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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 June 30, 2023
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) 
_____________________________________________________________________ 
Maryland27-5254382
(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 shareMITT
New York Stock Exchange (NYSE)
8.25% Series A Cumulative Redeemable Preferred StockMITT PrA
New York Stock Exchange (NYSE)
8.00% Series B Cumulative Redeemable Preferred StockMITT PrB
New York Stock Exchange (NYSE)
8.000% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred StockMITT 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 August 3, 2023, there were 20,219,246 outstanding shares of common stock of AG Mortgage Investment Trust, Inc.



AG MORTGAGE INVESTMENT TRUST, INC.
TABLE OF CONTENTS
 Page
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 




PART I
 
ITEM 1. FINANCIAL STATEMENTS
 
AG Mortgage Investment Trust, Inc. and Subsidiaries
Consolidated Balance Sheets (Unaudited)
(in thousands, except per share data)
June 30, 2023December 31, 2022
Assets
Securitized residential mortgage loans, at fair value - $421,534 and $423,967 pledged as collateral, respectively (1)
$3,792,256 $3,707,146 
Securitized residential mortgage loans held for sale, at fair value - $17,188 and $0 pledged as collateral, respectively (1)
69,034  
Residential mortgage loans, at fair value - $169,910 and $353,039 pledged as collateral, respectively
174,156 356,467 
Residential mortgage loans held for sale, at fair value - $68,920 and $64,984 pledged as collateral, respectively
68,920 64,984 
Real estate securities, at fair value - $314,484 and $41,653 pledged as collateral, respectively
314,484 43,719 
Investments in debt and equity of affiliates68,150 71,064 
Cash and cash equivalents80,308 84,621 
Restricted cash25,056 14,182 
Other assets 25,228 27,595 
Total Assets$4,617,592 $4,369,778 
Liabilities
Securitized debt, at fair value (1)$3,402,060 $3,262,352 
Financing arrangements727,011 621,187 
Dividend payable3,637 3,846 
Other liabilities (2)24,159 19,593 
Total Liabilities4,156,867 3,906,978 
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 20,205 and 21,284 shares issued and outstanding at June 30, 2023 and December 31, 2022, respectively
202 212 
Additional paid-in capital772,438 778,606 
Retained earnings/(deficit)(532,387)(536,490)
Total Stockholders’ Equity460,725 462,800 
Total Liabilities & Stockholders’ Equity$4,617,592 $4,369,778 
(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 securitizations as the Company was determined to be the primary beneficiary. See Note 3 for additional details.
(2)Refer to Note 7 and Note 10 for additional details on amounts payable to affiliates.

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 EndedSix Months Ended
June 30, 2023June 30, 2022June 30, 2023June 30, 2022
Net Interest Income
Interest income$60,788 $39,410 $118,591 $72,827 
Interest expense49,429 23,173 95,617 39,295 
Total Net Interest Income11,359 16,237 22,974 33,532 
Other Income/(Loss)
Net interest component of interest rate swaps1,784 (2,583)2,804 (4,853)
Net realized gain/(loss)1,944 308 2,044 9,091 
Net unrealized gain/(loss)(206)(46,351)8,511 (68,771)
Total Other Income/(Loss)3,522 (48,626)13,359 (64,533)
Expenses
Management fee to affiliate (1)2,061 1,958 4,136 3,920 
Non-investment related expenses (1)2,574 2,535 5,394 5,209 
Investment related expenses (1)2,232 2,300 4,558 4,321 
Transaction related expenses (1)396 3,735 2,103 9,614 
Total Expenses7,263 10,528 16,191 23,064 
Income/(loss) before equity in earnings/(loss) from affiliates7,618 (42,917)20,142 (54,065)
Equity in earnings/(loss) from affiliates438 (5,806)454 (7,860)
Net Income/(Loss)8,056 (48,723)20,596 (61,925)
Dividends on preferred stock(4,586)(4,586)(9,172)(9,172)
Net Income/(Loss) Available to Common Stockholders$3,470 $(53,309)$11,424 $(71,097)
Earnings/(Loss) Per Share of Common Stock
Basic$0.17 $(2.27)$0.55 $(3.00)
Diluted$0.17 $(2.27)$0.55 $(3.00)
Weighted Average Number of Shares of Common Stock Outstanding
Basic20,249 23,457 20,655 23,685 
Diluted20,249 23,457 20,655 23,685 
(1)Refer to Note 10 for additional details on related party transactions.

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 June 30, 2023 and June 30, 2022
Common StockPreferred 
Stock
Additional
Paid-in Capital
Retained
Earnings/(Deficit)
SharesAmountTotal
Balance at April 1, 202320,377 $204 $220,472 $773,457 $(532,220)$461,913 
Repurchase of common stock(187)(2)— (1,106)— (1,108)
Grant of restricted stock15 — — 87 — 87 
Common dividends declared— — — — (3,637)(3,637)
Preferred dividends declared— — — — (4,586)(4,586)
Net Income/(Loss)— — — — 8,056 8,056 
Balance at June 30, 202320,205 $202 $220,472 $772,438 $(532,387)$460,725 
Common StockPreferred 
Stock
Additional
Paid-in Capital
Retained
Earnings/(Deficit)
SharesAmountTotal
Balance at April 1, 202223,915 $239 $220,472 $796,549 $(469,610)$547,650 
Repurchase of common stock(1,434)(14)— (11,019)— (11,033)
Grant of restricted stock9 — — 80 — 80 
Common dividends declared— — — — (4,723)(4,723)
Preferred dividends declared— — — — (4,586)(4,586)
Net Income/(Loss)— — — — (48,723)(48,723)
Balance at June 30, 202222,490 $225 $220,472 $785,610 $(527,642)$478,665 

For the Six Months Ended June 30, 2023 and June 30, 2022
Common StockPreferred 
Stock
Additional
Paid-in Capital
Retained
Earnings/(Deficit)
SharesAmountTotal
Balance at January 1, 202321,284 $212 $220,472 $778,606 $(536,490)$462,800 
Repurchase of common stock(1,110)(11)— (6,341)— (6,352)
Grant of restricted stock31 1 — 173 — 174 
Common dividends declared— — — — (7,321)(7,321)
Preferred dividends declared— — — — (9,172)(9,172)
Net Income/(Loss)— — — — 20,596 20,596 
Balance at June 30, 202320,205 $202 $220,472 $772,438 $(532,387)$460,725 
Common StockPreferred 
Stock
Additional
Paid-in Capital
Retained
Earnings/(Deficit)
SharesAmountTotal
Balance at January 1, 202223,908 $239 $220,472 $796,469 $(446,800)$570,380 
Repurchase of common stock(1,434)(14)— (11,019)— (11,033)
Grant of restricted stock16 — — 160 — 160 
Common dividends declared— — — — (9,745)(9,745)
Preferred dividends declared— — — — (9,172)(9,172)
Net Income/(Loss)— — — — (61,925)(61,925)
Balance at June 30, 202222,490 $225 $220,472 $785,610 $(527,642)$478,665 

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)
Six Months Ended
June 30, 2023June 30, 2022
Cash Flows from Operating Activities
Net income/(loss)$20,596 $(61,925)
Adjustments to reconcile net income/(loss) to net cash provided by (used in) operating activities:
Net amortization of premium/(discount)4,158 3,218 
Net realized (gain)/loss(2,044)(9,091)
Net unrealized (gain)/loss(8,511)68,771 
Equity based compensation expense174 160 
Equity in (earnings)/loss from affiliates(454)7,860 
Distributions of income from investments in debt and equity of affiliates741 972 
Change in operating assets/liabilities:
Other assets(1,804)(2,747)
Other liabilities2,237 5,680 
Net cash provided by (used in) operating activities15,093 12,898 
Cash Flows from Investing Activities
Purchase of residential mortgage loans(242,757)(1,547,676)
Purchase of real estate securities(276,534)(108,558)
Investments in debt and equity of affiliates(4,107)(1,698)
Proceeds from sales of residential mortgage loans167,352  
Proceeds from sales of real estate securities 513,780 
Principal repayments on residential mortgage loans171,344 297,275 
Principal repayments on real estate securities5,781 19,416 
Distributions received in excess of income from investments in debt and equity of affiliates7,073 6,760 
Net settlement of interest rate swaps and other instruments12,366 52,277 
Net settlement of TBAs(65)5,943 
Cash flows provided by (used in) other investing activities2,788 604 
Net cash provided by (used in) investing activities(156,759)(761,877)
Cash Flows from Financing Activities
Repurchase of common stock(6,352)(11,033)
Net borrowings under (repayments of) financing arrangements105,824 (875,572)
Deferred financing costs paid(9)(35)
Proceeds from issuance of securitized debt 235,709 1,893,609 
Principal repayments on securitized debt (161,369)(237,676)
Net collateral received from (paid to) derivative counterparty(8,874)39,322 
Dividends paid on common stock(7,530)(10,043)
Dividends paid on preferred stock(9,172)(9,172)
Net cash provided by (used in) financing activities148,227 789,400 
Net change in cash and cash equivalents and restricted cash6,561 40,421 
Cash and cash equivalents and restricted cash, Beginning of Period98,803 100,229 
Cash and cash equivalents and restricted cash, End of Period$105,364 $140,650 
6



Six Months Ended
June 30, 2023June 30, 2022
Supplemental disclosure of cash flow information:
Cash paid for interest on financing arrangements and securitized debt$87,632 $33,281 
Cash paid for income taxes$225 $23 
Supplemental disclosure of non-cash financing and investing activities:
Common stock dividends declared but not paid$3,637 $4,723 
Purchase price payable on loans$ $794 
Transfer from residential mortgage loans to other assets$1,353 $1,087 

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:
June 30, 2023June 30, 2022
Cash and cash equivalents$80,308 $88,575 
Restricted cash25,056 52,075 
Total cash, cash equivalents and restricted cash shown in the consolidated statement of cash flows$105,364 $140,650 
 
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)
June 30, 2023
 
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 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 the Company 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 newly originated 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 interests 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 ClassDescription
Residential Investments
Non-Agency Loans(1)
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.
Agency-Eligible Loans(1)
Agency-Eligible Loans are loans that are underwritten in accordance with GSE guidelines and are primarily secured by investment properties, but are not guaranteed by a GSE. Although these loans are underwritten in accordance with GSE guidelines and can be delivered to Fannie Mae and Freddie Mac, the Company includes these loans within its Non-Agency securitizations.
Re- and Non-Performing Loans(1)
Performing, re-performing, and non-performing loans are residential mortgage loans collateralized by a first lien mortgaged property.
Non-Agency Residential Mortgage-Backed Securities ("RMBS")(2)
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 either Non-Agency Loans or Agency-Eligible Loans.
Agency RMBS(2)
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.
(1)These investments are included in the "Securitized residential mortgage loans, at fair value," "Securitized residential mortgage loans held for sale, at fair value," "Residential mortgage loans, at fair value," and "Residential mortgage loans held for sale, at fair value" line items on the consolidated balance sheets.
(2)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.

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. The Manager has delegated to Angelo Gordon the overall responsibility of its day-to-day duties and obligations arising under the management agreement.

8


AG Mortgage Investment Trust Inc. and Subsidiaries
Notes to Consolidated Financial Statements (Unaudited)
June 30, 2023
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.

2. Summary of significant accounting policies
 
Consolidation and basis of presentation

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 the three months ended June 30, 2022, the Company reclassified $2.5 million and $1.3 million of other operating expenses into the "Non-investment related expenses" and "Investment related expenses" line items on the consolidated statement of operations, respectively. For the six months ended June 30, 2022, the Company reclassified $5.2 million and $2.3 million of other operating expenses into the "Non-investment related expenses" and "Investment related expenses" line items on the consolidated statement of operations, respectively. Furthermore, for the three and six months ended June 30, 2022, the Company reclassified $1.0 million and $2.0 million of servicing fees into the "Investment related expenses" line item on the consolidated statement of operations, respectively. These expenses were reclassified to conform to the current year presentation of expenses. 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.

Significant accounting policies

There have been no significant changes to the Company's accounting policies included in Note 2 to the consolidated financial statements of the Company’s Form 10-K for the year ended December 31, 2022. These unaudited consolidated financial statements and related notes should be read in conjunction with the consolidated financial statements and related notes for the year ended December 31, 2022 included in the Company’s Form 10-K.

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.

Investment consolidation
 
An entity is a variable interest entity ("VIE") 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 Accounting Standards Codification ("ASC") 810-10, "Consolidation" 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 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 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
9


AG Mortgage Investment Trust Inc. and Subsidiaries
Notes to Consolidated Financial Statements (Unaudited)
June 30, 2023
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/Agency-Eligible Loans and re- and non-performing loans (the trusts in which these loans are deposited are referred to as "Non-Agency VIEs" and "RPL/NPL VIEs", respectively, and collectively "Residential Mortgage Loan VIEs"), which may result in the Company consolidating the respective VIEs that are created to facilitate these securitizations. 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.

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 and may be elected over time as reference rate reform activities occur. This ASU is effective as of March 12, 2020 and was amended by ASU 2022-06 to sunset on December 31, 2024. 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, 2024. 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.

As of June 30, 2023, the Company has transitioned from LIBOR to an alternative benchmark. The adoption of ASU 2020-04 and the LIBOR transition did not have a material impact on the consolidated financial statements. The Company's primary exposure to LIBOR has historically included its financing arrangements and derivative contracts. In addition, the Company's Series C Preferred Stock is set to transition to a floating rate in September of 2024. As of June 30, 2023, the Company no longer has derivative contracts indexed to LIBOR and all LIBOR-based financing arrangements have transitioned to alternative benchmark rates. The Company does not currently intend to amend the Series C Preferred Stock to change the existing LIBOR cessation fallback language.

10


AG Mortgage Investment Trust Inc. and Subsidiaries
Notes to Consolidated Financial Statements (Unaudited)
June 30, 2023
3. Loans
 
Residential mortgage loans

The table below details information regarding the Company’s residential mortgage loan portfolio as of June 30, 2023 and December 31, 2022 ($ in thousands). The gross unrealized gains/(losses) in the table below represent inception to date gains/(losses).
 Unpaid Principal Balance  Gross Unrealized Weighted Average
June 30, 2023
Premium
(Discount)
Amortized CostGainsLossesFair ValueCouponYieldLife 
(Years) (1)
Securitized residential mortgage loans, at fair value (2)
Non-Agency Loans (3)$3,964,449 $51,927 $4,016,376 $ $(414,175)$3,602,201 4.79 %4.64 %9.18
Re- and Non-Performing Loans (4)312,093 (33,600)278,493 1,587 (20,991)259,089 3.91 %6.62 %6.38
Total Securitized residential mortgage loans, at fair value$4,276,542 $18,327 $4,294,869 $1,587 $(435,166)$3,861,290 4.73 %4.77 %8.98
Residential mortgage loans, at fair value
Non-Agency Loans (5)$178,573 $1,573 $180,146 $1,192 $(1,828)$179,510 7.64 %7.01 %3.53
Agency-Eligible Loans60,494 1,343 61,837 5 (1,146)60,696 7.34 %6.43 %3.23
Re- and Non-Performing Loans3,072 (1,798)1,274 1,596  2,870 N/A90.06 %1.83
Total Residential mortgage loans, at fair value$242,139 $1,118 $243,257 $2,793 $(2,974)$243,076 7.56 %7.84 %3.43
Total as of June 30, 2023
$4,518,681 $19,445