolidated Financial Statements (Unaudited)
−Removed: March 31, 2024
−Removed: the TPG Transaction and the assignment of the management agreement became effective upon the closing of the TPG Transaction.
+Added: There were no changes to the management agreement in connection with the TPG Transaction and the assignment of the management agreement became effective upon the closing of the TPG Transaction.
In connection with the Merger with WMC, which was completed on December 6, 2023, and contemporaneously with the execution of the Merger Agreement, on August 8, 2023, the Company and the Manager entered into the MITT Management Agreement Amendment, pursuant to which (i) the Manager’s base management fee will be reduced by $ 0.6 million for the first four quarters following the Effective Time, beginning with the fiscal quarter in which the Effective Time occurs (i.e., resulting in an aggregate $ 2.4 million waiver of base management fees), and (ii) the Manager will waive its right to seek reimbursement from the Company for any expenses otherwise reimbursable by the Company under the management agreement in an amount equal to approximately $ 1.3 million, which is the excess of $ 7.0 million over the aggregate Per Share Additional Manager Consideration paid by the Manager to the holders of WMC Common Stock under the Merger Agreement.
4 unchanged sentences
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 months ended March 31, 2024 and 2023 (in thousands).
−Removed: Three Months Ended
+Added: The below table details the management fees incurred during the three and six months ended June 30, 2024 and 2023 (in thousands).
+Added: Three Months Ended Six Months Ended
Consolidated statements of operations line item:
−Removed: March 31, 2024 March 31, 2023
+Added: June 30, 2024 June 30, 2023 June 30, 2024 June 30, 2023
Management fee to affiliate (1) $ 1,753 $ 2,061 $ 3,494 $ 4,136
−Removed: (1) For the three months ended March 31, 2024, the Manager agreed to waive its right to receive management fees of $ 0.6 million pursuant to the MITT Management Agreement Amendment executed in connection with the Merger.
−Removed: As of March 31, 2024 and December 31, 2023, the Company recorded management fees payable of $ 1.7 million and $ 1.5 million, respectively.
+Added: (1) For the three and six months ended June 30, 2024, the Manager agreed to waive its right to receive management fees of $ 0.6 million and $ 1.2 million, respectively, pursuant to the MITT Management Agreement Amendment executed in connection with the Merger.
+Added: Of the $ 2.4 million management fee waiver agreed upon in connection with the Merger, $ 0.6 million remains outstanding as of June 30, 2024.
+Added: AG Mortgage Investment Trust Inc.
+Added: and Subsidiaries
+Added: Notes to Consolidated Financial Statements (Unaudited)
+Added: June 30, 2024
+Added: As of June 30, 2024 and December 31, 2023, the Company recorded management fees payable of $ 1.7 million and $ 1.5 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.
2 unchanged sentences
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: During the three months ended March 31, 2024 and 2023, the Company did not incur any incentive fee expense.
−Removed: AG Mortgage Investment Trust Inc.
−Removed: and Subsidiaries
−Removed: Notes to Consolidated Financial Statements (Unaudited)
−Removed: March 31, 2024
+Added: During the three and six months ended June 30, 2024 and 2023, the Company did not incur any incentive fee expense.
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 March 31, 2024 and December 31, 2023, no event of termination of the management agreement had occurred.
+Added: As of June 30, 2024 and December 31, 2023, 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.
+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 the Company's 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.
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 below table details the expense reimbursement incurred during the three months ended March 31, 2024 and 2023 (in thousands).
−Removed: Three Months Ended
+Added: The below table details the expense reimbursement incurred during the three and six months ended June 30, 2024 and 2023 (in thousands).
+Added: Three Months Ended Six Months Ended
Consolidated statements of operations line item:
−Removed: March 31, 2024 March 31, 2023
+Added: June 30, 2024 June 30, 2023 June 30, 2024 June 30, 2023
Non-investment related expenses (1)
1 unchanged sentence
Investment related expenses
+Added: 87 110 201 212
Transaction related expenses 306 318 374 381
Expense reimbursements to Manager or its affiliates $ 2,029 $ 1,828 $ 3,875 $ 3,393
−Removed: (1) For the three months ended March 31, 2024, the Manager agreed to waive its right to receive expense reimbursements of $ 0.3 million pursuant to the MITT Management Agreement Amendment executed in connection with the Merger.
−Removed: As of March 31, 2024 and December 31, 2023, the Company recorded a reimbursement payable to the Manager or its affiliates of $ 1.8 million and $ 1.5 million, respectively.
+Added: (1) For the three and six months ended June 30, 2024, the Manager agreed to waive its right to receive expense reimbursements of $ 0.3 million and $ 0.6 million, respectively, pursuant to the MITT Management Agreement Amendment executed in connection with the Merger.
+Added: Of the $ 1.3 million expense reimbursement waiver agreed upon in connection with the Merger, $ 0.5 million remains outstanding as of June 30, 2024.
+Added: AG Mortgage Investment Trust Inc.
+Added: and Subsidiaries
+Added: Notes to Consolidated Financial Statements (Unaudited)
+Added: June 30, 2024
+Added: As of June 30, 2024 and December 31, 2023, the Company recorded a reimbursement payable to the Manager or its affiliates of $ 2.9 million and $ 1.5 million, respectively.
The reimbursement payable to the Manager or its affiliates is included within the "Due to affiliates" line item within the "Other liabilities" line item on the consolidated balance sheets.
1 unchanged sentence
Equity Incentive Plans
−Removed: Effective on April 15, 2020 upon the approval of the Company's stockholders at its 2020 annual meeting of stockholders, the 2020 Equity Incentive Plan provides for a maximum of 666,666 shares of common stock to be issued.
+Added: Effective on April 15, 2020 upon the approval of the Company's stockholders at its 2020 annual meeting of stockholders, the Company's 2020 Equity Incentive Plan (the "2020 Equity Incentive Plan") provides for a maximum of 666,666 shares of common stock to be issued.
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 March 31, 2024, 448,397 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 March 31, 2024, the Company has granted an aggregate of 192,101 shares of restricted common stock to its independent directors under its 2020 Equity Incentive Plan, all of which have vested.
−Removed: AG Mortgage Investment Trust Inc.
−Removed: and Subsidiaries
−Removed: Notes to Consolidated Financial Statements (Unaudited)
−Removed: March 31, 2024
+Added: As of June 30, 2024, 426,456 shares of common stock remained available to be awarded under the 2020 Equity Incentive Plan.
+Added: Since inception of the 2020 Equity Incentive Plan and through June 30, 2024, the Company has granted an aggregate of 213,208 shares of restricted common stock to its independent directors under its 2020 Equity Incentive Plan, all of which have vested.
On December 6, 2023, in connection with the WMC acquisition, the Company granted an aggregate 25,962 restricted stock units to the Company's two independent directors added to the Company's Board of Directors who previously served on WMC's board of directors.
−Removed: Through March 31, 2024, the two independent directors have also been granted an aggregate of 206 dividend equivalent units.
−Removed: These restricted stock units and associated dividend equivalent units will vest in full on June 23, 2024, and will be settled in shares of the Company's common stock upon each of the independent director's separation from service with the Company.
+Added: Through June 30, 2024, the two independent directors have also been granted an aggregate of 1,040 dividend equivalent units.
+Added: These restricted stock units and associated dividend equivalent units vested in full on June 23, 2024, and will be settled in shares of the Company's common stock upon each independent director's separation from service with the Company.
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 March 31, 2024, there were no shares or awards issued under the 2021 Manager Plan.
−Removed: Following the execution of the Third Amendment to the management agreement in November 2021 related to the incentive fee, the Company's compensation committee no longer expects to continue its historical practice of making periodic equity grants to the Manager pursuant to the 2021 Manager Equity Incentive Plan.
+Added: As of June 30, 2024, there were no shares or awards issued under the 2021 Manager Plan.
+Added: Following the execution of the Third Amendment to the management agreement in November 2021 related to the incentive fee, the Company's compensation committee no longer expects to continue its historical practice of making periodic equity grants to the Manager pursuant to the 2021 Manager Plan.
Director compensation
−Removed: As of March 31, 2024, the Company's Board of Directors consisted of six independent directors.
+Added: As of June 30, 2024, the Company's Board of Directors consisted of six 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.
3 unchanged sentences
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 of Directors.
−Removed: 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 .
+Added: In addition to the annual base director's fee, the non-executive chair of the Company's Board of Directors 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 TPG Angelo Gordon, in such entities and has applied the equity method of accounting for such investments.
+Added: AG Mortgage Investment Trust Inc.
+Added: and Subsidiaries
+Added: Notes to Consolidated Financial Statements (Unaudited)
+Added: June 30, 2024
On December 9, 2015, the Company, alongside private funds managed by TPG Angelo Gordon, through AG Arc LLC, one of the Company’s indirect affiliates ("AG Arc"), formed Arc Home.
9 unchanged sentences
Refer to the "MATH Transaction" section below for additional details on the Company's increase in ownership interest during 2023.
−Removed: MATH, through its wholly owned subsidiary MATT, only holds risk-retention tranches from past securitizations which continue to pay down and the Company does not
−Removed: AG Mortgage Investment Trust Inc.
−Removed: and Subsidiaries
−Removed: Notes to Consolidated Financial Statements (Unaudited)
−Removed: March 31, 2024
−Removed: expect MATT to acquire additional investments.
+Added: MATH, through its wholly owned subsidiary MATT, only holds risk-retention tranches from past securitizations which continue to pay down and the Company does not expect MATT to acquire additional investments.
On May 15, 2019 and November 14, 2019, the Company, alongside private funds managed by TPG Angelo Gordon, formed LOT SP I LLC and LOT SP II LLC, respectively, (collectively, "LOTS").
2 unchanged sentences
During the year ended December 31, 2023, the Land Related Financing assets held within LOTS paid off in full.
+Added: AG Mortgage Investment Trust Inc.
+Added: and Subsidiaries
+Added: Notes to Consolidated Financial Statements (Unaudited)
+Added: June 30, 2024
Summary of investments in debt and equity of affiliates and related earnings
−Removed: 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, 2024 and December 31, 2023 (in thousands).
−Removed: March 31, 2024 December 31, 2023
+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 June 30, 2024 and December 31, 2023 (in thousands).
+Added: June 30, 2024 December 31, 2023
Assets Liabilities Equity Assets Liabilities Equity
6 unchanged sentences
(1) MATH, through its wholly owned subsidiary MATT, only holds risk-retention tranches from past securitizations which continue to pay down and the Company does not expect MATT to acquire additional investments.
−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 months ended March 31, 2024 and 2023 (in thousands).
−Removed: Three Months Ended
−Removed: March 31, 2024 March 31, 2023
+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 and six months ended June 30, 2024 and 2023 (in thousands).
+Added: Three Months Ended Six Months Ended
+Added: June 30, 2024 June 30, 2023 June 30, 2024 June 30, 2023
Non-QM Securities $ ( 828 ) $ 349 $ 1,377 $ 1,974
3 unchanged sentences
Equity in earnings/(loss) from affiliates
+Added: $ 911 $ 438 $ 2,948 $ 454
(1) Earnings/(loss) recognized by AG Arc do not include the Company's portion of gains or losses recorded by Arc Home in connection with the sale of residential mortgage loans to the Company.
4 unchanged sentences
The Company engaged Red Creek Asset Management LLC (the "Asset Manager"), a related party of the Manager and direct subsidiary of TPG Angelo Gordon, as the asset manager for certain of its residential mortgage loans.
−Removed: The Company pays the Asset Manager asset management fees which are assessed periodically
+Added: The Company pays the Asset Manager asset management fees which are assessed periodically by a third-party valuation firm.
+Added: The below details the fees paid by the Company to the Asset Manager during the three and six months ended June 30, 2024 and 2023 (in thousands).
+Added: Three Months Ended Six Months Ended
+Added: June 30, 2024 June 30, 2023 June 30, 2024 June 30, 2023
+Added: Fees paid to Asset Manager $ 667 $ 680 $ 1,325 $ 1,363
+Added: As of June 30, 2024 and December 31, 2023, the Company recorded asset management fees payable of $ 0.3 million and $ 0.2 million, respectively.
+Added: Asset management fees payable are included within the "Due to affiliates" line item within the "Other liabilities" line item on the consolidated balance sheets.
AG Mortgage Investment Trust Inc.
1 unchanged sentence
Notes to Consolidated Financial Statements (Unaudited)
−Removed: March 31, 2024
−Removed: by a third-party valuation firm.
−Removed: The below details the fees paid by the Company to the Asset Manager during the three months ended March 31, 2024 and 2023 (in thousands).
−Removed: Three Months Ended
−Removed: March 31, 2024 March 31, 2023
−Removed: Fees paid to Asset Manager $ 658 $ 683
−Removed: As of March 31, 2024 and December 31, 2023, 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" line item within the "Other liabilities" line item on the consolidated balance sheets.
+Added: June 30, 2024
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 TPG Angelo Gordon during the three months ended March 31, 2024 and 2023 (in thousands).
−Removed: Three Months Ended
−Removed: March 31, 2024 March 31, 2023
+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 TPG Angelo Gordon during the three and six months ended June 30, 2024 and 2023 (in thousands).
+Added: Three Months Ended Six Months Ended
+Added: June 30, 2024 June 30, 2023 June 30, 2024 June 30, 2023
Residential mortgage loans sold by Arc Home to the Company $ 133,591 $ 193,207 $ 213,382 $ 193,207
1 unchanged sentence
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 on the underlying loans.
−Removed: The table below summarizes intra-entity profits eliminated during the three months ended March 31, 2024 and 2023 (in thousands).
−Removed: Three Months Ended
−Removed: March 31, 2024
−Removed: March 31, 2023
+Added: The table below summarizes intra-entity profits eliminated during the three and six months ended June 30, 2024 and 2023 (in thousands).
+Added: Three Months Ended Six Months Ended
+Added: June 30, 2024
+Added: June 30, 2023
+Added: June 30, 2024
+Added: June 30, 2023
Intra-Entity Profits Eliminated $ 405 $ 341 $ 606 $ 341
4 unchanged sentences
See Note 7 and Note 12 for more detail.
−Removed: AG Mortgage Investment Trust Inc.
−Removed: and Subsidiaries
−Removed: Notes to Consolidated Financial Statements (Unaudited)
−Removed: March 31, 2024
Transactions under the Company's Affiliated Transaction Policy
1 unchanged sentence
The transactions were executed in accordance with the Company's Affiliated Transaction Policy.
−Removed: There were no purchases or sales of assets from or to an affiliate of the Manager during three months ended March 31, 2024.
+Added: There were no purchases or sales of assets from or to an affiliate of the Manager during three and six months ended June 30, 2024.
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.
7 unchanged sentences
(4) Refer to the "MATH Transaction" below.
+Added: AG Mortgage Investment Trust Inc.
+Added: and Subsidiaries
+Added: Notes to Consolidated Financial Statements (Unaudited)
+Added: June 30, 2024
MATH Transaction
9 unchanged sentences
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: As of March 31, 2024, approximately $ 1.5 million of common stock remained authorized for future share repurchases under the 2022 Repurchase Program.
−Removed: There were no repurchases during the three months ended March 31, 2024.
−Removed: The table below details the Company's share repurchases under the 2022 Repurchase Program during the three months March 31, 2023.
+Added: As of June 30, 2024, approximately $ 1.5 million of common stock remained authorized for future share repurchases under the 2022 Repurchase Program.
+Added: There were no repurchases during the three and six months ended June 30, 2024.
+Added: The table below details the Company's share repurchases under the 2022 Repurchase Program during the six months June 30, 2023.
Three Months Ended (1)
2 unchanged sentences
March 31, 2023 923,261 $ 5.68 923,261 $ 2,569,940
+Added: June 30, 2023 187,020 5.93 187,020 1,461,810
+Added: Total 1,110,281 $ 5.72 1,110,281 — $ 1,461,810
(1) Based on trade date.
(2) Includes brokerage commissions and clearing fees.
−Removed: AG Mortgage Investment Trust Inc.
−Removed: and Subsidiaries
−Removed: Notes to Consolidated Financial Statements (Unaudited)
−Removed: March 31, 2024
On May 4, 2023, the Company's Board of Directors authorized a stock repurchase program (the "2023 Repurchase Program") to repurchase up to $ 15.0 million of the Company’s outstanding common stock on substantially the same terms as the 2022 Repurchase Program.
−Removed: As of March 31, 2024, the full $ 15.0 million authorized amount remains available for repurchase under the 2023 Repurchase Program.
+Added: As of June 30, 2024, the full $ 15.0 million authorized amount remains available for repurchase under the 2023 Repurchase Program.
This authorization is in addition to the amount remaining under the 2022 Repurchase Program.
3 unchanged sentences
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: June 30, 2024
Equity distribution agreements
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.
−Removed: The Company did no t issue any shares of common stock under the Equity Distribution Agreements during the three months ended March 31, 2024 and 2023.
+Added: The Company did no t issue any shares of common stock under the Equity Distribution Agreements during the three and six months ended June 30, 2024 and 2023.
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.
5 unchanged sentences
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 March 31, 2024 and December 31, 2023, 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: As of June 30, 2024 and December 31, 2023, 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.
AG Mortgage Investment Trust Inc.
1 unchanged sentence
Notes to Consolidated Financial Statements (Unaudited)
−Removed: March 31, 2024
−Removed: The following table includes a summary of preferred stock issued and outstanding as of March 31, 2024 ($ and shares in thousands).
+Added: June 30, 2024
+Added: The following table includes a summary of preferred stock issued and outstanding as of June 30, 2024 ($ and shares in thousands).
Preferred Stock Series Issuance Date Shares Outstanding Carrying Value Aggregate Liquidation Preference (1) Optional Redemption
9 unchanged sentences
(3) The initial dividend rate for the Series C Preferred Stock, from and including the date of original issue to, but not including, September 17, 2024, is 8.000 % per annum of the $ 25.00 per share liquidation preference.
−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.
+Added: On and after September 17, 2024, dividends on the Series C Preferred Stock were originally set to accumulate at a percentage of the $ 25.00 liquidation preference equal to an annual floating rate of the then three-month LIBOR, plus a spread of 6.476 %.
+Added: In light of the discontinuance of the publication of three-month LIBOR after June 2023 and pursuant to the terms of the Series C Preferred Stock, the Company has appointed a calculation agent to select an industry accepted substitute or successor base rate to the three-month LIBOR rate.
+Added: It is expected that such substitute or successor base rate will be the three-month CME Term SOFR (plus a tenor spread adjustment of 0.26161 %).
+Added: The calculation agent may also implement changes to the business day convention, the definition of business day, the dividend determination date, the interest rate spread and the method for obtaining the substitute or successor base rate, in a manner that is consistent with industry accepted practices.
(4) Dividends are payable quarterly in arrears on the 17th day of each March, June, September, and December and holders are entitled to receive cumulative cash dividends at the respective stated rate per annum before holders of common stock are entitled to receive any cash dividends.
4 unchanged sentences
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 March 31, 2024, the Company was not involved in any material legal proceedings.
−Removed: The below table details the Company's outstanding commitments as of March 31, 2024 (in thousands).
+Added: As of June 30, 2024, the Company was not involved in any material legal proceedings.
+Added: The below table details the Company's outstanding commitments as of June 30, 2024 (in thousands).
Commitment type Date of Commitment Total Commitment Funded Commitment Remaining Commitment
Non-Agency and Agency-Eligible Loans (1) Various $ 160,350 $ — $ 160,350
−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 March 31, 2024.
+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 June 30, 2024.
+Added: The total commitment amount represents the agreed upon purchase price of any outstanding unpaid principal balance the Company has committed to purchase.
Refer to Note 10 "Transactions with affiliates" for more information.
+Added: AG Mortgage Investment Trust Inc.
+Added: and Subsidiaries
+Added: Notes to Consolidated Financial Statements (Unaudited)
+Added: June 30, 2024
Subsequent Events
−Removed: The Company announced that on May 2, 2024, its Board of Directors declared second quarter 2024 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 June 17, 2024 to holders of record on May 31, 2024.
+Added: The Company announced that on August 1, 2024, its Board of Directors declared third quarter 2024 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 September 17, 2024 to holders of record on August 30, 2024.
+Added: On July 31, 2024, the Company sold Non-Agency Loans for gross proceeds of $ 86.3 million.
+Added: These loans were recorded within the "Residential mortgage loans held for sale, at fair value" line item on the consolidated balance sheets as of June 30, 2024.
+Added: On July 31, 2024, Arc Home, a residential mortgage loan originator which retains mortgage servicing rights ("MSRs") associated with certain loans it originates, sold substantially all of its MSR portfolio to an unrelated third-party consisting of $ 5.8 billion of unpaid principal balance.
+Added: As of June 30, 2024, the fair value of Arc Home's MSR portfolio was $ 88.2 million which collateralized related financing arrangements of $ 39.3 million.
+Added: The Company owns an approximate 44.6 % interest in Arc Home through its investment in AG Arc which is recorded within the "Investments in debt and equity of affiliates" line item on the consolidated balance sheets.
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.