Company: MITN
Filing Date: 2025-03-04
Form Type: 10-K
Source: 0001514281-25-000026
Chunk: 169

Company: AG Mortgage Investment Trust, Inc.
Filing Date: 2025-03-04
Form: 10-K
Item: Item 7A
Chunk 169
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(0.57)Residential Mortgage Loans subtotal0.04 Commercial Loans(0.01)Senior Unsecured Notes(0.25)Total2.56 

(1)Duration related to financing arrangements is netted within its respective line items.

(2)Duration does not include our investment in AG Arc LLC.

(3)Residential Investments are inclusive of forward purchase commitments to acquire Non-Agency Loans and Agency-Eligible Loans as of December 31, 2024.

The following table quantifies the estimated percent change in GAAP equity, the fair value of our assets, and projected net interest income should interest rates go up or down instantaneously by 25, 50, and 75 basis points, assuming (i) the yield curves of the rate shocks will be parallel to each other and the current yield curve and (ii) all other market risk factors remain constant. These estimates were compiled using a combination of third-party services and models, market data and internal models. All changes in equity, assets, and income are measured as percentage changes from the GAAP equity, assets, and projected net interest income from our base interest rate scenario. The base interest rate scenario assumes spot and forward interest rates existing as of December 31, 2024. Actual results could differ materially from these estimates.

Agency RMBS and Agency-Eligible Loan assumptions attempt to predict default and prepayment activity at projected interest rate levels. To the extent that these estimates or other assumptions do not hold true, actual results will likely differ materially from projections and could result in percentage changes larger or smaller than the estimates in the table below. Moreover, if different models were employed in the analysis, materially different projections could result. In addition, while the table below reflects the estimated impact of interest rate increases and decreases on a static portfolio as of December 31, 2024, our Manager may from time to time sell any of our investments as a part of the overall management of our investment portfolio. 

Change in Interest Rates(basis points) (1)(2)Change in FairValue as a Percentageof GAAP Equity (3)Change in FairValue as aPercentage of Assets (3)Percentage Change inProjected Net InterestIncome (4)75(4.6)%(0.4)%(2.6)%50(3.1)%(0.2)%(1.8)%25(