Company: MITN
Filing Date: 2025-11-07
Form Type: 10-Q
Source: 0001628280-25-050624
Chunk: 252

Company: AG Mortgage Investment Trust, Inc.
Filing Date: 2025-11-07
Form: 10-Q
Item: Part I, Item 8
Chunk 252
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 Investment Trust Inc. and SubsidiariesNotes to Consolidated Financial Statements (Unaudited)September 30, 2025

The following table presents a summary of quantitative information about the significant unobservable inputs used in the fair value measurement of investments for which the Company has utilized Level 3 inputs to determine fair value as of September 30, 2025 and December 31, 2024 ($ in thousands).  September 30, 2025December 31, 2024Valuation TechniqueUnobservable InputFair ValueRange(Weighted Average) (1)Fair ValueRange(Weighted Average) (1)Securitized Residential Mortgage LoansYield4.63% - 17.25%   (5.80%)5.75% - 11.18%   (6.26%)Discounted Cash FlowProjected Collateral Prepayments$8,288,983 4.37% - 13.58%   (9.82%)$6,197,678 4.95% - 14.48%   (8.87%)Projected Collateral Losses0.00% - 1.81%   (0.10%)0.00% - 2.02%   (0.08%)Projected Collateral Severities-35.90%  - 100.00%   (28.06%)-19.30% - 26.00%   (19.34%)Residential Mortgage LoansYield5.73% - 11.54%   (6.76%)6.44% - 15.63%   (7.76%)Discounted Cash FlowProjected Collateral Prepayments$225,247 3.82% - 34.32%   (15.84%)$218,388 1.29% - 32.03%   (17.65%)Projected Collateral Losses0.00% - 11.14%   (1.32%)0.00% - 26.56%   (1.00%)Projected Collateral Severities-25.00% - 59.41%   (15.80%)-25.96% - 25.00%   (16.59%)Legacy WMC Commercial LoansYield4.39% - 9.17%   (7.93%)8.06% - 9.63%   (9.11%)Discounted Cash FlowCredit Spread$