Company: MITN
Filing Date: 2025-03-04
Form Type: 10-K
Source: 0001514281-25-000026
Chunk: 177

Company: AG Mortgage Investment Trust, Inc.
Filing Date: 2025-03-04
Form: 10-K
Item: Item 8
Chunk 177
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 inputs: $6.2 billion in securitized residential mortgage loans, $220.2 million in residential mortgage loans, $201.4 million in real estate securities, $67 million in commercial loans, and $5.5 billion in securitized debt. Management determined the fair value of these financial instruments by applying the discounted cash flow methodology and using significant unobservable inputs. Determining an estimate of fair value for each of these financial instruments required management to use significant judgment in selecting the appropriate inputs and assumptions to use, particularly market-implied discount rates, projections of default rates, delinquency rates, prepayment rates, loss severity, loan-to-value ratios, and recovery rates.

83

Given the significant judgments made by management to estimate the fair value of the Company's securitized residential mortgage loans, residential mortgage loans, real estate securities, commercial loans, and securitized debt, performing audit procedures to evaluate the reasonableness of management’s selected inputs  and assumptions, particularly market-implied discount rates, projections of default rates, delinquency rates, prepayment rates, loss severity, loan-to-value ratios, and recovery rates, required a high degree of auditor judgement and an increased extent of effort, including the need to involve our fair value specialists.

How the Critical Audit Matter Was Addressed in the Audit

Our audit procedures related to the Company's fair value measurements using significant unobservable inputs included the following, among others:

•We tested the effectiveness of internal controls over the Company’s fair value measurements, including controls over management's review of the appropriateness of selected inputs and assumptions, including market-implied discount rates, projections of default rates, delinquency rates, prepayment rates, loss severity, loan-to-value ratios, and recovery rates.

•We tested the Company's fair value measurements by performing the following:

◦With the assistance of our fair value specialists, we evaluated the valuation methodology used by the Company. We independently developed a range of fair value estimates for the Company's securitized residential mortgage loans, residential mortgage loans, real estate securities, commercial loans, and securitized debt based on market data and compared them to the Company's fair value measurements. 

◦We reviewed external market information, including external market reports, analyzed trends in market prices, and considered any recent transactions involving similar financial instruments to determine if the Company's selected inputs and assumptions were reasonable and consistent with those used by market participants.

◦We considered whether events or transactions occurred after the balance sheet date, but before the completion