FALSE2022Q10001514281--12-31.3333.3333.333319.9615.1814.8610.009.9718.0829.1110.1043.9810.007.32.3333.333366.67.3333.333300015142812022-01-012022-03-310001514281us-gaap:CommonStockMember2022-01-012022-03-310001514281mitt:SeriesACumulativeRedeemablePreferredStockMember2022-01-012022-03-310001514281mitt:SeriesBCumulativeRedeemablePreferredStockMember2022-01-012022-03-310001514281mitt:SeriesCFixedtoFloatingRateCumulativeRedeemablePreferredMember2022-01-012022-03-3100015142812022-05-02xbrli:shares0001514281us-gaap:ResidentialMortgageMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMember2022-03-31iso4217:USD0001514281us-gaap:ResidentialMortgageMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMember2021-12-310001514281us-gaap:ResidentialMortgageMember2022-03-310001514281us-gaap:ResidentialMortgageMember2021-12-310001514281mitt:RealEstateSecuritiesMember2022-03-310001514281mitt:RealEstateSecuritiesMember2021-12-3100015142812022-03-3100015142812021-12-310001514281us-gaap:AssetPledgedAsCollateralMember2022-03-310001514281us-gaap:AssetPledgedAsCollateralMember2021-12-3100015142812021-03-31iso4217:USDxbrli:shares00015142812021-01-012021-03-310001514281us-gaap:CommonStockMember2021-12-310001514281us-gaap:PreferredStockMember2021-12-310001514281us-gaap:AdditionalPaidInCapitalMember2021-12-310001514281us-gaap:RetainedEarningsMember2021-12-310001514281us-gaap:CommonStockMember2022-01-012022-03-310001514281us-gaap:AdditionalPaidInCapitalMember2022-01-012022-03-310001514281us-gaap:RetainedEarningsMember2022-01-012022-03-310001514281us-gaap:CommonStockMember2022-03-310001514281us-gaap:PreferredStockMember2022-03-310001514281us-gaap:AdditionalPaidInCapitalMember2022-03-310001514281us-gaap:RetainedEarningsMember2022-03-310001514281us-gaap:CommonStockMember2020-12-310001514281us-gaap:PreferredStockMember2020-12-310001514281us-gaap:AdditionalPaidInCapitalMember2020-12-310001514281us-gaap:RetainedEarningsMember2020-12-3100015142812020-12-310001514281us-gaap:CommonStockMember2021-01-012021-03-310001514281us-gaap:AdditionalPaidInCapitalMember2021-01-012021-03-310001514281us-gaap:RetainedEarningsMember2021-01-012021-03-310001514281us-gaap:PreferredStockMember2021-01-012021-03-310001514281us-gaap:CommonStockMember2021-03-310001514281us-gaap:PreferredStockMember2021-03-310001514281us-gaap:AdditionalPaidInCapitalMember2021-03-310001514281us-gaap:RetainedEarningsMember2021-03-3100015142812021-07-222021-07-22xbrli:pure0001514281mitt:ArcHomeLlcMember2022-03-31mitt:segment0001514281srt:ConsolidationEliminationsMembermitt:ArcHomeLlcMember2022-01-012022-03-310001514281srt:ConsolidationEliminationsMembermitt:ArcHomeLlcMember2021-01-012021-03-310001514281mitt:MortgageAcquisitionHoldingILLCMember2022-03-310001514281mitt:LotLoansIMember2022-03-310001514281mitt:LotLoansIIMember2022-03-310001514281mitt:SeriesCFixedtoFloatingRateCumulativeRedeemablePreferredMember2022-03-310001514281us-gaap:LondonInterbankOfferedRateLIBORMembermitt:SeriesCFixedtoFloatingRateCumulativeRedeemablePreferredMember2022-01-012022-03-3100015142812021-07-122021-07-120001514281mitt:NonQualifiedMortgageLoansMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMemberus-gaap:ResidentialPortfolioSegmentMember2022-03-310001514281mitt:NonQualifiedMortgageLoansMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMemberus-gaap:ResidentialPortfolioSegmentMember2022-01-012022-03-310001514281us-gaap:USGovernmentSponsoredEnterprisesDebtSecuritiesMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMemberus-gaap:ResidentialPortfolioSegmentMember2022-03-310001514281us-gaap:USGovernmentSponsoredEnterprisesDebtSecuritiesMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMemberus-gaap:ResidentialPortfolioSegmentMember2022-01-012022-03-310001514281mitt:ReperformingAndNonperformingFinancialInstrumentsMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMemberus-gaap:ResidentialPortfolioSegmentMember2022-03-310001514281mitt:ReperformingAndNonperformingFinancialInstrumentsMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMemberus-gaap:ResidentialPortfolioSegmentMember2022-01-012022-03-310001514281us-gaap:ResidentialMortgageMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMemberus-gaap:ResidentialPortfolioSegmentMember2022-03-310001514281us-gaap:ResidentialMortgageMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMemberus-gaap:ResidentialPortfolioSegmentMember2022-01-012022-03-310001514281mitt:NonQualifiedMortgageLoansMemberus-gaap:ResidentialPortfolioSegmentMember2022-03-310001514281mitt:NonQualifiedMortgageLoansMemberus-gaap:ResidentialPortfolioSegmentMember2022-01-012022-03-310001514281us-gaap:USGovernmentSponsoredEnterprisesDebtSecuritiesMemberus-gaap:ResidentialPortfolioSegmentMember2022-03-310001514281us-gaap:USGovernmentSponsoredEnterprisesDebtSecuritiesMemberus-gaap:ResidentialPortfolioSegmentMember2022-01-012022-03-310001514281mitt:ReperformingAndNonperformingFinancialInstrumentsMemberus-gaap:ResidentialPortfolioSegmentMember2022-03-310001514281mitt:ReperformingAndNonperformingFinancialInstrumentsMemberus-gaap:ResidentialPortfolioSegmentMember2022-01-012022-03-310001514281us-gaap:ResidentialMortgageMemberus-gaap:ResidentialPortfolioSegmentMember2022-03-310001514281us-gaap:ResidentialMortgageMemberus-gaap:ResidentialPortfolioSegmentMember2022-01-012022-03-310001514281us-gaap:ResidentialPortfolioSegmentMember2022-03-310001514281us-gaap:ResidentialPortfolioSegmentMember2022-01-012022-03-310001514281mitt:NonQualifiedMortgageLoansMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMemberus-gaap:ResidentialPortfolioSegmentMember2021-12-310001514281mitt:NonQualifiedMortgageLoansMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMemberus-gaap:ResidentialPortfolioSegmentMember2021-01-012021-12-310001514281mitt:ReperformingAndNonperformingFinancialInstrumentsMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMemberus-gaap:ResidentialPortfolioSegmentMember2021-12-310001514281mitt:ReperformingAndNonperformingFinancialInstrumentsMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMemberus-gaap:ResidentialPortfolioSegmentMember2021-01-012021-12-310001514281us-gaap:ResidentialMortgageMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMemberus-gaap:ResidentialPortfolioSegmentMember2021-12-310001514281us-gaap:ResidentialMortgageMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMemberus-gaap:ResidentialPortfolioSegmentMember2021-01-012021-12-310001514281mitt:NonQualifiedMortgageLoansMemberus-gaap:ResidentialPortfolioSegmentMember2021-12-310001514281mitt:NonQualifiedMortgageLoansMemberus-gaap:ResidentialPortfolioSegmentMember2021-01-012021-12-310001514281us-gaap:USGovernmentSponsoredEnterprisesDebtSecuritiesMemberus-gaap:ResidentialPortfolioSegmentMember2021-12-310001514281us-gaap:USGovernmentSponsoredEnterprisesDebtSecuritiesMemberus-gaap:ResidentialPortfolioSegmentMember2021-01-012021-12-310001514281mitt:ReperformingAndNonperformingFinancialInstrumentsMemberus-gaap:ResidentialPortfolioSegmentMember2021-12-310001514281mitt:ReperformingAndNonperformingFinancialInstrumentsMemberus-gaap:ResidentialPortfolioSegmentMember2021-01-012021-12-310001514281us-gaap:ResidentialMortgageMemberus-gaap:ResidentialPortfolioSegmentMember2021-12-310001514281us-gaap:ResidentialMortgageMemberus-gaap:ResidentialPortfolioSegmentMember2021-01-012021-12-310001514281us-gaap:ResidentialPortfolioSegmentMember2021-12-310001514281us-gaap:ResidentialPortfolioSegmentMember2021-01-012021-12-31mitt:loanmitt:ficoScore0001514281us-gaap:FinancialAssetNotPastDueMembermitt:NonQualifiedMortgageLoansMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMemberus-gaap:ResidentialPortfolioSegmentMember2022-03-310001514281mitt:NonQualifiedMortgageLoansMemberus-gaap:FinancingReceivables30To59DaysPastDueMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMemberus-gaap:ResidentialPortfolioSegmentMember2022-03-310001514281mitt:NonQualifiedMortgageLoansMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMemberus-gaap:FinancingReceivables60To89DaysPastDueMemberus-gaap:ResidentialPortfolioSegmentMember2022-03-310001514281mitt:NonQualifiedMortgageLoansMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMemberus-gaap:FinancingReceivablesEqualToGreaterThan90DaysPastDueMemberus-gaap:ResidentialPortfolioSegmentMember2022-03-310001514281us-gaap:FinancialAssetNotPastDueMemberus-gaap:USGovernmentSponsoredEnterprisesDebtSecuritiesMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMemberus-gaap:ResidentialPortfolioSegmentMember2022-03-310001514281us-gaap:USGovernmentSponsoredEnterprisesDebtSecuritiesMemberus-gaap:FinancingReceivables30To59DaysPastDueMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMemberus-gaap:ResidentialPortfolioSegmentMember2022-03-310001514281us-gaap:USGovernmentSponsoredEnterprisesDebtSecuritiesMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMemberus-gaap:FinancingReceivables60To89DaysPastDueMemberus-gaap:ResidentialPortfolioSegmentMember2022-03-310001514281us-gaap:USGovernmentSponsoredEnterprisesDebtSecuritiesMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMemberus-gaap:FinancingReceivablesEqualToGreaterThan90DaysPastDueMemberus-gaap:ResidentialPortfolioSegmentMember2022-03-310001514281us-gaap:FinancialAssetNotPastDueMembermitt:ReperformingAndNonperformingFinancialInstrumentsMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMemberus-gaap:ResidentialPortfolioSegmentMember2022-03-310001514281mitt:ReperformingAndNonperformingFinancialInstrumentsMemberus-gaap:FinancingReceivables30To59DaysPastDueMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMemberus-gaap:ResidentialPortfolioSegmentMember2022-03-310001514281mitt:ReperformingAndNonperformingFinancialInstrumentsMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMemberus-gaap:FinancingReceivables60To89DaysPastDueMemberus-gaap:ResidentialPortfolioSegmentMember2022-03-310001514281mitt:ReperformingAndNonperformingFinancialInstrumentsMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMemberus-gaap:FinancingReceivablesEqualToGreaterThan90DaysPastDueMemberus-gaap:ResidentialPortfolioSegmentMember2022-03-310001514281us-gaap:FinancialAssetNotPastDueMemberus-gaap:ResidentialMortgageMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMemberus-gaap:ResidentialPortfolioSegmentMember2022-03-310001514281us-gaap:FinancingReceivables30To59DaysPastDueMemberus-gaap:ResidentialMortgageMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMemberus-gaap:ResidentialPortfolioSegmentMember2022-03-310001514281us-gaap:ResidentialMortgageMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMemberus-gaap:FinancingReceivables60To89DaysPastDueMemberus-gaap:ResidentialPortfolioSegmentMember2022-03-310001514281us-gaap:ResidentialMortgageMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMemberus-gaap:FinancingReceivablesEqualToGreaterThan90DaysPastDueMemberus-gaap:ResidentialPortfolioSegmentMember2022-03-310001514281us-gaap:FinancialAssetNotPastDueMembermitt:NonQualifiedMortgageLoansMemberus-gaap:ResidentialPortfolioSegmentMember2022-03-310001514281mitt:NonQualifiedMortgageLoansMemberus-gaap:FinancingReceivables30To59DaysPastDueMemberus-gaap:ResidentialPortfolioSegmentMember2022-03-310001514281mitt:NonQualifiedMortgageLoansMemberus-gaap:FinancingReceivables60To89DaysPastDueMemberus-gaap:ResidentialPortfolioSegmentMember2022-03-310001514281mitt:NonQualifiedMortgageLoansMemberus-gaap:FinancingReceivablesEqualToGreaterThan90DaysPastDueMemberus-gaap:ResidentialPortfolioSegmentMember2022-03-310001514281us-gaap:FinancialAssetNotPastDueMemberus-gaap:USGovernmentSponsoredEnterprisesDebtSecuritiesMemberus-gaap:ResidentialPortfolioSegmentMember2022-03-310001514281us-gaap:USGovernmentSponsoredEnterprisesDebtSecuritiesMemberus-gaap:FinancingReceivables30To59DaysPastDueMemberus-gaap:ResidentialPortfolioSegmentMember2022-03-310001514281us-gaap:USGovernmentSponsoredEnterprisesDebtSecuritiesMemberus-gaap:FinancingReceivables60To89DaysPastDueMemberus-gaap:ResidentialPortfolioSegmentMember2022-03-310001514281us-gaap:USGovernmentSponsoredEnterprisesDebtSecuritiesMemberus-gaap:FinancingReceivablesEqualToGreaterThan90DaysPastDueMemberus-gaap:ResidentialPortfolioSegmentMember2022-03-310001514281us-gaap:FinancialAssetNotPastDueMemberus-gaap:ResidentialMortgageMemberus-gaap:ResidentialPortfolioSegmentMember2022-03-310001514281us-gaap:FinancingReceivables30To59DaysPastDueMemberus-gaap:ResidentialMortgageMemberus-gaap:ResidentialPortfolioSegmentMember2022-03-310001514281us-gaap:ResidentialMortgageMemberus-gaap:FinancingReceivables60To89DaysPastDueMemberus-gaap:ResidentialPortfolioSegmentMember2022-03-310001514281us-gaap:ResidentialMortgageMemberus-gaap:FinancingReceivablesEqualToGreaterThan90DaysPastDueMemberus-gaap:ResidentialPortfolioSegmentMember2022-03-310001514281us-gaap:FinancialAssetNotPastDueMemberus-gaap:ResidentialPortfolioSegmentMember2022-03-310001514281us-gaap:FinancingReceivables30To59DaysPastDueMemberus-gaap:ResidentialPortfolioSegmentMember2022-03-310001514281us-gaap:FinancingReceivables60To89DaysPastDueMemberus-gaap:ResidentialPortfolioSegmentMember2022-03-310001514281us-gaap:ResidentialPortfolioSegmentMemberus-gaap:FinancingReceivablesEqualToGreaterThan90DaysPastDueMember2022-03-310001514281us-gaap:FinancialAssetNotPastDueMembermitt:NonQualifiedMortgageLoansMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMemberus-gaap:ResidentialPortfolioSegmentMember2021-12-310001514281mitt:NonQualifiedMortgageLoansMemberus-gaap:FinancingReceivables30To59DaysPastDueMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMemberus-gaap:ResidentialPortfolioSegmentMember2021-12-310001514281mitt:NonQualifiedMortgageLoansMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMemberus-gaap:FinancingReceivables60To89DaysPastDueMemberus-gaap:ResidentialPortfolioSegmentMember2021-12-310001514281mitt:NonQualifiedMortgageLoansMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMemberus-gaap:FinancingReceivablesEqualToGreaterThan90DaysPastDueMemberus-gaap:ResidentialPortfolioSegmentMember2021-12-310001514281us-gaap:FinancialAssetNotPastDueMembermitt:ReperformingAndNonperformingFinancialInstrumentsMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMemberus-gaap:ResidentialPortfolioSegmentMember2021-12-310001514281mitt:ReperformingAndNonperformingFinancialInstrumentsMemberus-gaap:FinancingReceivables30To59DaysPastDueMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMemberus-gaap:ResidentialPortfolioSegmentMember2021-12-310001514281mitt:ReperformingAndNonperformingFinancialInstrumentsMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMemberus-gaap:FinancingReceivables60To89DaysPastDueMemberus-gaap:ResidentialPortfolioSegmentMember2021-12-310001514281mitt:ReperformingAndNonperformingFinancialInstrumentsMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMemberus-gaap:FinancingReceivablesEqualToGreaterThan90DaysPastDueMemberus-gaap:ResidentialPortfolioSegmentMember2021-12-310001514281us-gaap:FinancialAssetNotPastDueMemberus-gaap:ResidentialMortgageMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMemberus-gaap:ResidentialPortfolioSegmentMember2021-12-310001514281us-gaap:FinancingReceivables30To59DaysPastDueMemberus-gaap:ResidentialMortgageMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMemberus-gaap:ResidentialPortfolioSegmentMember2021-12-310001514281us-gaap:ResidentialMortgageMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMemberus-gaap:FinancingReceivables60To89DaysPastDueMemberus-gaap:ResidentialPortfolioSegmentMember2021-12-310001514281us-gaap:ResidentialMortgageMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMemberus-gaap:FinancingReceivablesEqualToGreaterThan90DaysPastDueMemberus-gaap:ResidentialPortfolioSegmentMember2021-12-310001514281us-gaap:FinancialAssetNotPastDueMembermitt:NonQualifiedMortgageLoansMemberus-gaap:ResidentialPortfolioSegmentMember2021-12-310001514281mitt:NonQualifiedMortgageLoansMemberus-gaap:FinancingReceivables30To59DaysPastDueMemberus-gaap:ResidentialPortfolioSegmentMember2021-12-310001514281mitt:NonQualifiedMortgageLoansMemberus-gaap:FinancingReceivables60To89DaysPastDueMemberus-gaap:ResidentialPortfolioSegmentMember2021-12-310001514281mitt:NonQualifiedMortgageLoansMemberus-gaap:FinancingReceivablesEqualToGreaterThan90DaysPastDueMemberus-gaap:ResidentialPortfolioSegmentMember2021-12-310001514281us-gaap:FinancialAssetNotPastDueMemberus-gaap:USGovernmentSponsoredEnterprisesDebtSecuritiesMemberus-gaap:ResidentialPortfolioSegmentMember2021-12-310001514281us-gaap:USGovernmentSponsoredEnterprisesDebtSecuritiesMemberus-gaap:FinancingReceivables30To59DaysPastDueMemberus-gaap:ResidentialPortfolioSegmentMember2021-12-310001514281us-gaap:USGovernmentSponsoredEnterprisesDebtSecuritiesMemberus-gaap:FinancingReceivables60To89DaysPastDueMemberus-gaap:ResidentialPortfolioSegmentMember2021-12-310001514281us-gaap:USGovernmentSponsoredEnterprisesDebtSecuritiesMemberus-gaap:FinancingReceivablesEqualToGreaterThan90DaysPastDueMemberus-gaap:ResidentialPortfolioSegmentMember2021-12-310001514281us-gaap:FinancialAssetNotPastDueMemberus-gaap:ResidentialMortgageMemberus-gaap:ResidentialPortfolioSegmentMember2021-12-310001514281us-gaap:FinancingReceivables30To59DaysPastDueMemberus-gaap:ResidentialMortgageMemberus-gaap:ResidentialPortfolioSegmentMember2021-12-310001514281us-gaap:ResidentialMortgageMemberus-gaap:FinancingReceivables60To89DaysPastDueMemberus-gaap:ResidentialPortfolioSegmentMember2021-12-310001514281us-gaap:ResidentialMortgageMemberus-gaap:FinancingReceivablesEqualToGreaterThan90DaysPastDueMemberus-gaap:ResidentialPortfolioSegmentMember2021-12-310001514281us-gaap:FinancialAssetNotPastDueMemberus-gaap:ResidentialPortfolioSegmentMember2021-12-310001514281us-gaap:FinancingReceivables30To59DaysPastDueMemberus-gaap:ResidentialPortfolioSegmentMember2021-12-310001514281us-gaap:FinancingReceivables60To89DaysPastDueMemberus-gaap:ResidentialPortfolioSegmentMember2021-12-310001514281us-gaap:ResidentialPortfolioSegmentMemberus-gaap:FinancingReceivablesEqualToGreaterThan90DaysPastDueMember2021-12-310001514281us-gaap:GeographicConcentrationRiskMemberstpr:CAus-gaap:ResidentialPortfolioSegmentMemberus-gaap:AccountsReceivableMember2022-01-012022-03-310001514281us-gaap:GeographicConcentrationRiskMemberstpr:CAus-gaap:ResidentialPortfolioSegmentMemberus-gaap:AccountsReceivableMember2021-01-012021-12-310001514281stpr:NYus-gaap:GeographicConcentrationRiskMemberus-gaap:ResidentialPortfolioSegmentMemberus-gaap:AccountsReceivableMember2022-01-012022-03-310001514281stpr:NYus-gaap:GeographicConcentrationRiskMemberus-gaap:ResidentialPortfolioSegmentMemberus-gaap:AccountsReceivableMember2021-01-012021-12-310001514281stpr:FLus-gaap:GeographicConcentrationRiskMemberus-gaap:ResidentialPortfolioSegmentMemberus-gaap:AccountsReceivableMember2022-01-012022-03-310001514281stpr:FLus-gaap:GeographicConcentrationRiskMemberus-gaap:ResidentialPortfolioSegmentMemberus-gaap:AccountsReceivableMember2021-01-012021-12-310001514281us-gaap:GeographicConcentrationRiskMemberus-gaap:ResidentialPortfolioSegmentMemberstpr:NJus-gaap:AccountsReceivableMember2022-01-012022-03-310001514281us-gaap:GeographicConcentrationRiskMemberus-gaap:ResidentialPortfolioSegmentMemberstpr:NJus-gaap:AccountsReceivableMember2021-01-012021-12-310001514281us-gaap:ResidentialPortfolioSegmentMember2020-12-310001514281us-gaap:ResidentialPortfolioSegmentMember2021-01-012021-03-310001514281us-gaap:ResidentialPortfolioSegmentMember2021-03-310001514281us-gaap:USGovernmentSponsoredEnterprisesDebtSecuritiesMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMemberus-gaap:ResidentialPortfolioSegmentMember2021-12-310001514281us-gaap:USGovernmentSponsoredEnterprisesDebtSecuritiesMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMemberus-gaap:ResidentialPortfolioSegmentMember2021-01-012021-12-310001514281us-gaap:VariableInterestEntityPrimaryBeneficiaryMemberus-gaap:ResidentialPortfolioSegmentMember2022-01-012022-03-310001514281us-gaap:VariableInterestEntityPrimaryBeneficiaryMemberus-gaap:ResidentialPortfolioSegmentMember2021-01-012021-12-310001514281us-gaap:VariableInterestEntityPrimaryBeneficiaryMemberus-gaap:ResidentialPortfolioSegmentMember2022-03-310001514281us-gaap:VariableInterestEntityPrimaryBeneficiaryMemberus-gaap:ResidentialPortfolioSegmentMember2021-12-310001514281mitt:NonQualifiedMortgageLoansMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMember2022-01-012022-03-310001514281mitt:NonQualifiedMortgageLoansMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMember2021-01-012021-12-310001514281us-gaap:USGovernmentSponsoredEnterprisesDebtSecuritiesMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMember2022-01-012022-03-310001514281us-gaap:USGovernmentSponsoredEnterprisesDebtSecuritiesMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMember2021-01-012021-12-310001514281us-gaap:VariableInterestEntityPrimaryBeneficiaryMember2022-01-012022-03-310001514281us-gaap:VariableInterestEntityPrimaryBeneficiaryMember2021-01-012021-12-310001514281us-gaap:CommercialPortfolioSegmentMember2021-01-012021-03-310001514281us-gaap:CommercialPortfolioSegmentMember2021-07-012021-09-300001514281mitt:AgencyResidentialMortgageBackedSecuritiesThirtyYearsFixedRateMember2022-03-310001514281mitt:AgencyResidentialMortgageBackedSecuritiesInterestOnlyMember2022-03-310001514281mitt:AgencyResidentialMortgageBackedSecuritiesMember2022-03-310001514281mitt:NonQualifiedMortgageSecuritiesMemberus-gaap:ResidentialPortfolioSegmentMember2022-03-310001514281mitt:MortgagebackedSecuritiesIssuedbyPrivateEnterprisesInterestOnlyMemberus-gaap:ResidentialPortfolioSegmentMember2022-03-310001514281mitt:NonAgencyResidentialMortgageBackedSecuritiesReNonPerformingSecuritiesMemberus-gaap:ResidentialPortfolioSegmentMember2022-03-310001514281mitt:AgencyResidentialMortgageBackedSecuritiesThirtyYearsFixedRateMember2021-12-310001514281mitt:NonQualifiedMortgageSecuritiesMemberus-gaap:ResidentialPortfolioSegmentMember2021-12-310001514281mitt:MortgagebackedSecuritiesIssuedbyPrivateEnterprisesInterestOnlyMemberus-gaap:ResidentialPortfolioSegmentMember2021-12-310001514281mitt:NonAgencyResidentialMortgageBackedSecuritiesReNonPerformingSecuritiesMemberus-gaap:ResidentialPortfolioSegmentMember2021-12-310001514281us-gaap:MortgageBackedSecuritiesIssuedByUSGovernmentSponsoredEnterprisesMember2022-03-310001514281us-gaap:MortgageBackedSecuritiesIssuedByPrivateEnterprisesMember2022-03-310001514281us-gaap:MortgageBackedSecuritiesIssuedByUSGovernmentSponsoredEnterprisesMember2021-12-310001514281us-gaap:MortgageBackedSecuritiesIssuedByPrivateEnterprisesMember2021-12-310001514281mitt:SettledSecuritiesMember2022-01-012022-03-31mitt:security0001514281mitt:SettledSecuritiesMember2021-01-012021-03-310001514281mitt:UnsettledSecuritiesMember2022-01-012022-03-310001514281us-gaap:FairValueInputsLevel1Memberus-gaap:ResidentialMortgageMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMember2022-03-310001514281us-gaap:FairValueInputsLevel2Memberus-gaap:ResidentialMortgageMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMember2022-03-310001514281us-gaap:ResidentialMortgageMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMemberus-gaap:FairValueInputsLevel3Member2022-03-310001514281us-gaap:FairValueInputsLevel1Memberus-gaap:ResidentialMortgageMember2022-03-310001514281us-gaap:FairValueInputsLevel2Memberus-gaap:ResidentialMortgageMember2022-03-310001514281us-gaap:ResidentialMortgageMemberus-gaap:FairValueInputsLevel3Member2022-03-310001514281us-gaap:FairValueInputsLevel1Membermitt:AgencyResidentialMortgageBackedSecuritiesThirtyYearsFixedRateMember2022-03-310001514281us-gaap:FairValueInputsLevel2Membermitt:AgencyResidentialMortgageBackedSecuritiesThirtyYearsFixedRateMember2022-03-310001514281mitt:AgencyResidentialMortgageBackedSecuritiesThirtyYearsFixedRateMemberus-gaap:FairValueInputsLevel3Member2022-03-310001514281us-gaap:FairValueInputsLevel1Membermitt:AgencyResidentialMortgageBackedSecuritiesInterestOnlyMember2022-03-310001514281us-gaap:FairValueInputsLevel2Membermitt:AgencyResidentialMortgageBackedSecuritiesInterestOnlyMember2022-03-310001514281us-gaap:FairValueInputsLevel3Membermitt:AgencyResidentialMortgageBackedSecuritiesInterestOnlyMember2022-03-310001514281us-gaap:MortgageBackedSecuritiesIssuedByPrivateEnterprisesMemberus-gaap:FairValueInputsLevel1Member2022-03-310001514281us-gaap:FairValueInputsLevel2Memberus-gaap:MortgageBackedSecuritiesIssuedByPrivateEnterprisesMember2022-03-310001514281us-gaap:MortgageBackedSecuritiesIssuedByPrivateEnterprisesMemberus-gaap:FairValueInputsLevel3Member2022-03-310001514281mitt:MortgagebackedSecuritiesIssuedbyPrivateEnterprisesInterestOnlyMemberus-gaap:FairValueInputsLevel1Member2022-03-310001514281mitt:MortgagebackedSecuritiesIssuedbyPrivateEnterprisesInterestOnlyMemberus-gaap:FairValueInputsLevel2Member2022-03-310001514281mitt:MortgagebackedSecuritiesIssuedbyPrivateEnterprisesInterestOnlyMemberus-gaap:FairValueInputsLevel3Member2022-03-310001514281mitt:MortgagebackedSecuritiesIssuedbyPrivateEnterprisesInterestOnlyMember2022-03-310001514281us-gaap:FairValueInputsLevel1Member2022-03-310001514281us-gaap:FairValueInputsLevel2Member2022-03-310001514281us-gaap:FairValueInputsLevel3Member2022-03-310001514281us-gaap:FairValueInputsLevel1Memberus-gaap:ResidentialMortgageMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMember2021-12-310001514281us-gaap:FairValueInputsLevel2Memberus-gaap:ResidentialMortgageMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMember2021-12-310001514281us-gaap:ResidentialMortgageMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMemberus-gaap:FairValueInputsLevel3Member2021-12-310001514281us-gaap:FairValueInputsLevel1Memberus-gaap:ResidentialMortgageMember2021-12-310001514281us-gaap:FairValueInputsLevel2Memberus-gaap:ResidentialMortgageMember2021-12-310001514281us-gaap:ResidentialMortgageMemberus-gaap:FairValueInputsLevel3Member2021-12-310001514281us-gaap:FairValueInputsLevel1Membermitt:AgencyResidentialMortgageBackedSecuritiesThirtyYearsFixedRateMember2021-12-310001514281us-gaap:FairValueInputsLevel2Membermitt:AgencyResidentialMortgageBackedSecuritiesThirtyYearsFixedRateMember2021-12-310001514281mitt:AgencyResidentialMortgageBackedSecuritiesThirtyYearsFixedRateMemberus-gaap:FairValueInputsLevel3Member2021-12-310001514281us-gaap:MortgageBackedSecuritiesIssuedByPrivateEnterprisesMemberus-gaap:FairValueInputsLevel1Member2021-12-310001514281us-gaap:FairValueInputsLevel2Memberus-gaap:MortgageBackedSecuritiesIssuedByPrivateEnterprisesMember2021-12-310001514281us-gaap:MortgageBackedSecuritiesIssuedByPrivateEnterprisesMemberus-gaap:FairValueInputsLevel3Member2021-12-310001514281mitt:MortgagebackedSecuritiesIssuedbyPrivateEnterprisesInterestOnlyMemberus-gaap:FairValueInputsLevel1Member2021-12-310001514281mitt:MortgagebackedSecuritiesIssuedbyPrivateEnterprisesInterestOnlyMemberus-gaap:FairValueInputsLevel2Member2021-12-310001514281mitt:MortgagebackedSecuritiesIssuedbyPrivateEnterprisesInterestOnlyMemberus-gaap:FairValueInputsLevel3Member2021-12-310001514281mitt:MortgagebackedSecuritiesIssuedbyPrivateEnterprisesInterestOnlyMember2021-12-310001514281us-gaap:FairValueInputsLevel1Member2021-12-310001514281us-gaap:FairValueInputsLevel2Member2021-12-310001514281us-gaap:FairValueInputsLevel3Member2021-12-310001514281us-gaap:InterestRateSwapMember2022-01-012022-03-310001514281us-gaap:InterestRateSwapMember2021-01-012021-12-310001514281us-gaap:ResidentialMortgageMemberus-gaap:FairValueInputsLevel3Member2021-12-310001514281us-gaap:MortgageBackedSecuritiesIssuedByPrivateEnterprisesMemberus-gaap:FairValueInputsLevel3Member2021-12-310001514281mitt:MortgagebackedSecuritiesIssuedbyPrivateEnterprisesInterestOnlyMemberus-gaap:FairValueInputsLevel3Member2021-12-310001514281mitt:AgArcMemberus-gaap:FairValueInputsLevel3Member2021-12-310001514281mitt:SecuritizedDebtMemberus-gaap:FairValueInputsLevel3Member2021-12-310001514281us-gaap:DerivativeFinancialInstrumentsLiabilitiesMemberus-gaap:FairValueInputsLevel3Member2021-12-310001514281us-gaap:ResidentialMortgageMemberus-gaap:FairValueInputsLevel3Member2022-01-012022-03-310001514281us-gaap:MortgageBackedSecuritiesIssuedByPrivateEnterprisesMemberus-gaap:FairValueInputsLevel3Member2022-01-012022-03-310001514281mitt:MortgagebackedSecuritiesIssuedbyPrivateEnterprisesInterestOnlyMemberus-gaap:FairValueInputsLevel3Member2022-01-012022-03-310001514281mitt:AgArcMemberus-gaap:FairValueInputsLevel3Member2022-01-012022-03-310001514281mitt:SecuritizedDebtMemberus-gaap:FairValueInputsLevel3Member2022-01-012022-03-310001514281us-gaap:DerivativeFinancialInstrumentsLiabilitiesMemberus-gaap:FairValueInputsLevel3Member2022-01-012022-03-310001514281us-gaap:ResidentialMortgageMemberus-gaap:FairValueInputsLevel3Member2022-03-310001514281us-gaap:MortgageBackedSecuritiesIssuedByPrivateEnterprisesMemberus-gaap:FairValueInputsLevel3Member2022-03-310001514281mitt:MortgagebackedSecuritiesIssuedbyPrivateEnterprisesInterestOnlyMemberus-gaap:FairValueInputsLevel3Member2022-03-310001514281mitt:AgArcMemberus-gaap:FairValueInputsLevel3Member2022-03-310001514281mitt:SecuritizedDebtMemberus-gaap:FairValueInputsLevel3Member2022-03-310001514281us-gaap:DerivativeFinancialInstrumentsLiabilitiesMemberus-gaap:FairValueInputsLevel3Member2022-03-310001514281mitt:DebtSecuritiesUnrealizedGainLossMember2022-01-012022-03-310001514281mitt:DebtSecuritiesRealizedGainLossMember2022-01-012022-03-310001514281mitt:IncomeLossFromEquityMethodInvestmentsMember2022-01-012022-03-310001514281us-gaap:ResidentialMortgageMemberus-gaap:FairValueInputsLevel3Member2020-12-310001514281us-gaap:MortgageBackedSecuritiesIssuedByPrivateEnterprisesMemberus-gaap:FairValueInputsLevel3Member2020-12-310001514281mitt:CommercialLoansMemberus-gaap:FairValueInputsLevel3Member2020-12-310001514281mitt:ExcessMortgageServicingRightsMemberus-gaap:FairValueInputsLevel3Member2020-12-310001514281mitt:AgArcMemberus-gaap:FairValueInputsLevel3Member2020-12-310001514281mitt:SecuritizedDebtMemberus-gaap:FairValueInputsLevel3Member2020-12-310001514281us-gaap:ResidentialMortgageMemberus-gaap:FairValueInputsLevel3Member2021-01-012021-03-310001514281us-gaap:MortgageBackedSecuritiesIssuedByPrivateEnterprisesMemberus-gaap:FairValueInputsLevel3Member2021-01-012021-03-310001514281mitt:CommercialLoansMemberus-gaap:FairValueInputsLevel3Member2021-01-012021-03-310001514281mitt:ExcessMortgageServicingRightsMemberus-gaap:FairValueInputsLevel3Member2021-01-012021-03-310001514281mitt:AgArcMemberus-gaap:FairValueInputsLevel3Member2021-01-012021-03-310001514281mitt:SecuritizedDebtMemberus-gaap:FairValueInputsLevel3Member2021-01-012021-03-310001514281us-gaap:ResidentialMortgageMemberus-gaap:FairValueInputsLevel3Member2021-03-310001514281us-gaap:MortgageBackedSecuritiesIssuedByPrivateEnterprisesMemberus-gaap:FairValueInputsLevel3Member2021-03-310001514281mitt:CommercialLoansMemberus-gaap:FairValueInputsLevel3Member2021-03-310001514281mitt:ExcessMortgageServicingRightsMemberus-gaap:FairValueInputsLevel3Member2021-03-310001514281mitt:AgArcMemberus-gaap:FairValueInputsLevel3Member2021-03-310001514281mitt:SecuritizedDebtMemberus-gaap:FairValueInputsLevel3Member2021-03-310001514281us-gaap:FairValueInputsLevel2Memberus-gaap:ResidentialMortgageMember2021-01-012021-03-310001514281mitt:DebtSecuritiesUnrealizedGainLossMember2021-01-012021-03-310001514281mitt:DebtSecuritiesRealizedGainLossMember2021-01-012021-03-310001514281mitt:IncomeLossFromEquityMethodInvestmentsMember2021-01-012021-03-310001514281us-gaap:ResidentialMortgageBackedSecuritiesMemberus-gaap:ValuationTechniqueDiscountedCashFlowMemberus-gaap:MeasurementInputDiscountRateMembersrt:MinimumMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMemberus-gaap:FairValueInputsLevel3Member2022-03-310001514281us-gaap:ResidentialMortgageBackedSecuritiesMemberus-gaap:ValuationTechniqueDiscountedCashFlowMemberus-gaap:MeasurementInputDiscountRateMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMembersrt:MaximumMemberus-gaap:FairValueInputsLevel3Member2022-03-310001514281us-gaap:ResidentialMortgageBackedSecuritiesMemberus-gaap:ValuationTechniqueDiscountedCashFlowMembersrt:WeightedAverageMemberus-gaap:MeasurementInputDiscountRateMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMemberus-gaap:FairValueInputsLevel3Member2022-03-310001514281us-gaap:ResidentialMortgageBackedSecuritiesMemberus-gaap:ValuationTechniqueDiscountedCashFlowMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMemberus-gaap:FairValueInputsLevel3Member2022-03-310001514281us-gaap:ResidentialMortgageBackedSecuritiesMemberus-gaap:ValuationTechniqueDiscountedCashFlowMemberus-gaap:MeasurementInputPrepaymentRateMembersrt:MinimumMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMemberus-gaap:FairValueInputsLevel3Member2022-03-310001514281us-gaap:ResidentialMortgageBackedSecuritiesMemberus-gaap:ValuationTechniqueDiscountedCashFlowMemberus-gaap:MeasurementInputPrepaymentRateMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMembersrt:MaximumMemberus-gaap:FairValueInputsLevel3Member2022-03-310001514281us-gaap:ResidentialMortgageBackedSecuritiesMemberus-gaap:ValuationTechniqueDiscountedCashFlowMembersrt:WeightedAverageMemberus-gaap:MeasurementInputPrepaymentRateMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMemberus-gaap:FairValueInputsLevel3Member2022-03-310001514281us-gaap:ResidentialMortgageBackedSecuritiesMembermitt:MeasurementInputCollateralLossesMemberus-gaap:ValuationTechniqueDiscountedCashFlowMembersrt:MinimumMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMemberus-gaap:FairValueInputsLevel3Member2022-03-310001514281us-gaap:ResidentialMortgageBackedSecuritiesMembermitt:MeasurementInputCollateralLossesMemberus-gaap:ValuationTechniqueDiscountedCashFlowMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMembersrt:MaximumMemberus-gaap:FairValueInputsLevel3Member2022-03-310001514281us-gaap:ResidentialMortgageBackedSecuritiesMembermitt:MeasurementInputCollateralLossesMemberus-gaap:ValuationTechniqueDiscountedCashFlowMembersrt:WeightedAverageMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMemberus-gaap:FairValueInputsLevel3Member2022-03-310001514281us-gaap:ResidentialMortgageBackedSecuritiesMemberus-gaap:MeasurementInputLossSeverityMemberus-gaap:ValuationTechniqueDiscountedCashFlowMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMembersrt:MaximumMemberus-gaap:FairValueInputsLevel3Member2022-03-310001514281us-gaap:ResidentialMortgageBackedSecuritiesMemberus-gaap:MeasurementInputLossSeverityMemberus-gaap:ValuationTechniqueDiscountedCashFlowMembersrt:WeightedAverageMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMemberus-gaap:FairValueInputsLevel3Member2022-03-310001514281us-gaap:ValuationTechniqueDiscountedCashFlowMemberus-gaap:MeasurementInputDiscountRateMembersrt:MinimumMemberus-gaap:ResidentialMortgageMemberus-gaap:FairValueInputsLevel3Member2022-03-310001514281us-gaap:ValuationTechniqueDiscountedCashFlowMemberus-gaap:MeasurementInputDiscountRateMemberus-gaap:ResidentialMortgageMembersrt:MaximumMemberus-gaap:FairValueInputsLevel3Member2022-03-310001514281us-gaap:ValuationTechniqueDiscountedCashFlowMembersrt:WeightedAverageMemberus-gaap:MeasurementInputDiscountRateMemberus-gaap:ResidentialMortgageMemberus-gaap:FairValueInputsLevel3Member2022-03-310001514281us-gaap:ValuationTechniqueDiscountedCashFlowMemberus-gaap:ResidentialMortgageMemberus-gaap:FairValueInputsLevel3Member2022-03-310001514281us-gaap:ValuationTechniqueDiscountedCashFlowMemberus-gaap:MeasurementInputPrepaymentRateMembersrt:MinimumMemberus-gaap:ResidentialMortgageMemberus-gaap:FairValueInputsLevel3Member2022-03-310001514281us-gaap:ValuationTechniqueDiscountedCashFlowMemberus-gaap:MeasurementInputPrepaymentRateMemberus-gaap:ResidentialMortgageMembersrt:MaximumMemberus-gaap:FairValueInputsLevel3Member2022-03-310001514281us-gaap:ValuationTechniqueDiscountedCashFlowMembersrt:WeightedAverageMemberus-gaap:MeasurementInputPrepaymentRateMemberus-gaap:ResidentialMortgageMemberus-gaap:FairValueInputsLevel3Member2022-03-310001514281mitt:MeasurementInputCollateralLossesMemberus-gaap:ValuationTechniqueDiscountedCashFlowMembersrt:MinimumMemberus-gaap:ResidentialMortgageMemberus-gaap:FairValueInputsLevel3Member2022-03-310001514281mitt:MeasurementInputCollateralLossesMemberus-gaap:ValuationTechniqueDiscountedCashFlowMemberus-gaap:ResidentialMortgageMembersrt:MaximumMemberus-gaap:FairValueInputsLevel3Member2022-03-310001514281mitt:MeasurementInputCollateralLossesMemberus-gaap:ValuationTechniqueDiscountedCashFlowMembersrt:WeightedAverageMemberus-gaap:ResidentialMortgageMemberus-gaap:FairValueInputsLevel3Member2022-03-310001514281us-gaap:MeasurementInputLossSeverityMemberus-gaap:ValuationTechniqueDiscountedCashFlowMemberus-gaap:ResidentialMortgageMembersrt:MaximumMemberus-gaap:FairValueInputsLevel3Member2022-03-310001514281us-gaap:MeasurementInputLossSeverityMemberus-gaap:ValuationTechniqueDiscountedCashFlowMembersrt:WeightedAverageMemberus-gaap:ResidentialMortgageMemberus-gaap:FairValueInputsLevel3Member2022-03-310001514281us-gaap:ValuationTechniqueConsensusPricingModelMemberus-gaap:ResidentialMortgageMemberus-gaap:FairValueInputsLevel3Member2022-03-310001514281us-gaap:MeasurementInputOfferedPriceMemberus-gaap:ValuationTechniqueConsensusPricingModelMembersrt:MinimumMemberus-gaap:ResidentialMortgageMemberus-gaap:FairValueInputsLevel3Member2022-03-310001514281us-gaap:MeasurementInputOfferedPriceMemberus-gaap:ValuationTechniqueConsensusPricingModelMemberus-gaap:ResidentialMortgageMembersrt:MaximumMemberus-gaap:FairValueInputsLevel3Member2022-03-310001514281us-gaap:MeasurementInputOfferedPriceMembersrt:WeightedAverageMemberus-gaap:ValuationTechniqueConsensusPricingModelMemberus-gaap:ResidentialMortgageMemberus-gaap:FairValueInputsLevel3Member2022-03-310001514281us-gaap:MortgageBackedSecuritiesIssuedByPrivateEnterprisesMemberus-gaap:ValuationTechniqueDiscountedCashFlowMemberus-gaap:MeasurementInputDiscountRateMembersrt:MinimumMemberus-gaap:FairValueInputsLevel3Member2022-03-310001514281us-gaap:MortgageBackedSecuritiesIssuedByPrivateEnterprisesMemberus-gaap:ValuationTechniqueDiscountedCashFlowMemberus-gaap:MeasurementInputDiscountRateMembersrt:MaximumMemberus-gaap:FairValueInputsLevel3Member2022-03-310001514281us-gaap:MortgageBackedSecuritiesIssuedByPrivateEnterprisesMemberus-gaap:ValuationTechniqueDiscountedCashFlowMembersrt:WeightedAverageMemberus-gaap:MeasurementInputDiscountRateMemberus-gaap:FairValueInputsLevel3Member2022-03-310001514281us-gaap:MortgageBackedSecuritiesIssuedByPrivateEnterprisesMemberus-gaap:ValuationTechniqueDiscountedCashFlowMemberus-gaap:FairValueInputsLevel3Member2022-03-310001514281us-gaap:MortgageBackedSecuritiesIssuedByPrivateEnterprisesMemberus-gaap:ValuationTechniqueDiscountedCashFlowMemberus-gaap:MeasurementInputPrepaymentRateMembersrt:MinimumMemberus-gaap:FairValueInputsLevel3Member2022-03-310001514281us-gaap:MortgageBackedSecuritiesIssuedByPrivateEnterprisesMemberus-gaap:ValuationTechniqueDiscountedCashFlowMemberus-gaap:MeasurementInputPrepaymentRateMembersrt:MaximumMemberus-gaap:FairValueInputsLevel3Member2022-03-310001514281us-gaap:MortgageBackedSecuritiesIssuedByPrivateEnterprisesMemberus-gaap:ValuationTechniqueDiscountedCashFlowMembersrt:WeightedAverageMemberus-gaap:MeasurementInputPrepaymentRateMemberus-gaap:FairValueInputsLevel3Member2022-03-310001514281mitt:MeasurementInputCollateralLossesMemberus-gaap:MortgageBackedSecuritiesIssuedByPrivateEnterprisesMemberus-gaap:ValuationTechniqueDiscountedCashFlowMembersrt:MinimumMemberus-gaap:FairValueInputsLevel3Member2022-03-310001514281mitt:MeasurementInputCollateralLossesMemberus-gaap:MortgageBackedSecuritiesIssuedByPrivateEnterprisesMemberus-gaap:ValuationTechniqueDiscountedCashFlowMembersrt:MaximumMemberus-gaap:FairValueInputsLevel3Member2022-03-310001514281mitt:MeasurementInputCollateralLossesMemberus-gaap:MortgageBackedSecuritiesIssuedByPrivateEnterprisesMemberus-gaap:ValuationTechniqueDiscountedCashFlowMembersrt:WeightedAverageMemberus-gaap:FairValueInputsLevel3Member2022-03-310001514281us-gaap:MeasurementInputLossSeverityMemberus-gaap:MortgageBackedSecuritiesIssuedByPrivateEnterprisesMemberus-gaap:ValuationTechniqueDiscountedCashFlowMembersrt:MinimumMemberus-gaap:FairValueInputsLevel3Member2022-03-310001514281us-gaap:MeasurementInputLossSeverityMemberus-gaap:MortgageBackedSecuritiesIssuedByPrivateEnterprisesMemberus-gaap:ValuationTechniqueDiscountedCashFlowMembersrt:MaximumMemberus-gaap:FairValueInputsLevel3Member2022-03-310001514281us-gaap:MeasurementInputLossSeverityMemberus-gaap:MortgageBackedSecuritiesIssuedByPrivateEnterprisesMemberus-gaap:ValuationTechniqueDiscountedCashFlowMembersrt:WeightedAverageMemberus-gaap:FairValueInputsLevel3Member2022-03-310001514281mitt:MortgagebackedSecuritiesIssuedbyPrivateEnterprisesInterestOnlyMemberus-gaap:ValuationTechniqueDiscountedCashFlowMemberus-gaap:MeasurementInputDiscountRateMembersrt:MinimumMemberus-gaap:FairValueInputsLevel3Member2022-03-310001514281mitt:MortgagebackedSecuritiesIssuedbyPrivateEnterprisesInterestOnlyMemberus-gaap:ValuationTechniqueDiscountedCashFlowMemberus-gaap:MeasurementInputDiscountRateMembersrt:MaximumMemberus-gaap:FairValueInputsLevel3Member2022-03-310001514281mitt:MortgagebackedSecuritiesIssuedbyPrivateEnterprisesInterestOnlyMemberus-gaap:ValuationTechniqueDiscountedCashFlowMembersrt:WeightedAverageMemberus-gaap:MeasurementInputDiscountRateMemberus-gaap:FairValueInputsLevel3Member2022-03-310001514281mitt:MortgagebackedSecuritiesIssuedbyPrivateEnterprisesInterestOnlyMemberus-gaap:ValuationTechniqueDiscountedCashFlowMemberus-gaap:FairValueInputsLevel3Member2022-03-310001514281mitt:MortgagebackedSecuritiesIssuedbyPrivateEnterprisesInterestOnlyMemberus-gaap:ValuationTechniqueDiscountedCashFlowMemberus-gaap:MeasurementInputPrepaymentRateMembersrt:MinimumMemberus-gaap:FairValueInputsLevel3Member2022-03-310001514281mitt:MortgagebackedSecuritiesIssuedbyPrivateEnterprisesInterestOnlyMemberus-gaap:ValuationTechniqueDiscountedCashFlowMemberus-gaap:MeasurementInputPrepaymentRateMembersrt:MaximumMemberus-gaap:FairValueInputsLevel3Member2022-03-310001514281mitt:MortgagebackedSecuritiesIssuedbyPrivateEnterprisesInterestOnlyMemberus-gaap:ValuationTechniqueDiscountedCashFlowMembersrt:WeightedAverageMemberus-gaap:MeasurementInputPrepaymentRateMemberus-gaap:FairValueInputsLevel3Member2022-03-310001514281mitt:MortgagebackedSecuritiesIssuedbyPrivateEnterprisesInterestOnlyMembermitt:MeasurementInputCollateralLossesMemberus-gaap:ValuationTechniqueDiscountedCashFlowMembersrt:MinimumMemberus-gaap:FairValueInputsLevel3Member2022-03-310001514281mitt:MortgagebackedSecuritiesIssuedbyPrivateEnterprisesInterestOnlyMembermitt:MeasurementInputCollateralLossesMemberus-gaap:ValuationTechniqueDiscountedCashFlowMembersrt:MaximumMemberus-gaap:FairValueInputsLevel3Member2022-03-310001514281mitt:MortgagebackedSecuritiesIssuedbyPrivateEnterprisesInterestOnlyMembermitt:MeasurementInputCollateralLossesMemberus-gaap:ValuationTechniqueDiscountedCashFlowMembersrt:WeightedAverageMemberus-gaap:FairValueInputsLevel3Member2022-03-310001514281mitt:MortgagebackedSecuritiesIssuedbyPrivateEnterprisesInterestOnlyMemberus-gaap:MeasurementInputLossSeverityMemberus-gaap:ValuationTechniqueDiscountedCashFlowMembersrt:MinimumMemberus-gaap:FairValueInputsLevel3Member2022-03-310001514281mitt:MortgagebackedSecuritiesIssuedbyPrivateEnterprisesInterestOnlyMemberus-gaap:MeasurementInputLossSeverityMemberus-gaap:ValuationTechniqueDiscountedCashFlowMembersrt:MaximumMemberus-gaap:FairValueInputsLevel3Member2022-03-310001514281mitt:MortgagebackedSecuritiesIssuedbyPrivateEnterprisesInterestOnlyMemberus-gaap:MeasurementInputLossSeverityMemberus-gaap:ValuationTechniqueDiscountedCashFlowMembersrt:WeightedAverageMemberus-gaap:FairValueInputsLevel3Member2022-03-310001514281mitt:ComparableMultipleMembermitt:AgArcMemberus-gaap:FairValueInputsLevel3Member2022-03-310001514281mitt:ComparableMultipleMembermitt:AgArcMembermitt:MeasurementInputBookValueMultipleMembersrt:MinimumMemberus-gaap:FairValueInputsLevel3Member2022-03-310001514281mitt:ComparableMultipleMembermitt:AgArcMembermitt:MeasurementInputBookValueMultipleMembersrt:MaximumMemberus-gaap:FairValueInputsLevel3Member2022-03-310001514281mitt:ComparableMultipleMembersrt:WeightedAverageMembermitt:AgArcMembermitt:MeasurementInputBookValueMultipleMemberus-gaap:FairValueInputsLevel3Member2022-03-310001514281us-gaap:ValuationTechniqueDiscountedCashFlowMemberus-gaap:MeasurementInputDiscountRateMembersrt:MinimumMemberus-gaap:FairValueInputsLevel3Membermitt:SecuritizedDebtMember2022-03-310001514281us-gaap:ValuationTechniqueDiscountedCashFlowMemberus-gaap:MeasurementInputDiscountRateMembersrt:MaximumMemberus-gaap:FairValueInputsLevel3Membermitt:SecuritizedDebtMember2022-03-310001514281us-gaap:ValuationTechniqueDiscountedCashFlowMembersrt:WeightedAverageMemberus-gaap:MeasurementInputDiscountRateMemberus-gaap:FairValueInputsLevel3Membermitt:SecuritizedDebtMember2022-03-310001514281us-gaap:ValuationTechniqueDiscountedCashFlowMemberus-gaap:FairValueInputsLevel3Membermitt:SecuritizedDebtMember2022-03-310001514281us-gaap:ValuationTechniqueDiscountedCashFlowMemberus-gaap:MeasurementInputPrepaymentRateMembersrt:MinimumMemberus-gaap:FairValueInputsLevel3Membermitt:SecuritizedDebtMember2022-03-310001514281us-gaap:ValuationTechniqueDiscountedCashFlowMemberus-gaap:MeasurementInputPrepaymentRateMembersrt:MaximumMemberus-gaap:FairValueInputsLevel3Membermitt:SecuritizedDebtMember2022-03-310001514281us-gaap:ValuationTechniqueDiscountedCashFlowMembersrt:WeightedAverageMemberus-gaap:MeasurementInputPrepaymentRateMemberus-gaap:FairValueInputsLevel3Membermitt:SecuritizedDebtMember2022-03-310001514281mitt:MeasurementInputCollateralLossesMemberus-gaap:ValuationTechniqueDiscountedCashFlowMembersrt:MinimumMemberus-gaap:FairValueInputsLevel3Membermitt:SecuritizedDebtMember2022-03-310001514281mitt:MeasurementInputCollateralLossesMemberus-gaap:ValuationTechniqueDiscountedCashFlowMembersrt:MaximumMemberus-gaap:FairValueInputsLevel3Membermitt:SecuritizedDebtMember2022-03-310001514281mitt:MeasurementInputCollateralLossesMemberus-gaap:ValuationTechniqueDiscountedCashFlowMembersrt:WeightedAverageMemberus-gaap:FairValueInputsLevel3Membermitt:SecuritizedDebtMember2022-03-310001514281us-gaap:MeasurementInputLossSeverityMemberus-gaap:ValuationTechniqueDiscountedCashFlowMembersrt:MinimumMemberus-gaap:FairValueInputsLevel3Membermitt:SecuritizedDebtMember2022-03-310001514281us-gaap:MeasurementInputLossSeverityMemberus-gaap:ValuationTechniqueDiscountedCashFlowMembersrt:MaximumMemberus-gaap:FairValueInputsLevel3Membermitt:SecuritizedDebtMember2022-03-310001514281us-gaap:MeasurementInputLossSeverityMemberus-gaap:ValuationTechniqueDiscountedCashFlowMembersrt:WeightedAverageMemberus-gaap:FairValueInputsLevel3Membermitt:SecuritizedDebtMember2022-03-310001514281us-gaap:ResidentialMortgageBackedSecuritiesMemberus-gaap:ValuationTechniqueDiscountedCashFlowMemberus-gaap:MeasurementInputDiscountRateMembersrt:MinimumMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMemberus-gaap:FairValueInputsLevel3Member2021-12-310001514281us-gaap:ResidentialMortgageBackedSecuritiesMemberus-gaap:ValuationTechniqueDiscountedCashFlowMemberus-gaap:MeasurementInputDiscountRateMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMembersrt:MaximumMemberus-gaap:FairValueInputsLevel3Member2021-12-310001514281us-gaap:ResidentialMortgageBackedSecuritiesMemberus-gaap:ValuationTechniqueDiscountedCashFlowMembersrt:WeightedAverageMemberus-gaap:MeasurementInputDiscountRateMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMemberus-gaap:FairValueInputsLevel3Member2021-12-310001514281us-gaap:ResidentialMortgageBackedSecuritiesMemberus-gaap:ValuationTechniqueDiscountedCashFlowMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMemberus-gaap:FairValueInputsLevel3Member2021-12-310001514281us-gaap:ResidentialMortgageBackedSecuritiesMemberus-gaap:ValuationTechniqueDiscountedCashFlowMemberus-gaap:MeasurementInputPrepaymentRateMembersrt:MinimumMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMemberus-gaap:FairValueInputsLevel3Member2021-12-310001514281us-gaap:ResidentialMortgageBackedSecuritiesMemberus-gaap:ValuationTechniqueDiscountedCashFlowMemberus-gaap:MeasurementInputPrepaymentRateMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMembersrt:MaximumMemberus-gaap:FairValueInputsLevel3Member2021-12-310001514281us-gaap:ResidentialMortgageBackedSecuritiesMemberus-gaap:ValuationTechniqueDiscountedCashFlowMembersrt:WeightedAverageMemberus-gaap:MeasurementInputPrepaymentRateMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMemberus-gaap:FairValueInputsLevel3Member2021-12-310001514281us-gaap:ResidentialMortgageBackedSecuritiesMembermitt:MeasurementInputCollateralLossesMemberus-gaap:ValuationTechniqueDiscountedCashFlowMembersrt:MinimumMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMemberus-gaap:FairValueInputsLevel3Member2021-12-310001514281us-gaap:ResidentialMortgageBackedSecuritiesMembermitt:MeasurementInputCollateralLossesMemberus-gaap:ValuationTechniqueDiscountedCashFlowMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMembersrt:MaximumMemberus-gaap:FairValueInputsLevel3Member2021-12-310001514281us-gaap:ResidentialMortgageBackedSecuritiesMembermitt:MeasurementInputCollateralLossesMemberus-gaap:ValuationTechniqueDiscountedCashFlowMembersrt:WeightedAverageMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMemberus-gaap:FairValueInputsLevel3Member2021-12-310001514281us-gaap:ValuationTechniqueDiscountedCashFlowMemberus-gaap:MeasurementInputDiscountRateMembersrt:MinimumMemberus-gaap:ResidentialMortgageMemberus-gaap:FairValueInputsLevel3Member2021-12-310001514281us-gaap:ValuationTechniqueDiscountedCashFlowMemberus-gaap:MeasurementInputDiscountRateMemberus-gaap:ResidentialMortgageMembersrt:MaximumMemberus-gaap:FairValueInputsLevel3Member2021-12-310001514281us-gaap:ValuationTechniqueDiscountedCashFlowMembersrt:WeightedAverageMemberus-gaap:MeasurementInputDiscountRateMemberus-gaap:ResidentialMortgageMemberus-gaap:FairValueInputsLevel3Member2021-12-310001514281us-gaap:ValuationTechniqueDiscountedCashFlowMemberus-gaap:ResidentialMortgageMemberus-gaap:FairValueInputsLevel3Member2021-12-310001514281us-gaap:ValuationTechniqueDiscountedCashFlowMemberus-gaap:MeasurementInputPrepaymentRateMembersrt:MinimumMemberus-gaap:ResidentialMortgageMemberus-gaap:FairValueInputsLevel3Member2021-12-310001514281us-gaap:ValuationTechniqueDiscountedCashFlowMemberus-gaap:MeasurementInputPrepaymentRateMemberus-gaap:ResidentialMortgageMembersrt:MaximumMemberus-gaap:FairValueInputsLevel3Member2021-12-310001514281us-gaap:ValuationTechniqueDiscountedCashFlowMembersrt:WeightedAverageMemberus-gaap:MeasurementInputPrepaymentRateMemberus-gaap:ResidentialMortgageMemberus-gaap:FairValueInputsLevel3Member2021-12-310001514281mitt:MeasurementInputCollateralLossesMemberus-gaap:ValuationTechniqueDiscountedCashFlowMembersrt:MinimumMemberus-gaap:ResidentialMortgageMemberus-gaap:FairValueInputsLevel3Member2021-12-310001514281mitt:MeasurementInputCollateralLossesMemberus-gaap:ValuationTechniqueDiscountedCashFlowMemberus-gaap:ResidentialMortgageMembersrt:MaximumMemberus-gaap:FairValueInputsLevel3Member2021-12-310001514281mitt:MeasurementInputCollateralLossesMemberus-gaap:ValuationTechniqueDiscountedCashFlowMembersrt:WeightedAverageMemberus-gaap:ResidentialMortgageMemberus-gaap:FairValueInputsLevel3Member2021-12-310001514281us-gaap:ValuationTechniqueConsensusPricingModelMemberus-gaap:ResidentialMortgageMemberus-gaap:FairValueInputsLevel3Member2021-12-310001514281us-gaap:MeasurementInputOfferedPriceMemberus-gaap:ValuationTechniqueConsensusPricingModelMembersrt:MinimumMemberus-gaap:ResidentialMortgageMemberus-gaap:FairValueInputsLevel3Member2021-12-310001514281us-gaap:MeasurementInputOfferedPriceMemberus-gaap:ValuationTechniqueConsensusPricingModelMemberus-gaap:ResidentialMortgageMembersrt:MaximumMemberus-gaap:FairValueInputsLevel3Member2021-12-310001514281us-gaap:MeasurementInputOfferedPriceMembersrt:WeightedAverageMemberus-gaap:ValuationTechniqueConsensusPricingModelMemberus-gaap:ResidentialMortgageMemberus-gaap:FairValueInputsLevel3Member2021-12-310001514281mitt:RecentTransactionPriceMemberus-gaap:ResidentialMortgageMemberus-gaap:FairValueInputsLevel3Member2021-12-310001514281us-gaap:MortgageBackedSecuritiesIssuedByPrivateEnterprisesMemberus-gaap:ValuationTechniqueDiscountedCashFlowMemberus-gaap:MeasurementInputDiscountRateMembersrt:MinimumMemberus-gaap:FairValueInputsLevel3Member2021-12-310001514281us-gaap:MortgageBackedSecuritiesIssuedByPrivateEnterprisesMemberus-gaap:ValuationTechniqueDiscountedCashFlowMemberus-gaap:MeasurementInputDiscountRateMembersrt:MaximumMemberus-gaap:FairValueInputsLevel3Member2021-12-310001514281us-gaap:MortgageBackedSecuritiesIssuedByPrivateEnterprisesMemberus-gaap:ValuationTechniqueDiscountedCashFlowMembersrt:WeightedAverageMemberus-gaap:MeasurementInputDiscountRateMemberus-gaap:FairValueInputsLevel3Member2021-12-310001514281us-gaap:MortgageBackedSecuritiesIssuedByPrivateEnterprisesMemberus-gaap:ValuationTechniqueDiscountedCashFlowMemberus-gaap:FairValueInputsLevel3Member2021-12-310001514281us-gaap:MortgageBackedSecuritiesIssuedByPrivateEnterprisesMemberus-gaap:ValuationTechniqueDiscountedCashFlowMemberus-gaap:MeasurementInputPrepaymentRateMembersrt:MinimumMemberus-gaap:FairValueInputsLevel3Member2021-12-310001514281us-gaap:MortgageBackedSecuritiesIssuedByPrivateEnterprisesMemberus-gaap:ValuationTechniqueDiscountedCashFlowMemberus-gaap:MeasurementInputPrepaymentRateMembersrt:MaximumMemberus-gaap:FairValueInputsLevel3Member2021-12-310001514281us-gaap:MortgageBackedSecuritiesIssuedByPrivateEnterprisesMemberus-gaap:ValuationTechniqueDiscountedCashFlowMembersrt:WeightedAverageMemberus-gaap:MeasurementInputPrepaymentRateMemberus-gaap:FairValueInputsLevel3Member2021-12-310001514281mitt:MeasurementInputCollateralLossesMemberus-gaap:MortgageBackedSecuritiesIssuedByPrivateEnterprisesMemberus-gaap:ValuationTechniqueDiscountedCashFlowMembersrt:MinimumMemberus-gaap:FairValueInputsLevel3Member2021-12-310001514281mitt:MeasurementInputCollateralLossesMemberus-gaap:MortgageBackedSecuritiesIssuedByPrivateEnterprisesMemberus-gaap:ValuationTechniqueDiscountedCashFlowMembersrt:MaximumMemberus-gaap:FairValueInputsLevel3Member2021-12-310001514281mitt:MeasurementInputCollateralLossesMemberus-gaap:MortgageBackedSecuritiesIssuedByPrivateEnterprisesMemberus-gaap:ValuationTechniqueDiscountedCashFlowMembersrt:WeightedAverageMemberus-gaap:FairValueInputsLevel3Member2021-12-310001514281mitt:MortgagebackedSecuritiesIssuedbyPrivateEnterprisesInterestOnlyMemberus-gaap:ValuationTechniqueDiscountedCashFlowMemberus-gaap:MeasurementInputDiscountRateMembersrt:MinimumMemberus-gaap:FairValueInputsLevel3Member2021-12-310001514281mitt:MortgagebackedSecuritiesIssuedbyPrivateEnterprisesInterestOnlyMemberus-gaap:ValuationTechniqueDiscountedCashFlowMemberus-gaap:MeasurementInputDiscountRateMembersrt:MaximumMemberus-gaap:FairValueInputsLevel3Member2021-12-310001514281mitt:MortgagebackedSecuritiesIssuedbyPrivateEnterprisesInterestOnlyMemberus-gaap:ValuationTechniqueDiscountedCashFlowMembersrt:WeightedAverageMemberus-gaap:MeasurementInputDiscountRateMemberus-gaap:FairValueInputsLevel3Member2021-12-310001514281mitt:MortgagebackedSecuritiesIssuedbyPrivateEnterprisesInterestOnlyMemberus-gaap:ValuationTechniqueDiscountedCashFlowMemberus-gaap:FairValueInputsLevel3Member2021-12-310001514281mitt:MortgagebackedSecuritiesIssuedbyPrivateEnterprisesInterestOnlyMemberus-gaap:ValuationTechniqueDiscountedCashFlowMemberus-gaap:MeasurementInputPrepaymentRateMembersrt:MinimumMemberus-gaap:FairValueInputsLevel3Member2021-12-310001514281mitt:MortgagebackedSecuritiesIssuedbyPrivateEnterprisesInterestOnlyMemberus-gaap:ValuationTechniqueDiscountedCashFlowMemberus-gaap:MeasurementInputPrepaymentRateMembersrt:MaximumMemberus-gaap:FairValueInputsLevel3Member2021-12-310001514281mitt:MortgagebackedSecuritiesIssuedbyPrivateEnterprisesInterestOnlyMemberus-gaap:ValuationTechniqueDiscountedCashFlowMembersrt:WeightedAverageMemberus-gaap:MeasurementInputPrepaymentRateMemberus-gaap:FairValueInputsLevel3Member2021-12-310001514281mitt:MortgagebackedSecuritiesIssuedbyPrivateEnterprisesInterestOnlyMembermitt:MeasurementInputCollateralLossesMemberus-gaap:ValuationTechniqueDiscountedCashFlowMembersrt:MinimumMemberus-gaap:FairValueInputsLevel3Member2021-12-310001514281mitt:MortgagebackedSecuritiesIssuedbyPrivateEnterprisesInterestOnlyMembermitt:MeasurementInputCollateralLossesMemberus-gaap:ValuationTechniqueDiscountedCashFlowMembersrt:MaximumMemberus-gaap:FairValueInputsLevel3Member2021-12-310001514281mitt:MortgagebackedSecuritiesIssuedbyPrivateEnterprisesInterestOnlyMembermitt:MeasurementInputCollateralLossesMemberus-gaap:ValuationTechniqueDiscountedCashFlowMembersrt:WeightedAverageMemberus-gaap:FairValueInputsLevel3Member2021-12-310001514281mitt:MortgagebackedSecuritiesIssuedbyPrivateEnterprisesInterestOnlyMemberus-gaap:MeasurementInputLossSeverityMemberus-gaap:ValuationTechniqueDiscountedCashFlowMembersrt:MinimumMemberus-gaap:FairValueInputsLevel3Member2021-12-310001514281mitt:MortgagebackedSecuritiesIssuedbyPrivateEnterprisesInterestOnlyMemberus-gaap:MeasurementInputLossSeverityMemberus-gaap:ValuationTechniqueDiscountedCashFlowMembersrt:MaximumMemberus-gaap:FairValueInputsLevel3Member2021-12-310001514281mitt:MortgagebackedSecuritiesIssuedbyPrivateEnterprisesInterestOnlyMemberus-gaap:MeasurementInputLossSeverityMemberus-gaap:ValuationTechniqueDiscountedCashFlowMembersrt:WeightedAverageMemberus-gaap:FairValueInputsLevel3Member2021-12-310001514281mitt:ComparableMultipleMembermitt:AgArcMemberus-gaap:FairValueInputsLevel3Member2021-12-310001514281mitt:ComparableMultipleMembermitt:AgArcMembermitt:MeasurementInputBookValueMultipleMembersrt:MinimumMemberus-gaap:FairValueInputsLevel3Member2021-12-310001514281mitt:ComparableMultipleMembermitt:AgArcMembermitt:MeasurementInputBookValueMultipleMembersrt:MaximumMemberus-gaap:FairValueInputsLevel3Member2021-12-310001514281mitt:ComparableMultipleMembersrt:WeightedAverageMembermitt:AgArcMembermitt:MeasurementInputBookValueMultipleMemberus-gaap:FairValueInputsLevel3Member2021-12-310001514281us-gaap:ValuationTechniqueDiscountedCashFlowMemberus-gaap:MeasurementInputDiscountRateMembersrt:MinimumMemberus-gaap:FairValueInputsLevel3Membermitt:SecuritizedDebtMember2021-12-310001514281us-gaap:ValuationTechniqueDiscountedCashFlowMemberus-gaap:MeasurementInputDiscountRateMembersrt:MaximumMemberus-gaap:FairValueInputsLevel3Membermitt:SecuritizedDebtMember2021-12-310001514281us-gaap:ValuationTechniqueDiscountedCashFlowMembersrt:WeightedAverageMemberus-gaap:MeasurementInputDiscountRateMemberus-gaap:FairValueInputsLevel3Membermitt:SecuritizedDebtMember2021-12-310001514281us-gaap:ValuationTechniqueDiscountedCashFlowMemberus-gaap:FairValueInputsLevel3Membermitt:SecuritizedDebtMember2021-12-310001514281us-gaap:ValuationTechniqueDiscountedCashFlowMemberus-gaap:MeasurementInputPrepaymentRateMembersrt:MinimumMemberus-gaap:FairValueInputsLevel3Membermitt:SecuritizedDebtMember2021-12-310001514281us-gaap:ValuationTechniqueDiscountedCashFlowMemberus-gaap:MeasurementInputPrepaymentRateMembersrt:MaximumMemberus-gaap:FairValueInputsLevel3Membermitt:SecuritizedDebtMember2021-12-310001514281us-gaap:ValuationTechniqueDiscountedCashFlowMembersrt:WeightedAverageMemberus-gaap:MeasurementInputPrepaymentRateMemberus-gaap:FairValueInputsLevel3Membermitt:SecuritizedDebtMember2021-12-310001514281mitt:MeasurementInputCollateralLossesMemberus-gaap:ValuationTechniqueDiscountedCashFlowMembersrt:MinimumMemberus-gaap:FairValueInputsLevel3Membermitt:SecuritizedDebtMember2021-12-310001514281mitt:MeasurementInputCollateralLossesMemberus-gaap:ValuationTechniqueDiscountedCashFlowMembersrt:MaximumMemberus-gaap:FairValueInputsLevel3Membermitt:SecuritizedDebtMember2021-12-310001514281mitt:MeasurementInputCollateralLossesMemberus-gaap:ValuationTechniqueDiscountedCashFlowMembersrt:WeightedAverageMemberus-gaap:FairValueInputsLevel3Membermitt:SecuritizedDebtMember2021-12-310001514281us-gaap:MeasurementInputLossSeverityMemberus-gaap:ValuationTechniqueDiscountedCashFlowMembersrt:MinimumMemberus-gaap:FairValueInputsLevel3Membermitt:SecuritizedDebtMember2021-12-310001514281us-gaap:MeasurementInputLossSeverityMemberus-gaap:ValuationTechniqueDiscountedCashFlowMembersrt:MaximumMemberus-gaap:FairValueInputsLevel3Membermitt:SecuritizedDebtMember2021-12-310001514281us-gaap:MeasurementInputLossSeverityMemberus-gaap:ValuationTechniqueDiscountedCashFlowMembersrt:WeightedAverageMemberus-gaap:FairValueInputsLevel3Membermitt:SecuritizedDebtMember2021-12-310001514281us-gaap:ValuationTechniqueDiscountedCashFlowMemberus-gaap:MeasurementInputDiscountRateMembersrt:MinimumMemberus-gaap:FairValueInputsLevel3Member2021-12-310001514281us-gaap:ValuationTechniqueDiscountedCashFlowMemberus-gaap:MeasurementInputDiscountRateMembersrt:MaximumMemberus-gaap:FairValueInputsLevel3Member2021-12-310001514281us-gaap:ValuationTechniqueDiscountedCashFlowMembersrt:WeightedAverageMemberus-gaap:MeasurementInputDiscountRateMemberus-gaap:FairValueInputsLevel3Member2021-12-310001514281us-gaap:ValuationTechniqueDiscountedCashFlowMemberus-gaap:FairValueInputsLevel3Member2021-12-310001514281us-gaap:ValuationTechniqueDiscountedCashFlowMemberus-gaap:MeasurementInputPrepaymentRateMembersrt:MinimumMemberus-gaap:FairValueInputsLevel3Member2021-12-310001514281us-gaap:ValuationTechniqueDiscountedCashFlowMemberus-gaap:MeasurementInputPrepaymentRateMembersrt:MaximumMemberus-gaap:FairValueInputsLevel3Member2021-12-310001514281us-gaap:ValuationTechniqueDiscountedCashFlowMembersrt:WeightedAverageMemberus-gaap:MeasurementInputPrepaymentRateMemberus-gaap:FairValueInputsLevel3Member2021-12-310001514281mitt:MeasurementInputCollateralLossesMemberus-gaap:ValuationTechniqueDiscountedCashFlowMembersrt:MinimumMemberus-gaap:FairValueInputsLevel3Member2021-12-310001514281mitt:MeasurementInputCollateralLossesMemberus-gaap:ValuationTechniqueDiscountedCashFlowMembersrt:MaximumMemberus-gaap:FairValueInputsLevel3Member2021-12-310001514281mitt:MeasurementInputCollateralLossesMemberus-gaap:ValuationTechniqueDiscountedCashFlowMembersrt:WeightedAverageMemberus-gaap:FairValueInputsLevel3Member2021-12-310001514281us-gaap:MeasurementInputLossSeverityMemberus-gaap:ValuationTechniqueDiscountedCashFlowMembersrt:MinimumMemberus-gaap:FairValueInputsLevel3Member2021-12-310001514281us-gaap:MeasurementInputLossSeverityMemberus-gaap:ValuationTechniqueDiscountedCashFlowMembersrt:MaximumMemberus-gaap:FairValueInputsLevel3Member2021-12-310001514281us-gaap:MeasurementInputLossSeverityMemberus-gaap:ValuationTechniqueDiscountedCashFlowMembersrt:WeightedAverageMemberus-gaap:FairValueInputsLevel3Member2021-12-310001514281us-gaap:ValuationTechniqueDiscountedCashFlowMembermitt:MeasurementInputPullThroughRateMembersrt:MinimumMemberus-gaap:FairValueInputsLevel3Member2021-12-310001514281us-gaap:ValuationTechniqueDiscountedCashFlowMembermitt:MeasurementInputPullThroughRateMembersrt:MaximumMemberus-gaap:FairValueInputsLevel3Member2021-12-310001514281us-gaap:ValuationTechniqueDiscountedCashFlowMembersrt:WeightedAverageMembermitt:MeasurementInputPullThroughRateMemberus-gaap:FairValueInputsLevel3Member2021-12-310001514281us-gaap:ResidentialMortgageBackedSecuritiesMemberus-gaap:MeasurementInputLossSeverityMemberus-gaap:ValuationTechniqueDiscountedCashFlowMembersrt:MinimumMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMemberus-gaap:FairValueInputsLevel3Member2022-03-310001514281us-gaap:MeasurementInputLossSeverityMemberus-gaap:ValuationTechniqueDiscountedCashFlowMembersrt:MinimumMemberus-gaap:ResidentialMortgageMemberus-gaap:FairValueInputsLevel3Member2022-03-310001514281us-gaap:MeasurementInputLossSeverityMemberus-gaap:ValuationTechniqueDiscountedCashFlowMembersrt:MinimumMemberus-gaap:ResidentialMortgageMemberus-gaap:FairValueInputsLevel3Member2021-12-310001514281us-gaap:MeasurementInputLossSeverityMemberus-gaap:ValuationTechniqueDiscountedCashFlowMemberus-gaap:ResidentialMortgageMembersrt:MaximumMemberus-gaap:FairValueInputsLevel3Member2021-12-310001514281us-gaap:MeasurementInputLossSeverityMemberus-gaap:ValuationTechniqueDiscountedCashFlowMembersrt:WeightedAverageMemberus-gaap:ResidentialMortgageMemberus-gaap:FairValueInputsLevel3Member2021-12-310001514281us-gaap:ResidentialMortgageBackedSecuritiesMemberus-gaap:MeasurementInputLossSeverityMemberus-gaap:ValuationTechniqueDiscountedCashFlowMembersrt:MinimumMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMemberus-gaap:FairValueInputsLevel3Member2021-12-310001514281us-gaap:ResidentialMortgageBackedSecuritiesMemberus-gaap:MeasurementInputLossSeverityMemberus-gaap:ValuationTechniqueDiscountedCashFlowMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMembersrt:MaximumMemberus-gaap:FairValueInputsLevel3Member2021-12-310001514281us-gaap:ResidentialMortgageBackedSecuritiesMemberus-gaap:MeasurementInputLossSeverityMemberus-gaap:ValuationTechniqueDiscountedCashFlowMembersrt:WeightedAverageMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMemberus-gaap:FairValueInputsLevel3Member2021-12-310001514281us-gaap:MeasurementInputLossSeverityMemberus-gaap:MortgageBackedSecuritiesIssuedByPrivateEnterprisesMemberus-gaap:ValuationTechniqueDiscountedCashFlowMembersrt:MinimumMemberus-gaap:FairValueInputsLevel3Member2021-12-310001514281us-gaap:MeasurementInputLossSeverityMemberus-gaap:MortgageBackedSecuritiesIssuedByPrivateEnterprisesMemberus-gaap:ValuationTechniqueDiscountedCashFlowMembersrt:MaximumMemberus-gaap:FairValueInputsLevel3Member2021-12-310001514281us-gaap:MeasurementInputLossSeverityMemberus-gaap:MortgageBackedSecuritiesIssuedByPrivateEnterprisesMemberus-gaap:ValuationTechniqueDiscountedCashFlowMembersrt:WeightedAverageMemberus-gaap:FairValueInputsLevel3Member2021-12-310001514281us-gaap:ResidentialMortgageMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMember2022-01-012022-03-310001514281us-gaap:ResidentialMortgageMember2022-01-012022-03-310001514281us-gaap:ResidentialMortgageBackedSecuritiesMember2022-03-310001514281us-gaap:ResidentialMortgageBackedSecuritiesMember2022-01-012022-03-310001514281us-gaap:ResidentialMortgageBackedSecuritiesMember2021-12-310001514281us-gaap:MortgageBackedSecuritiesIssuedByPrivateEnterprisesMember2022-01-012022-03-310001514281mitt:CounterpartyOneAndTwoMembermitt:NonQualifiedMortgageLoansMember2022-03-310001514281mitt:ResidentialMortgageBackedSecuritiesUnsettledMember2022-03-310001514281us-gaap:ResidentialMortgageMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMemberus-gaap:MaturityUpTo30DaysMember2022-03-310001514281us-gaap:ResidentialMortgageMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMemberus-gaap:Maturity30To90DaysMember2022-03-310001514281us-gaap:ResidentialMortgageMemberus-gaap:VariableInterestEntityPrimaryBeneficiaryMembermitt:MaturityThreeMonthsToTwelveMonthsMember2022-03-310001514281us-gaap:ResidentialMortgageMemberus-gaap:MaturityUpTo30DaysMember2022-03-310001514281us-gaap:ResidentialMortgageMemberus-gaap:Maturity30To90DaysMember2022-03-310001514281us-gaap:ResidentialMortgageMembermitt:MaturityThreeMonthsToTwelveMonthsMember2022-03-310001514281us-gaap:ResidentialMortgageBackedSecuritiesMemberus-gaap:MaturityUpTo30DaysMember2022-03-310001514281us-gaap:ResidentialMortgageBackedSecuritiesMemberus-gaap:Maturity30To90DaysMember2022-03-310001514281us-gaap:ResidentialMortgageBackedSecuritiesMembermitt:MaturityThreeMonthsToTwelveMonthsMember2022-03-310001514281us-gaap:MortgageBackedSecuritiesIssuedByPrivateEnterprisesMemberus-gaap:MaturityUpTo30DaysMember2022-03-310001514281us-gaap:MortgageBackedSecuritiesIssuedByPrivateEnterprisesMemberus-gaap:Maturity30To90DaysMember2022-03-310001514281us-gaap:MortgageBackedSecuritiesIssuedByPrivateEnterprisesMembermitt:MaturityThreeMonthsToTwelveMonthsMember2022-03-310001514281us-gaap:MaturityUpTo30DaysMember2022-03-310001514281us-gaap:Maturity30To90DaysMember2022-03-310001514281mitt:MaturityThreeMonthsToTwelveMonthsMember2022-03-31mitt:counterparty0001514281mitt:CreditSuisseSecuritiesLLCMember2022-03-310001514281mitt:CreditSuisseSecuritiesLLCMember2022-01-012022-03-310001514281mitt:CreditSuisseSecuritiesLLCMember2021-12-310001514281mitt:CreditSuisseSecuritiesLLCMember2021-01-012021-12-310001514281mitt:BarclaysCapitalIncMember2022-03-310001514281mitt:BarclaysCapitalIncMember2022-01-012022-03-310001514281mitt:BarclaysCapitalIncMember2021-12-310001514281mitt:BarclaysCapitalIncMember2021-01-012021-12-310001514281mitt:BofASecuritiesIncMember2022-03-310001514281mitt:BofASecuritiesIncMember2022-01-012022-03-310001514281mitt:BofASecuritiesIncMember2021-12-310001514281mitt:BofASecuritiesIncMember2021-01-012021-12-310001514281us-gaap:InterestRateSwapMember2022-03-310001514281us-gaap:InterestRateSwapMember2021-12-310001514281us-gaap:LongMembermitt:ToBeAnnouncedSecuritiesMember2022-03-310001514281us-gaap:LongMembermitt:ToBeAnnouncedSecuritiesMember2021-12-310001514281us-gaap:ShortMembermitt:ToBeAnnouncedSecuritiesMember2022-03-310001514281us-gaap:ShortMembermitt:ToBeAnnouncedSecuritiesMember2021-12-310001514281mitt:ForwardPurchaseCommitmentMember2022-03-310001514281mitt:ForwardPurchaseCommitmentMember2021-12-310001514281currency:USDus-gaap:LongMemberus-gaap:InterestRateSwapMember2022-03-310001514281currency:USDus-gaap:LongMemberus-gaap:InterestRateSwapMember2021-12-310001514281currency:USDus-gaap:LongMembermitt:ToBeAnnouncedSecuritiesMember2022-03-310001514281currency:USDus-gaap:LongMembermitt:ToBeAnnouncedSecuritiesMember2021-12-310001514281currency:USDmitt:ToBeAnnouncedSecuritiesMemberus-gaap:ShortMember2022-03-310001514281currency:USDmitt:ToBeAnnouncedSecuritiesMemberus-gaap:ShortMember2021-12-310001514281mitt:ForwardPurchaseCommitmentMembercurrency:USDus-gaap:LongMember2022-03-310001514281mitt:ForwardPurchaseCommitmentMembercurrency:USDus-gaap:LongMember2021-12-3100015142812021-01-012021-12-310001514281us-gaap:InterestRateSwapMember2022-01-012022-03-310001514281us-gaap:InterestRateSwapMember2021-01-012021-03-310001514281us-gaap:LongMembermitt:ToBeAnnouncedSecuritiesMember2022-01-012022-03-310001514281us-gaap:LongMembermitt:ToBeAnnouncedSecuritiesMember2021-01-012021-03-310001514281us-gaap:ShortMembermitt:ToBeAnnouncedSecuritiesMember2022-01-012022-03-310001514281us-gaap:ShortMembermitt:ToBeAnnouncedSecuritiesMember2021-01-012021-03-310001514281mitt:ForwardPurchaseCommitmentMember2022-01-012022-03-310001514281mitt:ForwardPurchaseCommitmentMember2021-01-012021-03-310001514281mitt:BritishPoundFuturesMember2022-01-012022-03-310001514281mitt:BritishPoundFuturesMember2021-01-012021-03-3100015142812022-03-182022-03-1800015142812021-03-222021-03-220001514281mitt:SeriesACumulativeRedeemablePreferredStockMember2022-02-180001514281mitt:SeriesBCumulativeRedeemablePreferredStockMember2022-02-180001514281mitt:SeriesCFixedtoFloatingRateCumulativeRedeemablePreferredMember2022-02-180001514281mitt:SeriesACumulativeRedeemablePreferredStockMember2021-02-160001514281mitt:SeriesBCumulativeRedeemablePreferredStockMember2021-02-160001514281mitt:SeriesCFixedtoFloatingRateCumulativeRedeemablePreferredMember2021-02-160001514281mitt:ManagerMembermitt:IncentiveFeeToManagerMember2021-11-220001514281mitt:IncentiveFeeToManagerMemberus-gaap:LimitedLiabilityCompanyMember2021-11-222021-11-220001514281mitt:IncentiveFeeToManagerMemberus-gaap:LimitedLiabilityCompanyMember2021-11-220001514281mitt:IncentiveFeeToManagerMember2022-01-012022-03-310001514281mitt:ReimbursementToManagerMember2022-03-310001514281mitt:ReimbursementToManagerMember2021-12-310001514281mitt:ReimbursementToManagerWaivedMember2021-01-012021-12-310001514281mitt:ReimbursementToManagerMember2021-01-012021-03-310001514281mitt:ManagerEquityIncentivePlanMember2020-04-152020-04-150001514281mitt:ManagerEquityIncentivePlanMembersrt:MaximumMember2022-01-012022-03-310001514281mitt:ManagerEquityIncentivePlanMember2022-03-310001514281srt:DirectorMembermitt:A2020EquityIncentivePlanMemberus-gaap:RestrictedStockMember2022-01-012022-03-310001514281mitt:A2021EquityIncentivePlanMember2021-04-072021-04-070001514281mitt:A2021EquityIncentivePlanMember2022-01-012022-03-3100015142812021-01-012021-01-0100015142812021-01-01mitt:director0001514281mitt:NonQualifiedMortgageLoansMemberus-gaap:AssetsMember2022-03-310001514281mitt:NonQualifiedMortgageLoansMembermitt:LiabilitiesMember2022-03-310001514281mitt:NonQualifiedMortgageLoansMembermitt:StockholdersEquityMember2022-03-310001514281mitt:NonQualifiedMortgageLoansMemberus-gaap:AssetsMember2021-12-310001514281mitt:NonQualifiedMortgageLoansMembermitt:LiabilitiesMember2021-12-310001514281mitt:NonQualifiedMortgageLoansMembermitt:StockholdersEquityMember2021-12-310001514281mitt:NonAgencyResidentialMortgageBackedSecuritiesLandRelatedFinancingMemberus-gaap:AssetsMember2022-03-310001514281mitt:NonAgencyResidentialMortgageBackedSecuritiesLandRelatedFinancingMembermitt:LiabilitiesMember2022-03-310001514281mitt:StockholdersEquityMembermitt:NonAgencyResidentialMortgageBackedSecuritiesLandRelatedFinancingMember2022-03-310001514281mitt:NonAgencyResidentialMortgageBackedSecuritiesLandRelatedFinancingMemberus-gaap:AssetsMember2021-12-310001514281mitt:NonAgencyResidentialMortgageBackedSecuritiesLandRelatedFinancingMembermitt:LiabilitiesMember2021-12-310001514281mitt:StockholdersEquityMembermitt:NonAgencyResidentialMortgageBackedSecuritiesLandRelatedFinancingMember2021-12-310001514281mitt:ReperformingAndNonperformingFinancialInstrumentsMemberus-gaap:AssetsMember2022-03-310001514281mitt:ReperformingAndNonperformingFinancialInstrumentsMembermitt:LiabilitiesMember2022-03-310001514281mitt:ReperformingAndNonperformingFinancialInstrumentsMembermitt:StockholdersEquityMember2022-03-310001514281mitt:ReperformingAndNonperformingFinancialInstrumentsMemberus-gaap:AssetsMember2021-12-310001514281mitt:ReperformingAndNonperformingFinancialInstrumentsMembermitt:LiabilitiesMember2021-12-310001514281mitt:ReperformingAndNonperformingFinancialInstrumentsMembermitt:StockholdersEquityMember2021-12-310001514281mitt:RealEstateSecuritiesMemberus-gaap:AssetsMember2022-03-310001514281mitt:RealEstateSecuritiesMembermitt:LiabilitiesMember2022-03-310001514281mitt:RealEstateSecuritiesMembermitt:StockholdersEquityMember2022-03-310001514281mitt:RealEstateSecuritiesMemberus-gaap:AssetsMember2021-12-310001514281mitt:RealEstateSecuritiesMembermitt:LiabilitiesMember2021-12-310001514281mitt:RealEstateSecuritiesMembermitt:StockholdersEquityMember2021-12-310001514281mitt:ArcHomeLlcMemberus-gaap:AssetsMember2022-03-310001514281mitt:ArcHomeLlcMembermitt:LiabilitiesMember2022-03-310001514281mitt:ArcHomeLlcMember2022-03-310001514281mitt:ArcHomeLlcMemberus-gaap:AssetsMember2021-12-310001514281mitt:ArcHomeLlcMembermitt:LiabilitiesMember2021-12-310001514281mitt:ArcHomeLlcMember2021-12-310001514281us-gaap:AssetsMember2022-03-310001514281mitt:LiabilitiesMember2022-03-310001514281mitt:StockholdersEquityMember2022-03-310001514281us-gaap:AssetsMember2021-12-310001514281mitt:LiabilitiesMember2021-12-310001514281mitt:StockholdersEquityMember2021-12-310001514281mitt:NonQualifiedMortgageLoansMember2022-01-012022-03-310001514281mitt:NonQualifiedMortgageLoansMember2021-01-012021-03-310001514281mitt:NonAgencyResidentialMortgageBackedSecuritiesLandRelatedFinancingMember2022-01-012022-03-310001514281mitt:NonAgencyResidentialMortgageBackedSecuritiesLandRelatedFinancingMember2021-01-012021-03-310001514281mitt:ReperformingAndNonperformingFinancialInstrumentsMember2022-01-012022-03-310001514281mitt:ReperformingAndNonperformingFinancialInstrumentsMember2021-01-012021-03-310001514281mitt:ArcHomeLlcMember2022-01-012022-03-310001514281mitt:ArcHomeLlcMember2021-01-012021-03-310001514281mitt:OtherLoansMember2022-01-012022-03-310001514281mitt:OtherLoansMember2021-01-012021-03-310001514281mitt:ArcHomeLlcMembermitt:LendingAndServicingMember2022-01-012022-03-310001514281mitt:TransactionsWithRedCreekAssetManagementLLCMember2021-01-012021-03-310001514281mitt:TransactionsWithRedCreekAssetManagementLLCMember2022-01-012022-03-310001514281mitt:TransactionsWithRedCreekAssetManagementLLCMembersrt:AffiliatedEntityMember2022-03-310001514281mitt:TransactionsWithRedCreekAssetManagementLLCMembersrt:AffiliatedEntityMember2021-12-310001514281mitt:CompanyMemberus-gaap:ResidentialMortgageMembermitt:AgArcLlcMember2022-01-012022-03-310001514281mitt:CompanyMemberus-gaap:ResidentialMortgageMembermitt:AgArcLlcMember2021-01-012021-03-310001514281mitt:PrivateFundMemberus-gaap:ResidentialMortgageMembermitt:AgArcLlcMember2022-01-012022-03-310001514281mitt:PrivateFundMemberus-gaap:ResidentialMortgageMembermitt:AgArcLlcMember2021-01-012021-03-310001514281mitt:AgencyExcessMsrsMember2021-07-012021-07-300001514281mitt:AgencyExcessMsrsMember2021-07-300001514281mitt:AgencyExcessMsrsMembermitt:AGMortgageInvestmentTrustIncMember2021-07-012021-07-3000015142812021-07-300001514281mitt:NonQualifiedMortgageLoansMember2021-05-050001514281mitt:NonQualifiedMortgageLoansMember2021-06-300001514281mitt:NonQualifiedMortgageLoansMember2021-11-300001514281mitt:SeniorTranchesMember2021-12-3100015142812021-11-300001514281mitt:March2021SellingAffiliateMember2021-03-310001514281mitt:April2021SellingAffiliateMember2021-04-300001514281mitt:July2021SellingAffiliateMember2021-07-300001514281mitt:October2021AcquiringAffiliateMember2021-10-310001514281mitt:November2021AcquiringAffiliateMember2021-11-300001514281mitt:November2021AcquiringAffiliateMember2021-11-012021-11-30mitt:trusts0001514281mitt:PrivateFundMembermitt:November2021AcquiringAffiliateMember2021-11-012021-11-3000015142812021-07-2200015142812021-07-2800015142812015-11-030001514281mitt:RepurchaseMember2022-03-310001514281mitt:PreferredRepurchaseProgramMember2021-02-220001514281mitt:PreferredRepurchaseProgramMember2021-01-012021-03-310001514281mitt:PreferredRepurchaseProgramMember2022-01-012022-03-310001514281mitt:SaleAgentsMember2017-05-052017-05-050001514281mitt:SaleAgentsMember2022-01-012022-03-310001514281mitt:SaleAgentsMember2021-01-012021-03-310001514281mitt:SaleAgentsMember2017-05-052022-03-3100015142812021-05-0700015142812021-11-2200015142812021-11-222021-11-220001514281mitt:SeriesACumulativeRedeemablePreferredStockMember2022-03-310001514281mitt:SeriesACumulativeRedeemablePreferredStockMember2021-12-310001514281mitt:SeriesBCumulativeRedeemablePreferredStockMember2022-03-310001514281mitt:SeriesBCumulativeRedeemablePreferredStockMember2021-12-310001514281mitt:SeriesCFixedtoFloatingRateCumulativeRedeemablePreferredMember2021-12-31mitt:period0001514281us-gaap:PreferredStockMembermitt:SeriesACumulativeRedeemablePreferredStockMember2021-03-172021-03-170001514281mitt:SeriesBCumulativeRedeemablePreferredStockMemberus-gaap:PreferredStockMember2021-03-172021-03-170001514281us-gaap:PreferredStockMembermitt:SeriesCFixedtoFloatingRateCumulativeRedeemablePreferredMember2021-03-172021-03-170001514281us-gaap:PreferredStockMember2021-03-172021-03-170001514281us-gaap:CommonStockMember2021-03-172021-03-170001514281us-gaap:PreferredStockMembermitt:SeriesACumulativeRedeemablePreferredStockMember2021-06-142021-06-140001514281mitt:SeriesBCumulativeRedeemablePreferredStockMemberus-gaap:PreferredStockMember2021-06-142021-06-140001514281us-gaap:PreferredStockMembermitt:SeriesCFixedtoFloatingRateCumulativeRedeemablePreferredMember2021-06-142021-06-140001514281us-gaap:PreferredStockMember2021-06-142021-06-140001514281us-gaap:CommonStockMember2021-06-142021-06-140001514281mitt:LotLoansMember2022-01-012022-03-310001514281mitt:MortgageAcquisitionHoldingILLCMember2022-01-012022-03-310001514281us-gaap:SubsequentEventMemberus-gaap:USGovernmentSponsoredEnterprisesDebtSecuritiesMember2022-05-050001514281us-gaap:SubsequentEventMembermitt:SeriesACumulativeRedeemablePreferredStockMember2022-05-020001514281us-gaap:SubsequentEventMembermitt:SeriesBCumulativeRedeemablePreferredStockMember2022-05-020001514281us-gaap:SubsequentEventMembermitt:SeriesCFixedtoFloatingRateCumulativeRedeemablePreferredMember2022-05-02

UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549 
__________________________________________________

FORM 10-Q
__________________________________________________ 
(Mark One)
QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
For the quarterly period ended March 31, 2022
OR
TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
For the transition period from                          to                         
Commission file number 001-35151
_____________________________________________________________________ 

AG MORTGAGE INVESTMENT TRUST, INC.
(Exact name of registrant as specified in its charter) 
_____________________________________________________________________ 
Maryland 27-5254382
(State or Other Jurisdiction of
Incorporation or Organization)
(I.R.S. Employer
Identification No.)
245 Park Avenue, 26th Floor
New York, New York
10167
(Address of Principal Executive Offices) (Zip Code)
(212) 692-2000
(Registrant’s Telephone Number, Including Area Code)
Securities registered pursuant to Section 12(b) of the Act:
Title of each class: Trading Symbols: Name of each exchange on which registered:
Common Stock, $0.01 par value per share MITT
New York Stock Exchange (NYSE)
8.25% Series A Cumulative Redeemable Preferred Stock MITT PrA
New York Stock Exchange (NYSE)
8.00% Series B Cumulative Redeemable Preferred Stock MITT PrB
New York Stock Exchange (NYSE)
8.000% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock MITT PrC
New York Stock Exchange (NYSE)
Indicate by check mark whether the registrant: (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days.  Yes   ý    No   ¨
Indicate by check mark whether the registrant has submitted electronically every Interactive Data File required to be submitted pursuant to Rule 405 and Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit such files).   Yes   ý    No  ¨
Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, a smaller reporting company, or an emerging growth company. See the definitions of "large accelerated filer," "accelerated filer," "smaller reporting company" and "emerging growth company" in Rule 12b-2 of the Exchange Act.
Large Accelerated filer ¨     Accelerated filer ý Non-Accelerated filer ¨ Smaller reporting company   Emerging growth company 
If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act. ¨ 
Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act).   
Yes       No   ý

As of May 2, 2022, there were 23,924,005 outstanding shares of common stock of AG Mortgage Investment Trust, Inc.



AG MORTGAGE INVESTMENT TRUST, INC.
TABLE OF CONTENTS
  Page
     
 
     
 
 
3
 
4
 
5
 
6
     
 
8
     
     
     
     
     
     
     
     
     
     
     




PART I
 
ITEM 1. FINANCIAL STATEMENTS
 
AG Mortgage Investment Trust, Inc. and Subsidiaries
Consolidated Balance Sheets (Unaudited)
(in thousands, except per share data)
March 31, 2022 December 31, 2021
Assets
Securitized residential mortgage loans, at fair value - $208,312 and $119,947 pledged as collateral, respectively (1)
$ 2,105,572  $ 1,158,134 
Residential mortgage loans, at fair value - $1,160,870 and $1,469,358 pledged as collateral, respectively
1,167,061  1,476,972 
Real estate securities, at fair value - $196,911 and $444,481 pledged as collateral, respectively
246,004  514,470 
Investments in debt and equity of affiliates 87,086  92,023 
Cash and cash equivalents 50,541  68,079 
Restricted cash 45,630  32,150 
Receivable on unsettled trades - $68,747 and $0 pledged as collateral, respectively
107,788  — 
Other assets 29,274  20,900 
Total Assets $ 3,838,956  $ 3,362,728 
Liabilities
Securitized debt, at fair value (1) $ 1,859,917  $ 999,215 
Financing arrangements 1,411,493  1,777,743 
Dividend payable 5,022  5,021 
Other liabilities 14,874  10,369 
Total Liabilities 3,291,306  2,792,348 
Commitments and Contingencies (Note 12)
Stockholders’ Equity
Preferred stock - $227,991 aggregate liquidation preference
220,472  220,472 
Common stock, par value $0.01 per share; 450,000 shares of common stock authorized and 23,915 and 23,908 shares issued and outstanding at March 31, 2022 and December 31, 2021, respectively
239  239 
Additional paid-in capital 796,549  796,469 
Retained earnings/(deficit) (469,610) (446,800)
Total Stockholders’ Equity 547,650  570,380 
Total Liabilities & Stockholders’ Equity $ 3,838,956  $ 3,362,728 
(1)These balances relate to certain residential mortgage loans which were securitized resulting in the Company consolidating the variable interest entities that were created to facilitate these transactions as the Company was determined to be the primary beneficiary. See Note 3 for additional details.

The accompanying notes are an integral part of these unaudited consolidated financial statements.
3



AG Mortgage Investment Trust, Inc. and Subsidiaries
Consolidated Statements of Operations (Unaudited)
(in thousands, except per share data)
Three Months Ended
March 31, 2022 March 31, 2021
Net Interest Income
Interest income $ 33,417  $ 12,119 
Interest expense 16,122  4,061 
Total Net Interest Income 17,295  8,058 
Other Income/(Loss)
Net interest component of interest rate swaps (2,270) (741)
Net realized gain/(loss) 8,783  (4,038)
Net unrealized gain/(loss) (22,420) 19,849 
Other income/(loss), net —  37 
Total Other Income/(Loss) (15,907) 15,107 
Expenses
Management fee to affiliate 1,962  1,654 
Other operating expenses 3,688  4,150 
Transaction related expenses 5,879  (167)
Servicing fees 1,007  615 
Total Expenses 12,536  6,252 
Income/(loss) before equity in earnings/(loss) from affiliates (11,148) 16,913 
Equity in earnings/(loss) from affiliates (2,054) 26,336 
Net Income/(Loss) (13,202) 43,249 
Gain on Exchange Offers, net (Note 11) —  358 
Dividends on preferred stock (4,586) (4,924)
Net Income/(Loss) Available to Common Stockholders $ (17,788) $ 38,683 
Earnings/(Loss) Per Share of Common Stock (1)
Basic $ (0.74) $ 2.74 
Diluted $ (0.74) $ 2.74 
Weighted Average Number of Shares of Common Stock Outstanding (1)
Basic 23,915  14,116 
Diluted 23,915  14,116 
(1)Amounts have been adjusted to reflect the one-for-three reverse stock split effected July 22, 2021. See Note 2 and Note 11 for additional details.

The accompanying notes are an integral part of these unaudited consolidated financial statements.

4



AG Mortgage Investment Trust, Inc. and Subsidiaries
Consolidated Statements of Stockholders’ Equity (Unaudited)
(in thousands)

For the Three Months Ended March 31, 2022
Common Stock Preferred Stock Additional
Paid-in Capital
Retained
Earnings/(Deficit)
Shares Amount Total
Balance at January 1, 2022 23,908  $ 239  $ 220,472  $ 796,469  $ (446,800) $ 570,380 
Grant of restricted stock —  —  80  —  80 
Common dividends declared —  —  —  —  (5,022) (5,022)
Preferred dividends declared —  —  —  —  (4,586) (4,586)
Net Income/(Loss) —  —  —  —  (13,202) (13,202)
Balance at March 31, 2022 23,915  $ 239  $ 220,472  $ 796,549  $ (469,610) $ 547,650 

For the Three Months Ended March 31, 2021
Common Stock (1) Preferred Stock Additional
Paid-in Capital (1)
Retained
Earnings/(Deficit)
Shares Amount Total
Balance at January 1, 2021 13,811  $ 138  $ 238,478  $ 689,147  $ (518,058) $ 409,705 
Net proceeds from issuance of common stock 745  —  10,025  —  10,033 
Grant of restricted stock —  —  80  —  80 
Common dividends declared —  —  —  —  (2,791) (2,791)
Preferred dividends declared —  —  —  —  (4,961) (4,961)
Exchange Offers (Note 11) 937  10  (12,181) 11,803  358  (10)
Net Income/(Loss) —  —  —  —  43,249  43,249 
Balance at March 31, 2021 15,500  $ 156  $ 226,297  $ 711,055  $ (482,203) $ 455,305 
(1)Amounts have been adjusted to reflect the one-for-three reverse stock split effected July 22, 2021. See Note 2 and Note 11 for additional details.

The accompanying notes are an integral part of these unaudited consolidated financial statements.
5



AG Mortgage Investment Trust, Inc. and Subsidiaries
Consolidated Statements of Cash Flows (Unaudited)
(in thousands)
Three Months Ended
March 31, 2022 March 31, 2021
Cash Flows from Operating Activities
Net income/(loss) $ (13,202) $ 43,249 
Adjustments to reconcile net income/(loss) to net cash provided by (used in) operating activities:
Net amortization of premium/(discount) 1,818  (802)
Net realized (gain)/loss (8,783) 4,038 
Net unrealized (gain)/loss 22,420  (19,849)
Equity based compensation expense 80  80 
(Income)/Loss from investments in debt and equity of affiliates in excess of distributions received 2,393  (20,403)
Change in operating assets/liabilities:
Other assets (1,924) 321 
Other liabilities 1,726  (157)
Net cash provided by (used in) operating activities 4,528  6,477 
Cash Flows from Investing Activities
Purchase of residential mortgage loans (948,966) (208,927)
Purchase of real estate securities (79,564) (566,731)
Origination of commercial loans —  (1,881)
Purchase of commercial loans —  (1,788)
Investments in debt and equity of affiliates (417) (1,122)
Proceeds from sales of real estate securities 197,232  111,954 
Proceeds from sales of commercial loans —  74,579 
Principal repayments on residential mortgage loans 146,388  12,294 
Principal repayments on real estate securities 14,596  14,337 
Principal repayments on commercial loans —  195 
Distributions received in excess of income from investments in debt and equity of affiliates 5,318  12,325 
Net settlement of interest rate swaps and other instruments 30,473  27,469 
Net settlement of TBAs 9,946  — 
Cash flows provided by (used in) other investing activities 797  842 
Net cash provided by (used in) investing activities (624,197) (526,454)
Cash Flows from Financing Activities
Net proceeds from issuance of common stock —  10,033 
Net borrowings under (repayments of) financing arrangements (366,250) 568,153 
Deferred financing costs paid (17) — 
Repayments of secured debt —  (10,000)
Proceeds from issuance of securitized debt 1,078,189  — 
Principal repayments on securitized debt (116,866) (12,777)
Net collateral received from (paid to) derivative counterparty 30,162  — 
Dividends paid on common stock (5,021) (1,243)
Dividends paid on preferred stock (4,586) (4,961)
Net cash provided by (used in) financing activities 615,611  549,205 
6



Three Months Ended
March 31, 2022 March 31, 2021
Net change in cash and cash equivalents and restricted cash (4,058) 29,228 
Cash and cash equivalents and restricted cash, Beginning of Period 100,229  62,318 
Effect of exchange rate changes on cash — 
Cash and cash equivalents and restricted cash, End of Period $ 96,171  $ 91,555 
Supplemental disclosure of cash flow information:
Cash paid for interest on financing arrangements $ 13,532  $ 3,979 
Cash paid for excise and income taxes $ $ — 
Supplemental disclosure of non-cash financing and investing activities:
Receivable on unsettled trades $ 107,788  $ — 
Common stock dividends declared but not paid $ 5,022  $ 2,791 
Exchange Offers (Note 11) $ —  $ 12,181 
Transfer from residential mortgage loans to other assets $ 707  $ 571 

The following table provides a reconciliation of cash and cash equivalents and restricted cash reported within the consolidated balance sheets that sum to the total of the same such amounts shown in the consolidated statements of cash flows:
 
March 31, 2022 March 31, 2021
Cash and cash equivalents $ 50,541  $ 51,637 
Restricted cash 45,630  39,918 
Total cash and cash equivalents and restricted cash shown in the consolidated statements of cash flows $ 96,171  $ 91,555 
 
The accompanying notes are an integral part of these unaudited consolidated financial statements.

7



AG Mortgage Investment Trust Inc. and Subsidiaries
Notes to Consolidated Financial Statements (Unaudited)
March 31, 2022
 
1. Organization

AG Mortgage Investment Trust, Inc. (the "Company") is a residential mortgage REIT with a focus on investing in a diversified risk-adjusted portfolio of residential mortgage-related assets in the U.S. mortgage market. The Company’s investment activities primarily include acquiring and securitizing newly-originated residential mortgage loans within the growing non-agency segment of the housing market. The Company obtains its assets through Arc Home, LLC ("Arc Home"), a residential mortgage loan originator in which it owns an approximate 44.6% interest, and through other third-party origination partners.

The Company’s assets, excluding its ownership in Arc Home, include Residential Investments and Agency RMBS. Currently, its Residential Investments primarily consist of Non-Agency Loans and Agency-Eligible Loans. The Company may invest in other types of residential mortgage loans and other mortgage related assets. The Company also invests in Residential Investments through its unconsolidated ownership interest in affiliates which are included in the "Investments in debt and equity of affiliates" line item on its consolidated balance sheets.

The Company's asset classes are primarily comprised of the following:
Asset Class Description
Residential Investments
Non-Agency Loans
Non-Agency Loans are loans that do not conform to the underwriting guidelines of a government-sponsored enterprise ("GSE"). Non-Agency Loans consist of Qualified mortgage loans ("QM Loans") and Non-Qualified mortgage loans ("Non-QM Loans"). QM Loans are residential mortgage loans that comply with the Ability-To-Repay rules and related guidelines of the Consumer Finance Protection Bureau ("CFPB"). Non-QM Loans are residential mortgage loans that do not satisfy the requirements for QM Loans and are therefore not deemed to be a "qualified mortgage" under the rules of the CFPB.
These investments are included in the "Residential mortgage loans, at fair value" and "Securitized residential mortgage loans, at fair value" line items on the consolidated balance sheets.
Agency-Eligible Loans
Agency-Eligible Loans are loans that are underwritten in accordance with GSE guidelines and are primarily secured by investment properties.
These investments are included in the "Residential mortgage loans, at fair value" and "Securitized residential mortgage loans, at fair value" line items on the consolidated balance sheets.
Re- and Non-Performing Loans
Performing, re-performing, and non-performing loans are residential mortgage loans collateralized by a first lien mortgaged property.
These investments are included in the "Residential mortgage loans, at fair value" and "Securitized residential mortgage loans, at fair value" line items on the consolidated balance sheets.
Non-Agency Residential Mortgage-Backed Securities ("RMBS")
Non-Agency RMBS represent fixed- and floating-rate RMBS issued by entities other than U.S. GSEs or agencies of the U.S. government. The mortgage loan collateral consists of residential mortgage loans that do not generally conform to underwriting guidelines issued by a GSE or agency of the U.S. government.
These investments are included in the "Real estate securities, at fair value" line item on the consolidated balance sheets.
Agency RMBS
Agency RMBS represent interests in pools of residential mortgage loans guaranteed by a GSE such as Fannie Mae or Freddie Mac, or an agency of the U.S. Government such as Ginnie Mae.
These investments are included in the "Real estate securities, at fair value" line item on the consolidated balance sheets.

The Company conducts its business through one reportable segment, Loans and Securities, which reflects how the Company manages its business and analyzes and reports its results of operations.

8


AG Mortgage Investment Trust Inc. and Subsidiaries
Notes to Consolidated Financial Statements (Unaudited)
March 31, 2022
The Company was incorporated in the state of Maryland on March 1, 2011 and commenced operations in July 2011. The Company conducts its operations to qualify and be taxed as a real estate investment trust ("REIT") under the Internal Revenue Code of 1986, as amended (the "Code"). The Company is externally managed by AG REIT Management, LLC, a Delaware limited liability company (the "Manager"), a wholly-owned subsidiary of Angelo, Gordon & Co., L.P. ("Angelo Gordon"), a privately-held, SEC-registered investment adviser, pursuant to a management agreement. The Manager has delegated to Angelo Gordon the overall responsibility of its day-to-day duties and obligations arising under the management agreement.

The consolidated financial statements include the accounts of the Company and its wholly-owned subsidiaries. All intercompany balances and transactions have been eliminated in consolidation.

COVID-19 Impact

In March 2020, the global novel coronavirus ("COVID-19") pandemic and the related economic conditions caused financial and mortgage-related asset markets to come under extreme duress, resulting in credit spread widening, a sharp decrease in interest rates and unprecedented illiquidity in repurchase agreement financing and mortgage-backed securities ("MBS") markets. The illiquidity was exacerbated by inadequate demand for MBS among primary dealers due to balance sheet constraints. Although market conditions have improved since 2020, the COVID-19 pandemic is ongoing with new variants emerging despite growing vaccination rates. As a result, the full impact of COVID-19 on the mortgage REIT industry, credit markets, and, consequently, on the Company’s financial condition and results of operations for future periods remains uncertain.

2. Summary of significant accounting policies
 
The accompanying unaudited consolidated financial statements and related notes have been prepared on the accrual basis of accounting in accordance with accounting principles generally accepted in the United States of America ("GAAP") for interim financial reporting and the instructions to Form 10-Q and Rule 10-01 of Regulation S-X. For all periods presented, all per share amounts and common shares outstanding have been adjusted on a retroactive basis to reflect the Company's one-for-three reverse stock split which was effected following the close of business on July 22, 2021. In the opinion of management, all adjustments considered necessary for a fair statement of the Company’s financial position, results of operations, and cash flows have been included for the interim period and are of a normal and recurring nature. The operating results presented for interim periods are not necessarily indicative of the results that may be expected for any other interim period or for the entire year.
 
Use of estimates
 
The preparation of consolidated financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the amounts reported in the consolidated financial statements and accompanying notes. Actual results may differ from those estimates.

Valuation of financial instruments
 
The fair value of the financial instruments that the Company records at fair value is determined by the Manager, subject to oversight of the Company’s Board of Directors, and in accordance with the provisions of Accounting Standards Codification ("ASC") 820, "Fair Value Measurements and Disclosures." When possible, the Company determines fair value using third-party data sources. ASC 820 establishes a hierarchy that prioritizes the inputs to valuation techniques giving the highest priority to readily available unadjusted quoted prices in active markets for identical assets (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements) when market prices are not readily available or reliable.
 
The three levels of the hierarchy under ASC 820 are described below: 
Level 1 – Quoted prices in active markets for identical assets or liabilities.
Level 2 – Prices determined using other significant observable inputs. These may include quoted prices for similar assets and liabilities in active markets.
Level 3 – Prices determined using significant unobservable inputs. In situations where quoted prices or observable inputs are unavailable (for example, when there is little or no market activity for an investment at the end of the period), unobservable inputs may be used. Unobservable inputs reflect the Company’s assumptions about the factors that market participants would use in pricing an asset or liability, and would be based on the best information available.

Transfers between levels are assumed to occur at the beginning of the reporting period.
9


AG Mortgage Investment Trust Inc. and Subsidiaries
Notes to Consolidated Financial Statements (Unaudited)
March 31, 2022

Accounting for loans
 
Investments in loans are recorded in accordance with ASC 310-10, "Receivables" and are classified as held-for-investment when the Company has the intent and ability to hold such loans for the foreseeable future or to maturity/payoff. Loans are classified as held for sale upon the Company determining that it intends to sell or liquidate the loan in the short-term and certain criteria have been met. Loans held-for-sale are accounted for under ASC 948-310, "Financial services—mortgage banking." Loans meeting all criteria for reclassification are presented separately on the consolidated balance sheets. Transfers between held-for-investment and held-for-sale occur once the Company's intent to sell the loans changes.

The Company has chosen to make a fair value election pursuant to ASC 825 for its loan portfolio. Electing the fair value option allows the Company to record changes in fair value in the consolidated statement of operations, which, in management's view, more appropriately reflects the results of operations for a particular reporting period as all loan activities will be recorded in a similar manner. As such, loans are recorded at fair value on the consolidated balance sheets and any periodic change in fair value is recorded in current period earnings on the consolidated statement of operations as a component of "Net unrealized gain/(loss)." The Company recognizes certain upfront costs and fees relating to loans for which the fair value option has been elected in current period earnings as incurred and does not defer those costs, which is in accordance with ASC 825-10-25.

Purchases and sales of loans are recorded on the settlement date, concurrent with the completion of due diligence and the removal of any contingencies.

At purchase, the Company may aggregate its residential mortgage loans into pools based on common risk characteristics. Once a pool of loans is assembled, its composition is maintained. When the Company purchases mortgage loans with evidence of credit deterioration since origination and it determines that it is probable it will not collect all contractual cash flows on those loans, it will apply the guidance found in ASC 310-30. Mortgage loans that are delinquent 60 or more days are considered non-performing for purposes of this determination.
 
The Company updates its estimate of the cash flows expected to be collected on at least a quarterly basis for loans accounted for under ASC 310-30. In estimating these cash flows, there are a number of assumptions that will be subject to uncertainties and contingencies including both the rate and timing of principal and interest receipts, and assumptions of prepayments, repurchases, defaults and liquidations. If based on the most current information and events it is probable that there is a significant increase in cash flows previously expected to be collected or if actual cash flows are significantly greater than cash flows previously expected, the Company will recognize these changes prospectively through an adjustment of the loan’s yield over its remaining life. The Company will adjust the amount of accretable yield by reclassification from the nonaccretable difference.

On at least a quarterly basis, the Company evaluates the collectability of both principal and interest on its loans to determine whether they are impaired. A loan or pool of loans is impaired when, based on current information and events, it is probable that the Company will be unable to collect all amounts due according to the existing contractual terms. When a loan's cost basis is impaired, the Company does not record an allowance for loan loss as it elected the fair value option on all of its loan investments.

The Company accrues interest income on its loan portfolio. Loans are typically moved to non-accrual status and income recognition is suspended if the loan becomes 90 days or more delinquent. A loan is written off when it is no longer realizable and/or legally discharged.

Accounting for real estate securities
 
Investments in real estate securities are recorded in accordance with ASC 320-10, "Investments – Debt and Equity Securities" or ASC 325-40, "Beneficial Interests in Securitized Financial Assets." The Company has chosen to make a fair value election pursuant to ASC 825, "Financial Instruments" for its real estate securities portfolio. Electing the fair value option allows the Company to record changes in fair value in the consolidated statement of operations, which, in management’s view, more appropriately reflects the results of operations for a particular reporting period as all securities activities will be recorded in a similar manner. Real estate securities are recorded at fair value on the consolidated balance sheets and the periodic change in fair value is recorded in current period earnings on the consolidated statement of operations as a component of "Net unrealized gain/(loss)." Purchases and sales of real estate securities are recorded on the trade date.

10


AG Mortgage Investment Trust Inc. and Subsidiaries
Notes to Consolidated Financial Statements (Unaudited)
March 31, 2022
Investments in debt and equity of affiliates

The Company’s unconsolidated ownership interests in affiliates are accounted for using the equity method in accordance with ASC 323, "Investments – Equity Method and Joint Ventures." Substantially all of the Company’s investments held through affiliated entities are comprised of real estate securities, loans, and its interest in AG Arc LLC. Certain entities have chosen to make a fair value election on their financial instruments and certain financing arrangements pursuant to ASC 825; as such, the Company will treat these financial instruments and financing arrangements consistently with this election.
 
Arc Home

On December 9, 2015, the Company, alongside private funds managed by Angelo Gordon, through AG Arc LLC, one of the Company’s indirect affiliates ("AG Arc"), formed Arc Home. The Company has an approximate 44.6% interest in AG Arc. Arc Home originates residential mortgage loans and retains the mortgage servicing rights associated with the loans it originates. Arc Home is led by an external management team. The Company has chosen to make a fair value election with respect to its investment in AG Arc pursuant to ASC 825. The Company elected to treat its investment in AG Arc as a taxable REIT subsidiary. As a result, income or losses recognized by the Company from its investment in AG Arc are recorded in "Equity in earnings/(loss) from affiliates" line item on the Company's consolidated statement of operations net of income taxes.

From time to time, the Company acquires newly originated non-agency loans from Arc Home. In connection with the sale of loans from Arc Home to the Company, gains or losses recorded by Arc Home are consolidated into AG Arc. In accordance with ASC 323-10, for loans acquired from Arc Home that remain on the Company's consolidated balance sheet at period end, the Company eliminates any profits or losses typically recognized through the "Equity in earnings/(loss) from affiliates" line item on the Company's consolidated statement of operations and adjusts the cost basis of the underlying loans resulting in unrealized gains. For the three months ended March 31, 2022 and 2021, the Company eliminated $2.4 million and $0.5 million of intra-entity profits recognized by Arc Home, respectively, and also decreased the cost basis of the underlying loans by the same amount in connection with loan sales to the Company.
 
MATH

On August 29, 2017, the Company, alongside private funds managed by Angelo Gordon, formed Mortgage Acquisition Holding I LLC ("MATH") to conduct a residential mortgage investment strategy. The Company has an approximate 44.6% interest in MATH. MATH in turn sponsored the formation of an entity called Mortgage Acquisition Trust I LLC ("MATT") to purchase predominantly Non-QM Loans. MATT made an election to be treated as a real estate investment trust beginning with the 2018 tax year. As of March 31, 2022, MATT primarily holds retained tranches from past securitizations which continue to reduce in size due to ongoing principal repayments and the Company does not expect to acquire additional investments within this equity method investment.

LOTS

On May 15, 2019 and November 14, 2019, the Company, alongside private funds managed by Angelo Gordon, formed LOT SP I LLC and LOT SP II LLC, respectively, (collectively, "LOTS"). The Company has an approximate 47.5% and 50% interest in LOT SP I LLC and LOT SP II LLC, respectively. LOTS were formed to originate first mortgage loans to third-party land developers and home builders for the acquisition and horizontal development of land ("Land Related Financing"). The LOTS investments continue to reduce in size due to ongoing principal repayments and the Company does not expect to originate new loans within this equity method investment.

Investment consolidation
 
In variable interest entities ("VIEs"), an entity is subject to consolidation under ASC 810-10, "Consolidation" if the equity investors (i) do not have sufficient equity at risk for the entity to finance its activities without additional subordinated financial support, (ii) are unable to direct the entity’s activities, or (iii) are not exposed to the entity’s losses or entitled to its residual returns. VIEs within the scope of ASC 810-10 are required to be consolidated by their primary beneficiary. The primary beneficiary of a VIE is determined to be the party that has both the power to direct the activities of a VIE that most significantly impact the VIE’s economic performance and the obligation to absorb losses of the VIE that could potentially be significant to the VIE or the right to receive benefits from the VIE that could potentially be significant to the VIE. This determination can sometimes involve complex and subjective analyses. Further, ASC 810-10 also requires ongoing assessments of whether an enterprise is the primary beneficiary of a VIE. In accordance with ASC 810-10, all transferees, including variable interest
11


AG Mortgage Investment Trust Inc. and Subsidiaries
Notes to Consolidated Financial Statements (Unaudited)
March 31, 2022
entities, must be evaluated for consolidation. If the Company determines that consolidation is not required, it will then assess whether the transfer of the underlying assets would qualify as a sale, should be accounted for as secured financings under GAAP, or should be accounted for as an equity method investment, depending on the circumstances.

A Special Purpose Entity ("SPE") is an entity designed to fulfill a specific limited need of the company that organized it. SPEs are often used to facilitate transactions that involve securitizing financial assets or resecuritizing previously securitized financial assets. The objective of such transactions may include obtaining non-recourse financing, obtaining liquidity, or refinancing the underlying securitized financial assets on improved terms. Securitization involves transferring assets to an SPE to convert all or a portion of those assets into cash before they would have been realized in the normal course of business through the SPE’s issuance of debt or equity instruments. Investors in an SPE usually have recourse only to the assets in the SPE and depending on the overall structure of the transaction, may benefit from various forms of credit enhancement, such as over-collateralization in the form of excess assets in the SPE, priority with respect to receipt of cash flows relative to holders of other debt or equity instruments issued by the SPE, or a line of credit or other form of liquidity agreement that is designed with the objective of ensuring that investors receive principal and/or interest cash flow on the investment in accordance with the terms of their investment agreement.

The Company enters into securitization transactions collateralized by its Non-Agency Loans ("Non-Agency VIEs"), Agency-Eligible Loans ("Agency-Eligible VIEs"), and re- and non-performing loans ("RPL/NPL VIEs") (collectively, "Residential Mortgage Loan VIEs"), which may result in the Company consolidating the respective VIEs that are created to facilitate these transactions and to which the underlying assets in connection with these securitizations are transferred. Based on the evaluations of each VIE, the Company may conclude that the VIEs should be consolidated and, as a result, transferred assets of these VIEs would be determined to be secured borrowings. Upon consolidation, the Company elected the fair value option pursuant to ASC 825 for the assets and liabilities of the Residential Mortgage Loan VIEs. Electing the fair value option allows the Company to record changes in fair value in the consolidated statement of operations, which, in management's view, more appropriately reflects the results of operations for a particular reporting period as all activities will be recorded in a similar manner. The Company applied the guidance under ASC 810-10 (Measuring the Financial Assets and the Financial Liabilities of a Consolidated Collateralized Financing Entity) whereby the Company determines whether the fair value of the assets or liabilities of the Residential Mortgage Loan VIEs are more observable as a basis for measuring the less observable financial instruments. The Company has determined that the fair value of the liabilities of the Residential Mortgage Loan VIEs are more observable since the prices for these liabilities are more easily determined as similar instruments trade more frequently on a relative basis than the individual assets of the VIEs. See Note 3 for more detail regarding the Residential Mortgage Loan VIEs and Note 5 for more detail related to the Company's determination of fair value for the assets and liabilities included within these VIEs.

Transfers of financial assets

The Company may periodically enter into transactions in which it transfers assets to a third party. Upon a transfer of financial assets, the Company will sometimes retain or acquire senior or subordinated interests in the related assets. Pursuant to ASC 860-10, "Transfers and Servicing" a determination must be made as to whether a transferor has surrendered control over transferred financial assets. That determination must consider the transferor’s continuing involvement in the transferred financial asset, including all arrangements or agreements made contemporaneously with, or in contemplation of, the transfer, even if they were not entered into at the time of the transfer. The financial components approach under ASC 860-10 limits the circumstances in which a financial asset, or portion of a financial asset, should be derecognized when the transferor has not transferred the entire original financial asset to an entity that is not consolidated with the transferor in the financial statements being presented and/or when the transferor has continuing involvement with the transferred financial asset. It defines the term "participating interest" to establish specific conditions for reporting a transfer of a portion of a financial asset as a sale.
 
Under ASC 860-10, after a transfer of financial assets that meets the criteria for treatment as a sale—legal isolation, ability of transferee to pledge or exchange the transferred assets without constraint and transferred control—an entity recognizes the financial and servicing assets it acquired or retained and the liabilities it has incurred, derecognizes financial assets it has sold and derecognizes liabilities when extinguished. The transferor would then determine the gain or loss on sale of financial assets by allocating the carrying value of the underlying mortgage between securities or loans sold and the interests retained based on their fair value. The gain or loss on sale is the difference between the cash proceeds from the sale and the amount allocated to the securities or loans sold. When a transfer of financial assets does not qualify for sale accounting, ASC 860-10 requires the transfer to be accounted for as a secured borrowing with a pledge of collateral.
 
12


AG Mortgage Investment Trust Inc. and Subsidiaries
Notes to Consolidated Financial Statements (Unaudited)
March 31, 2022
From time to time, the Company may securitize mortgage loans it holds if such financing is available. These transactions will be recorded in accordance with ASC 860-10 and will be accounted for as either a "sale" and the loans will be removed from the consolidated balance sheets or as a "financing" and will be classified as "Securitized residential mortgage loans" on the consolidated balance sheets, depending upon the structure of the securitization transaction. ASC 860-10 is a standard that may require the Company to exercise significant judgment in determining whether a transaction should be recorded as a "sale" or a "financing."

Cash and cash equivalents

Cash is comprised of cash on deposit with financial institutions. The Company classifies highly liquid investments with original maturities of three months or less from the date of purchase as cash equivalents. Cash equivalents may include cash invested in money market funds. Cash and cash equivalents are carried at cost, which approximates fair value. The Company places its cash with high credit quality institutions to minimize credit risk exposure. Cash pledged to the Company as collateral is unrestricted in use and, accordingly, is included as a component of "Cash and cash equivalents" on the consolidated balance sheets. Any cash held by the Company as collateral is included in the "Other liabilities" line item on the consolidated balance sheets and in cash flows from financing activities on the consolidated statement of cash flows. Any cash due to the Company in the form of principal payments is included in the "Other assets" line item on the consolidated balance sheets and in cash flows from operating activities on the consolidated statement of cash flows.
 
Restricted cash
 
Restricted cash includes cash pledged as collateral for clearing and executing trades, derivatives, and financing arrangements, as well as restricted cash deposited into accounts held at certain consolidated trusts. Restricted cash is not available to the Company for general corporate purposes. Restricted cash may be returned to the Company when the related collateral requirements are exceeded or at the maturity of the derivative or financing arrangement. Restricted cash is carried at cost, which approximates fair value. Restricted cash also includes variation margin pledged on centrally cleared derivatives. Refer to the "Accounting for derivative financial instruments" policy below for additional detail.

Financing arrangements

The Company finances the acquisition of certain assets within its portfolio through the use of financing arrangements. Financing arrangements primarily include repurchase agreements, but may also include revolving facilities. Repurchase agreements are treated as collateralized financing transactions and carried at their contractual amounts, including accrued interest, as specified in the respective agreements. The carrying amount of the Company’s repurchase agreements and revolving facilities approximates fair value.
 
The Company pledges certain loans or securities as collateral under financing arrangements with financial institutions, the terms and conditions of which are negotiated on a transaction-by-transaction basis. The amounts available to be borrowed under repurchase agreements and revolving facilities are dependent upon the fair value of the loans or securities pledged as collateral, which can fluctuate with changes in interest rates, type of security and liquidity conditions within the banking, mortgage finance, and real estate industries. If the fair value of pledged assets declines due to changes in market conditions, lenders typically would require the Company to post additional securities as collateral, pay down borrowings, or establish cash margin accounts with the counterparties in order to re-establish the agreed-upon collateral requirements, referred to as margin calls. The fair value of financial instruments pledged as collateral on the Company’s financing arrangements represents the Company’s fair value of such instruments which may differ from the fair value assigned to the collateral by its counterparties. The Company maintains a level of liquidity in order to meet these obligations. If the fair value of pledged assets increases due to changes in market conditions, counterparties may be required to return collateral to us in the form of securities or cash or post additional collateral to us. Financings pursuant to repurchase agreements and revolving facilities are generally recourse to the Company. As of March 31, 2022 and December 31, 2021, the Company had met all margin call requirements. 

Accounting for derivative financial instruments

Derivative contracts
 
The Company enters into derivative contracts as a means of mitigating interest rate risk rather than to enhance returns. The Company accounts for derivative financial instruments in accordance with ASC 815-10, "Derivatives and Hedging." ASC 815-10 requires an entity to recognize all derivatives as either assets or liabilities on the balance sheet and to measure those
13


AG Mortgage Investment Trust Inc. and Subsidiaries
Notes to Consolidated Financial Statements (Unaudited)
March 31, 2022
instruments at fair value. Additionally, if or when hedge accounting is elected, the fair value adjustments will affect either other comprehensive income in stockholders’ equity until the hedged item is recognized in earnings or net income depending on whether the derivative instrument is designated and qualifies as a hedge for accounting purposes and, if so, the nature of the hedging activity. As of March 31, 2022 and December 31, 2021, the Company did not have any interest rate derivatives designated as hedges. All derivatives have been recorded at fair value with corresponding changes in fair value recognized in the consolidated statement of operations. The Company records derivative asset and liability positions on a gross basis with respect to its counterparties. During the period in which the Company unwinds a derivative, it records a realized gain/(loss) in the "Net realized gain/(loss)" line item in the consolidated statement of operations.

To-be-announced securities

A to-be-announced security ("TBA") is a forward contract for the purchase or sale of Agency RMBS at a predetermined price, face amount, issuer, coupon and stated maturity on an agreed-upon future date. The specific Agency RMBS delivered into or received from the contract upon the settlement date, published each month by the Securities Industry and Financial Markets Association, are not known at the time of the transaction. The Company may also choose, prior to settlement, to move the settlement of these securities out to a later date by entering into an offsetting short or long position (referred to as a pair off), net settling the paired off positions for cash, simultaneously purchasing or selling a similar TBA contract for a later settlement date. This transaction is commonly referred to as a dollar roll. The Agency RMBS purchased or sold for a forward settlement date are typically priced at a discount to Agency RMBS for settlement in the current month. This difference, or discount, is referred to as the price drop. The price drop is the economic equivalent of net interest carry income on the underlying Agency RMBS over the roll period (interest income less implied financing cost) and is commonly referred to as dollar roll income/(loss). Consequently, forward purchases of Agency RMBS and dollar roll transactions represent a form of off-balance sheet financing. Dollar roll income is recognized in the consolidated statement of operations in the line item "Net unrealized gain/(loss)."

Variation margin

The Company may exchange cash "variation margin" with the counterparties to its derivative instruments on a daily basis based upon changes in the fair value of such derivative instruments as measured by the Chicago Mercantile Exchange ("CME") and the London Clearing House, the central clearinghouses ("CCPs") through which those derivatives are cleared. In addition, the CCPs require market participants to deposit and maintain an "initial margin" amount which is determined by the CCPs and is generally intended to be set at a level sufficient to protect the CCPs from the maximum estimated single-day price movement in that market participant’s contracts.

Receivables recognized for the right to reclaim cash initial margin posted in respect of derivative instruments are included in the "Restricted cash" line item in the consolidated balance sheets. The daily exchange of variation margin associated with a CCP instrument is legally characterized as the daily settlement of the derivative instrument itself, as opposed to a pledge of collateral. Accordingly, the Company accounts for the daily receipt or payment of variation margin associated with its centrally cleared derivative instruments as a direct reduction to the carrying value of the derivative asset or liability, respectively. The carrying amount of centrally cleared derivative instruments reflected in the Company’s consolidated balance sheets approximates the unsettled fair value of such instruments. As variation margin is exchanged on a one-day lag, the unsettled fair value of such instruments represents the change in fair value that occurred on the last day of the reporting period.

Forward purchase commitments

The Company may enter into forward purchase commitments with counterparties whereby the Company commits to purchasing residential mortgage loans at a particular price. Actual loan purchases are contingent upon successful loan closings. The counterparties are required to deliver the committed loans on a mandatory basis. These commitments to purchase mortgage loans are classified as derivatives and are therefore recorded at fair value on the consolidated balance sheets, with corresponding changes in fair value recognized in the consolidated statement of operations. Derivatives with positive fair values to the Company are reported as assets and derivatives with negative fair values to the Company are reported as liabilities.

Earnings/(Loss) per share
 
In accordance with ASC 260, "Earnings per Share," the Company calculates basic income/(loss) per share by dividing net income/(loss) available to common stockholders for the period by weighted average shares of the Company’s common stock outstanding for that period. Diluted income per share takes into account the effect of dilutive instruments, such as stock options, warrants, unvested restricted stock and unvested restricted stock units using the average share price for the period in
14


AG Mortgage Investment Trust Inc. and Subsidiaries
Notes to Consolidated Financial Statements (Unaudited)
March 31, 2022
determining the number of incremental shares that are to be added to the weighted-average number of shares outstanding. Potential dilutive shares are excluded from the calculation, if they have an anti-dilutive effect in the period.

Interest income recognition
 
Interest income on the Company’s loan portfolio and real estate securities portfolio is accrued based on the actual coupon rate and the outstanding principal balance of such loans or securities. The Company has elected to record interest in accordance with ASC 835-30-35-2, "Imputation of Interest," using the effective interest method for all loans and securities accounted for under the fair value option in accordance with ASC 825, "Financial Instruments." As such, premiums and discounts are amortized or accreted into interest income over the lives of the loans or securities in accordance with ASC 310-20, "Nonrefundable Fees and Other Costs," ASC 320-10 or ASC 325-40, as applicable. Total interest income is recorded in the "Interest income" line item on the consolidated statement of operations.
 
For Agency RMBS, exclusive of interest-only securities, prepayments of the underlying collateral are estimated on a quarterly basis, which directly affect the speed at which the Company amortizes premiums on its securities. If actual and anticipated cash flows differ from previous estimates, the Company records an adjustment in the current period to the amortization of premiums for the impact of the cumulative change in the effective yield retrospectively through the reporting date.
  
Similarly, the Company also reassesses the cash flows on at least a quarterly basis for loans and securities, including Non-Agency Loans, Agency-Eligible Loans, Non-Agency RMBS, and interest-only securities. In estimating these cash flows, there are a number of assumptions made that are uncertain and subject to judgments and assumptions based on subjective and objective factors and contingencies. These include the rate and timing of principal and interest receipts (including assumptions of prepayments, repurchases, defaults and liquidations), the pass-through or coupon rate and interest rate fluctuations. In addition, interest payment shortfalls due to delinquencies on the underlying mortgage loans have to be estimated. Differences between previously estimated cash flows and current actual and anticipated cash flows are recognized prospectively through an adjustment of the yield over the remaining life of the security based on the current amortized cost of the investment.
 
For loan and security investments purchased with evidence of deterioration of credit quality for which it is probable, at acquisition, that the Company will be unable to collect all contractually required payments receivable, the Company will apply the provisions of ASC 310-30. For purposes of income recognition, the Company aggregates loans that have common risk characteristics into pools and uses a composite interest rate and expectation of cash flows expected to be collected for the pool. ASC 310-30 addresses accounting for differences between contractual cash flows and cash flows expected to be collected from an investor’s initial investment in loans or debt securities acquired in a transfer if those differences are attributable, at least in part, to credit quality. ASC 310-30 limits the yield that may be accreted (the "accretable yield") to the excess of the investor’s estimate of undiscounted expected principal, interest, and other cash flows (cash flows expected at acquisition to be collected) over the investor’s initial investment in the loan. ASC 310-30 requires that the excess of contractual cash flows over cash flows expected to be collected (the "nonaccretable difference") not be recognized as an adjustment of yield. Subsequent changes in cash flows expected to be collected generally should be recognized prospectively through an adjustment of the loan’s yield over its remaining life.

Realized gains and losses

Realized gains or losses on sales of loans, securities, and derivatives are included in the "Net realized gain/(loss)" line item on the consolidated statement of operations. The cost of positions sold is calculated using a first in, first out ("FIFO") basis. Realized gains and losses are recorded in earnings at the time of disposition.

Manager compensation
 
The management agreement provides for payment to the Manager of a management fee as well as a reimbursement of certain expenses incurred by the Manager or its affiliates on behalf of the Company. The management fee and reimbursement are accrued and expensed during the period for which they are earned or for which the expenses are incurred, respectively. The management fee and reimbursement are included in the "Management fee to affiliate" line item and in the "Other operating expenses" and "Transaction related expenses" line items, respectively, on the consolidated statement of operations. For a more detailed discussion on the fees payable under the management agreement, see Note 10.

15


AG Mortgage Investment Trust Inc. and Subsidiaries
Notes to Consolidated Financial Statements (Unaudited)
March 31, 2022
Transaction related expenses

The Company incurs transaction related expenses associated with purchasing and securitizing residential mortgage loans. In accordance with ASC 825 "Financial Instruments," nonrefundable fees and costs associated with originating or acquiring loans that are carried at fair value shall be recognized in earnings as incurred. Transaction related expenses are accrued and expensed during the period in which they are incurred and are included in the "Transaction related expenses" line item on the consolidated statement of operations.

Income taxes
 
The Company conducts its operations to qualify and be taxed as a REIT. Accordingly, the Company will generally not be subject to federal or state corporate income tax to the extent that the Company makes qualifying distributions to its stockholders, and provided that it satisfies on a continuing basis, through actual investment and operating results, the REIT requirements including certain asset, income, distribution and stock ownership tests. If the Company fails to qualify as a REIT, and does not qualify for certain statutory relief provisions, it will be subject to U.S. federal, state and local income taxes and may be precluded from qualifying as a REIT for the four taxable years following the year in which the Company fails to qualify as a REIT.
 
The dividends paid deduction of a REIT for qualifying dividends to its stockholders is computed using the Company’s taxable income/(loss) as opposed to net income/(loss) reported on the Company’s GAAP financial statements. Taxable income/(loss), generally, will differ from net income/(loss) reported on the financial statements because the determination of taxable income/(loss) is based on tax principles and not financial accounting principles.

Cash distributions declared by the Company that do not exceed its current or accumulated earnings and profits will be considered ordinary income to stockholders for income tax purposes unless all or a portion of a distribution is designated by the Company as a capital gain dividend. Distributions in excess of the Company’s current and accumulated earnings and profits will be characterized as return of capital or capital gains. 

The Company elected to treat certain domestic subsidiaries as taxable REIT subsidiaries ("TRSs") and may elect to treat other subsidiaries as TRSs. In general, a TRS may hold assets and engage in activities that the Company cannot hold or engage in directly and generally may engage in any real estate or non-real estate-related business.
 
A domestic TRS may declare dividends to the Company which will be included in the Company’s taxable income/(loss) which may necessitate a distribution to stockholders. Conversely, if the Company retains earnings at the domestic TRS level, no distribution is required and the Company can increase book equity of the consolidated entity. A domestic TRS is subject to U.S. federal, state and local corporate income taxes.
 
The Company’s financial results are generally not expected to reflect provisions for current or deferred income taxes, except for any activities conducted through one or more TRSs that are subject to corporate income taxation. The Company believes that it will operate in a manner that will allow it to qualify for taxation as a REIT. As a result of the Company’s expected REIT qualification, it does not generally expect to pay federal or state corporate income tax. Many of the REIT requirements, however, are highly technical and complex.
 
As a REIT, if the Company fails to distribute in any calendar year (subject to specific timing rules for certain dividends paid in January) at least the sum of (i) 85% of its ordinary income for such year, (ii) 95% of its capital gain net income for such year, and (iii) any undistributed taxable income from the prior year, the Company would be subject to a non-deductible 4% excise tax on the excess of such required distribution over the sum of (i) the amounts actually distributed and (ii) the amounts of income retained and on which the Company has paid corporate income tax.
 
The Company evaluates uncertain income tax positions, if any, in accordance with ASC 740, "Income Taxes." The Company classifies interest and penalties, if any, related to unrecognized tax benefits as a component of provision for income taxes. See Note 9 for further details.

Reverse stock split

On July 12, 2021, the Company announced that its board of directors approved a one-for-three reverse stock split of the Company's outstanding shares of common stock. The reverse stock split was effected following the close of business on July
16


AG Mortgage Investment Trust Inc. and Subsidiaries
Notes to Consolidated Financial Statements (Unaudited)
March 31, 2022
22, 2021 (the "Effective Time"). At the Effective Time, every three issued and outstanding shares of the Company’s common stock were combined into one share of the Company’s common stock. No fractional shares were issued in connection with the reverse stock split. Instead, each stockholder holding fractional shares was entitled to receive, in lieu of such fractional shares, cash in an amount determined based on the closing price of the Company's common stock on the date of the Effective Time. The reverse stock split applied to all of the Company's outstanding shares of common stock and did not affect any stockholder’s ownership percentage of shares of the Company's common stock, except for immaterial changes resulting from the payment of cash for fractional shares. All per share amounts and common shares outstanding for all periods presented in the unaudited consolidated financial statements have been adjusted on a retroactive basis to reflect the Company's reverse stock split. See Note 11 for further details.

Dividends on Preferred Stock

Holders of the Company’s 8.25% Series A Cumulative Redeemable Preferred Stock ("Series A Preferred Stock"), 8.00% Series B Cumulative Redeemable Preferred Stock ("Series B Preferred Stock"), and 8.000% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock ("Series C Preferred Stock") are entitled to receive cumulative cash dividends at a rate of 8.25%, 8.00% and 8.000% per annum, respectively, of the $25.00 per share liquidation preference for each series. On and after September 17, 2024, dividends on the Series C Preferred Stock will accumulate at a percentage of the $25.00 liquidation preference equal to an annual floating rate of the then three-month LIBOR (or as replaced by the existing LIBOR cessation fallback language) plus a spread of 6.476% per annum. If the Company’s Board of Directors does not declare a dividend in a given period, an accrual is not recorded on the balance sheet. However, undeclared preferred stock dividends are reflected in earnings per share as discussed in ASC 260-10-45-11. Preferred stock dividends that are not declared accumulate and are added to the liquidation preference as of the scheduled payment date for the respective series of the preferred stock. The undeclared and unpaid dividends on the Company’s preferred stock accrue without interest, and if dividends on the Company's preferred stock are in arrears, the Company cannot pay cash dividends with respect to its common stock. See Note 11 for further detail on the Company’s Preferred Stock.

Offering costs
 
The Company has incurred offering costs in connection with common stock offerings, registration statements, preferred stock offerings, and exchanges. Where applicable, the offering costs were paid out of the proceeds of the respective offerings. Offering costs in connection with common stock offerings and costs in connection with registration statements have been accounted for as a reduction of additional paid-in capital. Offering costs in connection with preferred stock offerings have been accounted for as a reduction of their respective gross proceeds. Exchange costs in connection with the Company's preferred stock exchanges have been accounted for as a reduction to the Company's retained earnings.

Recent accounting pronouncements

In March 2020, FASB issued ASU 2020-04, "Reference Rate Reform (Topic 848): Facilitation of the Effects of Reference Rate Reform on Financial Reporting." This ASU provides temporary optional guidance intended to ease the burden of reference rate reform on financial reporting. This ASU is effective as of March 12, 2020 through December 31, 2022 and may be elected over time as reference rate reform activities occur. The ASU applies to all entities that have contracts, hedging relationships and other transactions that reference LIBOR and certain other reference rates that are expected to be discontinued. However, it cannot be applied to contract modifications that occur after December 31, 2022. With certain exceptions, this ASU also cannot be applied to hedging relationships entered into or evaluated after that date. The guidance provides optional expedients and exceptions for applying existing guidance to contract modifications, hedging relationships and other transactions that are expected to be affected by reference rate reform and meet certain scope guidance.

The Manager has an established cross-functional team that focuses on evaluating exposure to LIBOR and monitoring regulatory updates to assess the potential impact to the portfolios under management from the cessation set to occur in 2023 and has established a LIBOR transition plan to facilitate an orderly transition to alternative reference rates. As of March 31, 2022, the Company is continuing to assess the impact of the LIBOR transition and does not expect the transition or the adoption of ASU 2020-04 to have a material impact on the consolidated financial statements. The Company's primary exposure to LIBOR includes certain financing arrangements, interest rate swaps, and the Series C Preferred Stock. The Company's financing arrangements either have provisions in place that provide for an alternative to LIBOR upon its phase-out or contain maturities of one year or less and therefore would mature prior to the phase out of LIBOR in June 2023. In addition, the Company has begun amending terms of certain financing arrangements, where necessary, to transition or direct the transition to an alternative benchmark. Interest rate swaps will experience an orderly market transition upon the cessation of LIBOR, although the
17


AG Mortgage Investment Trust Inc. and Subsidiaries
Notes to Consolidated Financial Statements (Unaudited)
March 31, 2022
Company has begun transitioning its interest rate swap portfolio away from LIBOR benchmarks. The Company does not currently intend to amend the Series C Preferred Stock to change the existing LIBOR cessation fallback language.

3. Loans
 
Residential mortgage loans

The table below details information regarding the Company’s residential mortgage loan portfolio as of March 31, 2022 and December 31, 2021 ($ in thousands). The gross unrealized gains/(losses) in the table below represent inception to date gains/(losses).
  Unpaid Principal Balance     Gross Unrealized   Weighted Average
March 31, 2022
Premium
(Discount)
Amortized Cost Gains Losses Fair Value Coupon Yield Life 
(Years) (1)
Securitized residential mortgage loans, at fair value (2)
Non-Agency Loans $ 1,368,470  $ 53,404  $ 1,421,874  $ —  $ (67,538) $ 1,354,336  4.85  % 4.07  % 6.36
Agency-Eligible Loans 452,213  10,134  462,347  —  (31,330) 431,017  3.59  % 3.24  % 8.43
Re- and Non-Performing Loans 364,103  (43,164) 320,939  7,776  (8,496) 320,219  3.31  % 5.92  % 7.76
Total Securitized residential mortgage loans, at fair value $ 2,184,786  $ 20,374  $ 2,205,160  $ 7,776  $ (107,364) $ 2,105,572  4.33  % 4.18  % 7.02
Residential mortgage loans, at fair value
Non-Agency Loans $ 878,438  $ 17,153  $ 895,591  $ 1,387  $ (18,725) $ 878,253  4.67  % 4.18  % 5.87
Agency-Eligible Loans 293,765  6,158  299,923  (15,862) 284,063  3.65  % 3.32  % 8.69
Re- and Non-Performing Loans 5,977  (3,408) 2,569  2,176  —  4,745  N/A 44.49  % 2.11
Total Residential mortgage loans, at fair value $ 1,178,180  $ 19,903  $ 1,198,083  $ 3,565  $ (34,587) $ 1,167,061  4.42  % 4.14  % 6.56
Total as of March 31, 2022
$ 3,362,966  $ 40,277  $ 3,403,243  $ 11,341  $ (141,951) $ 3,272,633  4.36  % 4.17  % 6.86
Unpaid Principal Balance Gross Unrealized Weighted Average
December 31, 2021
Premium
(Discount)
Amortized Cost Gains Losses Fair Value Coupon Yield Life 
(Years) (1)
Securitized residential mortgage loans, at fair value (2)
Non-Agency Loans $ 777,828  $ 30,739  $ 808,567  $ 5,821  $ (1,005) $ 813,383  5.13  % 3.96  % 4.50
Re- and Non-Performing Loans 377,923  (44,971) 332,952  14,914  (3,115) 344,751  3.55  % 5.90  % 7.17
Total Securitized residential mortgage loans, at fair value $ 1,155,751  $ (14,232) $ 1,141,519  $ 20,735  $ (4,120) $ 1,158,134  4.61  % 4.53  % 5.37
Residential mortgage loans, at fair value
Non-Agency Loans $ 987,290  $ 35,647  $ 1,022,937  $ 9,336  $ (1,458) $ 1,030,815  4.75  % 3.76  % 5.01
Agency-Eligible Loans 429,424  10,039  439,463  1,723  (349) 440,837  3.64  % 3.19  % 6.84
Re- and Non-Performing Loans 6,528  (3,536) 2,992  2,328  —  5,320  N/A 31.18  % 2.24
Total Residential mortgage loans, at fair value $ 1,423,242  $ 42,150  $ 1,465,392  $ 13,387  $ (1,807) $ 1,476,972  4.41  % 3.69  % 5.55
Total as of December 31, 2021
$ 2,578,993  $ 27,918  $ 2,606,911  $ 34,122  $ (5,927) $ 2,635,106  4.50  % 4.06  % 5.47
(1)This is based on projected life. Typically, actual maturities are shorter than stated contractual maturities. Maturities are affected by the lives of the underlying mortgages, periodic payments of principal, and prepayments of principal.
(2)Refer to the "Variable interest entities" section below for additional details.


18


AG Mortgage Investment Trust Inc. and Subsidiaries
Notes to Consolidated Financial Statements (Unaudited)
March 31, 2022
The following tables present information regarding credit quality of the Company's residential mortgage loans ($ in thousands).
March 31, 2022
Unpaid Principal Balance Weighted Average (1) Aging by Unpaid Principal Balance (1)(2)
Loan Count (1) Original LTV Ratio Current FICO (3) Current 30-59 Days 60-89 Days 90+ Days
Securitized residential mortgage loans
Non-Agency Loans $ 1,368,470  2,741 68.67  % 732 $ 1,338,123  $ 22,057  $ 2,458  $ 5,832 
Agency-Eligible Loans 452,213  1,570 65.25  % 757 449,506 1,972 539 196
Re- and Non-Performing Loans 364,103  2,459 79.31  % 639 243,340 30,564 15,681 74,518
Total Securitized residential mortgage loans 2,184,786  6,770  69.73  % 720 2,030,969  54,593  18,678  80,546 
Residential mortgage loans
Non-Agency Loans 878,438  1,658 70.34  % 734 861,420  7,396  1,276  8,346 
Agency-Eligible Loans 293,765  705 63.93  % 757 288,710 3,868  —  1,187 
Re- and Non-Performing Loans (1) 5,977  N/A N/A N/A N/A N/A N/A N/A
Total Residential mortgage loans 1,178,180  2,363  68.74  % 740 1,150,130  11,264  1,276  9,533 
Total as of March 31, 2022
$ 3,362,966  9,133  69.39  % 728 $ 3,181,099  $ 65,857  $ 19,954  $ 90,079 
December 31, 2021
Unpaid Principal Balance Weighted Average (1) Aging by Unpaid Principal Balance (1)(2)
Loan Count (1) Original LTV Ratio Current FICO (3) Current 30-59 Days 60-89 Days 90+ Days
Securitized residential mortgage loans
Non-Agency Loans $ 777,828  1,562 68.03  % 733 $ 767,734  $ 6,495  $ 1,036  $ 2,563 
Re- and Non-Performing Loans 377,923  2,540 79.20  % 639 256,094 35,974 12,324 73,531
Total Securitized residential mortgage loans 1,155,751  4,102  71.68  % 697  1,023,828  42,469  13,360  76,094 
Residential mortgage loans
Non-Agency Loans 987,290  1,886 69.39  % 737 967,910  9,101  1,630  8,649 
Agency-Eligible Loans 429,424  1,339 65.44  % 754 425,594 3,830 —  — 
Re- and Non-Performing Loans (1) 6,528  N/A N/A N/A N/A N/A N/A N/A
Total Residential mortgage loans 1,423,242  3,225  68.19  % 742 1,393,504  12,931  1,630  8,649 
Total as of December 31, 2021
$ 2,578,993  7,327  69.76  % 723 $ 2,417,332  $ 55,400  $ 14,990  $ 84,743 
(1)Loan count, weighted average, and aging data excludes the Re- and Non-Performing Loans subcategory of Residential mortgage loans above as there may be limited data available regarding the underlying collateral of these residual positions.
(2)As of March 31, 2022, the Company had residential mortgage loans that were 90+ days delinquent and loans in the process of foreclosure with a fair value of $51.4 million and $28.3 million, respectively. As of December 31, 2021, the Company had residential mortgage loans that were 90+ days delinquent and loans in the process of foreclosure with a fair value of $47.4 million and $29.0 million, respectively.
(3)Weighted average current FICO excludes borrowers where FICO scores were not available.
 
During the three months ended March 31, 2022, the Company purchased Non-Agency Loans and Agency-Eligible Loans, as detailed below ($ in thousands). A portion of these loans were purchased from Arc Home. See Note 10 for more detail.
Unpaid Principal Balance Fair Value
Non-Agency Loans $ 595,288  $ 604,562 
Agency-Eligible Loans 336,277  343,342

The Company did not sell any residential mortgage loans during the three months ended March 31, 2022 and 2021.
19


AG Mortgage Investment Trust Inc. and Subsidiaries
Notes to Consolidated Financial Statements (Unaudited)
March 31, 2022

The Company’s residential mortgage loan portfolio consisted of mortgage loans on residential real estate located throughout the United States. The following is a summary of the geographic concentration of credit risk as of March 31, 2022 and December 31, 2021 and includes states where the exposure is greater than 5% of the fair value the Company's residential mortgage loan portfolio.
 
Geographic Concentration of Credit Risk (1) March 31, 2022 December 31, 2021
California 34  % 35  %
New York 17  % 15  %
Florida 10  % 11  %
New Jersey % %
(1)Excludes the Re- and Non-Performing Loans subcategory of Residential mortgage loans above as there may be limited data available regarding the underlying collateral of these residual positions.
 
The following is a summary of the changes in the accretable portion of the discount for the Company’s securitized re-performing and non-performing loan portfolios for the three months ended March 31, 2022 and 2021, which is determined by the Company’s estimate of undiscounted principal expected to be collected in excess of the amortized cost of the mortgage loan (in thousands).
  Three Months Ended
  March 31, 2022 March 31, 2021
Beginning Balance $ 46,521  $ 56,907 
Accretion (1,650) (1,562)
Reclassifications from/(to) non-accretable difference 1,386  (278)
Disposals —  (64)
Ending Balance $ 46,257  $ 55,003 

20


AG Mortgage Investment Trust Inc. and Subsidiaries
Notes to Consolidated Financial Statements (Unaudited)
March 31, 2022
Variable interest entities
 
The following table details certain information related to the assets and liabilities of the Residential Mortgage Loan VIEs as of March 31, 2022 and December 31, 2021 ($ in thousands).
March 31, 2022 December 31, 2021
Carrying Value Weighted Average Carrying Value Weighted Average
Yield Life (Years) (1) Yield Life (Years) (1)
Assets
Non-Agency VIEs $ 1,354,336  4.07  % 6.36 $ 813,383  3.96  % 4.50
Agency-Eligible VIEs 431,017  3.24  % 8.43 —  —  %
RPL/NPL VIEs 320,219  5.92  % 7.76 344,751  5.90  % 7.17
Securitized residential mortgage loans, at fair value $ 2,105,572  $ 1,158,134 
Restricted cash 1,450  1,467 
Other assets 9,896  6,457 
Total Assets $ 2,116,918  $ 1,166,058 
Liabilities
Non-Agency VIEs $ 1,228,382  2.49  % 3.69 $ 746,970  1.63  % 2.36
Agency-Eligible VIEs 399,128  2.81  % 8.10 —  —  %
RPL/NPL VIEs 232,407  3.09  % 2.65 252,245  3.06  % 3.75
Securitized debt, at fair value (2) $ 1,859,917  $ 999,215 
Financing arrangements (3) 125,533  71,308 
Other liabilities 4,283  1,543 
Total Liabilities $ 1,989,733  $ 1,072,066 
Total Equity $ 127,185  $ 93,992 
(1)This is based on projected life. Typically, actual maturities are shorter than stated contractual maturities. Maturities are affected by the contractual lives of the underlying mortgages, periodic payments of principal, and prepayments of principal.
(2)The holders of the securitized debt have no recourse to the general credit of the Company. The Company has no obligation to provide any other explicit or implicit support to the Residential Mortgage Loan VIEs.
(3)Includes financing arrangements on certain of the Company's retained interests in securitizations.

Commercial loans

As of March 31, 2022 and December 31, 2021, the Company did not hold any commercial loans.

During the first quarter of 2021, the Company sold two commercial loans for total proceeds of $74.3 million, recording realized losses of $2.9 million. During the third quarter of 2021, the Company's two remaining commercial loans were repaid in full for total proceeds of $74.1 million, recording realized gains of $0.4 million. In connection with the repayment of one of these loans, the Company received $3.0 million of deferred interest for the 12-month period following a loan modification entered into with the borrower during the fourth quarter of 2020.
21


AG Mortgage Investment Trust Inc. and Subsidiaries
Notes to Consolidated Financial Statements (Unaudited)
March 31, 2022
4. Real Estate Securities
 
The following tables detail the Company’s real estate securities portfolio as of March 31, 2022 and December 31, 2021 ($ in thousands). The gross unrealized gains/(losses) in the tables below represent inception to date unrealized gains/(losses). 
March 31, 2022  Current Face
 Premium /
(Discount)
Amortized Cost Gross Unrealized   Weighted Average
  Gains Losses Fair Value Coupon (1) Yield
Agency RMBS                
30 Year Fixed Rate $ 223,604  $ 6,304  $ 229,908  $ —  $ (18,059) $ 211,849  2.50  % 2.08  %
Interest Only 103,290  (87,635) 15,655  —  (281) 15,374  3.00  % 6.46  %
Total Agency RMBS 326,894  (81,331) 245,563  —  (18,340) 227,223  2.66  % 2.38  %
Residential Securities
Non-Agency Securities (2) 14,892  (226) 14,666  —  (1,335) 13,331  4.35  % 4.64  %
Non-Agency RMBS Interest Only (2) 139,080 (135,779) 3,301  1,564  —  4,865  0.38  % 31.33  %
Re/Non-Performing Securities 616 15  631  42  (88) 585  5.25  % 23.85  %
Total Residential Securities 154,588  (135,990) 18,598  1,606  (1,423) 18,781  1.10  % 12.15  %
Total $ 481,482  $ (217,321) $ 264,161  $ 1,606  $ (19,763) $ 246,004  2.34  % 3.12  %
December 31, 2021  Current Face
 Premium /
(Discount)
Amortized Cost Gross Unrealized   Weighted Average
  Gains Losses Fair Value Coupon (1) Yield
Agency RMBS                
30 Year Fixed Rate $ 490,435  $ 11,927  $ 502,362  $ —  $ (6,649) $ 495,713  2.18  % 1.78  %
Residential Securities
Non-Agency Securities (2) 14,894  (236) 14,658  —  (58) 14,600  4.36  % 4.74  %
Non-Agency RMBS Interest Only (2) 160,154  (156,647) 3,507  —  (112) 3,395  0.38  % 10.12  %
Re/Non-Performing Securities 696  (24) 672  90  —  762  5.25  % 29.69  %
Total Residential Securities 175,744  (156,907) 18,837  90  (170) 18,757  1.02  % 6.73  %
Total $ 666,179  $ (144,980) $ 521,199  $ 90  $ (6,819) $ 514,470  1.99  % 1.96  %
(1)Equity residual investments with a zero coupon rate are excluded from this calculation.
(2)Comprised of Non-QM securities and Non-QM interest-only bonds.

22


AG Mortgage Investment Trust Inc. and Subsidiaries
Notes to Consolidated Financial Statements (Unaudited)
March 31, 2022
The following tables summarize the Company's real estate securities according to their projected weighted average life classifications as of March 31, 2022 and December 31, 2021 ($ in thousands).
March 31, 2022 Agency RMBS Residential Securities
Weighted Average Life (1) Fair Value Amortized Cost Weighted Average Coupon Fair Value Amortized Cost
Weighted Average
Coupon (2)
Less than or equal to 1 year $ —  $ —  —  % $ 585  $ 631  5.25  %
Greater than one year and less than or equal to five years —  —  —  % 4,865  3,301  0.38  %
Greater than five years and less than or equal to ten years 227,223  245,563  2.66  % 13,331  14,666  4.35  %
Total $ 227,223  $ 245,563  2.66  % $ 18,781  $ 18,598  1.10  %

December 31, 2021 Agency RMBS Residential Securities
Weighted Average Life (1) Fair Value Amortized Cost Weighted Average Coupon Fair Value Amortized Cost
Weighted Average
Coupon (2)
Less than or equal to 1 year $ —  $ —  —  % $ 543  $ 511  5.25  %
Greater than one year and less than or equal to five years —  —  —  % 18,214  18,326  1.00  %
Greater than five years and less than or equal to ten years 474,104  480,204  2.19  % —  —  —  %
Greater than ten years 21,609  22,158  2.00  % —  —  —  %
Total $ 495,713  $ 502,362  2.18  % $ 18,757  $ 18,837  1.02  %
(1)This is based on projected life. Typically, actual maturities are shorter than stated contractual maturities. Maturities are affected by the contractual lives of the underlying mortgages, periodic payments of principal and prepayments of principal.
(2)Equity residual investments and principal only securities with a zero coupon rate are excluded from this calculation.
 

During the three months ended March 31, 2022 and 2021, the Company sold real estate securities, as summarized below ($ in thousands).
Three months ended Number of Securities Proceeds Realized Gains Realized Losses
March 31, 2022 (1) 13 $ 304,665  $ 568  $ (17,408)
March 31, 2021 27 111,824  2,458  (2,958)
(1)Includes $107.7 million of proceeds on six security sales which were unsettled as of March 31, 2022.


23


AG Mortgage Investment Trust Inc. and Subsidiaries
Notes to Consolidated Financial Statements (Unaudited)
March 31, 2022
5. Fair value measurements

The following tables present the Company’s financial instruments measured at fair value on a recurring basis as of March 31, 2022 and December 31, 2021 (in thousands).
  Fair Value at March 31, 2022
  Level 1 Level 2 Level 3 Total
Assets:        
Securitized residential mortgage loans $ —  $ —  $ 2,105,572  $ 2,105,572 
Residential mortgage loans —  847  1,166,214  1,167,061 
30 Year Fixed Rate Agency RMBS —  211,849  —  211,849 
Agency Interest Only —  15,374  —  15,374 
Non-Agency RMBS (1) —  —  13,916  13,916 
Non-Agency RMBS Interest Only —  —  4,865  4,865 
Derivative assets (2) —  71,767  —  71,767 
AG Arc (3) —  —  54,121  54,121 
Total Assets Measured at Fair Value $ —  $ 299,837  $ 3,344,688  $ 3,644,525 
Liabilities:
Securitized debt $ —  $ —  $ (1,859,917) $ (1,859,917)
Derivative liabilities —  (3,313) —  (3,313)
Total Liabilities Measured at Fair Value $ —  $ (3,313) $ (1,859,917) $ (1,863,230)
  Fair value at December 31, 2021
  Level 1 Level 2 Level 3 Total
Assets:        
Securitized residential mortgage loans $ —  $ —  $ 1,158,134  $ 1,158,134 
Residential mortgage loans —  915  1,476,057  1,476,972 
30 Year Fixed Rate Agency RMBS —  495,713  —  495,713 
Non-Agency RMBS (1) —  —  15,362  15,362 
Non-Agency RMBS Interest Only —  —  3,395  3,395 
Derivative assets (2) —  19,781  —  19,781 
AG Arc (3) —  —  53,435  53,435 
Total Assets Measured at Fair Value $ —  $ 516,409  $ 2,706,383  $ 3,222,792 
Liabilities:
Securitized debt $ —  $ —  $ (999,215) $ (999,215)
Derivative liabilities (2) —  (897) (79) (976)
Total Liabilities Measured at Fair Value $ —  $ (897) $ (999,294) $ (1,000,191)
(1)Non-Agency RMBS is comprised of Non-Agency and Re/Non-Performing Securities.
(2)As of March 31, 2022, the Company applied a reduction in fair value of $63.6 million to its interest rate swap assets related to variation margin with a corresponding increase in restricted cash, net of collateral posted by the Company's derivative counterparties. As of December 31, 2021, the Company applied a reduction in fair value of $19.6 million and $0.9 million to its interest rate swap assets and liabilities, respectively, related to variation margin with a corresponding increase or decrease in restricted cash, respectively. Derivative assets and liabilities are included in the "Other assets" and "Other liabilities" line items on the consolidated balance sheets, respectively. Refer to Note 2 and Note 7 for more information on the Company's accounting policies with regard to derivatives.
(3)Refer to Note 2 for more information on the Company's accounting policies with regard to AG Arc. The table above includes the Company's investment in AG Arc, which is included in its "Investments in debt and equity of affiliates" line item on the consolidated balance sheets, as the Company has chosen to elect the fair value option with respect to its investment pursuant to ASC 825.

24


AG Mortgage Investment Trust Inc. and Subsidiaries
Notes to Consolidated Financial Statements (Unaudited)
March 31, 2022
The valuation of the Company’s residential mortgage loans and securitized debt relating to the Residential Mortgage Loan VIEs is determined by the Manager using third-party pricing services where available, valuation analyses from third-party pricing service providers, or model-based pricing. Third-party pricing service providers conduct independent valuation analyses based on a review of source documents, available market data, and comparable investments. The analyses provided by valuation service providers are reviewed and considered by the Manager. The evaluation considers the underlying characteristics of each loan, which are observable inputs, including: coupon, maturity date, loan age, reset date, collateral type, periodic and life cap, geography, and prepayment speeds. The Company also considers loan servicing data, as available, forward interest rates, general economic conditions, home price index forecasts, and valuations of the underlying properties. The variables considered most significant to the determination of the fair value of the Company's residential mortgage loans and securitized debt include market-implied discount rates, projections of default rates, delinquency rates, prepayment rates, loss severity, recovery rates, reperformance rates, and timeline to liquidation. The Company and third-party pricing service providers use loan level data and macro-economic inputs to generate loss adjusted cash flows and other information in determining the fair value. Because of the inherent uncertainty of such valuation, the fair value established for mortgage loans and securitized debt held by the Company may differ from the fair value that would have been established if a ready market existed for these mortgage loans.

Fair values for the Company’s securities and derivatives are based upon prices obtained from third-party pricing services, which are indicative of market activity, and broker quotations may also be used. The evaluation methodology of the Company’s third-party pricing services incorporates commonly used market pricing methods, including a spread measurement to various indices such as the one-year constant maturity treasury and LIBOR, which are observable inputs. The evaluation also considers the underlying characteristics of each investment, which are also observable inputs, including: coupon, maturity date, loan age, reset date, collateral type, periodic and life cap, geography, and prepayment speeds. The Company collects and considers current market intelligence on all major markets, including benchmark security evaluations and bid-lists from various sources, when available. As part of the Company’s risk management process, the Company reviews and analyzes all prices obtained by comparing prices to recently completed transactions involving the same or similar investments on or near the reporting date. If, in the opinion of the Manager, one or more prices reported to the Company are not reliable or unavailable, the Manager reviews the fair value based on characteristics of the investment it receives from the issuer and available market information.

The Company's investment in Arc Home is evaluated on a periodic basis using a market approach. In applying the market approach, fair value is determined by multiplying Arc Home's book value by a relevant valuation multiple observed based on a range of comparable public entities or transactions, adjusted by management as appropriate for differences between the investment and the referenced comparables. The evaluation also considers the underlying financial performance of Arc Home, general economic conditions, and relevant trends within the mortgage banking industry.

Changes in the market environment and other events that may occur over the life of these investments may cause the gains or losses ultimately realized to be different than the valuations currently estimated. If applicable, analyses provided by valuation service providers are reviewed and considered by the Manager. The significant unobservable inputs used in the fair value measurement of the Company’s loans and securities are yields, prepayment rates, probability of default, and loss severity in the event of default. Significant increases (decreases) in any of those inputs in isolation would result in a significantly lower (higher) fair value measurement. Generally, a change in the assumption used for the probability of default is accompanied by a directionally similar change in the assumption used for the loss severity and a directionally opposite change in the assumption used for prepayment rates. The significant unobservable input used in the fair value measurement of the Company’s investment in Arc Home is the book value multiple. Significant increases (decreases) in the multiple applied would result in a significantly higher (lower) fair value measurement.
 
The Company did not have any transfers of assets or liabilities between Levels 1 and 2 of the fair value hierarchy during the three months ended March 31, 2022 and 2021.

Refer to the tables below for details on transfers between the Level 3 and Level 2 categories under ASC 820. Transfers into the Level 3 category of the fair value hierarchy occur due to instruments exhibiting indications of reduced levels of market transparency. Transfers out of the Level 3 category of the fair value hierarchy occur due to instruments exhibiting indications of increased levels of market transparency. Indications of increases or decreases in levels of market transparency include a change in observable transactions or executable quotes involving these instruments or similar instruments. Changes in these indications could impact price transparency, and thereby cause a change in level designations in future periods.

25


AG Mortgage Investment Trust Inc. and Subsidiaries
Notes to Consolidated Financial Statements (Unaudited)
March 31, 2022
The following tables present additional information about the Company’s assets and liabilities which are measured at fair value on a recurring basis for which the Company has utilized Level 3 inputs to determine fair value.

Three Months Ended March 31, 2022 (in thousands)
Residential
Mortgage Loans (1)
Non-Agency
RMBS
Non-Agency
RMBS Interest Only
AG Arc Securitized
debt
Derivative liabilities
Beginning balance $ 2,634,191  $ 15,362  $ 3,395  $ 53,435  $ (999,215) $ (79)
Purchases 944,630  —  —  —  —  — 
Issuances of Securitized Debt —  —  —  —  (1,074,852) — 
Proceeds from settlement (146,388) (78) —  —  116,866  — 
Total net gains/(losses) (2)
Included in net income (160,647) (1,368) 1,470  686  97,284  79 
Ending Balance $ 3,271,786  $ 13,916  $ 4,865  $ 54,121  $ (1,859,917) $ — 
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held as of March 31, 2022 (3)
$ (161,896) $ (1,368) $ 1,470  $ 686  $ 97,284  $ — 
(1) Includes Securitized residential mortgage loans.
(2) Gains/(losses) are recorded in the following line items in the consolidated statement of operations:
Net unrealized gain/(loss) $ (63,095)
Net realized gain/(loss) (87)
Equity in earnings/(loss) from affiliates 686 
Total $ (62,496)
(3) Unrealized gains/(losses) are recorded in the following line items in the consolidated statement of operations:
Net unrealized gain/(loss) $ (64,510)
Equity in earnings/(loss) from affiliates 686 
Total $ (63,824)

Three Months Ended March 31, 2021 (in thousands)
Residential
Mortgage Loans (1)
Non-Agency
RMBS
Commercial
Loans
Excess Mortgage
Servicing Rights
AG Arc Securitized
debt
Beginning balance $ 433,307  $ 3,100  $ 125,508  $ 3,158  $ 45,341  $ (355,159)
Transfers (2):
Transfers out of level 3 —  (1,499) —  —  —  — 
Purchases 208,060  —  3,669  —  —  — 
Proceeds from sales of assets —  —  (74,342) —  —  — 
Proceeds from settlement (12,294)