TPG Mortgage Investment Trust, Inc.
For the period ended Mar 31, 2025. Filed May 7, 2025.
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A company's report for each of its first three quarters. The financial statements are not audited. It shows how the business has moved since the last annual report, and what management says changed.
Mar 31, 2025 · Filed May 7, 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-Q
Period ended 2024-09-30; filed 2024-11-06.
0001514281-24-000155
Item 2. Management’s Discussion and Analysis of Financial Condition and Results of OperationsCurrent report: 10-Q
Period ended 2025-03-31; filed 2025-05-07.
0001514281-25-000062
Item 2. 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 304 previous paragraphs and 262 current paragraphs.
158 unchanged; 84 reworded; 18 added; 44 removed; 18 previous and 2 current paragraphs rearranged.
Tables are not compared: 37 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 (18)
Current report
•changes in trade policies and tariffs, together with any future downturns in the global economy or market disruptions resulting therefrom;
Current report
First Quarter 2025 Executive Summary
Current report
•$10.65 Book Value per share;
Current report
◦Increased our quarterly dividend from $0.19 per common share in the fourth quarter 2024, which represented a 5.3% increase.
Current report
The financial markets had a strong start to 2025 with stock prices rising and risk assets performing well, but remain sensitive to uncertainty surrounding inflation, fiscal policy, and monetary policy. In 2024, the Federal Reserve reduced the Federal Funds Rate by 100 basis points across three consecutive rate reductions that started in September 2024. At the March 2025 Federal Open Market Committee (“FOMC”) meeting, the Federal Reserve maintained interest rates at 4.5%, following a January pause. The economy showed resilience in the first quarter, with a strong labor market and moderating inflation, although it remained above the 2% target. The March Consumer Price Index reported 2.4% year-over-year inflation, with a slight rise in the unemployment rate to 4.2%. The Federal Reserve continues to maintain a cautious, yet increasingly dovish stance, employing a “wait-and-see” posture to obtain further confirmation from economic data before adjusting rates. The updated Summary of Economic Projections (“SEP”) revised the 2025 growth forecasts downwards, increased inflation and unemployment forecasts, and maintained its projection of two rate cuts totaling 50 basis points in 2025. During the first quarter, the 10-year U.S. Treasury yield dropped by 37 basis points to 4.21%, and the 30-year mortgage rate decreased by 20 basis points to 6.65%. The yield spread between the 2-year and 10-year U.S. Treasuries ended the quarter at a positive 32 basis points, consistent with the previous quarter end. Late in the first quarter and early April 2025, tariff announcements by the U.S. presidential administration caused sharp declines in risk assets and U.S. Treasury prices, pushing the 10-year U.S. Treasury yield up by nearly 50 basis points. A subsequent announcement to delay the tariffs for 90 days provided temporary relief, but economic uncertainty remains extremely elevated, with market participants navigating volatility and assessing the potential ongoing impact of recent events.
Current report
RMBS spreads were generally wider during the first quarter alongside broader risk markets and an influx of new issuance in March 2025. Senior Non-QM tranches widened by 25 basis points, while mezzanine and subordinate Non-QM tranches widened by 10 to 25 basis points. Senior prime jumbo spreads were 20 basis points wider while subordinate tranches tightened by 15 basis points as market participants sought out higher all-in yields available lower in the structure. 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 5 to 35 basis points wider with tranches higher in the structure widening the most. Compared to year-ago levels, residential credit spreads are mostly tighter, except for AAA Non-QM which is roughly 15 basis points wider. Credit curves remain relatively flat as the demand for subordinate tranches of credit continue to be robust, particularly amid higher benchmark rates.
Current report
Primary RMBS market activity was notably higher during the first quarter, at $39 billion, an increase of 14% compared to the fourth quarter of 2024 and 32% from year-ago levels. As has often been the case, the Non-QM sector saw the sharpest growth, followed by the Second Lien and Home Equity Lines of Credit sector. The latter has received a lot of press for its growth potential with estimates of $17 trillion tappable home equity, including $2 trillion belonging to conventional mortgage borrowers. Issuance of Prime Jumbo RMBS also increased while CRT issuance was little changed year-over-year. At nearly $14 billion, the Non-QM sector remained the most active sector, followed by Prime Jumbo ($7.9 billion), Second Liens and Home Equity Lines of Credit ($5 billion) and CRT ($2.7 billion). Primary agency-eligible investor RMBS issuance was approximately $2.1 billion in the first quarter. This quarter was the most active first quarter since 2022 when almost $55 billion of RMBS was issued, $13 billion of which was Non-QM.
Current report
The S&P CoreLogic Case-Shiller U.S. National Home Price Index was 3.9% higher year-over-year in February 2025, the latest data available, but has been little changed since establishing a new peak in July 2024. Regional price variations continued to exist, and on an annual basis, regions in the Northeast and Midwest continued to lead gains. New York City area home prices grew almost 8% from February 2024 to February 2025, with Chicago, Cleveland and Boston following with increases ranging from 6 to 7%. On the other hand, regions in California appreciated by a softer 3 to 4%, Dallas increased by only 0.9% and Tampa home prices declined by 1.5% over the same period. 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. The average of the 2025 home price appreciation forecasts is approximately 1.5% to 2%, with a range of -2% to +3.4%.
Current report
Total existing home inventory was around 1.33 million units in March 2025, the latest data available, and the most available inventory at this point of the year since March 2020. The growth in inventory is positive for homebuyers, however when evaluating new listings, which are a timelier barometer of activity, inventory is slightly better year-over-year but remains 15% below average year-to-date listings in February from 2015 to 2022. This reduced level of activity follows an annual shortage of over 1 million new listings in each of 2023 and 2024 compared to annual activity in 2015 to 2019 as well as pandemic-affected 2020 to 2022, underscoring the limited supply theme.
Current report
(2)Estimated excise tax expense of $0.1 million was recognized during the three months ended March 31, 2025. We did not recognize any excise tax during the three months ended March 31, 2024.
Current report
Transaction related expenses primarily include expenses associated with purchasing and securitizing residential mortgage loans. Transaction related expenses were relatively consistent from the three months ended March 31, 2024 to the three months ended March 31, 2025 as we executed one securitization in each period.
Current report
Securitized Debt
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
On May 5, 2025, our stockholders approved our Equity Incentive Plan (the “2025 Equity Incentive Plan”) at our 2025 annual meeting of stockholders (the “2025 Annual Meeting”). The 2025 Equity Incentive Plan replaces the Company’s 2020 Equity Incentive Plan. Refer to Note 14 to the “Notes to Consolidated Financial Statements (unaudited)” for additional details.
Current report
We conduct our operations such that we will not be considered an investment company under Section 3(a)(1) of the Investment Company Act by complying with the 40% Test and not engaging primarily (or holding ourselves out as being engaged primarily) in the business of investing, reinvesting, or trading in securities. Rather, through wholly-owned or majority-owned subsidiaries, we are primarily engaged in the non-investment company businesses of these subsidiaries, namely the real estate finance business of purchasing or otherwise acquiring mortgage loans and other interests in real estate.
Current report
We currently have several subsidiaries that rely on the exclusion provided by Section 3(c)(7) of the Investment Company Act, each a "3(c)(7) subsidiary." In addition, we currently have several subsidiaries that rely on the exclusion provided by Section 3(c)(5)(C) of the Investment Company Act, each a "3(c)(5)(C) subsidiary."
Current report
While investments in 3(c)(7) subsidiaries are considered investment securities for the purposes of the 40% Test, investments in 3(c)(5)(C) subsidiaries are not considered investment securities for the purposes of the 40% Test, nor are investments in subsidiaries that rely on the exclusion provided by Section 3(a)(1)(C). Therefore, our investments in 3(c)(7) subsidiaries and other investment securities cannot exceed 40% of the value of our total assets (excluding U.S. government securities and cash) on an unconsolidated basis.
Current report
The determination that we qualify for this exemption from being regulated as an investment company depends on various factual matters and circumstances. We closely monitor our holdings to ensure continuing and ongoing compliance with these tests. If we failed to comply with the 40% Test or another exemption under the Investment Company Act and became regulated as an investment company, our ability to, among other things, use leverage would be substantially reduced and, as a result, we would be unable to conduct our business as described in this report.
Removed paragraphs (44)
Previous report
•our ability to realize all of the expected benefits of the acquisition of Western Asset Mortgage Capital Corporation ("WMC") or that such benefits may take longer to realize than expected (including because we incurred significant costs associated with such acquisition);
Previous report
Third Quarter 2024 Executive Summary
Previous report
•$10.58 Book Value per share;
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◦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 report
•Subsequent to quarter end:
Previous report
•The Company paid off the remaining $79.1 million principal amount outstanding of 6.75% convertible notes ("Legacy WMC Convertible Notes") at maturity in September 2024.
Previous report
WMC Acquisition
Previous report
On December 6, 2023, (the "Closing Date") we completed our acquisition of WMC. On the Closing Date, WMC merged with and into AGMIT Merger Sub, LLC, a Delaware limited liability company and our wholly owned subsidiary ("Merger Sub"), with Merger Sub continuing as the surviving company (the "Merger"). As contemplated by the Agreement and Plan of Merger, dated as of August 8, 2023 (the “Merger Agreement”), the certificate of merger was filed with the Secretary of State of the State of Delaware, and the Merger was effective at 8:15 a.m., Eastern Time, on the Closing Date (the "Effective Time").
Previous report
Pursuant to the terms and subject to the conditions set forth in the Merger Agreement, at the Effective Time, each outstanding share of WMC common stock, par value $0.01 per share (“WMC Common Stock”), was converted into the right to receive the following (the “Per Share Merger Consideration”): (i) from us, 1.498 shares of our common stock; and (ii) from our Manager, a cash amount equal to $0.92 (the “Per Share Additional Manager Consideration”). No fractional shares of our common stock were issued in the Merger, and the value of any fractional interests to which a former holder of WMC Common Stock was otherwise entitled was paid in cash.
Previous report
Additionally, each outstanding share of WMC’s restricted common stock and each WMC restricted stock unit (each, a “WMC Equity Award”) vested in full immediately prior to the Effective Time and, as of the Effective Time, was considered outstanding for all purposes of the Merger Agreement, including the right to receive the Per Share Merger Consideration, except that WMC Equity Awards granted to certain members of the WMC board of directors at WMC’s 2023 annual stockholders’ meeting (collectively, the “2023 WMC Director Awards”) were treated as follows: (i) for M. Christian Mitchell and Lisa G. Quateman, who were appointed to our Board of Directors as of the Effective Time, the 2023 WMC Director Awards were equitably adjusted effective as of the Effective Time into awards relating to shares of our common stock that have the same value, vesting terms and other terms and conditions as applied to the corresponding WMC restricted stock units immediately prior to the Effective Time and (ii) for the other members of the WMC board of directors, the 2023 WMC Director Awards accelerated and vested pro-rata effective as of immediately prior to the Effective Time based on a fraction, the numerator of which was 166 (the number of days between the grant date and the Closing Date) and the denominator of which was 365, and the remaining unvested portion of such 2023 WMC Director Awards was cancelled without any consideration.
Previous report
The issuance of shares of our common stock to the former stockholders of WMC was registered under the Securities Act, pursuant to a registration statement on Form S-4 (File No. 333-274319), as amended, filed by MITT with the Securities and Exchange Commission (the “SEC”) and declared effective on September 29, 2023 (the “Registration Statement”). The joint proxy statement/prospectus included in the Registration Statement contains additional information about the Merger, the Merger Agreement and the transactions contemplated thereby.
Previous report
Pursuant to the Merger Agreement, approximately 9.2 million shares of our common stock were issued in connection with the Merger to former WMC common stockholders, and former WMC common stockholders owned approximately 31% of the common equity of MITT as the combined company following the consummation of the Merger.
Previous report
The financial markets have been, and will likely continue to remain, volatile given the overall market uncertainty related to inflation, the U.S. presidential election, 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 September 18, 2024, the Federal Reserve lowered the target range for the Federal Funds Rate by 50 basis points to 4.75% to 5.00%, the first decline in four years. The Federal Reserve noted that the decrease was supported by greater confidence that inflation is moving sustainably toward 2% with the risks to achieving its employment and inflation goals being roughly in balance. As of September 2024, the Consumer Price Index report indicated inflation was 2.4% year over year with the unemployment rate remaining at 4.1%. During the third quarter, the 10-year U.S. treasury yield decreased by approximately 62 basis points to 3.79% and the 30-year mortgage rate decreased by approximately 78 basis points to 6.1%. The quarter ended with the spread between the 2-year and 10-year U.S. treasury yields at approximately 14 basis points positive sloping, re-establishing a normal yield curve. Despite the decline in benchmark and mortgage rates during the third quarter, this momentum reversed in the months of October and November. Upon the Republican party winning the U.S. presidential election, stock markets experienced notable increases, the U.S. dollar strengthened, and benchmark rates increased continuing the themes of market uncertainty and volatility which could impact our industry. The latest Federal Open Market Committee member median projection for the path of the Federal Funds Rate indicates 50 basis points of further rate cuts across the remaining two Federal Open Market Committee meetings this year followed by 100 basis points of rate cuts in 2025. Overall, the Federal Reserve continues to monitor available economic data to determine if they will continue rate cuts and to what extent rates will decline.
Previous report
RMBS spreads continued to tighten during the third quarter, and credit curves remained relatively flat. Pricing dynamics have been supported by strong investor interest for mortgage credit assets given high quality underwriting, rising home values and low housing supply. 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 tightened by 10 to 35 basis points. Senior and mezzanine (BBB) Non-QM tranches tightened by 5 basis points, while the subordinate BB rated tranches tightened by 20 basis points.
Previous report
Primary RMBS market activity increased during the third quarter, totaling approximately $36 billion, an increase of 7% quarter-over-quarter and 88% against year-ago activity. The Non-QM sector ($11 billion) and Prime Jumbo sector ($8 billion) collectively comprised over half of the quarter’s new issuance. Additionally, issuance of RMBS backed by second liens and Home Equity Loans held steady, totaling over $3 billion, or 9% of the quarter’s activity, as focus has shifted to this rapidly expanding sector. Residential Transition Loan RMBS totaled over $1.9 billion or 5% of third quarter issuance as well. Year-to-date, primary RMBS activity is just below $100 billion, surpassing all of 2023.
Previous report
The rise in the S&P CoreLogic Case-Shiller U.S. National Home Price Index persisted through July 2024. The Index was higher by 5% both year-to-date and year-over-year, but regionally, home price performance has been somewhat varied. Amid the rise in actual home prices, national home price expectations from third party research has generally reset higher with the average of the 2024 forecasts now approximating +3.5% and an average forecast for 2025 of +3%.
Previous report
Total existing home listings continued to rise to 1.35 million in August, the highest reading since the fourth quarter of 2020. However, new listings are trending short of annual activity in 2015 through 2019, as well as the pandemic-affected years of 2020 through 2022. From January 1, 2024 through August of 2024, approximately 3.1 million new listings came to market, almost 900 thousand fewer new listings than the same periods in 2015 through 2022.
Previous report
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. Transaction related expenses decreased from the three months ended September 30, 2023 to the three months ended September 30, 2024 primarily due to less expenses associated with securitizations and, for the three months ended September 30, 2023, we incurred $4.9 million of transaction expenses attributable to the WMC acquisition.
Previous report
Nine Months Ended September 30, 2024 compared to the Nine Months Ended September 30, 2023
Previous report
Interest income
Previous report
Interest income increased from the nine months ended September 30, 2023 to the nine months ended September 30, 2024 primarily as a result of an increased investment portfolio resulting from the WMC acquisition in December 2023 along with purchases of residential mortgage loans during the period and an increase in the weighted average yield of our investment portfolio. The following table presents a summary of the weighted average amortized cost of and the weighted average yield on our GAAP investment portfolio ($ in millions).
Previous report
Interest expense
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Net realized gain/(loss)
Previous report
The following table presents a summary of Net realized gain/(loss) for the nine months ended September 30, 2024 and 2023 (in thousands). The realized loss during the nine months ended September 30, 2024 was primarily driven by losses from unwinding pay-fix, receive-variable interest rate swaps which were held at unrealized losses, offset by gains on the sales of Agency RMBS and Non-Agency RMBS.
Previous report
Net unrealized gain/(loss)
Previous report
Management fee to affiliate
Previous report
During the nine months ended September 30, 2024, the base management fee was reduced by $1.8 million in connection with the WMC acquisition. This was offset by an increase in stockholders' equity as calculated pursuant to the management agreement as a result of the WMC acquisition.
Previous report
Non-investment related expenses
Previous report
(1)For the nine months ended September 30, 2024, the Manager agreed to waive its right to receive expense reimbursements of $0.9 million pursuant to the MITT Management Agreement Amendment executed in connection with the Merger. Of the $1.3 million expense reimbursement waiver agreed upon in connection with the Merger, $0.2 million remains outstanding as of September 30, 2024.
Previous report
Investment related expenses
Previous report
The following table presents a summary of our investment related expenses (in thousands). The WMC acquisition in December 2023 resulted in an increase in our residential mortgage loan portfolio of $1.1 billion of unpaid principal balance, which contributed to an increase in investment related expenses.
Previous report
Transaction related expenses
Previous report
Transaction related expenses decreased from the nine months ended September 30, 2023 to the nine months ended September 30, 2024 primarily due to less expenses associated with securitizations and, for the nine months ended September 30, 2023, we incurred $4.9 million of transaction expenses attributable to the WMC acquisition.
Previous report
(2)Decrease in Land Related Financing as assets held within LOTS paid off in full during 2023.
Previous report
Dividends on Preferred Stock
Previous report
In December 2023, through our acquisition of WMC, we increased our investment portfolio by $1.2 billion, which primarily consisted of Securitized Non-Agency Loans. For more information on the WMC acquisition, refer to "WMC Acquisition" above and the section entitled "WMC Acquisition" in Note 1 to the "Notes to Consolidated Financial Statements (unaudited)."
Previous report
(j)Refer to the "Financing activities" section below for an aggregate breakout of leverage.
Previous report
Non-Agency RMBS and Legacy WMC CMBS & Other Securities
Previous report
The following table presents the collateral type of our Non-Agency RMBS and Legacy WMC CMBS portfolio as of September 30, 2024 (in thousands).
Previous report
(1)The current face on our Non-Agency RMBS excludes interest only classes which have no principal balances and bear interest based on a notional value. The notional value is used solely to determine interest distributions on the interest only classes of securities. As of September 30, 2024, the notional value of interest only classes included in the Non-QM Loans, Re-and Non-Performing Loans, and Prime line items was $362.1 million, $21.5 million, and $81.4 million, respectively.
Showing the first 40 of 44 passages. Open the source sections for the rest.
Reworded paragraphs (84)
Previous wording
In this quarterly report on Form 10-Q, or this "report," we refer to AG Mortgage Investment Trust, Inc. as "we," "us," the "Company," or "our," unless we specifically state otherwise or the context indicates otherwise. We refer to our external manager, AG REIT Management, LLC, as our "Manager," and we refer to the direct parent company of our Manager, Angelo, Gordon & Co., L.P., as "TPG Angelo Gordon."
Current wording
In this quarterly report on Form 10-Q, or this "report," we refer to AG Mortgage Investment Trust, Inc. and its wholly-owned subsidiaries as "we," "us," the "Company," or "our," unless we specifically state otherwise or the context indicates otherwise. We refer to our external manager, AG REIT Management, LLC, as our "Manager," and we refer to the direct parent company of our Manager, Angelo, Gordon & Co., L.P., as "TPG Angelo Gordon."
Previous wording
•the persistence of labor shortages, supply chain imbalances, the Israel-Hamas conflict, Russia’s invasion of Ukraine, inflation, and the potential for an economic recession;
Current wording
•the persistence of labor shortages, supply chain imbalances, the Middle Eastern conflict, the Russia-Ukraine conflict, inflation, and the potential for an economic recession;
Previous wording
•conditions in the market for Residential Investments and Agency RMBS;
Current wording
•conditions in the market for residential mortgage investments and Agency RMBS;
Previous wording
•conditions in the market for commercial investments, including the Company's ability to successfully realize the commercial investments acquired from WMC within the timeframe anticipated or at all;
Current wording
•conditions in the market for commercial investments, including the Company's ability to successfully realize the commercial investments acquired from Western Asset Mortgage Capital Corporation ("WMC") within the timeframe anticipated or at all;
Previous wording
•$0.40 of Net Income/(Loss) Available to Common Stockholders per diluted common share and $0.17 of Earnings Available for Distribution ("EAD") per diluted common share;
Current wording
•$0.21 of Net Income/(Loss) Available to Common Stockholders per diluted common share and $0.20 of Earnings Available for Distribution ("EAD") per diluted common share;
Previous wording
•11.8x GAAP Leverage Ratio and 1.5x Economic Leverage Ratio; and
Current wording
•12.4x GAAP Leverage Ratio and 1.6x Economic Leverage Ratio; and
Previous wording
•$0.19 dividend per common share declared.
Current wording
•$0.20 dividend per common share declared in the first quarter 2025;
Previous wording
(2)During the third quarter, we co-sponsored a rated securitization collateralized by $360.7 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 securitization. Upon evaluating our retained interest in the securitization trust, we determined we were not the primary beneficiary and, as a result, did not consolidate the securitization trust and recorded an investment of $51.0 million of Non-Agency RMBS.
Current wording
(1)During the first quarter 2025, we co-sponsored a rated securitization collateralized by $491.8 million of unpaid principal balance of Home Equity Loans. As the co-sponsor, the Company retained an "eligible vertical interest" to comply with applicable risk retention rules. Upon evaluating our retained interest in the securitization trust, we determined we were not the primary beneficiary and, as a result, did not consolidate the securitization trust and recorded an investment of $26.0 million of Non-Agency RMBS.
Previous wording
◦On October 25, 2024, sold Home Equity Loans with an unpaid principal balance of $48.9 million. These loans were recorded within the "Residential mortgage loans, at fair value" line item on the consolidated balance sheets as of September 30, 2024.
Current wording
•In April 2025, the Company sold Agency-Eligible Loans for gross proceeds of $37.3 million. These loans were recorded within the "Residential mortgage loans, at fair value" line item on the consolidated balance sheets as of March 31, 2025.
Previous wording
•Executed a rated securitization of Agency-Eligible Loans with a total unpaid principal balance of $390.8 million, converting recourse financing with mark-to-market margin calls to non-recourse financing without mark-to-market margin calls; and
Current wording
•Executed a rated securitization of Agency-Eligible Loans with a total unpaid principal balance of $423.3 million, converting recourse financing with mark-to-market margin calls to non-recourse financing without mark-to-market margin calls.
Previous wording
We focus our investment activities primarily on acquiring and securitizing newly-originated residential mortgage loans within the non-agency segment of the housing market. We obtain our assets through Arc Home, LLC ("Arc Home"), our residential mortgage loan originator in which we own an approximate 44.6% interest, and through other third-party origination partners. We finance our acquired loans through various financing lines on a short-term basis and utilize TPG Angelo Gordon's proprietary securitization platform to secure long-term, non-recourse, non-mark-to-market financing as market conditions permit. Through our ownership in Arc Home, we also have exposure to mortgage banking activities. Arc Home is a multi-channel licensed mortgage originator and servicer primarily engaged in the business of originating and selling residential mortgage loans.
Current wording
We focus our investment activities primarily on acquiring and securitizing newly-originated residential mortgage loans within the non-agency segment of the housing market. We obtain our assets through Arc Home, LLC ("Arc Home"), our residential mortgage loan originator in which we own an approximate 44.6% interest, and through other third-party origination partners. We finance our acquired loans through various financing lines on a short-term basis and utilize TPG Angelo Gordon's proprietary securitization platform to secure long-term, non-recourse, non-mark-to-market financing as market conditions permit. Through our ownership in Arc Home, we also have exposure to mortgage banking activities. Arc Home is a multi-channel licensed mortgage originator and servicer primarily engaged in the business of originating and selling residential mortgage loans while retaining the mortgage servicing rights associated with certain loans that it originates.
Previous wording
On December 6, 2023, we acquired Western Asset Mortgage Capital Corporation, an externally managed mortgage REIT that focused on investing in, financing and managing a portfolio of residential mortgage loans, real estate related securities, and commercial real estate loans. Through this acquisition, we increased our investment portfolio by $1.2 billion, which primarily consisted of Securitized Non-Agency Loans. For more information, refer to the "WMC Acquisition" section below.
Current wording
On December 6, 2023, the Company acquired Western Asset Mortgage Capital Corporation ("WMC"), an externally managed mortgage REIT that focused on investing in, financing and managing a portfolio of residential mortgage loans, real estate related securities, and commercial real estate loans.
Previous wording
In addition, our investment portfolio includes commercial loans, commercial-mortgage backed securities ("CMBS") and other securities (collectively, the "Legacy WMC Commercial Investments") that were acquired in the WMC acquisition. The Legacy WMC commercial loans primarily include first lien commercial mortgage loan participations and are included in the "Commercial loans, at fair value" line item on the consolidated balance sheets. The Legacy WMC CMBS primarily include fixed-rate and floating-rate CMBS, secured by, or evidencing an ownership interest in, a single commercial mortgage loan or a pool of commercial mortgage loans, and are included in the "Real estate securities, at fair value" line item on the consolidated balance sheets. We expect to either hold the Legacy WMC Commercial Investments until maturity or opportunistically exit these investments.
Current wording
In addition, our investment portfolio includes commercial loans and commercial-mortgage backed securities ("CMBS") (collectively, the "Legacy WMC Commercial Investments") that were acquired in the WMC acquisition. The Legacy WMC commercial loans include first lien commercial mortgage loan participations and are included in the "Commercial loans, at fair value" line item on the consolidated balance sheets. The Legacy WMC CMBS primarily include fixed-rate and floating-rate CMBS, secured by, or evidencing an ownership interest in, a single commercial mortgage loan or a pool of commercial mortgage loans, and are included in the "Real estate securities, at fair value" line item on the consolidated balance sheets. We expect to either hold the Legacy WMC Commercial Investments until maturity or opportunistically exit these investments.
Previous wording
Our primary sources of income are net interest income from our investment portfolio, changes in the fair value of our investments, and income from our investment in Arc Home. Net interest income consists of the interest income we earn on investments less the interest expense we incur on borrowed funds and any costs or benefits related to hedging. Income from our investment in Arc Home is generated through its mortgage banking activities which represents the origination and subsequent sale of residential mortgage loans and servicing income sourced from its portfolio of mortgage servicing rights.
Current wording
Our sources of income include net interest income from our investment portfolio, changes in the fair value of our investments, and income from our investment in Arc Home. Net interest income consists of the interest income we earn on investments less the interest expense we incur on borrowed funds and any costs or benefits related to hedging. Income from our investment in Arc Home is generated through its mortgage banking activities which represents the origination and subsequent sale of residential mortgage loans and servicing income sourced from its portfolio of mortgage servicing rights.
Previous wording
On November 1, 2023, TPG completed the previously announced acquisition of TPG Angelo Gordon (the "TPG Transaction"), pursuant to which TPG Angelo Gordon, including our Manager, became indirect subsidiaries of TPG. Pursuant to the management agreement with our Manager, the closing of the TPG Transaction resulted in an assignment of the management agreement. The independent directors of our Board of Directors unanimously consented to such assignment on July 31, 2023 in advance of the TPG Transaction closing. There were no changes to the management agreement in connection with the TPG Transaction and the assignment of the management agreement became effective upon the closing of the TPG Transaction.
Current wording
On November 1, 2023, TPG acquired TPG Angelo Gordon (the "TPG Transaction"), pursuant to which TPG Angelo Gordon, including our Manager, became indirect subsidiaries of TPG. Pursuant to the management agreement with our Manager, the closing of the TPG Transaction resulted in an assignment of the management agreement. The independent directors of our Board of Directors unanimously consented to such assignment on July 31, 2023 in advance of the TPG Transaction closing. There were no changes to the management agreement in connection with the TPG Transaction and the assignment of the management agreement became effective upon the closing of the TPG Transaction.
Previous wording
Prevailing mortgage rates fell sharply in the third quarter near 6% before rebounding to 6.4% in mid-October. Rates rose back above 7% during the second quarter of 2024 but descended quickly in August and September, according to Freddie Mac Primary Mortgage Market Survey. The effective mortgage rate outstanding was 3.92% as of June 2024, the latest data available, 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 60 basis points since March 2022.
Current wording
Prevailing mortgage rates held steady in January and most of February, hovering around high-6% to 7%, before declining to end the quarter at 6.65%, according to the Freddie Mac Primary Mortgage Market Survey. Amid market volatility following the April 2nd “Liberation Day” tariff announcements, mortgage rate locks fell to as low as 6.5% before reapproaching 7%, based on third party data. The effective mortgage rate outstanding continued to steadily inch higher, reaching 4.03% during the fourth quarter of 2024, the latest data available. This rate, which measures the rate on outstanding mortgage debt, is approximately 70 basis points higher than the low established at the end of the second quarter of 2022 but still remains well below prevailing rates, underscoring the stickiness of the “lock-in effect,” or disincentive for existing homeowners to sell their homes because their current mortgage rate is well below current market rates.
Previous wording
•"Real estate securities" refers to our Non-Agency RMBS and Agency RMBS, inclusive of TBAs, as well as Legacy WMC CMBS and Other Securities that were acquired in the WMC acquisition.
Current wording
•"Real estate securities" refers to our Non-Agency RMBS and Agency RMBS, inclusive of TBAs, as well as Legacy WMC CMBS that were acquired in the WMC acquisition.
Previous wording
•Our"GAAP Investment portfolio" includes our GAAP Residential Investments, Agency RMBS, and Legacy WMC Commercial Investments and Other Securities.
Current wording
•Our"GAAP Investment portfolio" includes our GAAP Residential Investments, Agency RMBS, and Legacy WMC Commercial Investments.
Previous wording
The below table details book value per common share. Book value is calculated using stockholders’ equity less the liquidation preference of $228.0 million on our issued and outstanding preferred stock. Per share amounts for book value are calculated using all outstanding common shares in accordance with GAAP as of quarter-end.
Current wording
The below table details book value per common share (in thousands, except per share data). Per share amounts for book value are calculated using all outstanding common shares in accordance with GAAP as of quarter-end.
Previous wording
Interest income increased from the three months ended September 30, 2023 to the three months ended September 30, 2024 primarily as a result of an increased investment portfolio resulting from the WMC acquisition in December 2023 along with purchases of residential mortgage loans during the period and an increase in the weighted average yield of our investment portfolio. The following table presents a summary of the weighted average amortized cost of and the weighted average yield on our GAAP investment portfolio ($ in millions).
Current wording
Interest income increased from the three months ended March 31, 2024 to the three months ended March 31, 2025 primarily as a result of purchases of residential mortgage loans and non-agency RMBS during the period 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 ($ in millions).
Previous 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.
Current wording
Interest expense is inclusive of our financing cost related to our financing arrangements on our GAAP investment portfolio, securitized debt, Senior Unsecured Notes, and, for 2024, Legacy WMC Convertible Notes.
Previous wording
Interest expense increased from the three months ended September 30, 2023 to the three months ended September 30, 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 period. 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 on our GAAP investment portfolio ($ in millions).
Current wording
Interest expense increased from the three months ended March 31, 2024 to the three months ended March 31, 2025 due to an increase in the GAAP financing balance outstanding resulting from the issuance of securitized debt and Senior Unsecured Notes during the period, offset by the repayment of the Legacy WMC Convertible Notes upon maturity in September 2024. 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 on our GAAP investment portfolio ($ in millions).
Previous wording
We recorded income on the net interest component of interest rate swaps during the nine months ended September 30, 2024 and 2023 as a result of our swap portfolio being in a net receive position. Interest income increased from the nine months ended September 30, 2023 to the nine months ended September 30, 2024 as a result of an increase in the net weighted average notional balance along with an increase in the net weighted average receive rate during the nine months ended September 30, 2024 compared with the nine months ended September 30, 2023. The following table presents a summary of our interest rate swap portfolio as of September 30, 2024 and 2023 ($ in millions).
Current wording
We recorded income on the net interest component of interest rate swaps during the three months ended March 31, 2025 and 2024 as a result of our swap portfolio being in a net receive position during the periods. The decrease in income from the three months ended March 31, 2024 to the three months ended March 31, 2025 was the result of a decrease in the notional balance outstanding during the period and a decrease in the weighted average receive rate. The following table presents a summary of our interest rate swap portfolio as of March 31, 2025 and 2024 ($ in millions).
Previous wording
The following table presents a summary of Net realized gain/(loss) for the three months ended September 30, 2024 and 2023 (in thousands). The realized loss during the three months ended September 30, 2024 was primarily driven by losses on unwinding pay-fix, receive-variable interest rate swaps which were held at unrealized losses, offset by gains on the sales of Agency RMBS.
Current wording
The following table presents a summary of Net realized gain/(loss) for the three months ended March 31, 2025 and 2024 (in thousands). During the three months ended March 31, 2025, there were gains on unwinding pay-fix, receive-variable interest rate swaps which were held at unrealized gains, offset by losses on the sales of residential mortgage loans.
Previous wording
The following table presents a summary of Net unrealized gain/(loss) for the three months ended September 30, 2024 and 2023 (in thousands). During the three months ended September 30, 2024, there were unrealized gains on our residential mortgage loans and Non-Agency RMBS which were offset by unrealized losses on securitized debt and interest rate swaps.
Current wording
The following table presents a summary of Net unrealized gain/(loss) for the three months ended March 31, 2025 and 2024 (in thousands). During the three months ended March 31, 2025, there were unrealized gains on our residential mortgage loans and Non-Agency RMBS which were offset by unrealized losses on securitized debt, commercial loans, and interest rate swaps.
Previous wording
Our management fee is based upon a percentage of our Stockholders’ Equity. See the "Contractual obligations" section of this Item 2 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). During the three months ended September 30, 2024, the base management fee was reduced by $0.6 million. 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 Item 2 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). During the three months ended March 31, 2024, the base management fee was reduced by $0.6 million.
Previous wording
(1)For the three months ended September 30, 2024, the Manager agreed to waive its right to receive expense reimbursements of $0.3 million pursuant to the MITT Management Agreement Amendment executed in connection with the Merger. Of the $1.3 million expense reimbursement waiver agreed upon in connection with the Merger, $0.2 million remains outstanding as of September 30, 2024.
Current wording
(1)For the three months ended March 31, 2024, the Manager agreed to waive its right to receive expense reimbursements of $0.3 million pursuant to the MITT Management Agreement Amendment executed in connection with the WMC acquisition.
Previous 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 WMC acquisition in December 2023 resulted in an increase in our residential mortgage loan portfolio of $1.1 billion of unpaid principal balance, which contributed to an increase in investment related expenses. The following table presents a summary of our investment related expenses (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 (in thousands).
Previous wording
(1)For the three months ended September 30, 2024, the earnings/(loss) generated from our investment in MATT Non-QM Securities consisted of interest income of $0.6 million and net unrealized losses of $(1.7) million. For the three months ended September 30, 2023, the earnings/(loss) generated from our investment in MATT Non-QM Securities consisted of net interest income of $1.1 million, interest expense of $(0.2) million, and net unrealized gains of $1.7 million.
Current wording
(1)For the three months ended March 31, 2025, the earnings/(loss) generated from our investment in MATT Non-QM Securities consisted of interest income of $0.6 million and net unrealized losses of $(0.7) million. For the three months ended March 31, 2024, the earnings/(loss) generated from our investment in MATT Non-QM Securities consisted of interest income of $0.8 million, net unrealized gains of $1.5 million, and other expenses of $(0.1) million.
Previous wording
(1)The earnings/(loss) at AG Arc during the three months ended September 30, 2024 were the result of $(0.1) million related to changes in the fair value of the MSR portfolio held by Arc Home and $(0.1) million of losses related to Arc Home's lending and servicing operations. The earnings/(loss) at AG Arc during the three months ended September 30, 2023 were primarily the result of $(0.4) million of losses related to changes in the fair value of the MSR portfolio held by Arc Home, offset by $0.3 million of income related to Arc Home's lending and servicing operations.
Current wording
(1)The earnings/(loss) at AG Arc during the three months ended March 31, 2025 were the result of $0.2 million of income related to Arc Home's lending and servicing operations, offset by $(0.1) million of losses related to changes in the fair value of the MSR portfolio held by Arc Home. The earnings/(loss) at AG Arc during the three months ended March 31, 2024 were primarily the result of $(0.2) million of losses related to Arc Home's lending and servicing operations, offset by $0.1 million related to changes in the fair value of the MSR portfolio held by Arc Home.
Previous wording
(3)The earnings recognized by AG Arc do not include our portion of gains recorded by Arc Home in connection with the sale of residential mortgage loans to us. Refer to Note 10 to the "Notes to Consolidated Financial Statements (unaudited)" for more information on this accounting policy.
Current wording
(2)The earnings recognized by AG Arc do not include our portion of gains recorded by Arc Home in connection with the sale of residential mortgage loans to us. Refer to Note 10 to the "Notes to Consolidated Financial Statements (unaudited)" for more information on this accounting policy.
Previous wording
(2)As of September 30, 2024, the fair value of our investment in Arc Home was calculated using a valuation multiple of 0.95x of book value, which was increased from 0.94x of book value as of June 30, 2024. As of September 30, 2023, the fair value of our investment in Arc Home was calculated using a valuation multiple of 0.89x of book value, which was reduced from 0.94x of book value as of June 30, 2023.
Current wording
(3)As of March 31, 2025, the fair value of our investment in Arc Home was calculated using a valuation multiple of 1.00x of book value, which increased from 0.95x of book value as of December 31, 2024. As of March 31, 2024, the fair value of our investment in Arc Home was calculated using a valuation multiple of 0.89x of book value, which was consistent with the valuation multiple as of December 31, 2023.
Previous wording
A reconciliation of "Net Income/(loss) available to common stockholders" to EAD for the three and nine months ended September 30, 2024 and 2023 is set forth below (in thousands, except per share data).
Current wording
A reconciliation of "Net Income/(loss) available to common stockholders" to EAD for three months ended March 31, 2025 and 2024 is set forth below (in thousands, except per share data).
Previous wording
(1)For the three months ended September 30, 2024 and 2023, total transaction related expenses and deal related performance fees included $0.7 million and $7.6 million, respectively, recorded within the "Transaction related expenses" line item and $25 thousand and $9 thousand, respectively, recorded within the "Interest expense" line item, which relates to the amortization of deferred financing costs. For the nine months ended September 30, 2024 and 2023, total transaction related expenses and deal related performance fees included $2.2 million and $9.7 million, respectively, recorded within the "Transaction related expenses" line item and $0.1 million and $0.2 million, respectively, recorded within the "Interest expense" line item, which relates to the amortization of deferred financing costs.
Current wording
(1)For the three months ended March 31, 2025 and 2024, total transaction related expenses and deal related performance fees included $1.1 million and $1.0 million, respectively, recorded within the "Transaction related expenses" line item and $83 thousand and $24 thousand, respectively, recorded within the "Interest expense" line item, which relates to the amortization of deferred financing costs.
Previous wording
(2)For the three months ended September 30, 2024 and 2023, $32 thousand or $0.00 per share and $0.4 million or $0.02 per share, respectively; and for the nine months ended September 30, 2024 and 2023, $1.6 million or $0.05 per share and $1.2 million or $0.06 per share, respectively, of realized and unrealized changes in the fair value of Arc Home's net mortgage servicing rights and corresponding derivatives, and other asset impairments were excluded from EAD, net of deferred tax expense or benefit. Additionally, for the three months ended September 30, 2024 and 2023, $0.8 million or $0.03 per share and $(1.9) million or $(0.09) per share, respectively; and for the nine months ended September 30, 2024 and 2023, $2.5 million or $0.08 per share and $(1.7) million or $(0.08) 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 three months ended March 31, 2025 and 2024, $(49.0) thousand or $0.00 per share and $0.9 million or $0.03 per share, respectively, of realized and unrealized changes in the fair value of Arc Home's mortgage servicing rights, transaction related expenses, and other asset impairments were excluded from EAD, net of deferred tax expense or benefit.
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 three months ended September 30, 2024 and 2023, we eliminated $0.4 million or $0.01 per share and $0.8 million or $0.04 per share, respectively, of intra-entity profits recognized by Arc Home, and also decreased the cost basis of the underlying loans we purchased by the same amount. For the nine months ended September 30, 2024 and 2023, we eliminated $1.0 million or $0.03 per share and $1.1 million or $0.06 per share, respectively, of intra-entity profits recognized by Arc Home, and also decreased the cost basis of the underlying loans we purchased by the same amount. Refer to Note 10 to the "Notes to Consolidated Financial Statements (unaudited)" for more information on this accounting policy.
Current wording
(4)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 three months ended March 31, 2025 and 2024, we eliminated $88.0 thousand or $0.00 per share and $0.2 million or $0.01 per share, respectively, of intra-entity profits recognized by Arc Home, and also decreased the cost basis of the underlying loans we purchased by the same amount. Refer to Note 10 to the "Notes to Consolidated Financial Statements (unaudited)" for more information on this accounting policy.
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 cost 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 cost 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 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 amortized cost of securitized debt and senior unsecured notes at quarter-end.
Previous wording
The following tables present a summary of our Investment Portfolio, inclusive of net interest margin and leverage ratios, as of September 30, 2024 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 March 31, 2025 and a reconciliation of these metrics on our Investment Portfolio to their respective metrics on our GAAP Investment Portfolio ($ in thousands).
Previous wording
(b)As of September 30, 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 September 30, 2024 was 6.00%.
Current wording
(b)The weighted average yields are calculated based on the amortized cost of the underlying loans and securities.
Previous wording
(c)The cost of funds related to the financing on our investment portfolio inclusive of the benefit of 0.08% from our interest rate hedges was 5.25%. When including our Senior Unsecured Notes, the total cost of funds was 5.33%.
Current wording
(c)The cost of funds related to the financing on our investment portfolio inclusive of the benefit of 0.04% from our interest rate hedges was 5.26%. When including our Senior Unsecured Notes, the total cost of funds was 5.34%.
Showing the first 40 of 84 pairs. Open the source sections for the rest.
Rearranged current paragraphs (2)
Current report — wording carried from elsewhere
(3)For the three months ended March 31, 2025 and 2024, $1.4 million or $0.05 per share and $44 thousand or $0.00 per share, respectively, of unrealized changes in the fair value of our investment in Arc Home were excluded from EAD.
Current report — wording carried from elsewhere
(4)There are Legacy WMC CMBS with an unpaid principal balance of $23.5 million and a fair value of $6.5 million which are on non-accrual or cost recovery status.
Rearranged previous paragraphs (18)
Previous report — wording carried elsewhere
In addition, on August 8, 2023, we and our Manager entered into an amendment (the “MITT Management Agreement Amendment”) to our existing management agreement, pursuant to which (i) the base management fee will be reduced by $0.6 million for the first four quarters following the Effective Time, beginning with the fiscal quarter in which the Effective Time occurs (i.e., resulting in an aggregate $2.4 million waiver of base management fees), and (ii) our Manager will waive its right to seek reimbursement from us for any expenses otherwise reimbursable by us under the management agreement in an amount equal to approximately $1.3 million, which is the excess of $7.0 million over the aggregate Per Share Additional Manager Consideration paid by our Manager to the holders of WMC Common Stock under the Merger Agreement.
Previous report — wording carried elsewhere
We recorded income on the net interest component of interest rate swaps during the three months ended September 30, 2024 and 2023 as a result of our swap portfolio being in a net receive position. The following table presents a summary of our interest rate swap portfolio as of September 30, 2024 and 2023 ($ in millions).
Previous report — wording carried elsewhere
The table below presents certain information from our consolidated statements of operations for the nine months ended September 30, 2024 and 2023 (in thousands).
Previous report — wording carried elsewhere
Interest expense increased from the nine months ended September 30, 2023 to the nine months ended September 30, 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 period. 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 on our GAAP investment portfolio ($ in millions).
Previous report — wording carried elsewhere
Net interest component of interest rate swaps
Previous report — wording carried elsewhere
The following table presents a summary of Net unrealized gain/(loss) for the nine months ended September 30, 2024 and 2023 (in thousands). During the nine months ended September 30, 2024, there were unrealized gains on residential mortgage loans and interest rate swaps offset by unrealized losses on our securitized debt.
Previous report — wording carried elsewhere
The following table presents a summary of our non-investment related expenses (in thousands).
Previous report — wording carried elsewhere
Equity in earnings/(loss) from affiliates
Previous report — wording carried elsewhere
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 report — wording carried elsewhere
(1)For the nine months ended September 30, 2024, the earnings/(loss) generated from our investment in MATT Non-QM Securities consisted of interest income of $2.2 million, net unrealized losses of $(1.8) million, and other expenses of $(0.1) million. For the nine months ended September 30, 2023, the earnings/(loss) generated from our investment in MATT Non-QM Securities consisted of net interest income of $3.2 million, interest expenses of $(0.5) million, net unrealized gains of $2.1 million, and other expenses of $(0.2) million.
Previous report — wording carried elsewhere
(3)Refer to the table below for additional detail on the earnings/(loss) generated from our investment in AG Arc.
Previous report — wording carried elsewhere
The below table further disaggregates our "Equity in earnings/(loss) from affiliates" line item on our consolidated statements of operations (in thousands).
Previous report — wording carried elsewhere
(1)The earnings/(loss) at AG Arc during the nine months ended September 30, 2024 were primarily the result of $(0.6) million of losses related to Arc Home's lending and servicing operations, offset by $0.6 million related to changes in the fair value of the MSR portfolio held by Arc Home. The earnings/(loss) at AG Arc during the nine months ended September 30, 2023 were primarily the result of $(1.6) million related to changes in the fair value of the MSR portfolio held by Arc Home, along with $(0.5) million of losses related to Arc Home's lending and servicing operations.
Previous report — wording carried elsewhere
(2)As of September 30, 2024, the fair value of our investment in Arc Home was calculated using a valuation multiple of 0.95x of book value, which was increased from 0.89x of book value as of December 31, 2023. As of September 30, 2023, the fair value of our investment in Arc Home was calculated using a valuation multiple of 0.89x of book value, which was reduced from 0.94x of book value as of December 31, 2022.
Previous report — wording carried elsewhere
(3)The earnings recognized by AG Arc do not include our portion of gains recorded by Arc Home in connection with the sale of residential mortgage loans to us. Refer to Note 10 to the "Notes to Consolidated Financial Statements (unaudited)" for more information on this accounting policy.
Previous report — wording carried elsewhere
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%.
Previous report — wording carried elsewhere
On May 15, 2024, we issued $65.0 million principal amount of 9.500% senior notes due 2029.
Previous report — wording carried elsewhere
See Note 6 to the "Notes to Consolidated Financial Statements (unaudited)" for additional information on the Senior Unsecured Notes.