TPG Mortgage Investment Trust, Inc.MITT
TPG Mortgage Investment Trust, Inc. Fair Value Disclosure
Fair value measurements
The fair value of the Company's financial instruments is determined in accordance with the provisions of 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. Level 1 inputs are observable inputs that reflect quoted prices for identical assets or liabilities in active markets. Level 2 inputs are observable inputs other than quoted prices and may include quoted prices for similar assets and liabilities in active markets. Level 3 inputs are 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 and 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. In certain cases, inputs used to measure fair value fall into different levels of the fair value hierarchy. In such cases, the level at which the fair value measurement falls is determined based on the lowest level input that is significant to the fair value measurement.
The following tables present the Company’s financial instruments measured at fair value on a recurring basis as of December 31, 2025 and 2024 (in thousands).
| Fair Value as of December 31, 2025 | Fair Value as of December 31, 2024 | ||||||||||||||||||||||||||||||||||||||||||||||
| Level 1 | Level 2 | Level 3 | Total | Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||||||||||||||||||||||||||
| Assets: | |||||||||||||||||||||||||||||||||||||||||||||||
| Securitized residential mortgage loans | $ | — | $ | — | $ | 7,999,619 | $ | 7,999,619 | $ | — | $ | — | $ | 6,197,678 | $ | 6,197,678 | |||||||||||||||||||||||||||||||
| Residential mortgage loans | — | 1,081 | 198,596 | 199,677 | — | 1,829 | 218,388 | 220,217 | |||||||||||||||||||||||||||||||||||||||
| Legacy WMC Commercial loans | — | — | 55,376 | 55,376 | — | — | 67,005 | 67,005 | |||||||||||||||||||||||||||||||||||||||
| Non-Agency RMBS | — | 9,835 | 191,546 | 201,381 | — | 12,046 | 115,533 | 127,579 | |||||||||||||||||||||||||||||||||||||||
| Legacy WMC CMBS | — | 42,565 | — | 42,565 | — | 52,785 | — | 52,785 | |||||||||||||||||||||||||||||||||||||||
| Agency RMBS | — | 16,358 | — | 16,358 | — | 20,996 | — | 20,996 | |||||||||||||||||||||||||||||||||||||||
| — | 5,395 | — | 5,395 | — | 11,414 | 204 | 11,618 | ||||||||||||||||||||||||||||||||||||||||
| Cash equivalents (2) | 55,979 | — | — | 55,979 | 117,979 | — | — | 117,979 | |||||||||||||||||||||||||||||||||||||||
| AG Arc (3) | — | — | 50,016 | 50,016 | — | — | 30,778 | 30,778 | |||||||||||||||||||||||||||||||||||||||
| Total Assets Measured at Fair Value | $ | 55,979 | $ | 75,234 | $ | 8,495,153 | $ | 8,626,366 | $ | 117,979 | $ | 99,070 | $ | 6,629,586 | $ | 6,846,635 | |||||||||||||||||||||||||||||||
| Liabilities: | |||||||||||||||||||||||||||||||||||||||||||||||
| Securitized debt | $ | — | $ | — | $ | (7,177,923) | $ | (7,177,923) | $ | — | $ | — | $ | (5,491,967) | $ | (5,491,967) | |||||||||||||||||||||||||||||||
| Derivative liabilities (1) | — | (1,169) | — | (1,169) | — | (38) | (336) | (374) | |||||||||||||||||||||||||||||||||||||||
| Total Liabilities Measured at Fair Value | $ | — | $ | (1,169) | $ | (7,177,923) | $ | (7,179,092) | $ | — | $ | (38) | $ | (5,492,303) | $ | (5,492,341) | |||||||||||||||||||||||||||||||
(1)As of December 31, 2025, the Company applied a reduction in fair value of $5.3 million and $1.2 million to its interest rate swap assets and liabilities, respectively, related to variation margin with a corresponding increase or decrease in restricted cash. As of December 31, 2024, the Company applied a reduction in fair value of $11.4 million and $35.0 thousand to its interest rate swap assets and liabilities, respectively, related to variation margin with a corresponding increase or decrease in restricted cash, net of collateral posted by the Company's derivative counterparties. Derivative assets and liabilities are included in the "Other assets" and "Other liabilities" line items on the consolidated balance sheets, respectively.
(2)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 and are carried at cost, which approximates fair value.
(3)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 elected the fair value option with respect to its investment pursuant to ASC 825.
The valuation of certain of the Company’s assets and liabilities, including residential mortgage loans, securitized debt, commercial loans, certain securities, loan purchase commitments and forward purchase commitments, 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 historical 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 these assets and liabilities include market-implied discount rates, projections of default rates, delinquency rates, prepayment rates, loss severity, recovery rates, reperformance rates, timeline to liquidation, and, for forward purchase commitments, pull-through rates. 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 these assets and liabilities 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 may be based upon prices obtained from third-party pricing services or broker quotations. The valuation methodology of the Company’s third-party pricing services incorporates commonly used market pricing methods, including a spread measurement to various indices, 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. 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 years ended December 31, 2025 and 2024.
The Company did not have any transfers of assets or liabilities between Levels 1 or 2 and Level 3 of the fair value hierarchy during the year ended December 31, 2025. The Company transferred $1.6 million of residential mortgage loans and $5.8 million of CMBS from Level 3 to Level 2 of the fair value hierarchy during the year ended December 31, 2024. 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.
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 (in thousands).
Year Ended December 31, 2025 | |||||||||||||||||||||||||||||||||||||||||
| Residential Mortgage Loans (1) | Legacy WMC Commercial Loans | Non-Agency RMBS | Other Assets (2) | AG Arc | Securitized Debt | Other Liabilities (2) | |||||||||||||||||||||||||||||||||||
| Beginning balance | $ | 6,416,066 | $ | 67,005 | $ | 115,533 | $ | 204 | $ | 30,778 | $ | (5,491,967) | $ | (336) | |||||||||||||||||||||||||||
| Purchases | 3,032,638 | — | 80,731 | — | 15,330 | — | — | ||||||||||||||||||||||||||||||||||
| Issuances of Securitized Debt | — | — | — | — | — | (2,735,729) | — | ||||||||||||||||||||||||||||||||||
| Capital distributions | — | — | — | — | (628) | — | — | ||||||||||||||||||||||||||||||||||
| Proceeds from sales or settlements | (407,158) | — | — | (1,098) | — | — | 1,190 | ||||||||||||||||||||||||||||||||||
| Principal repayments | (1,039,354) | — | (10,668) | — | — | 1,236,013 | — | ||||||||||||||||||||||||||||||||||
| Principal funding | 17,691 | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||
| Included in net income: | |||||||||||||||||||||||||||||||||||||||||
| Net premium and discount amortization (3) | 2,459 | (229) | (2,835) | — | — | (23,561) | — | ||||||||||||||||||||||||||||||||||
| Net realized gain/(loss) | (4,785) | — | — | 1,098 | — | — | (1,190) | ||||||||||||||||||||||||||||||||||
| Net unrealized gain/(loss) | 190,386 | (11,400) | 8,785 | (204) | — | (162,679) | 336 | ||||||||||||||||||||||||||||||||||
| Equity in earnings/(loss) from affiliates | — | — | — | — | 4,536 | — | — | ||||||||||||||||||||||||||||||||||
| Other (4) | (9,728) | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||
| Ending Balance | $ | 8,198,215 | $ | 55,376 | $ | 191,546 | $ | — | $ | 50,016 | $ | (7,177,923) | $ | — | |||||||||||||||||||||||||||
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held as of December 31, 2025: | |||||||||||||||||||||||||||||||||||||||||
| Net premium and discount amortization (3) | 2,838 | (229) | (2,835) | — | — | (22,448) | — | ||||||||||||||||||||||||||||||||||
| Net unrealized gain/(loss) | 185,549 | (11,400) | 8,785 | — | — | (162,333) | — | ||||||||||||||||||||||||||||||||||
| Equity in earnings/(loss) from affiliates | — | — | — | — | 4,536 | — | — | ||||||||||||||||||||||||||||||||||
| Year Ended December 31, 2024 | |||||||||||||||||||||||||||||||||||||||||||||||||||||
| Residential Mortgage Loans (1) | Legacy WMC Commercial Loans | Non-Agency RMBS | Legacy WMC CMBS | Legacy WMC Other Securities | Other Assets (2) | AG Arc | Securitized Debt | Other Liabilities (2) | |||||||||||||||||||||||||||||||||||||||||||||
| Beginning balance | $ | 5,675,135 | $ | 66,303 | $ | 37,533 | $ | 5,796 | $ | 1,156 | $ | 1,172 | $ | 33,574 | $ | (4,711,623) | $ | (7) | |||||||||||||||||||||||||||||||||||
| Transfers (5): | |||||||||||||||||||||||||||||||||||||||||||||||||||||
| Transfers out of level 3 | (1,629) | — | — | (5,796) | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||||
| Purchases | 1,746,012 | — | 95,395 | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||||
| Issuances of Securitized Debt | — | — | — | — | — | — | — | (1,372,097) | — | ||||||||||||||||||||||||||||||||||||||||||||
| Capital distributions | — | — | — | — | — | — | (5,042) | — | — | ||||||||||||||||||||||||||||||||||||||||||||
| Proceeds from sales or settlements | (355,229) | — | (20,289) | — | (762) | (2,739) | — | — | 1,379 | ||||||||||||||||||||||||||||||||||||||||||||
| Principal repayments | (710,639) | — | (1,847) | — | — | — | — | 657,092 | — | ||||||||||||||||||||||||||||||||||||||||||||
| Principal funding | 2,070 | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||||
| Included in net income: | |||||||||||||||||||||||||||||||||||||||||||||||||||||
| Net premium and discount amortization (3) | 14,839 | 434 | 17 | — | (185) | — | — | (30,310) | — | ||||||||||||||||||||||||||||||||||||||||||||
| Net realized gain/(loss) | 6,352 | — | (87) | — | (227) | 2,739 | — | — | (1,379) | ||||||||||||||||||||||||||||||||||||||||||||
| Net unrealized gain/(loss) | 42,253 | 268 | 4,811 | — | 18 | (968) | — | (35,029) | (329) | ||||||||||||||||||||||||||||||||||||||||||||
| Equity in earnings/(loss) from affiliates | — | — | — | — | — | — | 2,246 | — | — | ||||||||||||||||||||||||||||||||||||||||||||
| Other (4) | (3,098) | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||||
| Ending Balance | $ | 6,416,066 | $ | 67,005 | $ | 115,533 | $ | — | $ | — | $ | 204 | $ | 30,778 | $ | (5,491,967) | $ | (336) | |||||||||||||||||||||||||||||||||||
| Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held as of December 31, 2024: | |||||||||||||||||||||||||||||||||||||||||||||||||||||
| Net premium and discount amortization (3) | 14,753 | 434 | 17 | — | — | — | — | (30,310) | — | ||||||||||||||||||||||||||||||||||||||||||||
| Net unrealized gain/(loss) | 41,011 | 268 | 4,811 | — | — | 204 | — | (35,029) | (336) | ||||||||||||||||||||||||||||||||||||||||||||
| Equity in earnings/(loss) from affiliates | — | — | — | — | — | — | 2,246 | — | — | ||||||||||||||||||||||||||||||||||||||||||||
(1)Includes Securitized residential mortgage loans.
(2)Other assets and Other liabilities include derivative forward purchase commitments and loan purchase commitments, if applicable.
(3)Included in the "Interest income" and "Interest expense" line items on the consolidated statement of operations for assets and liabilities, respectively.
(4)Includes transfers of residential mortgage loans to real estate owned as well as activity related to advances.
(5)Transfers are assumed to occur at the beginning of the period.
The following table presents a summary of quantitative information about the significant unobservable inputs used in the fair value measurement of investments for which the Company has utilized Level 3 inputs to determine fair value as of December 31, 2025 and 2024 ($ in thousands).
| December 31, 2025 | December 31, 2024 | |||||||||||||||||||||||||||||||
| Valuation Technique | Unobservable Input | Fair Value | Range (Weighted Average) (1) | Fair Value | Range (Weighted Average) (1) | |||||||||||||||||||||||||||
| Securitized Residential Mortgage Loans | ||||||||||||||||||||||||||||||||
| Yield | 5.13% - 18.10% (5.78%) | 5.75% - 11.18% (6.26%) | ||||||||||||||||||||||||||||||
| Discounted Cash Flow | Projected Collateral Prepayments | $ | 7,999,619 | 4.92% - 22.00% (10.09%) | $ | 6,197,678 | 4.95% - 14.48% (8.87%) | |||||||||||||||||||||||||
| Projected Collateral Losses | 0.00% - 1.77% (0.09%) | 0.00% - 2.02% (0.08%) | ||||||||||||||||||||||||||||||
| Projected Collateral Severities (2) | 10.00% - 100.00% (28.23%) | 10.00% - 26.00% (19.51%) | ||||||||||||||||||||||||||||||
| Residential Mortgage Loans | ||||||||||||||||||||||||||||||||
| Yield | 5.39% - 11.61% (7.08%) | 6.44% - 15.63% (7.76%) | ||||||||||||||||||||||||||||||
| Discounted Cash Flow | Projected Collateral Prepayments | $ | 198,596 | 1.98% - 33.46% (16.06%) | $ | 218,388 | 1.29% - 32.03% (17.65%) | |||||||||||||||||||||||||
| Projected Collateral Losses | 0.00% - 18.29% (1.47%) | 0.00% - 26.56% (1.00%) | ||||||||||||||||||||||||||||||
| Projected Collateral Severities (2) | 4.43% - 100.00% (17.79%) | 4.45% - 25.00% (17.27%) | ||||||||||||||||||||||||||||||
| Legacy WMC Commercial Loans | ||||||||||||||||||||||||||||||||
| Yield | 5.95% - 6.95% (6.68%) | 8.06% - 9.63% (9.11%) | ||||||||||||||||||||||||||||||
| Discounted Cash Flow | Credit Spread | $ | 55,376 | 231 bps - 325 bps (300 bps) | $ | 67,005 | 377 bps - 512 bps (467 bps) | |||||||||||||||||||||||||
| Recovery Percentage (3) | 68.33% - 93.29% (86.62%) | 100.00% - 100.00% (100.00%) | ||||||||||||||||||||||||||||||
| Non-Agency RMBS | ||||||||||||||||||||||||||||||||
| Yield | 4.83% - 20.00% (7.56%) | 5.86% - 25.00% (7.90%) | ||||||||||||||||||||||||||||||
| Discounted Cash Flow | Projected Collateral Prepayments | $ | 191,546 | 7.55% - 15.23% (11.23%) | $ | 115,533 | 7.37% - 14.50% (11.46%) | |||||||||||||||||||||||||
| Projected Collateral Losses | 0.00% - 0.38% (0.06%) | 0.00% - 0.18% (0.04%) | ||||||||||||||||||||||||||||||
| Projected Collateral Severities | 10.00% - 100.00% (56.87%) | 10.00% - 25.00% (18.17%) | ||||||||||||||||||||||||||||||
| Other Assets (4) | ||||||||||||||||||||||||||||||||
| Yield | N/A | 6.59% - 7.70% (6.72%) | ||||||||||||||||||||||||||||||
| Discounted Cash Flow | Projected Collateral Prepayments | $ | — | N/A | $ | 204 | 11.52% - 25.78% (19.09%) | |||||||||||||||||||||||||
| Projected Collateral Losses | N/A | 0.02% - 2.73% (0.71%) | ||||||||||||||||||||||||||||||
| Projected Collateral Severities | N/A | 10.00% - 10.00% (10.00%) | ||||||||||||||||||||||||||||||
| Pull Through Percentages | N/A | 65.00% - 100.00% (89.33%) | ||||||||||||||||||||||||||||||
| AG Arc | ||||||||||||||||||||||||||||||||
| Comparable Multiple | Book Value Multiple | $ | 50,016 | 1.025x - 1.025x (1.025x) | $ | 30,778 | 0.95x - 0.95x (0.95x) | |||||||||||||||||||||||||
| Securitized Debt | ||||||||||||||||||||||||||||||||
| Yield | 4.37% - 30.00% (5.42%) | 5.11% - 25.00% (5.86%) | ||||||||||||||||||||||||||||||
| Discounted Cash Flow | Projected Collateral Prepayments | $ | (7,177,923) | 4.92% - 22.00% (10.09%) | $ | (5,491,967) | 4.95% - 14.48% (8.85%) | |||||||||||||||||||||||||
| Projected Collateral Losses | 0.00% - 0.50% (0.08%) | 0.00% - 0.50% (0.07%) | ||||||||||||||||||||||||||||||
| Projected Collateral Severities | 10.00% - 100.00% (27.79%) | 10.00% - 26.00% (19.63%) | ||||||||||||||||||||||||||||||
| Other Liabilities (4) | ||||||||||||||||||||||||||||||||
| Yield | N/A | 6.58% - 6.96% (6.67%) | ||||||||||||||||||||||||||||||
| Discounted Cash Flow | Projected Collateral Prepayments | $ | — | N/A | $ | (336) | 9.00% - 26.94% (18.34%) | |||||||||||||||||||||||||
| Projected Collateral Losses | N/A | 0.01% - 1.36% (0.17%) | ||||||||||||||||||||||||||||||
| Projected Collateral Severities | N/A | 10.00% - 10.00% (10.00%) | ||||||||||||||||||||||||||||||
| Pull Through Percentages | N/A | 65.00% - 100.00% (90.48%) | ||||||||||||||||||||||||||||||
(1)Amounts are weighted based on fair value.
(2)Projected collateral severities excludes assumed recoveries on certain residential mortgage loans. The presentation as of December 31, 2024 was adjusted to conform to the December 31, 2025 presentation of projected collateral severities.
(3)Represents the proportion of the principal expected to be collected relative to the loan balances as of December 31, 2025 and 2024.
(4)Other assets and Other liabilities include derivative forward purchase commitments and loan purchase commitments, if applicable.
Historical Timeline
| Fiscal Year | Filed | |
|---|---|---|
| 2025 | Feb 25, 2026 | Showing above |
| 2024 | Mar 4, 2025 | |
| 2023 | Mar 11, 2024 | |
| 2022 | Feb 27, 2023 | |
| 2021 | Feb 25, 2022 | |
| 2020 | Feb 23, 2021 | |
| 2019 | Feb 28, 2020 | |
| 2018 | Feb 27, 2019 | |
| 2017 | Feb 28, 2018 | |
| 2016 | Mar 1, 2017 | |
| 2015 | Feb 26, 2016 | |
About Fair Value Disclosures
Fair value disclosures classify all assets and liabilities measured at fair value into a three-level hierarchy: Level 1 (quoted market prices), Level 2 (observable inputs like yield curves), and Level 3 (unobservable inputs requiring management estimates). The proportion of Level 3 assets directly reflects how much of the balance sheet depends on internal models rather than market evidence.
Key signals: a growing Level 3 balance relative to total fair-value assets increases valuation uncertainty and earnings volatility risk. Watch for transfers between levels — assets moving from Level 2 to Level 3 often signal deteriorating market liquidity. Unrealized gains and losses on Level 3 positions flow through earnings or other comprehensive income, so large swings deserve scrutiny. For financial institutions, examine the sensitivity disclosures that show how Level 3 valuations change under alternative assumptions. Compare the fair value of debt against its carrying amount to gauge hidden leverage.