Company: MITN
Filing Date: 2025-05-07
Form Type: 10-Q
Source: 0001514281-25-000062
Chunk: 215

Company: AG Mortgage Investment Trust, Inc.
Filing Date: 2025-05-07
Form: 10-Q
Item: Part I, Item 2
Chunk 215
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 defined below in the "Financing Activities" section.

(f)We expect to either hold the Legacy WMC Commercial Investments until maturity or opportunistically exit these investments.

(g)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. 

(h)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. 

(i)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. 

53

Securitized Non-Agency Loans

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 to the “Notes to Consolidated Financial Statements (unaudited)” of the consolidated financial statements, are collateralized by Non-Agency and Agency-Eligible Loans.

In each securitization transaction, we transfer a pool of loans to a wholly-owned subsidiary and the loans are deposited into a newly created securitization trust. The securitization trust issues various classes of mortgage pass-through certificates backed by the cash flows from the underlying residential mortgage loans (the "Certificates"). When we sponsor a residential mortgage loan securitization, we are generally required to retain at least 5% of the fair value of the Certificates issued in the securitization ("Risk Retention Rules"). We can retain either an "eligible vertical interest" (which consists of at least 5% of each class of securities issued in the securitization), an "eligible horizontal residual interest" (which is the most subordinate class of securities with a fair value of at least 5% of the aggregate credit risk) or a combination of both totaling 5% (the "Required Credit Risk"). In order to comply with the Risk Retention Rules in each securitization transaction, we generally purchase the most subordinated classes of Certificates and the excess cash flow Certificates. We also purchase the Certificates entitled to