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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
__________________________________________________
FORM 10-Q
__________________________________________________
(Mark One) | | | | | |
| ☒ | QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
For the quarterly period ended September 30, 2023
OR | | | | | |
| ☐ | TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
For the transition period from to
Commission file number 001-35151
_____________________________________________________________________
AG MORTGAGE INVESTMENT TRUST, INC.
(Exact name of registrant as specified in its charter)
_____________________________________________________________________
| | | | | |
| Maryland | 27-5254382 |
(State or Other Jurisdiction of Incorporation or Organization) | (I.R.S. Employer Identification No.) |
245 Park Avenue, 26th Floor New York, New York | 10167 |
| (Address of Principal Executive Offices) | (Zip Code) |
(212) 692-2000
(Registrant’s Telephone Number, Including Area Code)
| | | | | | | | | | | | | | |
| Securities registered pursuant to Section 12(b) of the Act: |
| Title of each class: | | Trading Symbols: | | Name of each exchange on which registered: |
| Common Stock, $0.01 par value per share | | MITT | | New York Stock Exchange (NYSE) |
| 8.25% Series A Cumulative Redeemable Preferred Stock | | MITT PrA | | New York Stock Exchange (NYSE) |
| 8.00% Series B Cumulative Redeemable Preferred Stock | | MITT PrB | | New York Stock Exchange (NYSE) |
| 8.000% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock | | MITT PrC | | New York Stock Exchange (NYSE) |
Indicate by check mark whether the registrant: (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days. Yes ý No ¨
Indicate by check mark whether the registrant has submitted electronically every Interactive Data File required to be submitted pursuant to Rule 405 and Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit such files). Yes ý No ¨
Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, a smaller reporting company, or an emerging growth company. See the definitions of "large accelerated filer," "accelerated filer," "smaller reporting company" and "emerging growth company" in Rule 12b-2 of the Exchange Act.
Large Accelerated filer ¨ Accelerated filer ý Non-Accelerated filer ¨ Smaller reporting company ☒ Emerging growth company ☐
If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act. ¨
Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act).
Yes ☐ No ý
As of November 3, 2023, there were 20,234,983 outstanding shares of common stock of AG Mortgage Investment Trust, Inc.
AG MORTGAGE INVESTMENT TRUST, INC.
PART I
ITEM 1. FINANCIAL STATEMENTS
AG Mortgage Investment Trust, Inc. and Subsidiaries
Consolidated Balance Sheets (Unaudited)
(in thousands, except per share data) | | | | | | | | | | | |
| September 30, 2023 | | December 31, 2022 |
| Assets | | | |
Securitized residential mortgage loans, at fair value - $512,146 and $423,967 pledged as collateral, respectively (1) | $ | 4,343,371 | | | $ | 3,707,146 | |
| | | |
Residential mortgage loans, at fair value - $136,543 and $353,039 pledged as collateral, respectively | 139,283 | | | 356,467 | |
Residential mortgage loans held for sale, at fair value - $0 and $64,984 pledged as collateral, respectively | — | | | 64,984 | |
Real estate securities, at fair value - $170,213 and $41,653 pledged as collateral, respectively | 170,213 | | | 43,719 | |
| Investments in debt and equity of affiliates | 60,320 | | | 71,064 | |
| Cash and cash equivalents | 118,735 | | | 84,621 | |
| Restricted cash | 20,527 | | | 14,182 | |
| | | |
| | | |
| | | |
| | | |
| Other assets | 29,307 | | | 27,595 | |
| | | |
| Total Assets | $ | 4,881,756 | | | $ | 4,369,778 | |
| | | |
| Liabilities | | | |
| Securitized debt, at fair value (1) | $ | 3,831,515 | | | $ | 3,262,352 | |
| Financing arrangements | 565,913 | | | 621,187 | |
| | | |
| | | |
| | | |
| | | |
| Dividend payable | 3,639 | | | 3,846 | |
| | | |
| Other liabilities (2) | 30,267 | | | 19,593 | |
| | | |
| Total Liabilities | 4,431,334 | | | 3,906,978 | |
| Commitments and Contingencies (Note 12) | | | |
| Stockholders’ Equity | | | |
Preferred stock - $227,991 aggregate liquidation preference | 220,472 | | | 220,472 | |
Common stock, par value $0.01 per share; 450,000 shares of common stock authorized and 20,219 and 21,284 shares issued and outstanding at September 30, 2023 and December 31, 2022, respectively | 202 | | | 212 | |
| Additional paid-in capital | 772,525 | | | 778,606 | |
| Retained earnings/(deficit) | (542,777) | | | (536,490) | |
| Total Stockholders’ Equity | 450,422 | | | 462,800 | |
| | | |
| Total Liabilities & Stockholders’ Equity | $ | 4,881,756 | | | $ | 4,369,778 | |
(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. See Note 3 for additional details.
(2)Refer to Note 7 and Note 10 for additional details on amounts payable to affiliates.
The accompanying notes are an integral part of these unaudited consolidated financial statements.
AG Mortgage Investment Trust, Inc. and Subsidiaries
Consolidated Statements of Operations (Unaudited)
(in thousands, except per share data) | | | | | | | | | | | | | | | | | | | | | | | |
| Three Months Ended | | Nine Months Ended |
| September 30, 2023 | | September 30, 2022 | | September 30, 2023 | | September 30, 2022 |
| Net Interest Income | | | | | | | |
| Interest income | $ | 64,211 | | | $ | 50,190 | | | $ | 182,802 | | | $ | 123,017 | |
| Interest expense | 52,692 | | | 34,699 | | | 148,309 | | | 73,994 | |
| Total Net Interest Income | 11,519 | | | 15,491 | | | 34,493 | | | 49,023 | |
| | | | | | | |
| Other Income/(Loss) | | | | | | | |
| Net interest component of interest rate swaps | 2,221 | | | (996) | | | 5,025 | | | (5,849) | |
| Net realized gain/(loss) | 7,127 | | | 50,981 | | | 9,171 | | | 60,072 | |
| Net unrealized gain/(loss) | (8,768) | | | (54,261) | | | (257) | | | (123,032) | |
| | | | | | | |
| Total Other Income/(Loss) | 580 | | | (4,276) | | | 13,939 | | | (68,809) | |
| | | | | | | |
| Expenses | | | | | | | |
| Management fee to affiliate (1) | 2,054 | | | 2,064 | | | 6,190 | | | 5,984 | |
| Non-investment related expenses (1) | 2,454 | | | 2,501 | | | 7,848 | | | 7,710 | |
| Investment related expenses (1) | 2,347 | | | 2,568 | | | 6,905 | | | 6,889 | |
| Transaction related expenses (1) | 7,597 | | | 5,325 | | | 9,700 | | | 14,939 | |
| Total Expenses | 14,452 | | | 12,458 | | | 30,643 | | | 35,522 | |
| | | | | | | |
| Income/(loss) before equity in earnings/(loss) from affiliates | (2,353) | | | (1,243) | | | 17,789 | | | (55,308) | |
| | | | | | | |
| Equity in earnings/(loss) from affiliates | 188 | | | (1,626) | | | 642 | | | (9,486) | |
| Net Income/(Loss) | (2,165) | | | (2,869) | | | 18,431 | | | (64,794) | |
| | | | | | | |
| | | | | | | |
| Dividends on preferred stock | (4,586) | | | (4,586) | | | (13,758) | | | (13,758) | |
| | | | | | | |
| Net Income/(Loss) Available to Common Stockholders | $ | (6,751) | | | $ | (7,455) | | | $ | 4,673 | | | $ | (78,552) | |
| | | | | | | |
| Earnings/(Loss) Per Share of Common Stock | | | | | | | |
| Basic | $ | (0.33) | | | $ | (0.33) | | | $ | 0.23 | | | $ | (3.38) | |
| Diluted | $ | (0.33) | | | $ | (0.33) | | | $ | 0.23 | | | $ | (3.38) | |
| | | | | | | |
| Weighted Average Number of Shares of Common Stock Outstanding | | | | | | |
| Basic | 20,219 | | | 22,394 | | | 20,508 | | | 23,250 | |
| Diluted | 20,219 | | | 22,394 | | | 20,508 | | | 23,250 | |
(1)Refer to Note 10 for additional details on related party transactions.
The accompanying notes are an integral part of these unaudited consolidated financial statements.
AG Mortgage Investment Trust, Inc. and Subsidiaries
Consolidated Statements of Stockholders’ Equity (Unaudited)
(in thousands)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
For the Three Months Ended September 30, 2023 and September 30, 2022 |
| Common Stock | | Preferred
Stock | | Additional
Paid-in Capital | | Retained
Earnings/(Deficit) | | |
| Shares | | Amount | | | | | Total |
| Balance at July 1, 2023 | 20,205 | | | $ | 202 | | | $ | 220,472 | | | $ | 772,438 | | | $ | (532,387) | | | $ | 460,725 | |
| | | | | | | | | | | |
| | | | | | | | | | | |
| | | | | | | | | | | |
| Grant of restricted stock | 14 | | | — | | | — | | | 87 | | | — | | | 87 | |
| Common dividends declared | — | | | — | | | — | | | — | | | (3,639) | | | (3,639) | |
| Preferred dividends declared | — | | | — | | | — | | | — | | | (4,586) | | | (4,586) | |
| | | | | | | | | | | |
| Net Income/(Loss) | — | | | — | | | — | | | — | | | (2,165) | | | (2,165) | |
| Balance at September 30, 2023 | 20,219 | | | $ | 202 | | | $ | 220,472 | | | $ | 772,525 | | | $ | (542,777) | | | $ | 450,422 | |
| | | | | | | | | | | |
| Common Stock | | Preferred
Stock | | Additional
Paid-in Capital | | Retained
Earnings/(Deficit) | | |
| Shares | | Amount | | | | | Total |
| Balance at July 1, 2022 | 22,490 | | | $ | 225 | | | $ | 220,472 | | | $ | 785,610 | | | $ | (527,642) | | | $ | 478,665 | |
| | | | | | | | | | | |
| | | | | | | | | | | |
| Repurchase of common stock | (385) | | | (4) | | | — | | | (2,335) | | | — | | | (2,339) | |
| Grant of restricted stock | 12 | | | — | | | — | | | 80 | | | — | | | 80 | |
| Common dividends declared | — | | | — | | | — | | | — | | | (4,655) | | | (4,655) | |
| Preferred dividends declared | — | | | — | | | — | | | — | | | (4,586) | | | (4,586) | |
| | | | | | | | | | | |
| Net Income/(Loss) | — | | | — | | | — | | | — | | | (2,869) | | | (2,869) | |
| Balance at September 30, 2022 | 22,117 | | | $ | 221 | | | $ | 220,472 | | | $ | 783,355 | | | $ | (539,752) | | | $ | 464,296 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| For the Nine Months Ended September 30, 2023 and September 30, 2022 |
| Common Stock | | Preferred
Stock | | Additional
Paid-in Capital | | Retained
Earnings/(Deficit) | | |
| Shares | | Amount | | | | | Total |
| Balance at January 1, 2023 | 21,284 | | | $ | 212 | | | $ | 220,472 | | | $ | 778,606 | | | $ | (536,490) | | | $ | 462,800 | |
| | | | | | | | | | | |
| | | | | | | | | | | |
| Repurchase of common stock | (1,110) | | | (11) | | | — | | | (6,341) | | | — | | | (6,352) | |
| Grant of restricted stock | 45 | | | 1 | | | — | | | 260 | | | — | | | 261 | |
| Common dividends declared | — | | | — | | | — | | | — | | | (10,960) | | | (10,960) | |
| Preferred dividends declared | — | | | — | | | — | | | — | | | (13,758) | | | (13,758) | |
| | | | | | | | | | | |
| Net Income/(Loss) | — | | | — | | | — | | | — | | | 18,431 | | | 18,431 | |
| Balance at September 30, 2023 | 20,219 | | | $ | 202 | | | $ | 220,472 | | | $ | 772,525 | | | $ | (542,777) | | | $ | 450,422 | |
| | | | | | | | | | | |
| Common Stock | | Preferred
Stock | | Additional
Paid-in Capital | | Retained
Earnings/(Deficit) | | |
| Shares | | Amount | | | | | Total |
| Balance at January 1, 2022 | 23,908 | | | $ | 239 | | | $ | 220,472 | | | $ | 796,469 | | | $ | (446,800) | | | $ | 570,380 | |
| | | | | | | | | | | |
| | | | | | | | | | | |
| Repurchase of common stock | (1,819) | | | (18) | | | — | | | (13,354) | | | — | | | (13,372) | |
| Grant of restricted stock | 28 | | | — | | | — | | | 240 | | | — | | | 240 | |
| Common dividends declared | — | | | — | | | — | | | — | | | (14,400) | | | (14,400) | |
| Preferred dividends declared | — | | | — | | | — | | | — | | | (13,758) | | | (13,758) | |
| | | | | | | | | | | |
| Net Income/(Loss) | — | | | — | | | — | | | — | | | (64,794) | | | (64,794) | |
| Balance at September 30, 2022 | 22,117 | | | $ | 221 | | | $ | 220,472 | | | $ | 783,355 | | | $ | (539,752) | | | $ | 464,296 | |
The accompanying notes are an integral part of these unaudited consolidated financial statements.
AG Mortgage Investment Trust, Inc. and Subsidiaries
Consolidated Statements of Cash Flows (Unaudited)
(in thousands)
| | | | | | | | | | | |
| Nine Months Ended |
| September 30, 2023 | | September 30, 2022 |
| Cash Flows from Operating Activities | | | |
| Net income/(loss) | $ | 18,431 | | | $ | (64,794) | |
| Adjustments to reconcile net income/(loss) to net cash provided by (used in) operating activities: | | | |
| Net amortization of premium/(discount) | 6,684 | | | 3,816 | |
| Net realized (gain)/loss | (9,171) | | | (60,072) | |
| Net unrealized (gain)/loss | 257 | | | 123,032 | |
| | | |
| Equity based compensation expense | 261 | | | 240 | |
| Equity in (earnings)/loss from affiliates | (642) | | | 9,486 | |
| Distributions of income from investments in debt and equity of affiliates | 814 | | | 1,271 | |
| Change in operating assets/liabilities: | | | |
| Other assets | (2,724) | | | (5,740) | |
| Other liabilities | 4,210 | | | 9,567 | |
| Net cash provided by (used in) operating activities | 18,120 | | | 16,806 | |
| | | |
| Cash Flows from Investing Activities | | | |
| Purchase of residential mortgage loans | (951,478) | | | (2,440,718) | |
| Purchase of real estate securities | (289,557) | | | (108,558) | |
| | | |
| Investments in debt and equity of affiliates | (4,107) | | | (1,720) | |
| Proceeds from sales of residential mortgage loans | 310,780 | | | — | |
| Proceeds from sales of real estate securities | 149,556 | | | 526,813 | |
| Principal repayments on residential mortgage loans | 260,367 | | | 393,170 | |
| Principal repayments on real estate securities | 11,163 | | | 20,342 | |
| Distributions received in excess of income from investments in debt and equity of affiliates | 16,466 | | | 9,824 | |
| | | |
| | | |
| Net settlement of interest rate swaps and other instruments | 21,346 | | | 103,553 | |
| Net settlement of TBAs | (65) | | | 2,789 | |
| Cash flows provided by (used in) other investing activities | 3,939 | | | 2,865 | |
| Net cash provided by (used in) investing activities | (471,590) | | | (1,491,640) | |
| | | |
| Cash Flows from Financing Activities | | | |
| | | |
| Repurchase of common stock | (6,352) | | | (13,372) | |
| Net borrowings under (repayments of) financing arrangements | (55,274) | | | (841,978) | |
| Deferred financing costs paid | (9) | | | (310) | |
| Proceeds from issuance of securitized debt | 878,298 | | | 2,659,283 | |
| Principal repayments on securitized debt | (288,783) | | | (320,502) | |
| Net collateral received from (paid to) derivative counterparty | (9,026) | | | 19,444 | |
| | | |
| Dividends paid on common stock | (11,167) | | | (14,766) | |
| Dividends paid on preferred stock | (13,758) | | | (13,758) | |
| Net cash provided by (used in) financing activities | 493,929 | | | 1,474,041 | |
| | | |
| Net change in cash and cash equivalents and restricted cash | 40,459 | | | (793) | |
| Cash and cash equivalents and restricted cash, Beginning of Period | 98,803 | | | 100,229 | |
| | | |
| Cash and cash equivalents and restricted cash, End of Period | $ | 139,262 | | | $ | 99,436 | |
| | | |
| | | | | | | | | | | |
| Nine Months Ended |
| September 30, 2023 | | September 30, 2022 |
| Supplemental disclosure of cash flow information: | | | |
| Cash paid for interest on financing arrangements and securitized debt | $ | 133,716 | | | $ | 62,645 | |
| Cash paid for income taxes | $ | 225 | | | $ | 23 | |
| | | |
| Supplemental disclosure of non-cash financing and investing activities: | | | |
| | | |
| | | |
| Common stock dividends declared but not paid | $ | 3,639 | | | $ | 4,655 | |
| | | |
| Purchase price payable on loans | $ | — | | | $ | 794 | |
| | | |
| Transfer from residential mortgage loans to other assets | $ | 3,108 | | | $ | 1,857 | |
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:
| | | | | | | | | | | |
| September 30, 2023 | | September 30, 2022 |
| Cash and cash equivalents | $ | 118,735 | | | $ | 77,638 | |
| Restricted cash | 20,527 | | | 21,798 | |
| | | |
| Total cash, cash equivalents and restricted cash shown in the consolidated statement of cash flows | $ | 139,262 | | | $ | 99,436 | |
The accompanying notes are an integral part of these unaudited consolidated financial statements.
AG Mortgage Investment Trust Inc. and Subsidiaries
Notes to Consolidated Financial Statements (Unaudited)
September 30, 2023
1. Organization
AG Mortgage Investment Trust, Inc. (the "Company") is a residential mortgage REIT with a focus on investing in a diversified risk-adjusted portfolio of residential mortgage-related assets in the U.S. mortgage market. The Company’s investment activities primarily include acquiring and securitizing newly-originated residential mortgage loans within the non-agency segment of the housing market. The Company obtains its assets through Arc Home, LLC ("Arc Home"), a residential mortgage loan originator in which the Company owns an approximate 44.6% interest, and through other third-party origination partners.
The Company’s assets, excluding its ownership in Arc Home, include Residential Investments and Agency RMBS. Currently, its Residential Investments primarily consist of newly originated Non-Agency Loans and Agency-Eligible Loans. The Company may invest in other types of residential mortgage loans and other mortgage related assets. The Company also invests in Residential Investments through its unconsolidated ownership interests in affiliates which are included in the "Investments in debt and equity of affiliates" line item on its consolidated balance sheets.
The Company's asset classes are primarily comprised of the following:
| | | | | | | | |
| Asset Class | | Description |
| Residential Investments | | |
Non-Agency Loans(1) | | •Non-Agency Loans are loans that do not conform to the underwriting guidelines of a government-sponsored enterprise ("GSE"). Non-Agency Loans consist of Qualified mortgage loans ("QM Loans") and Non-Qualified mortgage loans ("Non-QM Loans"). QM Loans are residential mortgage loans that comply with the Ability-To-Repay rules and related guidelines of the Consumer Finance Protection Bureau. |
Agency-Eligible Loans(1) | | •Agency-Eligible Loans are loans that are underwritten in accordance with GSE guidelines and are primarily secured by investment properties, but are not guaranteed by a GSE. Although these loans are underwritten in accordance with GSE guidelines and can be delivered to Fannie Mae and Freddie Mac, the Company includes these loans within its Non-Agency securitizations. |
Re- and Non-Performing Loans(1) | | •Performing, re-performing, and non-performing loans are residential mortgage loans collateralized by a first lien mortgaged property. |
Non-Agency Residential Mortgage-Backed Securities ("RMBS")(2) | | •Non-Agency RMBS represent fixed- and floating-rate RMBS issued by entities other than U.S. GSEs or agencies of the U.S. government. The mortgage loan collateral consists of either Non-Agency Loans or Agency-Eligible Loans. |
Agency RMBS(2) | | •Agency RMBS represent interests in pools of residential mortgage loans guaranteed by a GSE such as Fannie Mae or Freddie Mac, or an agency of the U.S. Government such as Ginnie Mae. |
(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.
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.
The Company was incorporated in the state of Maryland on March 1, 2011 and commenced operations in July 2011. The Company conducts its operations to qualify and be taxed as a real estate investment trust ("REIT") under the Internal Revenue Code of 1986, as amended (the "Code"). The Company is externally managed by AG REIT Management, LLC, a Delaware limited liability company (the "Manager"), a wholly-owned subsidiary of Angelo, Gordon & Co., L.P. ("Angelo Gordon"), a diversified credit and real estate investing platform within TPG Inc. ("TPG"). TPG (Nasdaq: TPG) is a leading global alternative asset management firm. The Manager has delegated to Angelo Gordon the overall responsibility of its day-to-day duties and obligations arising under the management agreement.
AG Mortgage Investment Trust Inc. and Subsidiaries
Notes to Consolidated Financial Statements (Unaudited)
September 30, 2023
The consolidated financial statements include the accounts of the Company and its wholly-owned subsidiaries. All intercompany balances and transactions have been eliminated in consolidation.
Proposed Acquisition of Western Asset Mortgage Capital Corporation
On August 8, 2023, the Company entered into an Agreement and Plan of Merger (the "Merger Agreement") with Western Asset Mortgage Capital Corporation, a Delaware corporation ("WMC"), AGMIT Merger Sub, LLC, a Delaware limited liability company and wholly owned subsidiary of the Company ("Merger Sub"), and, solely for the purposes set forth in the Merger Agreement, the Manager. Pursuant to, and subject to the terms and conditions set forth in the Merger Agreement, WMC will merge with and into Merger Sub, with Merger Sub surviving (the "Merger").
On November 7, 2023, the Company's stockholders approved the issuance of the Company's common stock in connection with the Merger with WMC at a special stockholders meeting. No further Company stockholder approval is required for the Merger. On November 7, 2023, WMC announced it adjourned its special stockholders meeting relating to the Merger until December 5, 2023, at 9:00 a.m., Pacific Time, online in a virtual-only meeting format, due to a lack of quorum and to allow further solicitation of proxies from WMC common stockholders for the approval of the Merger at such special stockholders meeting. The Merger is expected to close in the fourth quarter of 2023, subject to the satisfaction of certain customary conditions, including approval of WMC's common stockholders.
Under the terms of the Merger Agreement, at the effective time of the Merger (the "Effective Time"), each outstanding share of WMC common stock will be converted into the right to receive the following (the "Per Share Merger Consideration"): (i) 1.498 shares, or approximately 9.2 million shares in aggregate, of the Company's common stock; and (ii) the per share portion of a cash payment from the Manager equal to the lesser of $7.0 million or approximately 9.9% of the aggregate Per Share Merger Consideration. Cash will be paid in lieu of any fractional shares of the Company's common stock that would otherwise have been received as a result of the Merger.
In addition, on August 8, 2023, the Company and the Manager entered into an amendment (the “MITT Management Agreement Amendment”) to the existing management agreement, pursuant to which (i) the base management fee will be reduced by $0.6 million for the first four quarters (i.e., resulting in an aggregate $2.4 million waiver of base management fees) following the Effective Time, beginning with the fiscal quarter in which the Effective Time occurs, 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 the excess, if any, of $7.0 million over the aggregate cash portion of the Per Share Merger Consideration paid by the Manager to the holders of WMC common stock in the Merger. The MITT Management Agreement Amendment will become effective automatically upon the closing of the Merger, and will have no force and effect if the Merger does not close.
Further, in the Merger Agreement, the Company has agreed to take all necessary corporate action so that upon and after the Effective Time, the size of the Company's Board of Directors will be increased by two members, and M. Christian Mitchell and Lisa G. Quateman (the "WMC Director Designees") will be appointed to the Company's Board of Directors. The Company has further agreed to nominate the WMC Director Designees to the Company's Board of Directors at the next annual meeting following the Effective Time.
Concurrently with the execution of the Merger Agreement, WMC terminated its merger agreement (the "TPT Merger Agreement") with Terra Property Trust, Inc. ("TPT"). In connection with such termination, the Company, on behalf of WMC, paid to TPT a termination fee of $3.0 million as required by the TPT Merger Agreement (the "TPT Termination Fee").
AG Mortgage Investment Trust Inc. and Subsidiaries
Notes to Consolidated Financial Statements (Unaudited)
September 30, 2023
2. Summary of significant accounting policies
Consolidation and basis of presentation
The accompanying unaudited consolidated financial statements and related notes have been prepared on the accrual basis of accounting in accordance with accounting principles generally accepted in the United States of America ("GAAP") for interim financial reporting and the instructions to Form 10-Q and Rule 10-01 of Regulation S-X. For the three months ended September 30, 2022, the Company reclassified $2.5 million and $1.6 million of other operating expenses into the "Non-investment related expenses" and "Investment related expenses" line items on the consolidated statement of operations, respectively. For the nine months ended September 30, 2022, the Company reclassified $7.7 million and $3.9 million of other operating expenses into the "Non-investment related expenses" and "Investment related expenses" line items on the consolidated statement of operations, respectively. Furthermore, for the three and nine months ended September 30, 2022, the Company reclassified $1.0 million and $3.0 million of servicing fees into the "Investment related expenses" line item on the consolidated statement of operations, respectively. These expenses were reclassified to conform to the current year presentation of expenses. In the opinion of management, all adjustments considered necessary for a fair statement of the Company’s financial position, results of operations, and cash flows have been included for the interim period and are of a normal and recurring nature. The operating results presented for interim periods are not necessarily indicative of the results that may be expected for any other interim period or for the entire year.
Significant accounting policies
There have been no significant changes to the Company's accounting policies included in Note 2 to the consolidated financial statements of the Company’s Form 10-K for the year ended December 31, 2022. These unaudited consolidated financial statements and related notes should be read in conjunction with the consolidated financial statements and related notes for the year ended December 31, 2022 included in the Company’s Form 10-K.
Use of estimates
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. Actual results may differ from those estimates.
Investment consolidation
An entity is a variable interest entity ("VIE") if the equity investors (i) do not have sufficient equity at risk for the entity to finance its activities without additional subordinated financial support, (ii) are unable to direct the entity’s activities or (iii) are not exposed to the entity’s losses or entitled to its residual returns. VIEs within the scope of Accounting Standards Codification ("ASC") 810-10, "Consolidation" are required to be consolidated by their primary beneficiary. The primary beneficiary of a VIE is determined to be the party that has both the power to direct the activities of a VIE that most significantly impact the VIE’s economic performance and the obligation to absorb losses or the right to receive benefits from the VIE that could potentially be significant to the VIE. This determination can sometimes involve complex and subjective analyses. Further, ASC 810-10 also requires ongoing assessments of whether an enterprise is the primary beneficiary of a VIE. In accordance with ASC 810-10, all transferees, including variable interest entities, must be evaluated for consolidation. If the Company determines that consolidation is not required, it will then assess whether the transfer of the underlying assets would qualify as a sale, should be accounted for as secured financings under GAAP, or should be accounted for as an equity method investment, depending on the circumstances.
A Special Purpose Entity ("SPE") is an entity designed to fulfill a specific limited need of the company that organized it. SPEs are often used to facilitate transactions that involve securitizing financial assets or resecuritizing previously securitized financial assets. The objective of such transactions may include obtaining non-recourse financing, obtaining liquidity or refinancing the underlying securitized financial assets on improved terms. Securitization involves transferring assets to an SPE to convert all or a portion of those assets into cash before they would have been realized in the normal course of business through the SPE’s issuance of debt or equity instruments. Investors in an SPE usually have recourse only to the assets in the SPE and depending on the overall structure of the transaction, may benefit from various forms of credit enhancement, such as over-collateralization in the form of excess assets in the SPE, priority with respect to receipt of cash flows relative to holders of other debt or equity instruments issued by the SPE, or a line of credit or other form of liquidity agreement that is designed with the objective of
AG Mortgage Investment Trust Inc. and Subsidiaries
Notes to Consolidated Financial Statements (Unaudited)
September 30, 2023
ensuring that investors receive principal and/or interest cash flow on the investment in accordance with the terms of their investment agreement.
The Company enters into securitization transactions collateralized by its Non-Agency Loans/Agency-Eligible Loans and re- and non-performing loans (the trusts in which these loans are deposited are referred to as "Non-Agency VIEs" and "RPL/NPL VIEs", respectively), which may result in the Company consolidating the respective VIEs that are created to facilitate these securitizations. Based on the evaluations of each VIE, the Company may conclude that the VIEs should be consolidated and, as a result, transferred assets of these VIEs would be determined to be secured borrowings. Upon consolidation, the Company elected the fair value option pursuant to ASC 825 for the assets and liabilities of the Non-Agency VIEs and RPL/NPL VIEs. Electing the fair value option allows the Company to record changes in fair value in the consolidated statement of operations, which, in management's view, more appropriately reflects the results of operations for a particular reporting period as all activities will be recorded in a similar manner. The Company applied the guidance under ASC 810-10 (Measuring the Financial Assets and the Financial Liabilities of a Consolidated Collateralized Financing Entity) whereby the Company determines whether the fair value of the assets or liabilities of the Non-Agency VIEs and RPL/NPL VIEs are more observable as a basis for measuring the less observable financial instruments. The Company has determined that the fair value of the liabilities of the Non-Agency VIEs and RPL/NPL VIEs are more observable since the prices for these liabilities are more easily determined as similar instruments trade more frequently on a relative basis than the individual assets of the VIEs. See Note 3 for more detail regarding the Non-Agency VIEs and RPL/NPL VIEs and Note 5 for more detail related to the Company's determination of fair value for the assets and liabilities included within these VIEs.
Recent accounting pronouncements
In March 2020, FASB issued ASU 2020-04, "Reference Rate Reform (Topic 848): Facilitation of the Effects of Reference Rate Reform on Financial Reporting." This ASU provides temporary optional guidance intended to ease the burden of reference rate reform on financial reporting and may be elected over time as reference rate reform activities occur. This ASU is effective as of March 12, 2020 and was amended by ASU 2022-06 to sunset on December 31, 2024. The ASU applies to all entities that have contracts, hedging relationships and other transactions that reference LIBOR and certain other reference rates that are expected to be discontinued. However, it cannot be applied to contract modifications that occur after December 31, 2024. With certain exceptions, this ASU also cannot be applied to hedging relationships entered into or evaluated after that date. The guidance provides optional expedients and exceptions for applying existing guidance to contract modifications, hedging relationships and other transactions that are expected to be affected by reference rate reform and meet certain scope guidance.
The Company has transitioned from LIBOR to an alternative benchmark. The adoption of ASU 2020-04 and the LIBOR transition did not have a material impact on the consolidated financial statements. The Company's primary exposure to LIBOR has historically included its financing arrangements and derivative contracts. In addition, the Company's Series C Preferred Stock is set to transition to a floating rate in September of 2024. At the time of transition, the Company no longer had derivative contracts indexed to LIBOR and all LIBOR-based financing arrangements transitioned to alternative benchmark rates. The Company does not currently intend to amend the Series C Preferred Stock to change the existing LIBOR cessation fallback language.
AG Mortgage Investment Trust Inc. and Subsidiaries
Notes to Consolidated Financial Statements (Unaudited)
September 30, 2023
3. Loans
Residential mortgage loans
The table below details information regarding the Company’s residential mortgage loan portfolio as of September 30, 2023 and December 31, 2022 ($ in thousands). The gross unrealized gains/(losses) in the table below represent inception to date gains/(losses).
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | Unpaid Principal Balance | | | | | | Gross Unrealized | | | | Weighted Average |
September 30, 2023 | | Premium
(Discount) | | Amortized Cost | | Gains | | Losses | | Fair Value | | Coupon | | Yield | | Life
(Years) (1) |
| Securitized residential mortgage loans, at fair value (2) | | | | | | | | | | | | | | |
| Non-Agency Loans (3) | $ | 4,615,412 | | | $ | 50,676 | | | $ | 4,666,088 | | | $ | 4,843 | | | $ | (509,182) | | | $ | 4,161,749 | | | 5.18 | % | | 5.14 | % | | 9.81 |
| | | | | | | | | | | | | | | | | |
| Re- and Non-Performing Loans | 223,136 | | | (18,787) | | | 204,349 | | | 144 | | | (22,871) | | | 181,622 | | | 3.81 | % | | 6.34 | % | | 6.08 |
| Total Securitized residential mortgage loans, at fair value | $ | 4,838,548 | | | $ | 31,889 | | | $ | 4,870,437 | | | $ | 4,987 | | | $ | (532,053) | | | $ | 4,343,371 | | | 5.12 | % | | 5.19 | % | | 9.64 |
| | | | | | | | | | | | | | | | | |
| Residential mortgage loans, at fair value | | | | | | | | | | | | | | | | |
| Non-Agency Loans | $ | 88,800 | | | $ | 1,427 | | | $ | 90,227 | | | $ | 173 | | | $ | (751) | | | $ | 89,649 | | | 8.22 | % | | 7.44 | % | | 3.82 |
| Agency-Eligible Loans | 46,227 | | | 758 | | | 46,985 | | | — | | | (91) | | | 46,894 | | | 7.75 | % | | 7.10 | % | | 3.42 |
| Re- and Non-Performing Loans | 2,837 | | | (1,745) | | | 1,092 | | | 1,648 | | | — | | | 2,740 | | | N/A | | 105.46 | % | | 1.76 |
| Total Residential mortgage loans, at fair value | $ | 137,864 | | | $ | 440 | | | $ | 138,304 | | | $ | 1,821 | | | $ | (842) | | | $ | 139,283 | | | 8.06 | % | | 9.26 | % | | 3.64 |
| | | | | | | | | | | | | | | | | |
Total as of September 30, 2023 | $ | 4,976,412 | | | $ | 32,329 | | | $ | 5,008,741 | | | $ | 6,808 | | | $ | (532,895) | | | $ | 4,482,654 | | | 5.20 | % | | 5.32 | % | | 9.47 |
| | | | | | | | | | | | | | | | | |
| Unpaid Principal Balance | | | | | | Gross Unrealized | | | | Weighted Average |
December 31, 2022 | | Premium
(Discount) | | Amortized Cost | | Gains | | Losses | | Fair Value | | Coupon | | Yield |
