Company: MITN
Filing Date: 2025-05-07
Form Type: 10-Q
Source: 0001514281-25-000062
Chunk: 136

Company: AG Mortgage Investment Trust, Inc.
Filing Date: 2025-05-07
Form: 10-Q
Item: Part I, Item 1
Chunk 136
---
 loan and real estate securities portfolios would be expected to decrease, all other factors being held constant. In particular, the portion of our real estate securities and loan portfolios with fixed-rate coupons would be expected to decrease in value more severely than that portion with a floating-rate coupon. This is because fixed-rate coupon assets tend to have significantly more duration, or price sensitivity to changes in interest rates, than floating-rate coupon assets. Fixed-rate assets currently represent a majority of our portfolio.

The fair value of our investment portfolio could change at a different rate than the fair value of our liabilities when interest rates change. We measure the sensitivity of our portfolio to changes in interest rates by estimating the duration of our assets and liabilities. Duration is the approximate percentage change in fair value for an instantaneous 100 basis point parallel shift in the yield curve while assuming all other market risk factors remain constant. In general, our assets have higher duration than our liabilities. In order to reduce this exposure, we use hedging instruments to reduce the gap in duration between our assets and liabilities.

We calculate estimated effective duration (i.e., the price sensitivity to changes in risk-free interest rates) to measure the impact of changes in interest rates on our portfolio value. We estimate duration based on third-party models. Different models and methodologies can produce different effective duration estimates for the same assets. We allocate the net duration by asset type based on the interest rate sensitivity. 

67

The following table details information about our duration gap as of March 31, 2025.

Duration (1)(2)YearsAgency RMBS(0.11)Securitized Residential Mortgage Loans1.89 Real Estate Securities0.21 Hedges on securitized investments(0.55)Securitized investments subtotal1.55 Residential Mortgage Loans (3)0.63 Hedges on Residential Mortgage Loans(0.46)Residential Mortgage Loans subtotal0.17 Commercial Loans0.00Senior Unsecured Notes(0.23)Total1.38 

(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 Mortgage Loans are inclusive of forward purchase commitments to acquire Non-Agency Loans and Agency-Eligible Loans as of March 31, 2025, if applicable.

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 instant