Get Started for Free Contexxia identifies hard-to-find pieces of information in SEC filings. No more highlighters, no more redlining, no more poring over huge documents. AG Mortgage Investment Trust, Inc. (1514281) 10-Q published on Aug 06, 2019 at 4:03 pm
Reporting Period: Jun 29, 2019
The Company maintains an allowance for doubtful accounts for estimated losses that may result from the inability of residents to make required rent or other payments. The allowance is estimated based on, among other considerations, the aging of accounts receivable, payment histories, and overall delinquencies. The provision for doubtful accounts is recorded as a reduction of rental income on the Company's consolidated statements of operations and a reduction of rent receivable, which is included within "Other assets" on the Company's consolidated balance sheets.
For the three months ended June 30, 2019, the Company sold 78 loans for total proceeds of $12.7 million, recording realized gains of $1.0 million and realized losses of $0.2 million. For the six months ended June 30, 2019, the Company sold loans 79 for total proceeds of $12.8 million, recording realized gains of $1.0 million and realized losses of $0.2 million. For the three and six months ended June 30, 2018, the Company sold 150 loans for total proceeds of $31.0 million, recording realized gains of $0.7 million and realized losses of $0.1 million.
In June 2019, the Company, alongside private funds under the management of Angelo Gordon, participated, through its unconsolidated ownership interest in MATT, in a rated non-QM loan securitization, in which non-QM loans with a fair market value of $408.0 million were securitized. Certain senior tranches in the securitization were sold to third parties with the Company and private funds under the management of Angelo Gordon retaining the subordinate tranches, which had a fair market value of $42.9 million as of June 30, 2019. The Company has a 44.59% interest in the retained subordinate tranches.
equity (homes where the home owner owes more on the home than the home is worth) decreased 11% on a year-over-year basis to 2.2 million homes. Tight inventory levels remain supportive of home prices across much of the country. Additionally, credit performance in terms of serious delinquencies and subsequent default rates continued to be stable-to-improving. According to CoreLogic’s Loan Performance Insights Report, the serious delinquency rate, defined as 90 days or more past due including loans in foreclosure, was 1.3% in April 2019 down from 1.9% in April 2018. Furthermore, April’s serious delinquency rate of 1.3% is the lowest monthly level observed since August 2005. This improvement has been driven by the strengthening of borrower’s household balance sheets and the strength of the U.S. labor market. Although unemployment and jobless claims remain at or near historical lows, economic data have generally weakened over the last six months and inflation remains subdued. Softer data, along with ongoing macro uncertainties have led to more dovish commentary from the Federal Reserve. At its June meeting, the Federal Reserve maintained the federal funds interest rate at a target range of 2.25%-2.50%, but shifted from a patient tightening bias to a data-dependent easing bias given heightened uncertainty about the outlook for the second half of the year. In the Fed’s Summary of Economic Projections, the median fed funds rate projection remained at 2.4% in 2019 and was reduced in both 2020 and 2021 to 2.1% and 2.4%, respectively from 2.6% previously for each. The market has continued to price in at least one rate cut prior to year-end. Spreads for many mortgage sectors tightened during the second quarter of 2019 although Agency MBS spreads widened versus benchmarks as the interest rate rally resulted in elevated gross supply, prepayment uncertainty and increased implied volatility during the quarter. The CRT market, which also serves as a barometer of overall mortgage credit, outperformed high yield and other markets as spreads continued to tighten. Legacy RMBS spreads and short-duration non-performing and re-performing loan spreads tightened during the quarter as well on continued demand from investors. CMBS spreads generally ended the quarter in line with levels observed at the beginning of the quarter although there was some volatility during the quarter, especially in AAA rated securities. The market conditions and trends outlined above may have a meaningful impact on our operating results and our existing portfolio and may cause us to adjust our investment and financing strategies over time as new opportunities emerge and the risk profile of our business changes.
GAAP net interest margin and net interest margin, a non-GAAP financial measure, are calculated by subtracting the weighted average cost of funds from the weighted average yield for our GAAP investment portfolio or our investment portfolio, respectively, which both exclude cash held by us and any net TBA position. The weighted average yield on our Agency RMBS portfolio and our credit portfolio represents an effective interest rate, which utilizes all estimates of future cash flows and adjusts for actual prepayment and cash flow activity as of quarter-end. The weighted average yield on our SFR portfolio represents annualized net operating income for the quarter divided by the carrying value of our SFR portfolio gross of accumulated depreciation and amortization. Net operating income on our SFR portfolio is comprised of rental income and other SFR related income less property operating expenses. The calculation of weighted average yield is weighted on net carrying value. The weighted average cost of funds is the sum of the weighted average funding costs on total financing outstanding at quarter-end and our weighted average hedging cost, which is the weighted average of the net pay rate on our interest rate swaps, the net receive/pay rate on our Treasury long and short positions, respectively, and the net receivable rate on our IO index derivatives, if any. Both elements of cost of funds are weighted by the outstanding financing arrangements on our GAAP investment portfolio or our investment portfolio and securitized debt at quarter-end, exclusive of repurchase agreements associated with U.S. Treasury securities, if any.