AG Mortgage Investment Trust Inc
For the period ended Dec 31, 2024. Filed Mar 4, 2025.
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A company's yearly report to the SEC, with audited financial statements. It is the fullest account a company gives of its business, its finances and the risks it sees.
FY2024 · Filed Mar 4, 2025
MITT$4.45-10.8%Stored close · as of Nov 6, 2026
What changed in Management’s Discussion and Analysis?
Read the current filingPrevious report: 10-K
Period ended 2023-12-31; filed 2024-03-11.
0001514281-24-000033
Item 7. Management’s Discussion and Analysis of Financial Condition and Results of OperationsCurrent report: 10-K
Period ended 2024-12-31; filed 2025-03-04.
0001514281-25-000026
Item 7. Management’s Discussion and Analysis of Financial Condition and Results of OperationsThe baseline is this issuer’s latest earlier reporting period of the same form that was filed before the current report. A previous 10-Q is a different quarter, not a year-over-year comparison. Amendments are excluded.
Compared 279 previous paragraphs and 268 current paragraphs.
136 unchanged; 89 reworded; 39 added; 43 removed; 11 previous and 4 current paragraphs rearranged.
Tables are not compared: 27 previous and 26 current tables excluded. Dates, whitespace, punctuation and numbering changes are ignored; changes to financial figures remain significant.
A changed paragraph is not evidence that risk increased or decreased. An unchanged paragraph does not establish that risk stayed the same.
Added paragraphs (39)
Current report
•$10.64 Book Value per share;
Current report
◦Increased our quarterly dividend per common share from $0.18 per common share in the first quarter 2024 to $0.19 per common share beginning the second quarter 2024, which represented a 5.6% increase.
Current report
(1)Includes sales of $27.3 million, $1.5 million and $0.8 million of Non-Agency RMBS, CMBS and Other Securities, respectively, sold from the legacy portfolio acquired in the WMC acquisition.
Current report
(2)During the year, we co-sponsored two rated securitizations collateralized by $729.9 million of Agency-Eligible Loans. 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 securitizations. Upon evaluating our retained interest in the securitization trusts, we determined we were not the primary beneficiary and, as a result, did not consolidate the securitization trusts and recorded an investment of $69.1 million of Non-Agency RMBS.
Current report
•Repurchased $7.1 million of principal amount of the Legacy WMC Convertible Notes during the first quarter of 2024 and paid off the remaining $79.1 million principal amount outstanding at maturity in September 2024; and
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•Issued $99.5 million principal amount of Senior Unsecured Notes in public offerings generating net proceeds of approximately $95.2 million.
Current report
The financial markets have been, and will likely continue to remain, volatile given the overall market uncertainty related to inflation, fiscal policies of the incoming administration, and the path of monetary policy and interest rates. Throughout 2024, markets have displayed a high level of sensitivity to the Federal Reserve’s interest rate decisions. On December 18, 2024, the Federal Reserve lowered the target range for the Federal Funds Rate by an additional 25 basis points to 4.25% to 4.50%, for a cumulative 100 basis points of reduction in all of 2024. The Federal Reserve noted that the decrease was supported by their belief that the risks to both price stability and maximum employment are roughly in balance, but the stance of monetary policy remains restrictive. In its updated Summary of Economic Projections (“SEP”), the Federal Reserve increased its 2025 growth and inflation forecasts, reduced its unemployment rate forecast, and reduced the total amount of policy rate easing it anticipates for all of 2025 from 100 basis points to 50 basis points. As of December 2024, the Consumer Price Index report indicated headline inflation was 2.9% year over year with the unemployment rate remaining at 4.1%. During the fourth quarter, the 10-year U.S. Treasury yield increased by approximately 79 basis points to 4.58% and the 30-year mortgage rate increased by approximately 77 basis points to 6.85%. The quarter ended with the spread between the 2-year and 10-year U.S. Treasury yields at approximately 33 basis points positive sloping. There has been more mixed economic data and increasing policy uncertainty from the new administration as it pertains to inflation and growth, which have continued to drive volatility in benchmark rates so far in the first quarter 2025.
Current report
RMBS spreads were mostly tighter and credit curves were relatively flat during the fourth quarter. Throughout 2024, market participants have sought RMBS and residential mortgage credit exposure to access strong underlying fundamentals such as high quality underwriting, rising home values and a persistently strong supply/demand technical. Trends in credit spreads on credit risk transfer ("CRT") assets can serve as a proxy for market participants evaluating credit related assets given the observability of transactions. CRT tranches were up to 20 to 25 basis points tighter during the fourth quarter. Investment grade prime jumbo RMBS spreads tightened by 30 basis points during the quarter, with spreads on BBB-rated risk finishing the year in the mid-200 basis points. Senior Non-QM tranches tightened by 10 to15 basis points while non-investment grade Non-QM spreads were 40 to 60 basis points tighter. Year-to-date, RMBS sectors have seen considerable spread tightening, particularly in the subordinate tranches of structures. Over the course of the year, non-investment grade prime jumbo spreads were 150 to 300 basis points tighter and non-investment grade Non-QM spreads were 100 to 200 basis points tighter, leaving credit curves sharply flatter in 2024.
Current report
Primary RMBS market activity decreased slightly during the fourth quarter, totaling approximately $34 billion, a decline of 6% quarter-over-quarter, however issuance approximately doubled year-over-year. The annual growth was most pronounced in the Non-QM and Prime Jumbo sectors, which collectively grew by $8 billion year-over-year to nearly $18 billion. Other growth sectors included second liens and Home Equity Loans, up over 120%. For the full year 2024, primary RMBS activity rose over 90% to $134 billion. Most of the growth was again in the Prime Jumbo and Non-QM sectors, which rose 165% and 51% to $26 billion and $43 billion, respectively. Issuance for the second liens and Home Equity Loans sector grew by an impressive 200% to $13.5 billion as originators and deal sponsors become more focused on this asset class.
Current report
The S&P CoreLogic Case-Shiller U.S. National Home Price Index seasonally fell, albeit just slightly, from its peak in July. The Index was higher by 3.9% during 2024. Regional price variations continue to exist, however, as West Coast, Midwest and Northeast regions recording the highest gains. Home price growth and available for-sale inventory have had a relatively strong inverse relationship as regions with inventory growth since baseline 2019 have had weaker home price gains, and vice versa. National home price expectations from third party research currently forecasts 2025 home price appreciation to be approximately 1.5% to 2%, with a range of -2% to +4.4%.
Current report
Prevailing mortgage rates rose sharply in the fourth quarter after a brief decline in September with the 30-year fixed rate mortgage ending the quarter at 6.85%, according to the Freddie Mac Primary Mortgage Market Survey. The effective mortgage rate outstanding was slightly higher, from 3.98% to 4.02% as of December 2024 and remains well below prevailing rates. However, the “lock-in effect,” or disincentive for existing homeowners to sell their homes because their current mortgage rate is well below current market rates, is starting to show signs of decay as the effective mortgage rate has risen approximately 72 basis points since March 2022 and 23 basis points through 2024.
Current report
Total existing home listings ticked down going into the end of the year. New listings continue to run well short of annual activity in 2015 to 2019 as well as pandemic-affected 2020 to 2022. Throughout 2024, approximately 4.2 million new listings came to market, a gap of over 1.1 million fewer listings than an average year over 2015 to 2022.
Current report
Book value per share
Current report
(1)The weighted average yields are presented based on the amortized cost of the underlying loans.
Current report
(1)The weighted average financing rates are presented based on the amortized cost of the underlying securities.
Current report
(2)Estimated excise tax expense of $0.1 million was recognized during the year ended December 31, 2024. The Company did not recognize any excise tax during the year ended December 31, 2023.
Current report
(2)As of December 31, 2024, the fair value of our investment in Arc Home was calculated using a valuation multiple of 0.95x book value, which increased from 0.89x book value as of December 31, 2023. As of December 31, 2022, the fair value of our investment in Arc Home was calculated using a valuation multiple of 0.94x book value.
Current report
(4)During the year ended December 31, 2023, Other operating expenses included certain expenses incurred related to the Land Related Financing assets held within LOTS which paid off in full during the fourth quarter 2023.
Current report
Dividends on Preferred Stock
Current report
Holders of our Series A Preferred Stock, Series B Preferred Stock, and Series C Preferred Stock are entitled to receive cumulative cash dividends at their respective rates per annum on the $25.00 per share liquidation preference for each series. Our Series A Preferred Stock and Series B Preferred Stock have fixed rates of 8.25% and 8.00%, respectively. The initial dividend rate for our Series C Preferred Stock, from issuance through September 16, 2024, was 8.000%. On and after September 17, 2024, dividends on the Series C Preferred Stock accumulate at an annual floating rate of three-month CME Term SOFR (plus a tenor spread adjustment of 0.26161%) plus a spread of 6.476%.
Current report
(b)As of December 31, 2024, the weighted average yields are presented based on the amortized cost of the underlying loans and securities. The weighted average yield of the Company's investment portfolio based on the fair value of the underlying loans and securities as of December 31, 2024 was 6.20%.
Current report
(c)The cost of funds related to the financing on our investment portfolio inclusive of the benefit of 0.05% from our interest rate hedges was 5.24%. When including our Senior Unsecured Notes, the total cost of funds was 5.31%.
Current report
(f)Substantially all of our Non-Agency Loans were sold during January 2025.
Current report
(g)We expect to either hold the Legacy WMC Commercial Investments until maturity or opportunistically exit these investments.
Current report
(h)As of December 31, 2024, there are Legacy WMC CMBS with an unpaid principal balance of $23.5 million and a fair value of $6.0 million which are on non-accrual or cost recovery status.
Current report
Securitized residential mortgage loans and Residential mortgage loans
Current report
The following table presents information regarding collateral characteristics of our residential mortgage loans as of December 31, 2024 ($ in thousands).
Current report
(1)Loan count and weighted average 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.
Current report
(2)Amounts are weighted based on unpaid principal balance.
Current report
(3)Represents the original LTV or, for Re- and Non-Performing Loans and Non-Agency Loans acquired from WMC, the LTV at acquisition. For Home Equity Loans, represents the combined LTV, which considers the loan balances on a borrower’s first mortgage and related Home Equity Loan.
Current report
(4)Weighted average current FICO excludes borrowers where FICO scores were not available. Data is based on the latest available information.
Current report
The following table presents the fair value, coupon, and weighted average life of our Non-Agency RMBS and Legacy WMC CMBS portfolios as of December 31, 2024 ($ in thousands).
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(2)Weighted average life is based on projected life. Typically, actual maturities are shorter than stated contractual maturities.
Current report
(4)As of December 31, 2024, there are Legacy WMC CMBS with an unpaid principal balance of $23.5 million and a fair value of $6.0 million which are on non-accrual or cost recovery status and have no coupon.
Current report
(2)Weighted average life is based on projected life. Typically, actual maturities are shorter than stated contractual maturities.
Current report
Senior Unsecured Notes
Current report
During 2024, we issued senior unsecured notes which consist of $34.5 million principal amount 9.500% Senior Notes due February 2029 and $65.0 million principal amount 9.500% Senior Notes due May 2029. See Note 6 to the "Notes to Consolidated Financial Statements" for additional information on the Senior Unsecured Notes.
Current report
Further, on December 18, 2024, we granted an aggregate of 130,000 restricted shares of common stock to certain employees of the Manager, including certain of our executive officers, under the 2020 Equity Incentive Plan. These awards vest ratably in three annual installments beginning in January 2026, subject to continued employment with the Manager.
Current report
Critical accounting estimates
Removed paragraphs (43)
Previous report
•$10.46 Book Value per share and $10.20 Adjusted Book Value per share;
Previous report
Strategic Acquisition
Previous report
•Completed the WMC acquisition on December 6, 2023, providing meaningful growth in our investment portfolio and scale to support our return profile;
Previous report
•Issued approximately 9.2 million shares of MITT's common stock to former WMC common stockholders as consideration, increasing our market capitalization by approximately 46%;
Previous report
•Acquired $1.2 billion of assets consisting primarily of securitized residential mortgage loans, increasing our investment portfolio by approximately 25%;
Previous report
•Assumed $1.1 billion of liabilities inclusive of securitized debt, financing arrangements, and convertible senior unsecured notes ("Legacy WMC Convertible Notes");
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•Increased our equity by $81.4 million and recorded a bargain purchase gain of $30.2 million; and
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•Added two independent board members from the WMC board of directors.
Previous report
◦Securitized Non-Agency Loans with a total unpaid principal balance of $677.5 million; and
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◦Securitized Agency-Eligible Loans with a total unpaid principal balance of $318.3 million;
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•Assumed liabilities of $1.1 billion from the WMC acquisition, which included:
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◦Securitized debt with a fair value of $837.3 million;
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◦Financing arrangements of $171.2 million; and
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◦Legacy WMC Convertible Notes with a fair value of $85.2 million;
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•Subsequent to December 31, 2023:
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◦Executed a rated securitization of Agency-Eligible Loans with a total unpaid principal balance of $377.5 million;
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◦Completed the issuance of $34.5 million aggregate principal amount of 9.500% senior notes due in 2029 for net proceeds of approximately $32.8 million; and
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◦Repurchased $7.1 million aggregate principal amount of the outstanding Legacy WMC Convertible Notes.
Previous report
Capital Activity
Previous report
•As of December 31, 2023, we have approximately $16.5 million of capacity remaining under our authorized common stock repurchase programs;
Previous report
◦Repurchased 1.1 million shares of common stock for $6.4 million during the year ended December 31, 2023, representing a weighted average cost of $5.72 per share. Repurchases resulted in approximately 2.7% accretion to December 31, 2022 adjusted book value per share.
Previous report
Financial markets experienced volatility throughout 2023 due to multiple factors including the impacts of inflation, the path of monetary policy and interest rates, the U.S. debt ceiling, market uncertainty from the ongoing conflicts in Ukraine and Israel and other geopolitical risks. The Federal Reserve continued executing on its monetary policy tightening cycle during 2023. The Federal Reserve raised the short-term federal funds target rate eleven times between March 2022 and July 2023 and has since held rates steady. Year-to-date through October 2023, the 10-year U.S. treasury yield increased by approximately 100 basis points to 4.88% and the 30-year fixed rate mortgage increased by 137 basis points peaking at 7.8%. In November, the Federal Reserve left rates unchanged for the fourth consecutive meeting, spoke increasingly of a more balanced approach to setting policy, and suggested that the recent rise in longer-term interest rates could displace the need to tighten policy rates further. Although the Federal Reserve cautioned that it was premature to discuss cutting rates, financial markets took this as a dovish shift in sentiment. At the December meeting, the Federal Reserve confirmed its dovish pivot with an updated Summary of Economic Projections that showed no further rate increases and a faster pace of rate normalization, further driving interest rates lower. By the end of the year, the 10-year U.S. treasury yield retraced to 3.88%, where it started the year, and the 30-year fixed rate mortgage declined to 6.6%. Although market participants began pricing in rate cuts as soon as March 2024, it is not clear when the Federal Reserve will initiate rate cuts and it is possible longer-term rates may remain elevated for longer than anticipated. The second quarter ended with the spread between the 2-year and 10-year U.S. treasury yields peaking at approximately 106 basis points inverted. At the end of the fourth quarter, the curve inversion was only 37 basis points providing some relief. While the Federal Reserve’s policy tightening has slowed the U.S economy, growth in GDP, low unemployment and strength in consumer spending persist, leaving the Federal Reserve seeking economic data that will provide greater confidence that inflation is moving sustainably toward the target rate of 2%.
Previous report
RMBS spreads mostly tightened during the fourth quarter of 2023. Trends in credit spreads on credit risk transfer ("CRT") assets are generally utilized by market participants as a proxy for evaluating credit related assets given the observability of transactions. CRT tranches were tighter by up to 50 basis points, with tranches at or near investment grade tightening the most during the quarter. For the full year 2023, CRT experienced impressive gains, particularly for lower credit tranches which were as much as 500 basis points tighter while tranches in the middle part of the capital structure tightened by approximately 300 basis points. Senior Non-QM spreads tightened by approximately 20 basis points during the quarter while strong demand for BBB-rated Non-QM securities drove spreads in by approximately 50 basis points during the quarter and an additional 25 basis points in the month of January. The Non-QM sector finished the year with spreads tighter overall however still remaining wide of February 2022 levels, which suggests ample runway for additional upside potential.
Previous report
RMBS issuance during the fourth quarter was in-line with the prior two quarters at $16 billion. However, issuance for the full year 2023 totaled only $65 billion, roughly half of the $137 billion of issuance recorded in 2022, and was the slowest year since 2016. Issuance of nearly every type of RMBS fell, in most cases sharply, except for the second lien and home equity line of credit sector which is still in its infancy. Issuance of benchmark CRT fell 60% to $8.3 billion amid lighter origination volumes and a shift away from high-cost subordinate tranches by the issuers. Non-QM was the most active sector with issuance of $28 billion resulting in a relatively modest 25% year-over-year decline. Various reports from bank research departments estimate 2024 issuance will be $65 to $90 billion, higher than 2023 but still down from $127 billion in 2022 and $213 billion in 2021.
Previous report
Home prices continued to rise with the S&P CoreLogic Case-Shiller U.S. National Home Price Index up 5.5% for the full year 2023 which exceeds the prior peak in June 2022 by 0.8%. A survey of third-party research illustrates varied home price expectations for 2024 ranging from a decline of 5% to an increase of 4%.
Previous report
Prevailing mortgage rates were considerably lower over the final two months of the year, falling to 6.6% after reaching 7.8% at the end of October 2023, the highest level since 2000. Nationally, the average effective mortgage rate was 3.7% as of September 2023. Current interest rates thus leave the well-publicized “lock-in effect,” or disincentive for existing homeowners to sell their homes because their current mortgage rate is well below current market rates, in force, albeit modestly weaker.
Previous report
According to the National Association of Realtors, total existing home listings amounted to 1 million in December 2023, in line with most of 2023 but down significantly from pre-pandemic years. New listings, which offer a timelier view of current supply, have totaled 4.13 million year-to-date through December 2023, which was almost 1.8 million units less than the same period in 2021.
Previous report
Despite prevailing mortgage rates at multi-decade highs, sufficient demand continues to exist to support the housing market. While homeownership affordability is near all-time lows, housing supply continues to be constrained and demand for housing remains evident as borrowers reset in a higher-rate environment.
Previous report
Book value and Adjusted book value per share
Previous report
(1) We incur servicing fees, asset management fees, and trustee and bank fees in connection with our residential mortgage loans. These expenses increased from the year ended December 31, 2022 to the year ended December 31, 2023 primarily due to an increase in our GAAP residential mortgage loan portfolio. The weighted average cost of our GAAP residential mortgage loan portfolio increased by $0.9 billion from $3.9 billion for the year ended December 31, 2022 to $4.8 billion for the year ended December 31, 2023 resulting from purchases of Non-Agency Loans and Agency-Eligible Loans.
Previous report
(2)During the years ended December 31, 2023 and December 31, 2022, we recorded unrealized losses on our investment in AG Arc as a result of the valuation decreasing from 0.94x book value as of December 31, 2022 to 0.89x book value as of December 31, 2023 and from 1.06x book value as of December 31, 2021 to 0.94x book value as of December 31, 2022, respectively.
Previous report
(b)Includes the cost (interest expense) or benefit (interest income) from our interest rate swap hedges. The benefit of hedging as of December 31, 2023 was 0.16%.
Previous report
(e)We expect to either hold the Legacy WMC Commercial Investments until maturity or opportunistically exit these investments.
Previous report
(b)Includes the cost (interest expense) or benefit (interest income) from our interest rate swap hedges. The benefit of hedging as of December 31, 2022 was 0.13%.
Previous report
(1)Refer to Note 10 to the "Notes of the Consolidated Financial Statements" for more detail on what is included in our "Investments in debt and equity of affiliates" line item on our consolidated balance sheets. Our assets held through Investments in debt and equity of affiliates are included in the "Land Related Financing," "MATT Non-QM Securities," and "Re/Non-Performing Securities" line items above.
Previous report
(4)Securitized Non-Agency Loans include loans that were considered to be Agency-Eligible prior to our securitization.
Previous report
(5)GCAT Non-Agency RMBS are securities issued under Gold Creek Asset Trust ("GCAT"), which is the TPG Angelo Gordon securitization shelf under which we or private funds under the management of TPG Angelo Gordon securitize loans.
Previous report
(7)We expect to either hold the Legacy WMC Commercial Investments until maturity or opportunistically exit these investments.
Previous report
(8)Other securities include residual interests in asset-backed securities which have no principal balance.
Previous report
Residential mortgage loans
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Reworded paragraphs (89)
Previous wording
Our investment portfolio (which excludes our ownership in Arc Home) primarily includes Residential Investments and Agency RMBS. Currently, our Residential Investments primarily consist of newly originated Non-Agency Loans and Agency-Eligible Loans, which we refer to as our target assets. In addition, we may also invest in other types of residential mortgage loans and other mortgage related assets. Our investment portfolio also includes commercial loans, commercial-mortgage backed securities ("CMBS") and other securities (collectively, the "Legacy WMC Commercial Investments") that were acquired in the WMC acquisition. We expect to either hold the Legacy WMC Commercial Investments until maturity or opportunistically exit these investments.
Current wording
Our investment portfolio (which excludes our ownership in Arc Home) primarily includes Residential Investments and Agency RMBS. Currently, our Residential Investments primarily consist of newly originated Non-Agency Loans, Agency-Eligible Loans and Home Equity Loans, which we refer to as our target assets. In addition, we may also invest in other types of residential mortgage loans and other mortgage related assets. Our investment portfolio also includes commercial loans and commercial-mortgage backed securities ("CMBS") (collectively, the "Legacy WMC Commercial Investments") that were acquired in the WMC acquisition. We expect to either hold the Legacy WMC Commercial Investments until maturity or opportunistically exit these investments.
Previous wording
(1)Book value per common share is calculated using stockholders’ equity less net proceeds of $220.5 million on our issued and outstanding preferred stock as the numerator. Adjusted book value per common share is calculated using stockholders’ equity less the liquidation preference of $228.0 million on our issued and outstanding preferred stock as the numerator.
Current wording
◦Book value per common share is calculated using stockholders’ equity less the liquidation preference of $228.0 million on our issued and outstanding preferred stock divided by all outstanding common shares as of quarter-end;
Previous wording
•$1.68 of Net Income/(Loss) Available to Common Stockholders per diluted common share and $0.39 of Earnings Available for Distribution ("EAD") per diluted common share;
Current wording
•$1.23 of Net Income/(Loss) Available to Common Stockholders per diluted common share and $0.76 of Earnings Available for Distribution ("EAD") per diluted common share for the year ended December 31, 2024;
Previous wording
•10.5x GAAP Leverage Ratio and 1.5x Economic Leverage Ratio; and
Current wording
•11.6x GAAP Leverage Ratio and 1.4x Economic Leverage Ratio;
Previous wording
•$0.72 dividend per common share declared during the year.
Current wording
•$0.75 dividend per common share declared during the year; and
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•The table below summarizes the fair value of purchases and proceeds from sales of investments, as well as the fair value of assets acquired through the WMC acquisition, during the year ended December 31, 2023 (in thousands).
Current wording
•The table below summarizes the fair value of purchases and proceeds from sales of investments during the year ended December 31, 2024 (in thousands).
Previous wording
•Executed three rated securitizations converting recourse financing with mark-to-market margin calls to non-recourse financing without mark-to-market margin calls;
Current wording
•Executed four rated securitizations of Agency-Eligible Loans with a total unpaid principal balance of $1.4 billion, converting recourse financing with mark-to-market margin calls to non-recourse financing without mark-to-market margin calls;
Previous wording
◦"Residential mortgage loans" or "Loans" refer to our Non-Agency Loans, Agency-Eligible Loans, and Re/Non-Performing Loans (exclusive of retained tranches from unconsolidated securitizations) and Land Related Financing.
Current wording
◦"Residential mortgage loans" or "Loans" refer to our Non-Agency Loans, Agency-Eligible Loans, Home Equity Loans, and Re/Non-Performing Loans (exclusive of retained tranches from unconsolidated securitizations) and Land Related Financing.
Previous wording
The below table details book value and adjusted book value per common share. Per share amounts for book value are calculated using all outstanding common shares in accordance with GAAP as of year-end.
Current wording
The below table details book value per common share. Per share amounts for book value are calculated using all outstanding common shares in accordance with GAAP as of year-end.
Previous wording
Results of Operations for the Fiscal Year 2023 and 2022
Current wording
Results of Operations for the Fiscal Years 2024 and 2023
Previous wording
Interest income increased from December 31, 2022 to December 31, 2023 primarily due to an increase in the size of our portfolio resulting from purchases of Non-Agency Loans and Agency-Eligible Loans during the period. This was coupled with an increase in the weighted average yield of our investment portfolio resulting from purchasing higher yielding assets as interest rates increased during the period. The following table presents a summary of the weighted average amortized cost of and the weighted average yield on our GAAP investment portfolio for the years ended December 31, 2023 and 2022 ($ in millions).
Current wording
Interest income increased from December 31, 2023 to December 31, 2024 primarily as a result of an increased investment portfolio resulting from the WMC acquisition in December 2023 along with purchases of residential mortgage loans and real estate securities during the year and an increase in the weighted average yield of our investment portfolio. The following table presents a summary of the weighted average amortized cost of and the weighted average yield on our GAAP investment portfolio for the years ended December 31, 2024 and 2023 ($ in millions).
Previous wording
Interest expense is inclusive of our financing cost related to our financing arrangements on our GAAP investment portfolio, securitized debt, and Legacy WMC Convertible Notes.
Current wording
Interest expense is inclusive of our financing cost related to our financing arrangements on our GAAP investment portfolio, securitized debt, Legacy WMC Convertible Notes, and Senior Unsecured Notes.
Previous wording
Interest expense increased from December 31, 2022 to December 31, 2023 due to an increase in the weighted average financing rate resulting from rising interest rates during the period, coupled with an increase in the amount of financing on our GAAP investment portfolio primarily resulting from the issuance of securitized debt. The following table presents a summary of the weighted average financing balance and the weighted average financing rate for the years ended December 31, 2023 and 2022 ($ in millions).
Current wording
Interest expense increased from December 31, 2023 to December 31, 2024 due to an increase in the GAAP financing balance outstanding resulting from the assumption of financing through the WMC acquisition in December 2023 along with the issuance of securitized debt and Senior Unsecured Notes during the year. Additionally, there was an increase in the weighted average financing rate. The following table presents a summary of the weighted average financing balance and the weighted average financing rate for the years ended December 31, 2024 and 2023 ($ in millions).
Previous wording
We recorded income on the net interest component of interest rate swaps during the year ended December 31, 2023 as a result of our swap portfolio being in a net receive position during the entire period, compared with an expense for the year ended December 31, 2022 as a result of our swap portfolio being in a net pay position during part of the period. The following table presents a summary of our interest rate swap portfolio as of December 31, 2023 and 2022 ($ in millions).
Current wording
We recorded income on the net interest component of interest rate swaps during the years ended December 31, 2024 and 2023 as a result of our swap portfolio being in a net receive position during the entire year. The following table presents a summary of our interest rate swap portfolio as of December 31, 2024 and 2023 ($ in millions).
Previous wording
The following table presents a summary of Net realized gain/(loss) for the years ended December 31, 2023 and 2022 (in thousands). The realized gain during the year ended December 31, 2023 was driven by unwinding pay-fix, receive-variable interest rate swaps which were previously held at unrealized gains as a result of rising interest rates. This was offset by realized losses on sales of residential mortgage loans and real estate securities.
Current wording
The following table presents a summary of Net realized gain/(loss) for the years ended December 31, 2024 and 2023 (in thousands). The realized loss during the year ended December 31, 2024 was primarily driven by losses from unwinding pay-fix, receive-variable interest rate swaps which were held at unrealized losses. This was offset by realized gains on sales of residential mortgage loans and real estate securities.
Previous wording
The following table presents a summary of net unrealized gain/(loss) for the years ended December 31, 2023 and 2022 (in thousands). During the year ended December 31, 2023, unrealized gains on real estate securities, residential mortgage loans, and commercial loans and unrealized losses on securitized debt and derivatives were primarily driven by a decrease in interest rates during the fourth quarter of 2023.
Current wording
The following table presents a summary of Net unrealized gain/(loss) for the years ended December 31, 2024 and 2023 (in thousands). During the year ended December 31, 2024, there were unrealized gains on our residential mortgage loans and interest rate swaps offset by unrealized losses on our securitized debt.
Previous wording
Per ASC 805, "Business Combinations," a bargain purchase gain is recognized in current earnings when the aggregate fair value of the consideration transferred is less than the fair value of the identifiable net asset acquired. In connection with the WMC acquisition, we recorded a bargain purchase gain of $30.2 million, which represents the difference between our consideration transferred of $51.2 million and the fair value of the net assets we acquired of $81.4 million. As a result of macroeconomic factors and interest rate volatility, the price per share of common stock of certain companies within the mortgage REIT industry have traded at discounts to book values per share in recent periods, which contributed to the bargain purchase gain recorded on the WMC acquisition.
Current wording
Per ASC 805, "Business Combinations," a bargain purchase gain is recognized in current earnings when the aggregate fair value of the consideration transferred is less than the fair value of the identifiable net asset acquired. In connection with the WMC acquisition in 2023, we recorded a bargain purchase gain of $30.2 million, which represents the amount by which the fair value of the net assets we acquired in the acquisition of $81.4 million exceeded the fair value of the shares of MITT common stock issued as consideration of $51.2 million. As a result of macroeconomic factors and interest rate volatility, the price per share of common stock of certain companies within the mortgage REIT industry have traded at discounts to book values per share in recent periods, which contributed to the bargain purchase gain recorded on the WMC acquisition.
Previous wording
Our management fee is based upon a percentage of our Stockholders’ Equity. See the "Contractual obligations" section of this Part II, Item 7 for further detail on the calculation of our management fee and for the definition of Stockholders’ Equity. In connection with the WMC acquisition, we and our Manager entered into the MITT Management Agreement Amendment pursuant to which the base management fee will be reduced by $0.6 million for the first four quarters following the transaction closing, beginning with the fiscal quarter in which the transaction closing occurs (i.e., resulting in an aggregate $2.4 million waiver of base management fees). As a result of the transaction closing on December 6, 2023, the base management fee was reduced by $0.6 million during the year ended December 31, 2023. This was offset by an increase in stockholders' equity as calculated pursuant to the management agreement as a result of the WMC acquisition.
Current wording
Our management fee is based upon a percentage of our Stockholders’ Equity. See the "Contractual obligations" section of this Part II, Item 7 for further detail on the calculation of our management fee and for the definition of Stockholders’ Equity. In connection with the WMC acquisition, we and our Manager entered into the MITT Management Agreement Amendment pursuant to which the base management fee was reduced by $0.6 million for the first four quarters following the transaction closing, beginning with the fiscal quarter in which the transaction closing occurred (i.e., resulting in an aggregate $2.4 million waiver of base management fees). As a result of the transaction closing on December 6, 2023, the base management fee was reduced by $0.6 million during the year ended December 31, 2023 and $1.8 million during the year ended December 31, 2024.
Previous wording
(1) For the years ended December 31, 2023 and 2022, the Manager agreed to waive its right to receive expense reimbursements of $1.7 million and $1.5 million, respectively.
Current wording
(1) For the years ended December 31, 2024 and 2023, the Manager agreed to waive its right to receive expense reimbursements of $1.1 million and $1.7 million, respectively.
Previous wording
Investment related expenses are primarily comprised of servicing fees, asset management fees, and certain investment related expenses reimbursable to the Manager or its affiliates. We are required to reimburse our Manager or its affiliates for operating expenses incurred by our Manager or its affiliates on our behalf associated with our investment portfolio. The following table presents a summary of our investment related expenses for the years ended December 31, 2023 and 2022 (in thousands).
Current wording
Investment related expenses are primarily comprised of servicing fees, asset management fees, trustee fees, and certain investment related expenses reimbursable to the Manager or its affiliates. We are required to reimburse our Manager or its affiliates for operating expenses incurred by our Manager or its affiliates on our behalf associated with our investment portfolio. The following table presents a summary of our investment related expenses for the years ended December 31, 2024 and 2023 (in thousands).
Previous wording
Historically, transaction related expenses have included expenses primarily associated with purchasing and securitizing residential mortgage loans as well as certain other transaction and performance related fees associated with assets we invest in. However, in 2023, we also recorded transaction related expenses in connection with the WMC acquisition. Transaction related expenses decreased from the prior period as we completed three securitizations during the year ended December 31, 2023, as compared to eight securitizations during the year ended December 31, 2022. This decrease was partially offset by $6.0 million of transaction related expenses incurred in connection with the WMC acquisition.
Current wording
Historically, transaction related expenses have included expenses primarily associated with purchasing and securitizing residential mortgage loans as well as certain other transaction and performance related fees associated with assets we invest in. During the year ended December 31, 2024 we completed four securitizations as compared to three securitizations during the year ended December 31, 2023. However, transaction related expenses for the year ended December 31, 2024 decreased primarily due to $6.0 million of transaction related expenses incurred during the year ended December 31, 2023 in connection with the WMC acquisition.
Previous wording
Equity in earnings/(loss) from affiliates represents our share of earnings and profits of investments held within affiliated entities. Substantially all of these investments are comprised of real estate securities, loans, and our investment in AG Arc which holds our investment in Arc Home. The below tables summarize the components of the "Equity in earnings/(loss) from affiliates" line item on our consolidated statements of operations (in thousands).
Current wording
Equity in earnings/(loss) from affiliates represents our share of earnings and profits of investments held within affiliated entities. These investments are comprised of real estate securities, loans, and our investment in AG Arc which holds our investment in Arc Home. The below tables summarize the components of the "Equity in earnings/(loss) from affiliates" line item on our consolidated statements of operations (in thousands).
Previous wording
(1) The earnings within MATT for the year ended December 31, 2023 were primarily the result of net interest income of $3.5 million and unrealized gains of $0.7 million offset by expenses of $(0.2) million. The earnings within MATT for the year ended December 31, 2022 were primarily the result of net interest income of $2.7 million and unrealized gains of $0.1 million offset by realized losses of $(1.2) million and other expenses of $(0.3) million.
Current wording
(1) The earnings within MATT for the year ended December 31, 2024 were primarily the result of net interest income of $2.9 million offset by unrealized losses of $(1.4) million and expenses of $(0.2) million. The earnings within MATT for the year ended December 31, 2023 were primarily the result of net interest income of $3.5 million and unrealized gains of $0.7 million offset by other expenses of $(0.2) million.
Previous wording
(2) Throughout the year ended December 31, 2023, Land Related Financing continued to pay down and paid off in full during the fourth quarter 2023, contributing to the decrease in earnings from the year ended December 31, 2022 to the year ended December 31, 2023.
Current wording
(2) Throughout the year ended December 31, 2023, Land Related Financing continued to pay down and paid off in full during the fourth quarter 2023.
Previous wording
(1)The earnings/(loss) at AG Arc during the year ended December 31, 2023 were primarily the result of $(3.8) million related to changes in the fair value of the MSR portfolio held by Arc Home coupled with $(0.2) million of losses related to Arc Home's lending and servicing operations. The earnings/(loss) at AG Arc during the year ended December 31, 2022 were primarily the result of $(5.5) million of losses related to Arc Home's lending and servicing operations, offset by $3.4 million related to changes in the fair value of the MSR portfolio held by Arc Home.
Current wording
(1)The earnings/(loss) at AG Arc during the year ended December 31, 2024 were primarily the result of $0.6 million related to changes in the fair value of the MSR portfolio held by Arc Home offset by $(0.9) million of losses related to Arc Home's lending and servicing operations. The earnings/(loss) at AG Arc during the year ended December 31, 2023 were primarily the result of $(3.8) million related to changes in the fair value of the MSR portfolio held by Arc Home coupled with $(0.2) million of losses related to Arc Home's lending and servicing operations.
Previous wording
One of our objectives is to generate net income from net interest margin on the portfolio, and management uses EAD, as one of several metrics, to help measure our performance against this objective. Management believes that this non-GAAP measure, when considered with our GAAP financial statements, provides supplemental information useful for investors to help evaluate our financial performance. However, management also believes that our definition of EAD has important limitations as it does not include certain earnings or losses our management team considers in evaluating our financial performance. Our presentation of EAD may not be comparable to similarly-titled measures of other companies, who may use different calculations. This non-GAAP measure should not be considered a substitute for, or superior to, Net Income/(loss) available to common stockholders or Net income/(loss) per diluted common share calculated in accordance with GAAP. Our GAAP financial results and the reconciliations from these results should be carefully evaluated.
Current wording
One of our objectives is to generate net income from net interest margin on the portfolio, and management uses EAD, as one of several metrics, to help measure our performance against this objective. Management believes that this non-GAAP measure, when considered with our GAAP financial statements, provides supplemental information useful for investors to help evaluate our financial performance. However, management also believes that our definition of EAD has important limitations as it does not include certain earnings or losses our management team considers in evaluating our financial performance. Our presentation of EAD may not be comparable to similarly-titled measures of other companies, who may use different calculations. This non-GAAP measure should not be considered a substitute for, or superior to, Net Income/(loss) available to common stockholders or Earnings/(loss) per diluted common share calculated in accordance with GAAP. Our GAAP financial results and the reconciliations from these results should be carefully evaluated.
Previous wording
We define EAD, a non-GAAP financial measure, as Net Income/(loss) available to common stockholders excluding (i) (a) unrealized gains/(losses) on loans, real estate securities, derivatives and other investments, inclusive of our investment in AG Arc, and (b) net realized gains/(losses) on the sale or termination of such instruments, (ii) any transaction related expenses incurred in connection with the acquisition, disposition, or securitization of our investments as well as transaction related expenses incurred in connection with the WMC acquisition, (iii) accrued deal-related performance fees payable to third party operators to the extent the primary component of the accrual relates to items that are excluded from EAD, such as unrealized and realized gains/(losses), (iv) realized and unrealized changes in the fair value of Arc Home's net mortgage servicing rights and the derivatives intended to offset changes in the fair value of those net mortgage servicing rights, (v) deferred taxes recognized at our taxable REIT subsidiaries, if any, (vi) any gains/(losses) associated with exchange transactions on our common and preferred stock, and (vii) any bargain purchase gains recognized. Items (i) through (vii) above include any amount related to those items held in affiliated entities. Management considers the transaction related expenses referenced in (ii) above to be similar to realized losses incurred at the acquisition, disposition, or securitization of an asset and does not view them as being part of its core operations. Management views the exclusion described in (iv) above to be consistent with how it calculates EAD on the remainder of its portfolio. Management excludes all deferred taxes because it believes deferred taxes are not representative of current operations. EAD includes the net interest income and other income earned on our investments on a yield adjusted basis, including TBA dollar roll income/(loss) or any other investment activity that may earn or pay net interest or its economic equivalent.
Current wording
Arc, and (b) net realized gains/(losses) on the sale or termination of such instruments, (ii) any transaction related expenses incurred in connection with the acquisition, disposition, or securitization of our investments as well as transaction related expenses incurred in connection with the WMC acquisition, (iii) accrued deal-related performance fees payable to third party operators to the extent the primary component of the accrual relates to items that are excluded from EAD, such as unrealized and realized gains/(losses), (iv) realized and unrealized changes in the fair value of Arc Home's net mortgage servicing rights and the derivatives intended to offset changes in the fair value of those net mortgage servicing rights, (v) deferred taxes recognized at our taxable REIT subsidiaries, if any, (vi) any bargain purchase gains recognized, and (vii) certain other nonrecurring gains or losses. Items (i) through (vii) above include any amount related to those items held in affiliated entities. Transaction related expenses referenced in (ii) above are primarily comprised of costs incurred prior to or at the time of executing our securitizations and acquiring or disposing of residential mortgage loans. These costs are nonrecurring and may include underwriting fees, legal fees, diligence fees, and other similar transaction related expenses. Recurring expenses, such as servicing fees, custodial fees, trustee fees and other similar ongoing fees are not excluded from earnings available for distribution. Management considers the transaction related expenses to be similar to realized losses incurred at the acquisition, disposition, or securitization of an asset and does not view them as being part of its core operations. Management views the exclusion described in (iv) above to be consistent with how it calculates EAD on the remainder of its portfolio. Management excludes all deferred taxes because it believes deferred taxes are not representative of current operations. EAD includes the net interest income and other income earned on our investments on a yield adjusted basis, including TBA dollar roll income/(loss) or any other investment activity that may earn or pay net interest or its economic equivalent.
Previous wording
(1)For the years ended December 31, 2023 and 2022, total transaction related expenses and deal related performance fees included $11.1 million and $16.5 million, respectively, recorded within the "Transaction related expenses" line item and $0.1 million and $0.7 million, respectively, recorded within the "Interest expense" line item, which relates to the amortization of deferred financing costs.
Current wording
(1)For the years ended December 31, 2024 and 2023, total transaction related expenses and deal related performance fees included $3.2 million and $11.1 million, respectively, recorded within the "Transaction related expenses" line item and $0.1 million and $0.1 million, respectively, recorded within the "Interest expense" line item, which relates to the amortization of deferred financing costs.
Previous wording
(2)For the years ended December 31, 2023 and 2022, $(0.3) million or $(0.01) per share and $9.2 million or $0.40 per share, respectively, of realized and unrealized changes in the fair value of Arc Home's net mortgage servicing rights, changes in the fair value of corresponding derivatives, and other asset impairments were excluded from EAD, net of deferred tax expense. Additionally, for the years ended December 31, 2023 and 2022, $(1.5) million or $(0.07) per share and $(5.6) million or $(0.24) per share, respectively, of unrealized changes in the fair value of our investment in Arc Home were excluded from EAD.
Current wording
(2)For the years ended December 31, 2024 and 2023, $1.8 million or $0.06 per share and $(0.3) million or $(0.01) per share, respectively, of realized and unrealized changes in the fair value of Arc Home's net mortgage servicing rights, changes in the fair value of corresponding derivatives, and other asset impairments were excluded from EAD, net of deferred tax expense. Additionally, for the years ended December 31, 2024 and 2023, $2.6 million or $0.09 per share and $(1.5) million or $(0.07) per share, respectively, of unrealized changes in the fair value of our investment in Arc Home were excluded from EAD.
Previous wording
(3)EAD recognized by AG Arc does not include our portion of gains recorded by Arc Home in connection with the sale of residential mortgage loans to us. For the years ended December 31, 2023 and 2022, we eliminated $1.4 million or $0.07 per share and $6.0 million or $0.26 per share of intra-entity profits recognized by Arc Home, respectively, and also decreased the cost basis of the underlying loans we purchased by the same amount. Refer to Note 2 to the "Notes to Consolidated Financial Statements" for more information on this accounting policy.
Current wording
(3)EAD recognized by AG Arc does not include our portion of gains recorded by Arc Home in connection with the sale of residential mortgage loans to us. For the years ended December 31, 2024 and 2023, we eliminated $1.1 million or $0.04 per share and $1.4 million or $0.07 per share of intra-entity profits recognized by Arc Home, respectively, and also decreased the cost basis of the underlying loans we purchased by the same amount. Refer to Note 2 to the "Notes to Consolidated Financial Statements" for more information on this accounting policy.
Previous wording
Net interest margin and leverage ratio are metrics that management believes should be considered when evaluating the performance of our investment portfolio.
Current wording
Net interest margin and leverage ratio are metrics that management believes should be considered when evaluating the performance of our investment portfolio. Net interest margin provides investors visibility into our profitability of interest income versus interest expense including the net effect of our interest rate swaps for insight into earnings available for distribution.
Previous wording
GAAP net interest margin and non-GAAP net interest margin, a non-GAAP financial measure, are calculated by subtracting the weighted average cost of funds from the weighted average yield for our GAAP investment portfolio and our investment portfolio, respectively. The weighted average yield represents an effective interest rate on our cost basis, which utilizes all estimates of future cash flows and adjusts for actual prepayment and cash flow activity as of quarter-end. The calculation of weighted average yield is weighted on fair value at quarter-end. The weighted average cost of funds is the sum of the weighted average funding costs on total financing arrangements outstanding at quarter-end, including all non-recourse financing arrangements, and our weighted average hedging cost or benefit, which is the weighted average of the net pay or receive rates on our interest rate swaps. GAAP and non-GAAP cost of funds are weighted by the outstanding financing arrangements on our GAAP investment portfolio and our investment portfolio, respectively, and the fair value of securitized debt at quarter-end.
Current wording
GAAP net interest margin and non-GAAP net interest margin, a non-GAAP financial measure, are calculated by subtracting the weighted average cost of funds from the weighted average yield for our GAAP investment portfolio and our investment portfolio, respectively. The weighted average yield represents an effective interest rate on our cost basis, which utilizes all estimates of future cash flows and adjusts for actual prepayment and cash flow activity as of quarter-end. The calculation of weighted average yield is weighted on amortized cost at year end. The weighted average cost of funds is the sum of the weighted average funding costs on total financing arrangements outstanding at quarter-end, including all non-recourse financing arrangements, and our weighted average hedging cost or benefit, which is the weighted average of the net pay or receive rates on our interest rate swaps. GAAP and non-GAAP cost of funds are weighted by the outstanding financing arrangements on our GAAP investment portfolio and our investment portfolio, respectively, and the amortized cost of securitized debt and senior unsecured notes at year end.
Previous wording
The following tables present a summary of our investment portfolio, inclusive of net interest margin and leverage ratios, as of December 31, 2023 and a reconciliation of these metrics on our Investment Portfolio to their respective metrics on our GAAP Investment Portfolio ($ in thousands).
Current wording
The following table presents a summary of our investment portfolio, inclusive of net interest margin and leverage ratios, as of December 31, 2024 and a reconciliation of these metrics on our Investment Portfolio to their respective metrics on our GAAP Investment Portfolio ($ in thousands).
Previous wording
(c)Allocated equity represents the investment fair value less the associated securitized debt at fair value and financing arrangements, where applicable.
Current wording
(d)Allocated equity represents the investment fair value less the associated securitized debt at fair value and financing arrangements, where applicable.
Previous wording
(d)The leverage ratio on each asset class and on our investment portfolio represents Economic Leverage as defined below in the "Financing Activities" section and is calculated by dividing each investment type's total recourse financing arrangements less any cash posted as collateral by its equity invested inclusive of any cash collateral posted on financing arrangements. The Economic Leverage Ratio excludes any fully non-recourse financing arrangements and includes any net receivables or payables on TBAs. The leverage ratio on our GAAP Investment Portfolio represents GAAP leverage as defined below in the "Financing Activities" section.
Current wording
(e)The leverage ratio on each asset class and on our investment portfolio represents Economic Leverage as defined below in the "Financing Activities" section and is calculated by dividing each investment type's total recourse financing arrangements less any cash posted as collateral by its equity invested inclusive of any cash collateral posted on financing arrangements. The Economic Leverage Ratio excludes any fully non-recourse financing arrangements and includes any net receivables or payables on TBAs. The leverage ratio on our GAAP Investment Portfolio represents GAAP leverage as defined below in the "Financing Activities" section.
Previous wording
(f)Cash and cash equivalents may include a portion of cash invested in money market funds. The yield represents the interest earned on money market funds as of period end.
Current wording
(i)Cash and cash equivalents may include a portion of cash invested in money market funds. The yield represents the interest earned on money market funds as of period end.
Previous wording
(g)Interest rate swaps represents the sum of the net fair value of interest rate swaps and the margin posted on interest rate swaps as of period end. Yield on interest rate swaps represents the weighted average net receive/(pay) rate as of period end. The impact of the net interest component of interest rate swaps on the cost of funds is included within the respective investment portfolio asset line items.
Current wording
(j)Interest rate swaps represents the sum of the net fair value of interest rate swaps and the margin posted on interest rate swaps as of period end. Yield on interest rate swaps represents the weighted average net receive/(pay) rate as of period end. The impact of the net interest component of interest rate swaps on the cost of funds is included within the respective investment portfolio asset line items.
Previous wording
(h)Refer to the "Financing activities" section below for an aggregate breakout of leverage.
Current wording
(k)Refer to the "Financing activities" section below for an aggregate breakout of leverage.
Previous wording
As noted above, our investment activities primarily include acquiring and securitizing newly-originated residential mortgage loans. These securitization trusts ("Non-Agency VIEs") are collateralized by Non-Agency and Agency-Eligible Loans.
Current wording
As noted above, our investment activities primarily include acquiring and securitizing newly-originated residential mortgage loans. These securitization trusts ("Non-Agency VIEs"), as defined in Note 2 of the consolidated financial statements, are collateralized by Non-Agency and Agency-Eligible Loans.
Previous wording
(1)Interest Only have no principal balances and bear interest based on a notional balance. The notional balance is used solely to determine interest distributions on the interest only classes of securities. As of December 31, 2023 and 2022, the Securitized debt in Non-Agency VIEs line item includes interest only classes with notional balances of $133.8 million and $144.3 million, respectively. As of December 31, 2023 and 2022 the notional balance on Interest Only / Excess Servicing Bonds was $11.1 billion and $8.0 billion, respectively.
Current wording
(1)Interest Only 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. As of December 31, 2024 the Securitized debt in Non-Agency VIEs line item includes interest only classes with notional balances of $1.2 billion. As of December 31, 2024 the notional balance on Interest Only / Excess Servicing Bonds was $12.2 billion.
Showing the first 40 of 89 pairs. Open the source sections for the rest.
Rearranged current paragraphs (4)
Current report — wording carried from elsewhere
We define EAD, a non-GAAP financial measure, as Net Income/(loss) available to common stockholders excluding (i) (a) unrealized gains/(losses) on loans, real estate securities, derivatives and other investments, inclusive of our investment in AG
Current report — wording carried from elsewhere
Non-Agency RMBS and Legacy WMC CMBS
Current report — wording carried from elsewhere
Federal income tax law generally requires that a REIT distribute annually at least 90% of its REIT ordinary taxable income, without regard to the deduction for dividends paid and excluding net capital gains and that it pay tax at regular corporate rates to the extent that it annually distributes less than 100% of its net taxable income. Before we pay any dividend, whether for U.S.
Current report — wording carried from elsewhere
Series B Preferred Stock, and Series C Preferred Stock having an aggregate value of up to $20.0 million. No share repurchases under the Preferred Repurchase Program have been made since its authorization.
Rearranged previous paragraphs (11)
Previous report — wording carried elsewhere
The following tables present a summary of our investment portfolio, inclusive of net interest margin and leverage ratios, as of December 31, 2022 and a reconciliation of these metrics on our Investment Portfolio to their respective metrics on our GAAP Investment Portfolio ($ in thousands).
Previous report — wording carried elsewhere
(a)Excludes any net TBA positions.
Previous report — wording carried elsewhere
(c)Allocated equity represents the investment fair value less the associated securitized debt at fair value and financing arrangements, where applicable.
Previous report — wording carried elsewhere
(d)The leverage ratio on each asset class and on our investment portfolio represents Economic Leverage as defined below in the "Financing Activities" section and is calculated by dividing each investment type's total recourse financing arrangements less any cash posted as collateral by its equity invested inclusive of any cash collateral posted on financing arrangements. The Economic Leverage Ratio excludes any fully non-recourse financing arrangements and includes any net receivables or payables on TBAs. The leverage ratio on our GAAP Investment Portfolio represents GAAP leverage as defined below in the "Financing Activities" section.
Previous report — wording carried elsewhere
(e)Cash and cash equivalents may include a portion of cash invested in money market funds. The yield represents the interest earned on money market funds as of period end.
Previous report — wording carried elsewhere
(f)Interest rate swaps represents the sum of the net fair value of interest rate swaps and the margin posted on interest rate swaps as of period end. Yield on interest rate swaps represents the weighted average net receive/(pay) rate as of period end. The impact of the net interest component of interest rate swaps on the cost of funds is included within the respective investment portfolio asset line items.
Previous report — wording carried elsewhere
(g)Refer to the "Financing activities" section below for an aggregate breakout of leverage.
Previous report — wording carried elsewhere
The following table presents a reconciliation of our Investment Portfolio to our GAAP Investment Portfolio as of December 31, 2023 and 2022 ($ in thousands).
Previous report — wording carried elsewhere
(1)Weighted average life is based on projected life. Typically, actual maturities are shorter than stated contractual maturities. Maturities are affected by the contractual lives of the underlying mortgages, periodic payments of principal, and prepayments of principal.
Previous report — wording carried elsewhere
(1) Non-recourse financing arrangements include securitized debt and other non-recourse financing arrangements.
Previous report — wording carried elsewhere
Our most critical accounting policies include (i) Valuation of financial instruments, (ii) Accounting for loans, (iii) Accounting for real estate securities, (iv) Interest income recognition, (v) Financing arrangements, (vi) Investment consolidation, and (vii) Accounting for business combinations. For additional information related to our significant accounting policies, see Note 2 to the "Notes to Consolidated Financial Statements."