AG Mortgage Investment Trust Q2 2024 Update

TL;DR

AG Mortgage Investment Trust's Q2 2024 10-Q is out, detailing stock, preferred shares, and upcoming debt maturities.

AI Summary

AG Mortgage Investment Trust, Inc. filed its 10-Q for the period ending June 30, 2024. The company reported its financial performance and position, including details on its common stock, preferred stock series (A, B, C), and senior notes due in February and May 2029. The filing also references variable interest entities and assets pledged as collateral.

Why It Matters

This filing provides insight into the financial health and structure of AG Mortgage Investment Trust, Inc., which can impact investors and the broader real estate investment trust market.

Risk Assessment

Risk Level: medium — The filing involves financial instruments and debt, which inherently carry market and credit risks.

Key Numbers

• N/A — Total Assets (Specific asset figures are not provided in the excerpt.)
• N/A — Total Liabilities (Specific liability figures are not provided in the excerpt.)
• N/A — Net Income (Specific net income figures are not provided in the excerpt.)

Key Players & Entities

• AG Mortgage Investment Trust, Inc. (company) — Filer
• 20240630 (date) — Reporting Period End Date
• 20240806 (date) — Filing Date
• 245 PARK AVENUE (address) — Business and Mailing Address
• 26TH FLOOR (address) — Business and Mailing Address
• NEW YORK (location) — City
• MD (location) — State of Incorporation
• 212-692-2000 (phone_number) — Business Phone
• Senior Notes Due February 2029 (debt) — Financial Instrument
• Senior Notes Due May 2029 (debt) — Financial Instrument

FAQ

Key Financial Figures

• $0.01 — nge on which registered: Common Stock, $0.01 par value per share MITT New York Stock

Filing Documents

• mitt-20240630.htm (10-Q) — 4172KB
• mittq22024exh311.htm (EX-31.1) — 11KB
• mittq22024exh312.htm (EX-31.2) — 11KB
• mittq22024exh321.htm (EX-32.1) — 6KB
• mittq22024exh322.htm (EX-32.2) — 6KB
• 0001514281-24-000118.txt ( ) — 19928KB
• mitt-20240630.xsd (EX-101.SCH) — 108KB
• mitt-20240630_cal.xml (EX-101.CAL) — 83KB
• mitt-20240630_def.xml (EX-101.DEF) — 746KB
• mitt-20240630_lab.xml (EX-101.LAB) — 910KB
• mitt-20240630_pre.xml (EX-101.PRE) — 850KB
• mitt-20240630_htm.xml (XML) — 4830KB

FINANCIAL INFORMATION

PART I. FINANCIAL INFORMATION Item 1.

Financial Statements (unaudited)

Financial Statements (unaudited) Consolidated Balance Sheets as of June 30, 2024 and December 31, 2023 3 Consolidated Statements of Operations for the three and six months ended June 30, 2024 and June 30, 2023 4 Consolidated Statements of Stockholders' Equity for the three and six months ended June 30, 2024 and June 30, 2023 5 Consolidated Statements of Cash Flows for the six months ended June 30, 2024 and June 30, 2023 6

Notes to Consolidated Financial Statements (unaudited)

Notes to Consolidated Financial Statements (unaudited) Note 1. Organization 8 Note 2. Summary of Significant Accounting Policies 11 Note 3. Loans 14 Note 4. Real Estate Securities 19 Note 5. Fair Value Measurements 21 Note 6. Financing 28 Note 7. Other Assets and Liabilities 31 Note 8. Earnings Per Share 33 Note 9. Income Taxes 34 Note 10. Related Party Transactions 36 Note 11. Equity 42 Note 12. Commitments and Contingencies 44 Note 13. Subsequent Events 45 Item 2.

Management's Discussion and Analysis of Financial Condition and Results of Operations

Management's Discussion and Analysis of Financial Condition and Results of Operations 46 Item 3.

Quantitative and Qualitative Disclosures About Market Risk

Quantitative and Qualitative Disclosures About Market Risk 81 Item 4.

Controls and Procedures

Controls and Procedures 85

OTHER INFORMATION

PART II. OTHER INFORMATION 86 Item 1.

Legal Proceedings

Legal Proceedings 86 Item 1A.

Risk Factors

Risk Factors 86 Item 2. Unregistered Sales of Equity Securities and Use of Proceeds 86 Item 3. Defaults Upon Senior Securities 86 Item 4. Mine Safety Disclosures 86 Item 5. Other Information 86 Item 6. Exhibits 87 PART I

FINANCIAL STATEMENTS

ITEM 1. FINANCIAL STATEMENTS AG Mortgage Investment Trust, Inc. and Subsidiaries Consolidated Balance Sheets (Unaudited) (in thousands, except per share data) June 30, 2024 December 31, 2023 Assets Securitized residential mortgage loans, at fair value - $ 675,429 and $ 645,876 pledged as collateral, respectively (1) $ 5,791,846 $ 5,358,281 Residential mortgage loans, at fair value - $ 206,902 and $ 315,225 pledged as collateral, respectively 214,386 317,631 Residential mortgage loans held for sale, at fair value - $ 87,077 and $ 0 pledged as collateral, respectively 87,077 — Commercial loans, at fair value - $ 66,753 and $ 66,303 pledged as collateral, respectively 66,753 66,303 Real estate securities, at fair value - $ 625,296 and $ 155,115 pledged as collateral, respectively 689,929 162,821 Investments in debt and equity of affiliates 54,351 55,103 Cash and cash equivalents 120,912 111,534 Restricted cash 27,522 14,039 Other assets 47,325 40,716 Total Assets $ 7,100,101 $ 6,126,428 Liabilities Securitized debt, at fair value (1) $ 5,117,189 $ 4,711,623 Financing arrangements 1,235,805 767,592 Convertible senior unsecured notes 78,849 85,266 Senior unsecured notes 95,380 — Dividend payable 5,600 1,472 Other liabilities (2) 33,776 32,107 Total Liabilities 6,566,599 5,598,060 Commitments and Contingencies (Note 12) Stockholders' Equity Preferred stock - $ 227,991 aggregate liquidation preference 220,472 220,472 Common stock, par value $ 0.01 per share; 450,000 shares of common stock authorized and 29,474 and 29,437 shares issued and outstanding at June 30, 2024 and December 31, 2023, respectively 295 294 Additional paid-in capital 824,106 823,715 Retained earnings/(deficit) ( 511,371 ) ( 516,113 ) Total Stockholders' Equity 533,502 528,368 Total Liabilities and Stockholders' Equity $ 7,100,101 $ 6,126,428 (1) These balances relate to certain residential mortgage loans which were securitized resulting in the Company con

Notes to Consolidated Financial Statements (Unaudited)

Notes to Consolidated Financial Statements (Unaudited) June 30, 2024 1. Organization AG Mortgage Investment Trust, Inc. (the "Company" or "MITT") is a residential mortgage REIT with a focus on investing in a diversified risk-adjusted portfolio of residential mortgage-related assets in the U.S. mortgage market. The Company's investment activities primarily include acquiring and securitizing newly-originated residential mortgage loans within the non-agency segment of the housing market. The Company obtains its assets through Arc Home, LLC ("Arc Home"), a residential mortgage loan originator in which the Company owns an approximate 44.6 % interest, and through other third-party origination partners. 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. For more information, refer to the "WMC Acquisition" section below. The Company's assets, excluding its ownership in Arc Home, include Residential Investments, Agency RMBS and Legacy WMC Commercial Investments. Currently, its Residential Investments primarily consist of newly originated Non-Agency Loans and Agency-Eligible Loans. The Company may invest in other types of residential mortgage loans and other mortgage related assets. The Company also invests in Residential Investments through its unconsolidated ownership interests in affiliates which are included in the "Investments in debt and equity of affiliates" line item on its consolidated balance sheets. The Company's asset classes are primarily comprised of the following: Asset Class Description Residential Investments Non-Agency Loans (1) Non-Agency Loans are loans that do not conform to the underwriting guidelines of a government-sponsored enterprise ("GSE"). Non-Agency Loans consist of Qualified mortgage loans ("Q

Notes to Consolidated Financial Statements (Unaudited)

Notes to Consolidated Financial Statements (Unaudited) June 30, 2024 (3) The Company's investments include commercial loans, CMBS and other securities (collectively, the "Legacy WMC Commercial Investments") that were acquired in the WMC acquisition. The Company expects to either hold the Legacy WMC Commercial Investments until maturity or opportunistically exit these investments. The Company conducts its business through one reportable segment, Loans and Securities, which reflects how the Company manages its business and analyzes and reports its results of operations. The Company was incorporated in the state of Maryland on March 1, 2011 and commenced operations in July 2011. The Company conducts its operations to qualify and be taxed as a real estate investment trust ("REIT") under the Internal Revenue Code of 1986, as amended (the "Code"). The Company is externally managed by AG REIT Management, LLC, a Delaware limited liability company (the "Manager"), a wholly-owned subsidiary of Angelo, Gordon & Co., L.P. ("TPG Angelo Gordon"), a diversified credit and real estate investing platform within TPG Inc. ("TPG"). The Manager has delegated to TPG Angelo Gordon the overall responsibility of its day-to-day duties and obligations arising under the management agreement. The consolidated financial statements include the accounts of the Company and its wholly-owned subsidiaries. All intercompany balances and transactions have been eliminated in consolidation. WMC Acquisition On December 6, 2023 (the "Closing Date"), the Company completed its acquisition of WMC, a Delaware corporation. WMC was 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. On the Closing Date, WMC merged with and into AGMIT Merger Sub, LLC, a Delaware limited liability company and wholly owned subsidiary of the Company ("Merger Sub"), with Merger

Notes to Consolidated Financial Statements (Unaudited)

Notes to Consolidated Financial Statements (Unaudited) June 30, 2024 numerator of which was 166 (the number of days between the grant date and the Closing Date) and the denominator of which was 365, and the remaining unvested portion of such 2023 WMC Director Awards was cancelled without any consideration. Pursuant to the Merger Agreement, approximately 9.2 million shares of MITT common stock were issued to former WMC common stockholders and, following the consummation of the Merger, former WMC common stockholders owned approximately 31 % of the common equity of MITT. Purchase Price Allocation The Company completed the WMC acquisition on December 6, 2023 to support continued growth of the Company and to create efficiency and scale for stockholders. The Company accounted for this transaction in accordance with Accounting Standards Codification ("ASC") 805, "Business Combinations" using the acquisition method of accounting , which requires, among other things, that the assets acquired and liabilities assumed be recognized at fair value as of the acquisition date. The following table summarizes the allocation of the total consideration paid to acquire the assets and assume the liabilities of WMC (in thousands, except exchange ratio and per share amounts). Consideration WMC shares outstanding at December 5, 2023 (1) 6,143 Exchange Ratio 1.498 Shares of MITT Common Stock Issued 9,202 MITT Common Stock Price as of December 5, 2023 $ 5.56 MITT Total Consideration (2) $ 51,163 Assets Securitized residential mortgage loans (3) $ 971,781 Residential mortgage loans (3) 6,046 Commercial loans 78,459 Non-Agency RMBS 48,200 CMBS 56,301 Other securities 1,159 Agency RMBS 745 Cash and cash equivalents 5,316 Restricted cash 873 Other assets 24,654 Total Assets $ 1,193,534 Liabilities Securitized debt $ 837,317 Financing arrangements 171,170 Convertible senior unsecured notes 85,172 Other liabilities 18,522 Total Liabilities $ 1,112,181 Net Asset

Notes to Consolidated Financial Statements (Unaudited)

Notes to Consolidated Financial Statements (Unaudited) June 30, 2024 The fair value of the assets acquired and liabilities assumed required the use of significant assumptions and estimates. Critical estimates included, but were not limited to, future expected cash flows related to these assets and liabilities and the applicable discount rates. These estimates were based on assumptions that management believes to be reasonable; however, actual results may differ from these estimates. The assessment of fair value is based on information that was available to management at the time the consolidated financial statements were prepared. Those estimates and assumptions are subject to change as management obtains additional information related to those estimates during the applicable measurement period. The final determination must occur within one year of the acquisition date. Under the acquisition method of accounting, merger-related transaction costs (such as advisory, legal, valuation, and other professional fees) are not included as components of consideration transferred but are expensed in the periods in which the costs are incurred. The Company incurred transaction costs of $ 6.0 million during the third and fourth quarters of 2023, which were included in the "Transaction related expenses" line item in the consolidated statements of operations. At acquisition, the Company recognized a bargain purchase gain of $ 30.2 million which was separately recorded in the consolidated statements of operations. The bargain purchase gain represents the amount by which the fair value of the net assets acquired in the acquisition exceeds the fair value of the shares of MITT common stock issued as consideration at the Effective Time. As a result of macroeconomic factors and interest rate volatility, the prices 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

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