Company: MITN
Filing Date: 2025-11-07
Form Type: 10-Q
Source: 0001628280-25-050624
Chunk: 32

Company: AG Mortgage Investment Trust, Inc.
Filing Date: 2025-11-07
Form: 10-Q
Item: Part I, Item 2
Chunk 32
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Maximum loss exposure from our involvement with VIEs pertains to the fair value of the Certificates retained from the VIEs. We have no obligation to provide any other explicit or implicit support to the securitization trusts.

(4)Our equity at risk included bonds in our Non-Agency VIEs and Home Equity VIEs with a fair value of $457.2 million and $50.5 million, respectively, held in order to comply with Risk Retention Rules. We are generally required to hold the Required Credit Risk until the later of (i) the fifth anniversary of the securitization closing date and (ii) the date on which the aggregate unpaid principal balance of the mortgage loans has been reduced to 25% of the aggregate unpaid principal balance of the mortgage loans as of the securitization closing date, but no longer than the seventh anniversary of the closing date. 

(5)A portion of our equity at risk included bonds exposed to the first loss of the securitization in the Non-Agency VIEs and Home Equity VIEs with a fair value of $110.9 million and $57.3 million, respectively. 

(6)Excludes net other asset/(liabilities) held within the Non-Agency VIEs and Home Equity VIEs of $7.7 million and $3.8 million, respectively. 

(7)As the sponsor and depositor of each securitization, we may purchase all of the outstanding Certificates (an "Optional Redemption") following the earlier of (1) an applicable anniversary date (typically two or three years) of the respective securitization or (2) the date at which the unpaid principal balance of the applicable collateral has declined below a certain percentage (typically 10% to 30%) of the principal balance originally contributed to the securitization. As of September 30, 2025, there were 10 Non-Agency securitizations with an unpaid principal balance of $2.4 billion that met the criteria for an Optional Redemption. 

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Securitized residential mortgage loans and Residential mortgage loans

The following table presents information regarding collateral characteristics of our residential mortgage loans as of September 30, 2025 ($ in thousands).

Unpaid Principal BalanceWeighted Average (1)(2)Fair ValueLoan Count (1)Original LTV Ratio (3)Current FICO (4)CouponLife (Years) (5)Securitized residential mortgage loans