What changed in this filing

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Item 1. Financial Statements

2020-08-10 compared with 2020-06-12 · 600 added, 634 removed, 1378 unchanged (47% of the section changed)

4 unchanged sentences

(in thousands, except per share data)

March 31, 2020 December 31, 2019

June 30, 2020 December 31, 2019

Real estate securities, at fair value:

13 unchanged sentences

Restricted cash 1,084 43,677

Other assets - $ 12,658 and $ 0 pledged as collateral, respectively

27,093 21,905

Other assets 11,163 21,905

Assets held for sale - Single-family rental properties, net — 154

3 unchanged sentences

Dividend payable — 14,734

Due to affiliates 31,396 5,226

Other liabilities 8,446 19,449

12 unchanged sentences

Common stock, par value $ 0.01 per share;

450,000 shares of common stock authorized and 32,749 and 32,742 shares issued and outstanding at March 31, 2020 and December 31, 2019, respectively

450,000 shares of common stock authorized and 33,825 and 32,742 shares issued and outstanding at June 30, 2020 and December 31, 2019, respectively

Additional paid-in capital 666,127 662,183

9 unchanged sentences

(in thousands, except per share data)

Three Months Ended

March 31, 2020 March 31, 2019

Three Months Ended Six Months Ended

June 30, 2020 June 30, 2019 June 30, 2020 June 30, 2019

Net Interest Income

12 unchanged sentences

Other operating expenses 4,482 3,807 5,324 7,588

Restructuring related expenses 7,104 — 8,604 —

Equity based compensation to affiliate 75 73 163 199

20 unchanged sentences

Diluted 32,859 32,737 32,804 31,664

(1) The three and six months ended June 30, 2020 include cumulative and undeclared dividends of $ 5,667 on the Company's Preferred Stock as of June 30, 2020.

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

3 unchanged sentences

(in thousands)

For the Three Months Ended March 31, 2020 and March 31, 2019

For the Three Months Ended June 30, 2020 and June 30, 2019

Common Stock 8.25% Series A

4 unchanged sentences

Shares Amount Total

Balance at April 1, 2020 32,749 $ 327 $ 49,921 $ 111,293 $ 111,243 $ 662,486 $ ( 576,605 ) $ 358,665

Net proceeds from issuance of common stock 1,002 10 — — — 3,489 — 3,499

Grant of restricted stock and amortization of equity based compensation 74 1 — — — 152 — 153

Net Income/(Loss) — — — — — — 3,061 3,061

Balance at June 30, 2020 33,825 $ 338 $ 49,921 $ 111,293 $ 111,243 $ 666,127 $ ( 573,544 ) $ 365,378

Common Stock 8.25% Series A

Preferred Stock 8.00% Series B

Preferred Stock Additional

Paid-in Capital Retained

Earnings/(Deficit)

Shares Amount Total

Balance at April 1, 2019 32,703 $ 327 $ 49,921 $ 111,293 $ 661,561 $ ( 91,466 ) $ 731,636

Net proceeds from issuance of common stock — — — — 99 — 99

Grant of restricted stock and amortization of equity based compensation 6 — — — 173 — 173

Common dividends declared — — — — — ( 16,355 ) ( 16,355 )

Preferred Series A dividends declared — — — — — ( 1,067 ) ( 1,067 )

Preferred Series B dividends declared — — — — — ( 2,300 ) ( 2,300 )

Net Income/(Loss) — — — — — 18,678 18,678

Balance at June 30, 2019 32,709 $ 327 $ 49,921 $ 111,293 $ 661,833 $ ( 92,510 ) $ 730,864

For the Six Months Ended June 30, 2020 and June 30, 2019

Common Stock 8.25% Series A

Preferred Stock 8.00% Series B

Preferred Stock 8.000% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock Additional

Paid-in Capital Retained

Earnings/(Deficit)

Shares Amount Total

Balance at January 1, 2020 32,742 $ 327 $ 49,921 $ 111,293 $ 111,243 $ 662,183 $ ( 85,921 ) $ 849,046

Net proceeds from issuance of common stock 1,002 10 — — — 3,489 — 3,499

Grant of restricted stock and amortization of equity based compensation 81 1 — — — 455 — 456

3 unchanged sentences

Net Income/(Loss) — — — — — — ( 481,956 ) ( 481,956 )

Balance at March 31, 2020 32,749 $ 327 $ 49,921 $ 111,293 $ 111,243 $ 662,486 $ ( 576,605 ) $ 358,665

Balance at June 30, 2020 33,825 $ 338 $ 49,921 $ 111,293 $ 111,243 $ 666,127 $ ( 573,544 ) $ 365,378

Common Stock 8.25% Series A

11 unchanged sentences

Net Income/(Loss) — — — — — 47,833 47,833

Balance at March 31, 2019 32,703 $ 327 $ 49,921 $ 111,293 $ 661,561 $ ( 91,466 ) $ 731,636

Balance at June 30, 2019 32,709 $ 327 $ 49,921 $ 111,293 $ 661,833 $ ( 92,510 ) $ 730,864

AG Mortgage Investment Trust, Inc.

2 unchanged sentences

(in thousands)

Three Months Ended

March 31, 2020 March 31, 2019

Six Months Ended

June 30, 2020 June 30, 2019

Cash Flows from Operating Activities

22 unchanged sentences

Purchase of commercial loans ( 12,471 ) ( 16,175 )

Purchase of U.S.

Treasury securities — ( 60,615 )

Investments in debt and equity of affiliates ( 43,208 ) ( 32,880 )

1 unchanged sentence

Proceeds from sales of residential mortgage loans 387,408 12,780

Proceeds from sales of commercial loans 34,200 —

Proceeds from sales of U.S.

Treasury securities — 60,498

Principal repayments on real estate securities 102,895 151,918

15 unchanged sentences

Repayments of financing arrangements ( 15,339,611 ) ( 20,614,328 )

Borrowings under secured debt 20,000 —

Six Months Ended

June 30, 2020 June 30, 2019

Proceeds from issuance of securitized debt 3,000 —

Principal repayments on securitized debt ( 9,223 ) —

1 unchanged sentence

Net collateral received from (paid to) repurchase counterparty ( 44,413 ) ( 113 )

Three Months Ended

March 31, 2020 March 31, 2019

Dividends paid on common stock ( 14,734 ) ( 30,723 )

10 unchanged sentences

Supplemental disclosure of non-cash financing and investing activities:

Receivable on unsettled trades $ 12,007 $ 68,389

Payable on unsettled trades $ — $ 23,944

Common stock dividends declared but not paid $ — $ 16,355

Decrease in securitized debt $ 7,091 $ 2,215

Transfer of real estate securities in satisfaction of repurchase agreements $ 345,066 $ —

Change in repurchase agreements from transfer of real estate securities $ 344,685 $ —

Transfer from residential mortgage loans to other assets $ 793 $ 1,466

1 unchanged sentence

The following table provides a reconciliation of cash, 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, 2020 March 31, 2019

June 30, 2020 June 30, 2019

Cash and cash equivalents $ 68,150 $ 60,097

6 unchanged sentences

Notes to Consolidated Financial Statements (Unaudited)

March 31, 2020

June 30, 2020

AG Mortgage Investment Trust, Inc.

1 unchanged sentence

The Company is a hybrid mortgage REIT that opportunistically invests in a diversified risk adjusted portfolio of agency investments and credit investments.

Agency investments include Agency RMBS and Agency Excess MSRs, and credit investments include Non-Agency RMBS, ABS, CMBS, loans, and Credit Excess MSRs, as defined below.

Historically, agency investments have included Agency RMBS and Agency Excess MSRs, and credit investments have included Non-Agency RMBS, ABS, CMBS, loans, and Credit Excess MSRs, as defined below.

Residential mortgage-backed securities ("RMBS") include mortgage pass-through certificates or collateralized mortgage obligations ("CMOs") representing interests in or obligations backed by pools of residential mortgage loans issued or guaranteed by a U.S.

34 unchanged sentences

Notes to Consolidated Financial Statements (Unaudited)

March 31, 2020

June 30, 2020

adviser, pursuant to a management agreement.

4 unchanged sentences

COVID-19 Impact

On March 11, 2020, the World Health Organization declared the outbreak of the novel coronavirus ("COVID-19") as a pandemic.

On March 11, 2020, the World Health Organization declared the outbreak of the novel coronavirus ("COVID-19") a pandemic.

On March 13, 2020, the U.S.

declared a national emergency concerning the COVID-19 pandemic, and several states and municipalities have subsequently declared public health emergencies.

These conditions have caused a significant disruption in the U.S.

These conditions have caused, and continue to cause, a significant disruption in the U.S.

and world economies.

To slow the spread of COVID-19, many countries, including the U.S., have implemented social distancing measures, which have prohibited large gatherings, including at sporting events, movie theaters, religious services and schools.

To slow the spread of COVID-19, many countries, including the U.S., have implemented social distancing measures, which have substantially prohibited large gatherings, including at sporting events, religious services and schools.

Further, many regions, including the majority of U.S.

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In order to satisfy the margin calls, the Company sold a significant portion of its investments resulting in a material adverse impact on book value, earnings and financial position.

The Company's book value decreased from $ 17.61 at December 31, 2019 to $ 2.63 at March 31, 2020.

In an effort to manage the Company's portfolio through this unprecedented turmoil in the financial markets and improve liquidity, the Company executed the following measures during the three months ended March 31, 2020:

• The Company reduced its investment portfolio from $ 4.0 billion at December 31, 2019 to $ 1.3 billion at March 31, 2020 through sales, directly or as a result of financing counterparty seizures.

The Company's book value decreased from $ 17.61 at December 31, 2019 to $ 2.75 at June 30, 2020.

• The Company reduced its investment portfolio from $ 4.0 billion at December 31, 2019 to $ 652.3 million at June 30, 2020 through sales, directly or as a result of financing counterparty seizures.

• The Company terminated its entire portfolio of pay-fixed, receive-variable interest rate swaps, recognizing net realized losses of $( 65.4 ) million.

• The Company reduced its outstanding financing arrangements from $ 3.2 billion at December 31, 2019 to $ 969.9 million at March 31, 2020, resulting in a decline of its overall leverage ratio from 4.1x to 3.1 x.

In March, our Manager transitioned to a fully remote work force to protect the safety and well-being of the Company's personnel.

The Manager's prior investments in technology, business continuity planning and cyber-security protocols have enabled us to continue working with limited operational impact.

• The Company reduced its outstanding financing arrangements from $ 3.2 billion at December 31, 2019 to $ 251.1 million at June 30, 2020, resulting in a decline of its overall leverage ratio from 4.1 x to 1.3 x.

The full impact of COVID-19 on the mortgage REIT industry, the credit markets and consequently on the Company’s financial condition and results of operations is uncertain and cannot be predicted at the current time as it depends on several factors beyond the control of the Company including, but not limited to (i) the uncertainty around the severity, duration and spread of the outbreak, (ii) the effectiveness of the United States public health response, (iii) the pandemic’s impact on the U.S.

and global economies, (iv) the timing, scope and effectiveness of additional governmental responses to the pandemic, including the availability of a treatment or vaccination for COVID-19, (v) the impact of government interventions, and (vi) the negative impact on our borrowers, asset values and cost of capital.

In March 2020, the Company's Manager transitioned to a fully remote work force, to protect the safety and well-being of the Company's personnel.

The Company's Manager’s prior investments in technology, business continuity planning and cyber-security protocols have enabled us to continue working with limited operational impact.

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements (Unaudited)

March 31, 2020

June 30, 2020

Summary of significant accounting policies

2 unchanged sentences

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.

Certain reclassifications have been made to the prior year's consolidated financial statements to conform to the three months ended March 31, 2020 presentation, primarily in the Consolidated Statement of Operations and all related notes in which prior periods have been retrospectively adjusted to reflect the classification of the operations of the Company's SFR portfolio to discontinued operations.

Certain reclassifications have been made to the prior year's consolidated financial statements to conform to the three months ended June 30, 2020 presentation, primarily in the Consolidated Statement of Operations and all related notes in which prior periods have been retrospectively adjusted to reflect the classification of the operations of the Company's SFR portfolio to discontinued operations.

The accompanying unaudited consolidated financial statements and related notes have been prepared assuming that the Company will continue as a going concern.

The Company conducted an extensive going concern analysis as a result of market volatility from the COVID-19 pandemic.

The going concern analysis has a look-forward period of one year from the financial statement issuance date.

The Company continues to conduct extensive going concern analyses as a result of market volatility from the COVID-19 pandemic.

A going concern analysis has a look-forward period of one year from the financial statement issuance date.

The Company expects its current cash resources, operating cash flows, positive equity on its remaining assets, and its ability to obtain financing will be sufficient to sustain operations for a period greater than one year after the issuance of the date of this report.

1 unchanged sentence

To the extent that actual available cash differs materially from the current cash flow forecast, management has the ability to consider certain asset sales to increase the amount of available cash.

The global impact of the COVID-19 pandemic has been rapidly evolving, and as cases of COVID-19 have continued to be identified in additional countries, many countries have reacted by instituting stay-at-home orders and restrictions on travel, closing financial markets and/or restricting trading and operations of non-essential offices and retail centers.

Such actions are creating disruption in global supply chains, and adversely impacting many industries.

In the U.S., the major disruption caused by the COVID-19 pandemic brought to a halt most economic activity in most of the U.S.

resulting in a significant increase in unemployment claims, caused significant volatility and declines in the public financial and credit markets and resulted in a significant decline in gross domestic product in the U.S.

The outbreak could have a continued adverse impact on economic and market conditions and trigger a period of global economic slowdown.

The rapid development and fluidity of this situation precludes any prediction as to the ultimate adverse impact of the COVID-19 pandemic on economic and market conditions.

The Company believes the estimates and assumptions underlying our consolidated financial statements are reasonable and supportable based on the information available as of March 31, 2020;

however, uncertainty over the ultimate impact COVID-19 will have on the global economy generally, and our business in particular, makes any estimates and assumptions as of March 31, 2020 inherently less certain than they would be absent the current and potential impacts of the COVID-19 pandemic.

The global impact of the COVID-19 pandemic continues to evolve as state and local governments adopt a number of emergency measures and recommendations in response to the outbreak, including imposing travel bans, "shelter in place" restrictions, curfews, canceling events, banning large gatherings, closing non-essential businesses and generally promoting social distancing.

Although certain states and localities have recently begun easing some of these new measures and providing recommendations regarding recommencing economic activity, renewed outbreaks of COVID-19 may continue to occur and result in additional or different policy action at the federal, state and local level in the near future.

The COVID-19 pandemic and resulting emergency measures has led (and may continue to lead) to significant disruptions in the global supply chain, global capital markets, the economy of the U.S.

and the economies of other countries impacted by COVID-19.

The rapid development and fluidity of this situation precludes any prediction as to the ultimate adverse impact of COVID-19 on economic and market conditions.

The Company believes the estimates and assumptions underlying our condensed consolidated financial statements are reasonable and supportable based on the information available as of June 30, 2020;

however, uncertainty over the ultimate impact COVID-19 will have on the global economy generally, and our business in particular, makes any estimates and assumptions as of June 30, 2020 inherently less certain than they would be absent the current and potential impacts of COVID-19.

Accordingly, it is reasonably possible that actual conditions could be different than anticipated in those estimates, which could materially impact the Company’s results of operations and its financial condition and therefore the going concern analysis.

3 unchanged sentences

Cash equivalents includes cash invested in money market funds.

As of March 31, 2020 and December 31, 2019, the Company held $ 92.3 million and $ 81.7 million of cash and cash equivalents, respectively, of which $ 22.6 million and $ 53.2 million were cash equivalents, respectively.

As of June 30, 2020, the Company held $ 68.2 million of cash and cash equivalents, none of which were cash equivalents.

As of December 31, 2019, the Company held $ 81.7 million of cash and cash equivalents, of which $ 53.2 million were cash equivalents.

The Company places its cash with high credit quality institutions to reduce credit risk exposure.

4 unchanged sentences

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.

Prior to the disposition of the Company's SFR portfolio, restricted cash also included cash deposited into accounts related to

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements (Unaudited)

March 31, 2020

rent deposits and collections, security deposits, property taxes, insurance premiums, interest expenses, property management fees and capital expenditures.

June 30, 2020

Restricted cash

Restricted cash includes cash pledged as collateral for clearing and executing trades, derivatives, and financing arrangements.

Prior to the disposition of the Company's SFR portfolio, restricted cash also included cash deposited into accounts related to rent deposits and collections, security deposits, property taxes, insurance premiums, interest expenses, property management fees and capital expenditures.

Restricted cash is not available to the Company for general corporate purposes.

16 unchanged sentences

In periods in which the Company records a loss, potentially dilutive securities are excluded from the diluted loss per share calculation, as their effect on loss per share is anti-dilutive.

See Note 9 for aggregate amounts of arrearages in cumulative preferred dividends and Note 12 for further detail on the Company’s common and preferred stock.

Valuation of financial instruments

9 unchanged sentences

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

At the beginning of the first quarter of 2020, the Manager completed a data collection and analysis effort, which supported an update to its Leveling policy under ASC 820.

Among the data collected and analyzed were:

(i) reports from TRACE, FINRA’s Trade Reporting and Compliance Engine, that reports over-the-counter secondary market transactions in eligible fixed income securities, (ii) information from pricing vendors regarding valuation approaches and observability of market color, (iii) data points collected from discussions with industry sources, including peer firms and audit firms, and (iv) its own data from back testing vendor pricing against its own trades.

After analyzing this data, the Manager concluded that there was sufficient

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements (Unaudited)

March 31, 2020

observability of market inputs used by its third-party pricing services for certain RMBS and CMBS positions previously categorized as Level 3 to meet the criteria for a Level 2 classification.

June 30, 2020

At the beginning of the first quarter of 2020, the Manager completed a data collection and analysis effort, which supported an update to its Leveling policy under ASC 820.

Among the data collected and analyzed were:

After analyzing this data, the Manager concluded that there was sufficient observability of market inputs used by its third-party pricing services for certain RMBS and CMBS positions previously categorized as Level 3 to meet the criteria for a Level 2 classification.

The Company considered whether the volatile market conditions related to the COVID-19 pandemic would have an impact on its Leveling policy under ASC 820, as amended on January 1, 2020.

14 unchanged sentences

The new guidance specifically excludes available-for-sale securities and loans measured at fair value, with changes in fair value recognized through net income.

Accordingly, the impact of the new guidance on accounting for the Company's debt securities and loans is limited to recognition of effective yield which is currently impacted by other than temporary impairment recorded under current standards.

As the new guidance eliminates the accounting for other than temporary impairment, this guidance will have an impact on the Company's unrealized and realized gain/(loss) amounts.

Accordingly, the impact of the new guidance on accounting for the Company's debt securities and loans is limited to recognition of effective yield which was historically impacted by other than temporary impairment recorded under current standards.

As the new guidance eliminates the accounting for other than temporary impairment, this guidance has impacted the Company's unrealized and realized gain/(loss) amounts.

Depending on the fair value and projected cash flows as of a given reporting date, the impact of this guidance could be material.

Prior to the adoption of ASU 2016-13, the Company accounted for its securities under ASC 310 and ASC 325 and evaluated securities for other-than-temporary impairment ("OTTI") on at least a quarterly basis.

2 unchanged sentences

When a real estate security was impaired, an OTTI was considered to have occurred if (i) the Company intended to sell the security (i.e., a decision has been made as of the reporting date) or (ii) it was more likely than not that the Company was required to sell the security before recovery of its amortized cost basis.

If the Company intended to sell the security or if it was more likely than not that the Company was required to sell the real estate security before recovery of its amortized cost basis, the entire amount of the impairment loss, if any, was recognized in earnings as a realized loss and the cost basis of the security was adjusted to its fair value.

Additionally, for securities accounted for under ASC 325-40 an OTTI was deemed to have occurred when there was an adverse change in the expected cash flows to be received and the fair value of the security was less than its carrying amount.

In determining whether an adverse change in cash flows occurred, the present value of the remaining cash flows, as estimated at the initial transaction date (or the last date previously revised), was compared to the present value of the expected cash flows at the current reporting date.

The estimated cash flows reflected those a "market participant" would use and included observations of current information and events, and assumptions related to fluctuations in interest rates,

If the Company intended to sell the security or if it was more likely than not that the Company was required to sell the real estate security before recovery of its amortized cost basis,

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements (Unaudited)

March 31, 2020

prepayment speeds and the timing and amount of potential credit losses.

June 30, 2020

the entire amount of the impairment loss, if any, was recognized in earnings as a realized loss and the cost basis of the security was adjusted to its fair value.

The estimated cash flows reflected those a "market participant" would use and included observations of current information and events, and assumptions related to fluctuations in interest rates, prepayment speeds and the timing and amount of potential credit losses.

Cash flows were discounted at a rate equal to the current yield used to accrete interest income.

Any resulting OTTI adjustments are reflected in the "Net realized gain/(loss)" line item on the consolidated statement of operations.

Any resulting OTTI adjustments were reflected in the "Net realized gain/(loss)" line item on the consolidated statement of operations.

The determination as to whether an OTTI existed was subjective, given that such determination was based on information available at the time of assessment as well as the Company’s estimate of the future performance and cash flow projections for the individual security.

As a result, the timing and amount of an OTTI constituted an accounting estimate that could change materially over time.

Increases in interest income may be recognized on a security on which the Company previously recorded an OTTI charge if the performance of such security subsequently improves.

Increases in interest income could have been recognized on a security on which the Company previously recorded an OTTI charge if the performance of such security subsequently improved.

Sales of securities are driven by the Manager’s portfolio management process.

8 unchanged sentences

The Company has chosen to make a fair value election pursuant to ASC 825 for its mortgage loan portfolio.

Loans are recorded at fair value on the consolidated balance sheets and any periodic change in fair value will be recorded in current period earnings on the consolidated statement of operations as a component of "Unrealized gain/(loss) on real estate securities and loans, net." 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.

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 "Unrealized gain/(loss) on real estate securities and loans, net." 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 mortgage loans are recorded on the settlement date, concurrent with the completion of due diligence and the removal of any contingencies.

11 unchanged sentences

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.

The adjustment is accounted for as a change in estimate in conformity with ASC 250, "Accounting Changes and Error Corrections" with the amount of periodic accretion adjusted over the remaining life of the loan.

Prior to the adoption of ASU 2016-13, decreases in cash flows expected to be collected from previously projected cash flows, which included all cash flows originally expected to be collected by the investor plus any additional cash flows expected to be collected arising from

If based on the most current information and events it is probable that there is a

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements (Unaudited)

March 31, 2020

changes in estimate after acquisition, could have been recognized as impairment.

June 30, 2020

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.

Increases in interest income could have been recognized on a loan on which the Company previously recorded an OTTI charge if the performance of such loan subsequently improved.

2 unchanged sentences

Accordingly, the impact of the new guidance on accounting for the Company's debt securities and loans is limited to recognition of effective yield which was previously impacted by other than temporary impairment recorded under previous standards.

As the new guidance eliminates the accounting for other than temporary impairment, this guidance will have an impact on the Company's recorded unrealized and realized gain/(loss) amounts.

As the new guidance eliminates the accounting for other than temporary impairment, this guidance has impacted the Company's recorded unrealized and realized gain/(loss) amounts.

Depending on the fair value and projected cash flows as of a given reporting date, the impact of this guidance could be material.

Investments in debt and equity of affiliates

2 unchanged sentences

These types of investments may also be held directly by the Company.

These entities have chosen to make a fair value election on their financial instruments pursuant to ASC 825;

as such, the Company will treat these investments consistently with this election.

These 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.

On December 9, 2015, the Company, alongside private funds managed by Angelo Gordon, through AG Arc LLC, one of the Company’s indirect subsidiaries ("AG Arc"), formed Arc Home LLC ("Arc Home").

In June 2016, Arc Home closed on the acquisition of a Fannie Mae, Freddie Mac, FHA, VA and Ginnie Mae seller/servicer of residential mortgages.

Through this subsidiary, Arc Home originates conforming, Government, Jumbo, Non-QM, and other non-conforming residential mortgage loans, retains the mortgage servicing rights associated with the loans it originates, and purchases additional mortgage servicing rights from third-party sellers.

The Company has chosen to make a fair value election with respect to its investment in AG Arc pursuant to ASC 825.

3 unchanged sentences

MATT has made an election to be treated as a real estate investment trust beginning with the 2018 tax year.

On April 3, 2020, the Company, alongside private funds under the management of Angelo Gordon, restructured its financing arrangements in MATT ("Restructured Financing Arrangement").

The Restructured Financing Arrangement requires all principal and interest on the underlying assets in MATT be used to pay down principal and interest on the outstanding financing arrangement.

As of April 3, 2020, the Restructured Financing Arrangement is no longer a mark-to-market facility with respect to margin calls and is non-recourse to the Company.

The Restructured Financing Arrangement provides for a termination date of October 1, 2021.

At the earlier of the termination date or the securitization or sale by the Company of the remaining assets subject to the Restructured Financing Arrangement, the financing counterparty (which is a non-affiliate) will be entitled to 35 % of the remaining equity in the assets.

The Company evaluated this restructuring and concluded it was an extinguishment of debt.

MATT has chosen to make a fair value election on this financing arrangement, and the Company will treat this arrangement consistently with this election.

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").

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").

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2020

During Q3 2018, the Company transferred certain of its CMBS from certain of its non-wholly owned subsidiaries accounted for as an equity method investment to a consolidated entity.

3 unchanged sentences

The below table reconciles the fair value of investments to the "Investments in debt and equity of affiliates" line item on the Company's consolidated balance sheet (in thousands).

March 31, 2020 December 31, 2019

June 30, 2020 December 31, 2019

Assets Liabilities Equity Assets Liabilities Equity

4 unchanged sentences

(1) Certain loans held in securitized form are presented net of non-recourse securitized debt.

(2) Within Real Estate Securities, Excess MSRs and Loans is $ 231.9 million and $ 254.3 million of fair value of Non-QM loans held in MATT at March 31, 2020 and December 31, 2019, respectively.

Additionally, there is $ 22.7 million and $ 17.0 million of fair value of Land Related Financing held in LOTS at March 31, 2020 and December 31, 2019, respectively.

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

March 31, 2020

(2) Within Real Estate Securities, Excess MSRs and Loans is $ 243.7 million and $ 254.3 million of fair value of Non-QM loans held in MATT at June 30, 2020 and December 31, 2019, respectively.

Additionally, there is $ 23.8 million and $ 17.0 million of fair value of Land Related Financing held in LOTS at June 30, 2020 and December 31, 2019, respectively.

The Company’s investments in debt and equity of affiliates are recorded at fair value on the consolidated balance sheets in the "Investments in debt and equity of affiliates" line item and periodic changes in fair value are recorded in current period earnings on the consolidated statement of operations as a component of "Equity in earnings/(loss) from affiliates." Capital contributions, distributions and profits and losses of such entities are allocated in accordance with the terms of the applicable agreements.

5 unchanged sentences

On at least a quarterly basis, the Company evaluates the collectability of interest of its Excess MSRs to determine whether they are impaired.

An Excess MSR 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.

The Company updates its estimate of the cash flows expected to be collected on at least a quarterly basis for Excess MSRs.

6 unchanged sentences

As the new guidance eliminates the accounting for other than temporary impairment, this guidance will have an impact on the Company's recorded unrealized and realized gain/(loss) amounts.

As the new guidance eliminates the accounting for other than temporary impairment, this guidance has impacted the Company's recorded unrealized and realized gain/(loss) amounts.

Depending on the fair value and projected cash flows as of a given reporting date, the impact of this guidance could be material.

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2020

Investment consolidation and transfers of financial assets

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See Note 3 and Note 4 for more detail.

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

March 31, 2020

The Company entered into a resecuritization transaction in 2014 which resulted in the Company consolidating the VIE that was created to facilitate the transaction and to which the underlying assets in connection with the resecuritization were transferred.

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 entered into a resecuritization transaction in 2014 (the "December 2014 VIE") which resulted in the Company consolidating the VIE that was created to facilitate the transaction and to which the underlying assets in connection with the resecuritization were transferred.

In determining the accounting treatment to be applied to this resecuritization transaction, the Company evaluated whether the entity used to facilitate this transaction was a VIE and, if so, whether it should be consolidated.

Based on its evaluation, the Company concluded that the VIE should be consolidated and, as a result, transferred assets of the VIE were determined to be secured borrowings.

The transferred assets were recorded as a secured borrowing, based on the Company’s involvement in the December 2014 VIE, including the design and purpose of the SPE, and whether the Company’s involvement reflected a controlling financial interest that resulted in the Company being deemed the primary beneficiary of the December 2014 VIE.

The Company has chosen to make a fair value election pursuant to ASC 825 for its secured borrowings.

As of June 30, 2020, the Company did not hold any interest in the December 2014 VIE.

In connection with the deconsolidation, the Company recorded a realized gain of $ 2.1 million.

See Note 3 below for more detail.

The Company transferred certain of its CMBS in Q3 2018 from certain of its non-wholly owned subsidiaries into a newly formed wholly owned entity so the Company could obtain financing on these real estate securities.

The Company evaluated whether this newly formed entity was a VIE and, whether it should be consolidated.

Based on its evaluation, the Company concluded that the VIE should be consolidated.

The Company determined that the August 2018 VIE should be consolidated by the Company based on the Company’s 100 % equity ownership in the August 2018 VIE (despite a profit participation interest held by an unaffiliated third party in the August 2018 VIE), the Company's involvement in the August 2018 VIE, including the design and purpose of the entity, and whether the Company’s involvement reflected a controlling financial interest that resulted in the Company being deemed the primary beneficiary of the August 2018 VIE.

As of June 30, 2020, the Company did not hold any interest in the August 2018 VIE.

In connection with the deconsolidation, the Company recorded a loss of $ 8.3 million.

See Note 3 below as well as the "Investments in debt and equity of affiliates" section above for more detail.

The Company entered into a securitization transaction of certain of its re-performing residential mortgage loans in Q3 2019, which resulted in the Company consolidating the VIE that was created to facilitate the transaction and to which the underlying assets in connection with the securitization were transferred.

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2020

assets in connection with the securitization were transferred.

In determining the accounting treatment to be applied to this securitization transaction, the Company evaluated whether the entity used to facilitate this transaction was a VIE and, if so, whether it should be consolidated.

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See Note 4 below for more detail.

From time to time the Company purchases residual positions where it consolidates the securitization and the positions are recorded on the Company's books as residential mortgage loans.

There may be limited data available regarding the underlying collateral of such securitizations.

The Company may periodically enter into transactions in which it transfers assets to a third party.

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Total interest income is recorded in the "Interest income" line item on the consolidated statement of operations.

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

March 31, 2020

On at least a quarterly basis for securities accounted for under ASC 320-10 and ASC 310-20 (generally Agency RMBS, exclusive of interest-only securities), prepayments of the underlying collateral must be estimated, which directly affect the speed at which the Company amortizes premiums on its securities.

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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.

In addition, interest payment shortfalls due to delinquencies on the underlying mortgage loans have to be

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2020

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 as adjusted for credit impairment, if any.

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ASC 310-30 requires that the excess of contractual cash flows over cash flows expected to be collected (nonaccretable difference) not be recognized as an adjustment of yield, loss accrual or valuation allowance.

Subsequent increases in cash flows expected to be collected generally should be recognized prospectively through an adjustment of the loan’s yield over its remaining life.

Decreases in cash flows expected to be collected should be recognized as impairment.

The Company’s accrual of interest, discount accretion and premium amortization for U.S.

federal and other tax purposes differs from the financial accounting treatment of these items as described above.

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.

Financing arrangements

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In response to declines in fair value of assets pledged under repurchase agreements and revolving facilities, lenders may require the Company to post additional collateral or pay down borrowings to re-establish agreed upon collateral requirements, referred to as margin calls.

As of December 31, 2019, the Company had met all margin call requirements.

On March 20, 2020, the Company notified its financing counterparties that it did not expect to be in a position to fund the anticipated volume of future margin calls under its financing arrangements in the near term as a result of market disruptions

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

March 31, 2020

created by the COVID-19 pandemic.

As of June 30, 2020, the Company had met all margin call requirements.

Since March 23, 2020, the Company has received notifications of alleged events of default and deficiency notices from several of its financing counterparties.

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During this period of market upheaval, the Company engaged in discussions with its financing counterparties with regard to entering into forbearance agreements pursuant to which each counterparty would agree to forbear from exercising its rights and remedies with respect to an event of default under the applicable financing arrangement for an agreed-upon period.

Subsequent to quarter end, on April 10, 2020, the Company entered into a forbearance agreement for an initial 15 day period, on April 27, 2020, a second forbearance agreement for an extended period ending on June 1, 2020, and a third forbearance agreement on June 1, 2020 for an additional period ending June 15, 2020 (collectively, the "Forbearance Agreement") with certain of its financing counterparties (the "Participating Counterparties").

Pursuant to the terms of the Forbearance Agreement, the Participating Counterparties agreed to forbear from exercising any of their right and remedies in respect of events of default and any and all other defaults under the applicable financing arrangement with the Company for the duration of the forbearance period specified in the Forbearance Agreement (the "Forbearance Period").

On April 10, 2020, the Company entered into a forbearance agreement for an initial 15 day period, on April 27, 2020, a second forbearance agreement for an extended period ending on June 1, 2020, and a third forbearance agreement on June 1, 2020 for an additional period ending June 15, 2020 (collectively, the "Forbearance Agreement") with certain of its financing counterparties (the "Participating Counterparties").

Pursuant to the terms of the Forbearance Agreement, the Participating Counterparties agreed to forbear from exercising any of their rights and remedies in respect of events of default and any and all other defaults under the applicable financing arrangement with the Company for the duration of the forbearance period specified in the Forbearance Agreement (the "Forbearance Period").

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2020

On June 10, 2020, the Company and the Participating Counterparties entered into a Reinstatement Agreement, pursuant to which the parties agreed to terminate the Forbearance Agreement and each Participating Counterparty agreed to permanently waive all existing and prior events of default under its financing agreements with the Company (each, a “Bilateral Agreement”) and to reinstate each Bilateral Agreement, as it may be amended by agreement between the Participating Counterparty and the Company.

As a result of the termination of the Forbearance Agreement and entry into the Reinstatement Agreement, default interest on the Company’s outstanding borrowings under each Bilateral Agreements will cease to accrue as of June 10, 2020 and the interest rate shall be the non-default rate of interest or pricing rate, as set forth in the applicable Bilateral Agreements, all cash margin will be applied to outstanding balances owed by the Company, and the DTC repo tracker coding for each Bilateral Agreement will be reinstated, thereby allowing principal and interest payments on the underlying collateral to flow to and be used by the Company, just as it was before the prior forbearance agreements were put in place.

In addition, pursuant to the terms of the Reinstatement Agreement, the security interests granted to Participating Counterparties as additional collateral under the various forbearance agreements are being terminated and released.

As a result of the termination of the Forbearance Agreement and entry into the Reinstatement Agreement, default interest on the Company’s outstanding borrowings under each Bilateral Agreements has ceased to accrue as of June 10, 2020 and the interest rate was the non-default rate of interest or pricing rate, as set forth in the applicable Bilateral Agreements, all cash margin has been applied to outstanding balances owed by the Company, and the DTC repo tracker coding for each Bilateral Agreement has been reinstated, thereby allowing principal and interest payments on the underlying collateral to flow to and be used by the Company, just as it was before the prior forbearance agreements were put in place.

The Company also agreed to pay the reasonable fees and out-of-pocket expenses of counsel and other professional advisors for the Participating Counterparties and the collateral agent.

Additionally, the Reinstatement Agreement provides a set of financial covenants that override and replace the financial covenants in each Bilateral Agreement and sets forth various reporting requirements from the Company to the Participating Counterparties, releases, certain netting obligations and cross-default provisions.

Additionally, the Reinstatement Agreement provided a set of financial covenants that override and replace the financial covenants in each Bilateral Agreement and sets forth various reporting requirements from the Company to the Participating Counterparties, releases, certain netting obligations and cross-default provisions.

In connection with the negotiation and execution of the Reinstatement Agreement, the Company entered into certain amendments to the Bilateral Agreements with certain of the Participating Counterparties to reflect current market terms.

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The Reinstatement Agreement and the JPM Reinstatement Agreement collectively cover all of the Company’s existing financing arrangements as of the date of this report.

As previously described, through the end of March and subsequent to the end of the quarter, the Company had sold certain assets in an effort to satisfy outstanding financing obligations and reduce its exposure to various counterparties.

As of June 10, 2020, the Company had met all margin call requirements.

Refer to Note 13 for more information on outstanding deficiencies.

Accounting for derivative financial instruments

The Company enters into derivative contracts as a means of mitigating interest rate risk or foreign currency 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 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, 2020 and December 31, 2019, the Company did not have any interest rate derivatives designated as hedges.

All derivatives have been recorded at fair value in accordance with ASC 820-10, with corresponding changes in 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.

The Company records the daily receipt or payment of

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

March 31, 2020

variation margin associated with the Company’s centrally cleared derivative instruments on a net basis.

See Note 8 for a discussion of this accounting treatment.

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 "Unrealized gain/(loss) on derivative and other instruments, net."

The Company presents the purchase or sale of TBAs net of the corresponding payable or receivable, respectively, until the settlement date of the transaction.

Contracts for the purchase or sale of Agency RMBS are accounted for as derivatives if they do not qualify for the "regular way" security trade scope exception found in ASC 815-10.

To be eligible for this scope exception, the contract must meet the following conditions:

(1) there is no other way to purchase or sell that security, (2) delivery of that security and settlement will occur within the shortest period possible for that type of security, and (3) it is probable at inception and throughout the term of the individual contract that the contract will not settle net and will result in physical delivery of a security when it is issued.

Unrealized gains and losses associated with TBA contracts not meeting the regular-way exception and not designated as hedging instruments are recognized in the consolidated statement of operations in the line item "Unrealized gain/(loss) on derivative and other instruments, net."

Treasury securities

The Company may purchase long or sell short U.S.

Treasury securities to help mitigate the potential impact of changes in interest rates.

The Company may finance its purchase of U.S.

Treasury securities with overnight repurchase agreements.

The Company may borrow securities to cover short sales of U.S.

Treasury securities through overnight reverse repurchase agreements, which are accounted for as borrowing transactions, and the Company recognizes an obligation to return the borrowed securities at fair value on its consolidated balance sheets based on the value of the underlying borrowed securities as of the reporting date.The Company establishes haircuts to ensure the fair value of the underlying assets remain sufficient to protect the Company in the event of a default by a counterparty.

Interest income and expense associated with purchases and short sales of U.S.

Treasury securities are recognized in "Interest income" and "Interest expense," respectively, on the consolidated statement of operations.

Realized and unrealized gains and losses associated with purchases and short sales of U.S.

Treasury securities are recognized in "Net realized gain/(loss)" and "Unrealized gain/(loss) on derivative and other instruments, net," respectively, on the consolidated statement of operations.

Manager compensation

The management agreement provides for payment to the Manager of a management fee.

The management fee is accrued and expensed during the period for which it is earned.

For a more detailed discussion on the fees payable under the management agreement, see Note 11.

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

March 31, 2020

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 for qualifying dividends to the stockholders of a REIT 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.

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) and 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 elected to treat one of its foreign subsidiaries as a TRS and, accordingly, taxable income generated by this foreign TRS may not be subject to local income taxation, but generally will be included in the Company’s taxable income on a current basis as Subpart F income, whether or not distributed.

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.

If the Company were to fail to meet the REIT requirements, it would be subject to federal income taxes and applicable state and local taxes.

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.

See Note 10 for further details.

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 10 for further details.

Foreign currency remeasurement

The Company’s assets and liabilities denominated in foreign currencies are remeasured into U.S.

dollars using foreign currency exchange rates at the end of the reporting period.

Income and expenses are remeasured using the average exchange rates for each reporting period.

The effects of remeasuring the monetary assets and liabilities of the Company's foreign investments held by entities with a U.S.

dollar functional currency are included in the “Foreign currency gain/(loss), net” line item in the Consolidated Statements of Operations.

The effects of remeasuring the assets, income and expenses of the Company's foreign investments held by entities with a U.S.

dollar functional currency in which the fair value option is elected are either included in the applicable unrealized line item per the Company’s other significant accounting policies, or within the "Interest income" or "Interest expense" line items, respectively, in the Consolidated Statements of Operations.

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

March 31, 2020

Deal related performance fees

The Company may incur deal related performance fees, payable to Arc Home and third party operators, on certain of its CMBS, Excess MSRs, and Land Related Financing.

The deal related performance fees are based on these investments meeting certain performance hurdles.

The fees are accrued and expensed during the period for which they are incurred and are included in the "Other operating expenses" and "Equity in earnings/(loss) from affiliates" line items on the Consolidated Statement of Operations.

Stock-based compensation

The Company applies the provisions of ASC 718, "Compensation—Stock Compensation" with regard to its equity incentive plans.

ASC 718 covers a wide range of share-based compensation arrangements including stock options, restricted stock plans, performance-based awards, stock appreciation rights and employee stock purchase plans.

ASC 718 requires that compensation cost relating to stock-based payment transactions be recognized in the financial statements.

Compensation cost related to restricted common shares and restricted stock units issued to the Company’s directors and the Manager is measured at their estimated fair value at the grant date, and is amortized and expensed over the vesting period on a straight-line basis.

Restricted stock units granted to the Manager do not entitle the recipient the rights of a shareholder of the Company’s common stock, such as dividend and voting rights, until shares are issued in settlement of the vested units.

The restricted stock units are not considered to be participating shares.

Restricted stock units are measured at fair value reduced by the present value of the dividends expected to be paid on the underlying shares during the requisite service period, discounted at an assumed risk free rate.

The Company has elected to use the straight-line method to amortize compensation expense for restricted stock units.

Dividends on Preferred Stock

Holders of the Company’s Series A, Series B and 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 three-month LIBOR 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 9 for aggregate amounts of arrearages in cumulative preferred dividends and Note 12 for further detail on the Company’s Preferred Stock.

Recent accounting pronouncements

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The new guidance specifically excludes available-for-sale securities and loans measured at fair value with changes in fair value recognized through net income.

As the new guidance eliminates the accounting for other than temporary impairment, this guidance will have an impact on the Company's unrealized and realized gain/(loss) amounts.

As the new guidance eliminates the accounting for other than temporary impairment, this guidance had an impact on the Company's unrealized and realized gain/(loss) amounts.

See the "Accounting for real estate securities," "Accounting for residential and commercial mortgage loans," "Accounting for excess mortgage servicing rights," and "Interest income recognition" sections above for more detail.

Real Estate Securities

The following tables detail the Company’s real estate securities portfolio as of March 31, 2020 and December 31, 2019.

The gross unrealized gains/(losses) stated in the tables below represent inception to date unrealized gains/(losses).

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements (Unaudited)

March 31, 2020

The following table details the Company’s real estate securities portfolio as of March 31, 2020 ($ in thousands):

June 30, 2020

Real Estate Securities

The following tables detail the Company’s real estate securities portfolio as of June 30, 2020 and December 31, 2019.

The gross unrealized gains/(losses) stated in the tables below represent inception to date unrealized gains/(losses).

The following table details the Company’s real estate securities portfolio as of June 30, 2020 ($ in thousands):

Gross Unrealized Weighted Average

1 unchanged sentence

Amortized Cost Gains Losses Fair Value Coupon (1) Yield

Interest Only $ 216,523 $ ( 188,564 ) $ 27,959 $ 13 $ ( 4,840 ) $ 23,132 4.10 % 2.11 %

Total Agency RMBS:

216,523 ( 188,564 ) 27,959 13 ( 4,840 ) 23,132 4.10 % 2.11 %

Credit Investments:

8 unchanged sentences

$ 1,055,535 $ ( 901,296 ) $ 154,239 $ 5,708 $ ( 27,476 ) $ 132,471 0.89 % 6.64 %

Total $ 1,479,823 $ ( 1,070,919 ) $ 408,904 $ 9,614 $ ( 78,963 ) $ 339,555 2.34 % 6.33 %

(1) Equity residual investments and principal only securities with a zero coupon rate are excluded from this calculation.

24 unchanged sentences

When the fair value of a real estate security was less than its amortized cost at the balance sheet date, the security was considered impaired, and the impairment was designated as either "temporary" or "other-than-temporary."

For the three months ended March 31, 2019, the Company recognized an OTTI charge of $ 2.4 million on its securities, which is included in the "Net realized gain/(loss)" line item on the consolidated statement of operations.

The Company recorded $ 2.4

For the three months ended June 30, 2019, the Company recognized an OTTI charge of $ 8.7 million on its securities, which is included in the "Net realized gain/(loss)" line item on the consolidated statement of operations.

The Company recorded $ 8.7 million of OTTI due to an adverse change in cash flows on certain securities where the fair values of the securities were less

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements (Unaudited)

March 31, 2020

million of OTTI due to an adverse change in cash flows on certain securities where the fair values of the securities were less than their carrying amounts.

June 30, 2020

than their carrying amounts.

Of the $ 8.7 million of OTTI recorded, $ 0.9 million related to securities where OTTI was not recognized in a prior year.

For the six months ended June 30, 2019, the Company recognized an OTTI charge of $ 11.1 million on its securities, which is included in the "Net realized gain/(loss)" line item on the consolidated statement of operations.

The Company recorded $ 11.1 million of OTTI due to an adverse change in cash flows on certain securities where the fair values of the securities were less than their carrying amounts.

Of the $ 11.1 million of OTTI recorded, $ 1.2 million related to securities where OTTI was not recognized in a prior year.

As of December 31, 2019, the unrealized losses on the remaining real estate securities were solely due to market conditions and not the credit quality of the assets.

The investments in any remaining unrealized loss positions were not considered other than temporarily impaired because the Company currently had the ability and intent to hold the investments to maturity or for a period of time sufficient for a forecasted market price recovery up to or beyond the cost of the investments and the Company was not required to sell the investments for regulatory or other reasons.

The following table details the weighted average life of our real estate securities broken out by Agency RMBS and Credit Investments as of March 31, 2020 ($ in thousands):

Agency RMBS Credit Investments

Weighted Average Life (1) Fair Value Amortized Cost Weighted Average Coupon Fair Value Amortized Cost Weighted Average

The investments in any remaining unrealized loss positions were not considered other than temporarily impaired because the Company had the ability and intent to hold the investments to maturity or for a period of time sufficient for a forecasted market price recovery up to or beyond the cost of the investments and the Company was not required to sell the investments for regulatory or other reasons.

The following table details the weighted average life of our real estate securities as of June 30, 2020 ($ in thousands):

Credit Investments

Weighted Average Life (1) Fair Value Amortized Cost Weighted Average

Less than or equal to 1 year $ 21,836 $ 29,004 1.55 %

19 unchanged sentences

(2) Equity residual investments and principal only securities with a zero coupon rate are excluded from this calculation.

For the three months ended March 31, 2020, the Company sold, directly or as a result of financing counterparty seizures, 229 securities for total proceeds of $ 2.4 billion, with an additional $ 12.0 million of proceeds on 6 unsettled security sales, recording realized gains of $ 44.7 million and realized losses of $ 131.0 million.

For the three months ended March 31, 2019, the Company sold 26 securities for total proceeds of $ 213.0 million, with an additional $ 68.4 million of proceeds on 5 unsettled security sales, recording realized gains of $ 4.3 million and realized losses of $ 2.2 million.

See Notes 4 and 8 for amounts realized on sales of loans and the settlement of certain derivatives, respectively.

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

For the three months ended June 30, 2020, the Company sold, directly or as a result of financing counterparty seizures, 87 securities for total proceeds of $ 234.5 million, recording realized gains of $ 9.3 million and realized losses of $ 45.6 million.

For the six months ended June 30, 2020, the Company sold, directly or as a result of financing counterparty seizures, 316 securities for total proceeds of $ 2.7 billion, recording realized gains of $ 53.2 million and realized losses of $ 175.8 million.

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements (Unaudited)

March 31, 2020

The objective of such transactions may include obtaining non-recourse financing, obtaining liquidity or refinancing the underlying securitized financial assets on improved terms.

See Note 2 for more detail.

The Company previously entered into a resecuritization transaction in 2014 (the "December 2014 VIE").

The Company concluded that the SPE created to facilitate this transaction was a VIE and also determined that the December 2014 VIE should be consolidated by the Company.

The Company transferred certain of its CMBS in Q3 2018 from certain of its non-wholly owned subsidiaries into a newly formed entity so it could obtain financing on these real estate securities (the "August 2018 VIE").

The Company concluded that the entity created to facilitate this transfer was a VIE.

The Company also determined that the August 2018 VIE should be consolidated by the Company based on the Company’s 100 % equity ownership in the August 2018 VIE (despite a profit participation interest held by an unaffiliated third party in the August 2018 VIE), the Company's involvement in the August 2018 VIE, including the design and purpose of the entity, and whether the Company’s involvement reflected a controlling financial interest that resulted in the Company being deemed the primary beneficiary of the August 2018 VIE.

The following table details certain information related to the December 2014 VIE and August 2018 VIE as of March 31, 2020 and December 31, 2019 (in thousands):

March 31, 2020 December 31, 2019

June 30, 2020

For the three months ended June 30, 2019, the Company sold 15 securities for total proceeds of $ 233.1 million, recording realized gains of $ 3.8 million and realized losses of $ 0.1 million.

For the six months ended June 30, 2019, the Company sold 46 securities for total proceeds of $ 446.1 million, recording realized gains of $ 8.1 million and realized losses of $ 2.3 million.

See Notes 4 and 8 for amounts realized on sales of loans and the settlement of certain derivatives, respectively.

The following table details certain information related to the December 2014 VIE and August 2018 VIE as further described in Note 2 as of December 31, 2019 (in thousands).

As of June 30, 2020, the Company did not hold any interest in these VIEs.

December 31, 2019

Real estate securities, at fair value:

Non-Agency $ 13,838

CMBS 2,881 94,500

Other assets 808

4 unchanged sentences

Total liabilities $ 81,495

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

March 31, 2020

The holders of the consolidated tranche of the December 2014 VIE, shown within the Non-Agency line item above, have no recourse to the general credit of the Company and the Company has no obligation to provide any other explicit or implicit support to the December 2014 VIE.

1 unchanged sentence

The liabilities of the August 2018 VIE are recourse to the Company and can be satisfied with assets of the Company.

The following table details certain additional information related to the December 2014 VIE as of March 31, 2020 ($ in thousands):

Weighted Average

Current Face Fair Value Coupon Yield Life (Years) (1)

Consolidated tranche (2) $ 6,011 $ 5,836 3.33 % 1.29 % 0.93

Retained tranche 7,680 5,354 5.30 % 18.18 % 6.74

Total resecuritized asset (3) $ 13,691 $ 11,190 4.43 % 9.37 % 4.19

(1) This is based on projected life.

Typically, actual maturities of investments and loans 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) As of March 31, 2020, the Company has recorded secured financing of $ 5.8 million on the consolidated balance sheets in the "Securitized debt, at fair value" line item.

The Company recorded the proceeds from the issuance of the secured financing in the "Cash Flows from Financing Activities" section of the consolidated statement of cash flows at the time of securitization.

(3) As of March 31, 2020, the fair market value of the total resecuritized asset is included in the Company’s consolidated balance sheets as "Non-Agency."

The following table details certain information related to the December 2014 VIE as of December 31, 2019 ($ in thousands):

10 unchanged sentences

(3) As of December 31, 2019, the fair market value of the total resecuritized asset is included in the Company’s consolidated balance sheets as "Non-Agency."

Residential mortgage loans

In January 2020, the Company purchased a residential mortgage loan portfolio with a gross aggregate unpaid principal balance and a gross acquisition fair value of $ 481.7 million and $ 450.3 million, respectively.

For the three months ended March 31, 2020, the Company sold 1 loan for total proceeds of $ 8.7 million, recording realized losses of $ 3.1 million.

For the three months ended March 31, 2019, the Company sold 1 loan for total proceeds of $ 0.1 million, recording realized gains of $ 16.0 thousand.

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements (Unaudited)

March 31, 2020

June 30, 2020

Residential mortgage loans

For the three months ended June 30, 2020, the Company sold 2,357 loans for total proceeds of $ 382.8 million, recording realized gains of $ 1.4 million and realized losses of $ 55.5 million.

For the six months ended June 30, 2020, the Company sold 2,358 loans for total proceeds of $ 391.5 million, recording realized gains of $ 1.4 million and realized losses of $ 58.6 million.

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 79 loans for total proceeds of $ 12.8 million, recording realized gains of $ 1.0 million and realized losses of $ 0.2 million.

The Company has chosen to make a fair value election pursuant to ASC 825 for its residential mortgage loan portfolio.

1 unchanged sentence

The gross unrealized gains/(losses) stated in the tables below represents inception to date unrealized gains/(losses).

The table below details information regarding the Company’s residential mortgage loan portfolio as of March 31, 2020 and December 31, 2019 ($ in thousands):

The table below details information regarding the Company’s residential mortgage loan portfolio as of June 30, 2020 and December 31, 2019 ($ in thousands):

Gross Unrealized Weighted Average

Amortized Cost Gains Losses Fair Value Coupon Yield Life

March 31, 2020 $ 951,135 $ ( 94,637 ) $ 856,498 $ 1,009 $ ( 90,547 ) $ 766,960 3.83 % 4.58 % 6.82

(Discount) Amortized Cost Gains Losses Fair Value Coupon Yield Life

June 30, 2020 $ 471,458 $ ( 65,122 ) $ 406,336 $ 829 $ ( 27,343 ) $ 379,822 3.52 % 5.25 % 6.45

December 31, 2019 464,041 ( 55,219 ) 408,822 9,065 ( 102 ) 417,785 4.09 % 5.72 % 7.36

2 unchanged sentences

Maturities are affected by the lives of the underlying mortgages, periodic payments of principal and prepayments of principal.

The table below details information regarding the Company’s residential mortgage loans as of March 31, 2020 and December 31, 2019 (in thousands):

March 31, 2020 December 31, 2019

The table below details information regarding the Company’s residential mortgage loans as of June 30, 2020 and December 31, 2019 (in thousands):

June 30, 2020 December 31, 2019

Fair Value Unpaid Principal Balance Fair Value Unpaid Principal Balance

3 unchanged sentences

$ 379,822 $ 471,458 $ 417,785 $ 464,041

(1) Represents residential mortgage loans where there was limited data regarding the underlying collateral.

(1) Represents residual positions where the Company consolidates a securitization and the positions are recorded on the Company's books as residential mortgage loans.

There may be limited data available regarding the underlying collateral of such securitizations.

As described in Note 2, prior to the adoption of ASU 2016-13, the Company evaluated loans for OTTI on at least a quarterly basis.

1 unchanged sentence

When the fair value of a loan was less than its amortized cost at the balance sheet date, the loan was considered impaired, and the impairment was designated as either "temporary" or "other-than-temporary."

No OTTI was recorded for the three months ended March 31, 2019 on the Company’s residential mortgage loans.

As of March 31, 2020 and December 31, 2019, the Company had residential mortgage loans with a fair value of $ 35.2 million and $ 35.6 million, respectively, that were in the process of foreclosure, excluding any loans classified as Other above.

No OTTI was recorded for the three and six months ended June 30, 2019 on the Company’s residential mortgage loans.

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2020

As of June 30, 2020 and December 31, 2019, the Company had residential mortgage loans with a fair value of $ 33.7 million and $ 35.6 million, respectively, that were in the process of foreclosure, excluding any loans classified as Other above.

The Company’s 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 within the Company’s mortgage loan portfolio as of March 31, 2020 and December 31, 2019, excluding any loans classified as Other above:

Geographic Concentration of Credit Risk March 31, 2020 December 31, 2019

The following is a summary of the geographic concentration of credit risk within the Company’s mortgage loan portfolio as of June 30, 2020 and December 31, 2019, excluding any loans classified as Other above:

Geographic Concentration of Credit Risk June 30, 2020 December 31, 2019

Percentage of fair value of mortgage loans secured by properties in the following states representing 5% or more of fair value:

3 unchanged sentences

New Jersey 6 % 6 %

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

March 31, 2020

The Company records interest income on an effective interest basis.

The accretable discount is determined by the excess of the Company’s estimate of undiscounted principal, interest, and other cash flows expected to be collected over its initial investment in the mortgage loan.

The following is a summary of the changes in the accretable portion of discounts for the three months ended March 31, 2020 and March 31, 2019, respectively (in thousands):

Three Months Ended

March 31, 2020 March 31, 2019

The accretable discount is determined by the excess of the

Company’s estimate of undiscounted principal, interest, and other cash flows expected to be collected over its initial investment

in the mortgage loan.

The following is a summary of the changes in the accretable portion of discounts for the three and six months ended June 30, 2020 and June 30, 2019, respectively (in thousands):

Three Months Ended Six Months Ended

June 30, 2020 June 30, 2019 June 30, 2020 June 30, 2019

Beginning Balance $ 263,111 $ 99,504 $ 168,877 $ 79,610

4 unchanged sentences

Ending Balance $ 138,161 $ 89,515 $ 138,161 $ 89,515

As of March 31, 2020, the Company’s residential mortgage loan portfolio was comprised of 5,718 conventional loans with individual original loan balances between $ 3.8 thousand and $ 4.0 million, excluding loans classified as Other above.

As of June 30, 2020, the Company’s residential mortgage loan portfolio was comprised of 3,239 conventional loans with individual original loan balances between $ 5.6 thousand and $ 3.4 million, excluding loans classified as Other above.

As of December 31, 2019, the Company’s residential mortgage loan portfolio was comprised of 3,413 conventional loans with individual original loan balances between $ 3.8 thousand and $ 3.4 million.

9 unchanged sentences

Notes to Consolidated Financial Statements (Unaudited)

March 31, 2020

The following table details certain information related to the assets and liabilities of the August 2019 VIE as of March 31, 2020 and December 31, 2019 ($ in thousands):

March 31, 2020 December 31, 2019

June 30, 2020

The following table details certain information related to the assets and liabilities of the August 2019 VIE as of June 30, 2020 and December 31, 2019 ($ in thousands):

June 30, 2020 December 31, 2019

Residential mortgage loans, at fair value $ 223,119 $ 255,171

5 unchanged sentences

Total liabilities $ 208,900 $ 242,298

The following table details certain information related the August 2019 VIE as of March 31, 2020 and December 31, 2019 ($ in thousands):

The following table details additional information regarding loans and securitized debt related to the August 2019 VIE as of June 30, 2020 and December 31, 2019 ($ in thousands):

Weighted Average

Current Unpaid Principal Balance Fair Value Coupon Yield Life (Years) (1)

March 31, 2020 Residential mortgage loans (2) $ 258,424 $ 214,176 4.03 % 4.73 % 6.90

June 30, 2020 Residential mortgage loans (2) $ 254,936 $ 223,119 3.51 % 4.81 % 6.85

Securitized debt (3) 213,233 198,974 2.95 % 2.95 % 5.19

5 unchanged sentences

(2) This represents all loans contributed to the August 2019 VIE.

(3) As of March 31, 2020 and December 31, 2019, the Company has recorded secured financing of $ 191.3 million and $ 217.1 million, respectively, on the consolidated balance sheets in the "Securitized debt, at fair value" line item.

(3) As of June 30, 2020 and December 31, 2019, the Company has recorded secured financing of $ 199.0 million and $ 217.1 million, respectively, on the consolidated balance sheets in the "Securitized debt, at fair value" line item.

1 unchanged sentence

The Company has no obligation to provide any other explicit or implicit support to the August 2019 VIE.

On May 28, 2020, the Company entered into a Mortgage Loan Purchase and Sale Agreement (the "MLPSA").

The MLPSA provided for the sale by the Company of residential mortgage loans (the "Loan Sale") with an approximate unpaid principal balance of $ 465 million for net proceeds of approximately $ 383 million.

The closing of the Loan Sale occurred on May 28, 2020.

Commercial loans

2 unchanged sentences

The gross unrealized gains/(losses) columns in the tables below represent inception to date unrealized gains/(losses).

For the three and six months ended June 30, 2020, the Company sold 1 commercial loan for total proceeds of $ 34.2 million, recording realized losses of $ 1.7 million.

For the three and six months ended June 30, 2019, the Company did not sell any commercial loans.

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements (Unaudited)

March 31, 2020

The following table presents detail on the Company’s commercial loan portfolio on March 31, 2020 ($ in thousands).

June 30, 2020

The following table presents detail on the Company’s commercial loan portfolio on June 30, 2020 ($ in thousands).

Weighted Average

6 unchanged sentences

Loan G (8)(9) $ 56,710 $ — $ 56,710 $ ( 4,225 ) $ 52,485 5.27 % 5.27 % 1.55 July 9, 2020 July 9, 2022 CA Condo, Retail, Hotel

Loan H (8)(9) 36,000 — 36,000 ( 1,800 ) 34,200 4.71 % 4.71 % 0.19 March 9, 2019 June 9, 2020 AZ Office

Loan I (10) 15,212 ( 211 ) 15,001 ( 789 ) 14,212 11.50 % 12.26 % 1.80 February 9, 2021 February 9, 2023 MN Office, Retail

4 unchanged sentences

(1) The Company has the contractual right to receive a balloon payment for each loan.

(2) Refer to Note 13 "Commitments and Contingencies" for details on the Company's commitments on its Commercial Loans as of March 31, 2020.

(2) Refer to Note 13 "Commitments and Contingencies" for details on the Company's commitments on its Commercial Loans as of June 30, 2020.

(3) Pricing is reflective of marks on unfunded commitments.

1 unchanged sentence

(5) Yield includes any exit fees.

(6) Actual maturities of commercial mortgage loans may be shorter than stated contractual maturities.

(6) Actual maturities of commercial mortgage loans may be shorter or longer than stated contractual maturities.

Maturities are affected by prepayments of principal.

(7) Represents the maturity date of the last possible extension option.

(8) Loan G, Loan H, and Loan J are first mortgage loans.

(9) Subsequent to quarter end, Loan H was sold.

(8) Loan G and Loan J are first mortgage loans.

(9) Loan G matured on July 9, 2020.

Discussions are ongoing between the borrower and the lenders related to the extension of the loan.

However, there can be no guaranty that an agreement will be reached with respect to any such discussions.

(10) Loan I is a mezzanine loan.

3 unchanged sentences

Notes to Consolidated Financial Statements (Unaudited)

March 31, 2020

June 30, 2020

The following table presents detail on the Company’s commercial loan portfolio on December 31, 2019 ($ in thousands).

17 unchanged sentences

(3) Yield includes any exit fees.

(4) Actual maturities of commercial mortgage loans may be shorter than stated contractual maturities.

(4) Actual maturities of commercial mortgage loans may be shorter or longer than stated contractual maturities.

Maturities are affected by prepayments of principal.

3 unchanged sentences

(8) Loan K and Loan L are comprised of first mortgage and mezzanine loans.

During the three months ended March 31, 2020 and March 31, 2019, the Company recorded a de minimis amount of discount accretion on its commercial loans.

During the three and six months ended June 30, 2020, the Company recorded $ 163.6 thousand and $ 129.9 thousand of discount accretion on its commercial loans, respectively.

During the three and six months ended June 30, 2019, the Company recorded a de minimis amount of discount accretion on its commercial loans.

The Company has chosen to make a fair value election pursuant to ASC 825 for its Excess MSR portfolio.

1 unchanged sentence

The gross unrealized gains/(losses) columns below represent inception to date unrealized gains/(losses).

The following table presents detail on the Company’s Excess MSR portfolio on March 31, 2020 ($ in thousands).

The following table presents detail on the Company’s Excess MSR portfolio on June 30, 2020 ($ in thousands).

Gross Unrealized Weighted Average

11 unchanged sentences

Notes to Consolidated Financial Statements (Unaudited)

March 31, 2020

June 30, 2020

The following table presents detail on the Company’s Excess MSR portfolio on December 31, 2019 ($ in thousands).

10 unchanged sentences

As described in Note 2, prior to the adoption of ASU 2016-13, the Company evaluated Excess MSRs for OTTI on at least a quarterly basis.

The determination of whether an Excess MSR was other-than-temporarily impaired involved judgments and assumptions based on subjective and objective factors.

When the fair value of an Excess MSR was less than its amortized cost at the balance sheet date, the Excess MSR was considered impaired, and the impairment was designated as either "temporary" or "other-than-temporary.

For the three months ended March 31, 2019, the Company recognized an OTTI charge of $ 0.6 million on its Excess MSRs, which is included in the "Net realized gain/(loss)" line item on the consolidated statement of operations.

Of the $ 0.6 million of OTTI recorded for the three months ended March 31, 2019, $ 0.1 million was related to Excess MSRs where OTTI was not recognized in a prior year.

For the three months ended June 30, 2019, the Company recognized an OTTI charge of $ 1.6 million on its Excess MSRs, which is included in the "Net realized gain/(loss)" line item on the consolidated statement of operations.

Of the $ 1.6 million of OTTI recorded for the three months ended June 30, 2019, $ 0.4 million was related to Excess MSRs where OTTI was not recognized in a prior year.

For the six months ended June 30, 2019, the Company recognized an OTTI charge of $ 2.2 million on its Excess MSRs, which is included in the "Net realized gain/(loss)" line item on the consolidated statement of operations.

Of the $ 2.2 million of OTTI recorded for the six months ended June 30, 2019, $ 0.5 million was related to Excess MSRs where OTTI was not recognized in a prior year.

Fair value measurements

24 unchanged sentences

Notes to Consolidated Financial Statements (Unaudited)

March 31, 2020

June 30, 2020

interest rate swaps and futures reflected in the Company’s consolidated balance sheets is equal to the unsettled fair value of such instruments.

5 unchanged sentences

Because of the inherent uncertainty of such valuation, the fair values established for mortgage loans held by the Company may differ from the fair values that would have been established if a ready market existed for these mortgage loans.

The Manager may also engage specialized third party valuation service providers to assess and corroborate the valuation of a selection of investments in the Company’s loan portfolio on a periodic basis.

These specialized third party valuation service providers conduct independent valuation analyses based on a review of source documents, available market data, and comparable investments.

4 unchanged sentences

These cash equivalent instruments are valued at their market quoted prices, which generally approximate cost plus accrued interest.

In December 2015, the Company, alongside private funds under the management of Angelo Gordon, through AG Arc, formed Arc Home.

The Company invests in Arc Home through AG Arc.

In June 2016, Arc Home closed on the acquisition of a Fannie Mae, Freddie Mac, FHA, VA and Ginnie Mae seller/servicer of residential mortgages.

Refer to Note 2 for more information on changes regarding the Company's leveling policy.

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

March 31, 2020

The following table presents the Company’s financial instruments measured at fair value on a recurring basis as of March 31, 2020 (in thousands):

Fair Value at March 31, 2020

The following table presents the Company’s financial instruments measured at fair value on a recurring basis as of June 30, 2020 (in thousands):

Fair Value at June 30, 2020

Level 1 Level 2 Level 3 Total

Interest Only $ — $ 23,132 $ — $ 23,132

Credit Investments:

6 unchanged sentences

Excess mortgage servicing rights — — 12,294 12,294

Cash equivalents (1) 22,605 — — 22,605

Derivative assets 84 — — 84

2 unchanged sentences

Securitized debt $ — $ — $ ( 198,974 ) $ ( 198,974 )

Derivative liabilities ( 155 ) ( 2,193 ) — ( 2,348 )

Total Liabilities Measured at Fair Value $ — $ — $ ( 198,974 ) $ ( 198,974 )

(1) Refer to Note 2 for more information on the Company's accounting policies with regard to cash equivalents and AG Arc.

(1) Refer to Note 2 for more information on the Company's accounting policies with regard to cash equivalents, if applicable, and AG Arc.

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements (Unaudited)

March 31, 2020

June 30, 2020

The following table presents the Company’s financial instruments measured at fair value on a recurring basis as of December 31, 2019 (in thousands):

19 unchanged sentences

(1) Refer to Note 2 for more information on the Company's accounting policies with regard to cash equivalents and AG Arc.

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, 2020 and March 31, 2019.

The Company did not have any transfers of assets or liabilities between Levels 1 and 2 of the fair value hierarchy during the three and six months ended June 30, 2020 and June 30, 2019.

Refer to the tables below for details on transfers between the Level 3 and Level 2 categories under ASC 820.

6 unchanged sentences

Notes to Consolidated Financial Statements (Unaudited)

March 31, 2020

June 30, 2020

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, 2020

(in thousands)

Three Months Ended June 30, 2020 (in thousands)

Mortgage Loans Commercial

Excess Mortgage

Servicing Rights AG Arc Securitized

Beginning balance $ 5,533 $ 766,960 $ 158,051 $ 14,066 $ 18,519 $ ( 191,346 )

Purchases/Transfers — — 7,759 — — —

Issuances of Securitized Debt — — — — — ( 3,000 )

Proceeds from sales of assets ( 68 ) ( 378,729 ) ( 34,200 ) — — —

Proceeds from settlement ( 1,159 ) ( 14,716 ) — — — 3,517

Total net gains/(losses) (1)

Included in net income 190 6,307 ( 3,925 ) ( 1,772 ) 9,511 ( 8,145 )

Ending Balance $ 4,496 $ 379,822 $ 127,685 $ 12,294 $ 28,030 $ ( 198,974 )

Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held as of June 30, 2020 (2) $ 4 $ 60,434 $ ( 2,134 ) $ ( 1,780 ) $ 9,511 $ ( 8,145 )

(1) Gains/(losses) are recorded in the following line items in the consolidated statement of operations:

Unrealized gain/(loss) on real estate securities and loans, net $ 58,302

Unrealized gain/(loss) on derivative and other instruments, net ( 9,917 )

Net realized gain/(loss) ( 55,730 )

Equity in earnings/(loss) from affiliates 9,511

Total $ 2,166

(2) Unrealized gains/(losses) are recorded in the following line items in the consolidated statement of operations:

Unrealized gain/(loss) on real estate securities and loans, net $ 58,304

Unrealized gain/(loss) on derivative and other instruments, net ( 9,925 )

Equity in earnings/(loss) from affiliates 9,511

Total $ 57,890

Three Months Ended June 30, 2019 (in thousands)

Interest Only

ABS CMBS CMBS Interest

AG Arc Securitized

Beginning balance $ 506,103 $ 2,501 $ 20,199 $ 212,904 $ 49,397 $ 202,047 $ 110,223 $ 24,301 $ 23,775 $ ( 10,515 )

Transfers (1):

Transfers into level 3 24,194 — — — — — — — — —

Purchases/Transfers 61,496 — 819 23,656 — 6,250 8,132 — — —

Proceeds from sales/redemptions ( 14,606 ) — — ( 14,097 ) ( 1,714 ) ( 12,704 ) — — — —

Proceeds from settlement ( 22,573 ) — ( 634 ) ( 7,570 ) — ( 4,152 ) — — — 1,898

Total net gains/(losses) (2)

Included in net income 6,531 ( 667 ) 187 5,332 ( 847 ) 8,529 ( 350 ) ( 3,408 ) ( 5,058 ) ( 13 )

Ending Balance $ 561,145 $ 1,834 $ 20,571 $ 220,225 $ 46,836 $ 199,970 $ 118,005 $ 20,893 $ 18,717 $ ( 8,630 )

Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held as of June 30, 2019 (3) $ 5,108 $ ( 386 ) $ 187 $ 5,329 $ ( 772 ) $ 7,847 $ ( 350 ) $ ( 1,803 ) $ ( 5,058 ) $ ( 13 )

(1) Transfers are assumed to occur at the beginning of the period.

During the three months ended June 30, 2019, the Company transferred 3 Non-Agency RMBS securities into the Level 3 category from the Level 2 category under the fair value hierarchy of ASC 820.

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2020

(2) Gains/(losses) are recorded in the following line items in the consolidated statement of operations:

Unrealized gain/(loss) on real estate securities and loans, net $ 18,332

Unrealized gain/(loss) on derivative and other instruments, net ( 3,421 )

Net realized gain/(loss) 383

Equity in earnings/(loss) from affiliates ( 5,058 )

Total $ 10,236

(3) Unrealized gains/(losses) are recorded in the following line items in the consolidated statement of operations:

Unrealized gain/(loss) on real estate securities and loans, net $ 16,963

Unrealized gain/(loss) on derivative and other instruments, net ( 1,816 )

Equity in earnings/(loss) from affiliates ( 5,058 )

Total $ 10,089

Six Months Ended June 30, 2020 (in thousands)

RMBS Interest Only

6 unchanged sentences

Purchases/Transfers 1,559 — 3,540 — 479,195 19,200 — — —

Transfers from Investments in Debt and Equity of Affiliates — — — — — — — — —

Issuances of Securitized Debt — — — — — — — — ( 3,000 )

Proceeds from sales of assets and seizures of assets ( 362,199 ) — ( 148,111 ) ( 21,996 ) ( 387,408 ) ( 34,200 ) — — —

3 unchanged sentences

Ending Balance $ 4,496 $ — $ — $ — $ 379,822 $ 127,685 $ 12,294 $ 28,030 $ ( 198,974 )

Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held as of March 31, 2020 (3) $ ( 554 ) $ — $ — $ — $ ( 95,655 ) $ ( 12,076 ) $ ( 3,701 ) $ ( 10,027 ) $ 20,066

Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held as of June 30, 2020 (3) $ ( 550 ) $ — $ — $ — $ ( 35,221 ) $ ( 14,210 ) $ ( 5,481 ) $ ( 516 ) $ 11,921

(1) Transfers are assumed to occur at the beginning of the period.

During the three months ended March 31, 2020, the Company transferred 50 Non-Agency RMBS securities, 2 Non-Agency RMBS Interest Only securities, 32 CMBS securities, 15 CMBS Interest Only securities and 1 securitized debt security into the Level 2 category from the Level 3 category under the fair value hierarchy of ASC 820.

During the three months ended March 31, 2020, the Company transferred 1 securitized debt security into the Level 3 category from the Level 2 category under the fair value hierarchy of ASC 820.

During the six months ended June 30, 2020, the Company transferred 50 Non-Agency RMBS securities, 2 Non-Agency RMBS Interest Only securities, 32 CMBS securities, 15 CMBS Interest Only securities and 1 securitized debt security into the Level 2 category from the Level 3 category under the fair value hierarchy of ASC 820.

During the six months ended June 30, 2020, the Company transferred 1 securitized debt security into the Level 3 category from the Level 2 category under the fair value hierarchy of ASC 820.

Refer to Note 2 for more information on changes regarding the Company's leveling policy.

13 unchanged sentences

Notes to Consolidated Financial Statements (Unaudited)

March 31, 2020

Three Months Ended

March 31, 2019

(in thousands)

June 30, 2020

Six Months Ended June 30, 2019 (in thousands)

Interest Only

12 unchanged sentences

Ending Balance $ 561,145 $ 1,834 $ 20,571 $ 220,225 $ 46,836 $ 199,970 $ 118,005 $ 20,893 $ 18,717 $ ( 8,630 )

Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held as of March 31, 2019 (3) $ 4,979 $ ( 598 ) $ 467 $ 5,404 $ ( 934 ) $ 145 $ 550 $ ( 1,736 ) $ ( 3,274 ) $ 26

Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held as of June 30, 2019 (3) $ 10,087 $ ( 984 ) $ 654 $ 10,733 $ ( 1,706 ) $ 7,992 $ 200 $ ( 3,539 ) $ ( 8,332 ) $ 13

(1) Transfers are assumed to occur at the beginning of the period.

During the three months ended March 31, 2019, the Company transferred 4 Non-Agency RMBS securities into the Level 3 category from the Level 2 category and 6 Non-Agency RMBS and 2 CMBS securities into the Level 2 category from the Level 3 category under the fair value hierarchy of ASC 820.

During the six months ended June 30, 2019, the Company transferred 7 Non-Agency RMBS securities into the Level 3 category from the Level 2 category and 6 Non-Agency RMBS and 2 CMBS securities into the Level 2 category from the Level 3 category under the fair value hierarchy of ASC 820.

(2) Gains/(losses) are recorded in the following line items in the consolidated statement of operations:

12 unchanged sentences

Notes to Consolidated Financial Statements (Unaudited)

March 31, 2020

June 30, 2020

The following tables present 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.

Asset Class Fair Value at March 31, 2020 (in thousands) Valuation Technique Unobservable Input Range

Asset Class Fair Value at June 30, 2020 (in thousands) Valuation Technique Unobservable Input Range

(Weighted Average) (1)

9 unchanged sentences

$ 9,469 Consensus Pricing Offered Quotes 13.93 - 103.20 ( 79.57 )

$ 2,750 Recent Transaction Cost N/A

Yield 8.04 % - 17.60 % ( 10.89 %)

5 unchanged sentences

AG Arc $ 28,030 Comparable Multiple Book Value Multiple 1.0 x - 1.0 x ( 1.0 x)

Liability Class Fair Value at March 31, 2020 (in thousands) Valuation Technique Unobservable Input Range

Liability Class Fair Value at June 30, 2020 (in thousands) Valuation Technique Unobservable Input Range

(Weighted Average)

3 unchanged sentences

Projected Collateral Severities 23.34 % - 23.34 % ( 23.34 %)

(1) Represents the proportion of the principal expected to be collected relative to the loan balances as of March 31, 2020.

(1) Amounts are weighted based on fair values.

(2) Represents the proportion of the principal expected to be collected relative to the loan balances as of June 30, 2020.

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements (Unaudited)

March 31, 2020

June 30, 2020

Asset Class Fair Value at December 31, 2019 (in thousands) Valuation Technique Unobservable Input Range

36 unchanged sentences

Projected Collateral Severities 20.13 % - 45.00 % ( 22.61 %)

(1) Amounts are weighted based on fair values.

(2) Represents the proportion of the principal expected to be collected relative to the loan balances as of December 31, 2019.

7 unchanged sentences

coupon, maturity date, loan age, reset date, collateral type, periodic and life cap, geography, and prepayment speeds.

These valuations also require significant judgments, which include assumptions regarding capitalization rates, re-performance rates, leasing, creditworthiness of major tenants, occupancy rates, availability of financing, exit plan, loan sponsorship, actions of other lenders and other factors deemed necessary by management.

Changes in the market environment and other events that may occur over the life of our investments

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements (Unaudited)

March 31, 2020

may cause the gains or losses ultimately realized on these investments to be different than the valuations currently estimated.

June 30, 2020

necessary by management.

Changes in the market environment and other events that may occur over the life of our investments may cause the gains or losses ultimately realized on these investments to be different than the valuations currently estimated.

If applicable, analyses provided by valuation service providers are reviewed and considered by the Manager.

Financing arrangements

The following table presents a summary of the Company's financing arrangements as of March 31, 2020 and December 31, 2019 (in thousands).

March 31, 2020 December 31, 2019

The following table presents a summary of the Company's financing arrangements as of June 30, 2020 and December 31, 2019 (in thousands).

June 30, 2020 December 31, 2019

Repurchase agreements $ 188,286 $ 3,121,966

2 unchanged sentences

(1) Increasing the Company's borrowing capacity under the Company's revolving facilities requires consent of the lenders.

During the quarter ended March 31, 2020, the Company completed the sale of its 30 Year Fixed Rate Agency securities and sold additional assets in an effort to satisfy outstanding financing obligations, to weather the economic and market instability and to reduce its exposure to various financing counterparties.

During the six months ended June 30, 2020, the Company completed the sale of its 30 Year Fixed Rate Agency securities and sold additional assets in an effort to satisfy outstanding financial obligations, to weather the economic and market instability and to reduce its exposure to various financing counterparties.

In March 2020, the Company began engaging in discussions with its financing counterparties with regard to entering into forbearance agreements pursuant to which each participating counterparty would agree to forbear from exercising its rights and remedies with respect to an event of default under the applicable financing arrangement for an agreed-upon period.

As of March 31, 2020, the Company had received notifications from several of its financing counterparties of alleged events of default under their repurchase agreements, and of those counterparties' intentions to accelerate the Company's performance obligations under the relevant agreements due to the Company's inability to meet certain margin calls as a result of market disruptions created by the COVID-19 pandemic.

As discussed above, until a formal agreement was reached, the Company negotiated with its financing counterparties regarding the lenders' forbearance from exercising their rights and remedies under their applicable repurchase agreements.

While as of March 31, 2020 certain lenders had accelerated the Company's obligations under their applicable repurchase agreements, upon execution of the Reinstatement Agreement, the terms of the Bilateral Agreements were reinstated, including the maturity dates of the repurchase agreements.

As described above, on June 10, 2020, the Company and the Participating Counterparties entered into a Reinstatement Agreement, pursuant to which the parties agreed to terminate the Forbearance Agreement and each Participating Counterparty agreed to permanently waive all existing and prior events of default under its financing agreements with the Company and to reinstate each Bilateral Agreement, as it may be amended by agreement between the Participating Counterparty and the Company.

As of June 30, 2020, the Company had met all margin calls related to its repurchase agreements.

Refer to Note 13 for more information on outstanding deficiencies.

For additional information related to the Forbearance Agreement and the Reinstatement Agreement, see Note 2 under "Financing Arrangements."

7 unchanged sentences

If the Company maintains the beneficial interest in the specific assets pledged during the term of the borrowing, it receives the related principal and interest payments.

If the Company does not maintain the beneficial interest in the specific assets pledged during the term of the borrowing, it will have the related principal and interest payments remitted to it by the lender.

Interest rates on these borrowings are fixed based on prevailing rates corresponding to the terms of the borrowings, and interest is paid at the termination of the borrowing at which time the Company may enter into a new borrowing arrangement at prevailing market rates with the same counterparty or repay that counterparty and negotiate financing with a different counterparty.

If the fair value of pledged assets declines due to changes in market conditions or the publishing of monthly security paydown factors, 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 repurchase agreements disclosed in the tables below represent 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 the form of cash in order to meet these obligations.

Under the terms of the Company’s master repurchase agreements, the counterparties may, in certain cases, sell or re-hypothecate the pledged

If the Company does not maintain the beneficial interest in the specific assets pledged during the term of the borrowing, it will

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements (Unaudited)

March 31, 2020

June 30, 2020

have the related principal and interest payments remitted to it by the lender.

The Company maintains a level of liquidity in order to meet these obligations.

Under the terms of the Company’s master repurchase agreements, the counterparties may, in certain cases, sell or re-hypothecate the pledged collateral.

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.

As a result, the Company has not presented the maturity of its financing arrangements as of March 31, 2020 in the tables below.

Additionally, due to declines in the fair value of the Company’s portfolio, certain haircuts were negative as of March 31, 2020.

Subsequent to quarter end, as a result of asset sales and delevering, the Company had positive equity in its investments and positive haircuts.

As of June 10, 2020, the Company had met all margin calls related to its repurchase agreements.

Refer to Note 13 for more information on outstanding deficiencies.

The following table presents a summary of financial information regarding the Company’s repurchase agreements and corresponding real estate securities pledged as collateral as of March 31, 2020 ($ in thousands):

Repurchase Agreements Real Estate Securities Pledged

Repurchase Agreements Maturing Within:

Balance Weighted

Average Haircut

30 days or less $ 55,658 3.43 % 46.9 % $ 107,533 $ 125,911 $ 570

61-90 days 1,704 4.50 % 35.0 % 2,674 2,553 2

Total / Weighted Average $ 57,362 3.46 % 46.5 % $ 110,207 $ 128,464 $ 572

9 unchanged sentences

Total / Weighted Average $ 2,987,355 2.25 % 8.5 % $ 3,328,683 $ 3,210,497 $ 10,841

The following table presents a summary of financial information regarding the Company’s repurchase agreements and corresponding residential mortgage loans pledged as collateral as of March 31, 2020 ($ in thousands):

Repurchase Agreements Residential Mortgage Loans Pledged

Repurchase Agreements Maturing Within:

Balance Weighted

Weighted Average

61-90 days $ 9,392 4.65 % 4.65 % 61.2 % $ 24,206 $ 23,441 $ 766

Greater than 180 days 118,072 3.68 % 4.10 % 19.4 % 147,110 164,348 477

Total / Weighted Average $ 127,464 3.76 % 4.14 % 22.4 % $ 171,316 $ 187,789 $ 1,243

10 unchanged sentences

Notes to Consolidated Financial Statements (Unaudited)

March 31, 2020

The following table presents a summary of financial information regarding the Company’s repurchase agreements and corresponding commercial loans pledged as collateral as of March 31, 2020 ($ in thousands):

June 30, 2020

Repurchase Agreements Commercial Loans Pledged

Repurchase Agreements Maturing Within:

Balance Weighted

Weighted Average

Total / Weighted Average $ 3,370 3.76 % 5.13 % 9.4 % $ 3,720 $ 5,220 $ 28

Greater than 180 days $ 3,460 4.75 % 6.00 % 36.4 % $ 5,441 $ 6,291 $ 30

7 unchanged sentences

See Note 8 for details on collateral posted/received against certain derivatives.

The following table presents information with respect to the Company’s posting of collateral under repurchase agreements on March 31, 2020 and December 31, 2019, broken out by investment type (in thousands):

March 31, 2020 December 31, 2019

As of June 30, 2020, the Company pledged cash of $ 1.0 million as collateral for clearing trades.

The following table presents information with respect to the Company’s posting of collateral under repurchase agreements on June 30, 2020 and December 31, 2019, broken out by investment type (in thousands):

June 30, 2020 December 31, 2019

Fair Value of investments pledged as collateral under repurchase agreements

5 unchanged sentences

Cash pledged (i.e., restricted cash) under repurchase agreements 48 11,565

Fair Value of unsettled trades pledged as collateral under repurchase agreements 12,658 —

Total collateral pledged under repurchase agreements $ 287,012 $ 3,516,146

The following table presents the fair value of collateral posted to us under repurchase agreements by lenders (in thousands):

March 31, 2020 December 31, 2019

Fair Value of investments posted to us under repurchase agreements:

Treasury Securities $ — $ 1,083

Total collateral posted to us under repurchase agreements $ — $ 1,083

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

March 31, 2020

The following table presents information with respect to the Company’s total borrowings under repurchase agreements on March 31, 2020 and December 31, 2019, broken out by investment type (in thousands):

March 31, 2020 December 31, 2019

As of June 30, 2020, the Company had no investments posted to it under repurchase agreements.

As of December 31, 2019, the Company had fair value of $ 1.1 million of U.S.

Treasury Securities posted to it under repurchase agreements.

The following table presents information with respect to the Company’s total borrowings under repurchase agreements on June 30, 2020 and December 31, 2019, broken out by investment type (in thousands):

June 30, 2020 December 31, 2019

Repurchase agreements secured by investments:

5 unchanged sentences

Gross Liability for repurchase agreements $ 188,286 $ 3,121,966

The following table presents both gross information and net information about repurchase agreements eligible for offset in the consolidated balance sheets as of March 31, 2020 and December 31, 2019 (in thousands):

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2020

The following table presents both gross information and net information about repurchase agreements eligible for offset in the consolidated balance sheets as of June 30, 2020 and December 31, 2019 (in thousands):

Gross Amounts Not Offset in the

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Cash Collateral

March 31, 2020 $ 444,886 $ — $ 444,886 $ 444,886 $ — $ —

June 30, 2020 $ 188,286 $ — $ 188,286 $ 188,286 $ — $ —

December 31, 2019 3,121,966 — 3,121,966 3,121,966 — —

Revolving facilities

The following table presents information regarding the Company's revolving facilities, excluding facilities within investments in debt and equity of affiliates, as of March 31, 2020 and December 31, 2019 ($ in thousands).

March 31, 2020 December 31, 2019

The following table presents information regarding the Company's revolving facilities, excluding facilities within investments in debt and equity of affiliates, as of June 30, 2020 and December 31, 2019 ($ in thousands).

June 30, 2020 December 31, 2019

Facility (1)(2)(3) Investment Maturity Date Rate Funding Cost Balance Net Carrying Value of Assets Pledged as Collateral Maximum Aggregate Borrowing Capacity Rate Funding Cost Balance Net Carrying Value of Assets Pledged as Collateral

1 unchanged sentence

Revolving facility C Commercial loans August 10, 2023 2.33 % 2.68 % 62,812 99,660 100,000 3.85 % 4.01 % 89,956 132,856

Revolving facility G Residential mortgage loans January 26, 2021 3.16 % 3.26 % 410,337 396,365 440,000 — — — —

Total revolving facilities $ 62,812 $ 99,660 $ 100,000 $ 111,502 $ 160,332

4 unchanged sentences

In July 2019, AG MIT WFB1 entered into the Third Amended and Restated Fee and Pricing Letter, which provides for a funding period ending June 26, 2020 and a facility termination date of June 28, 2021.

Subsequent to quarter end, Revolving facility B was paid off.

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

March 31, 2020

During the second quarter of 2020, Revolving facility B was paid off.

In August 2018, AG MIT CREL II, LLC, a subsidiary of the Company, entered into a Master Repurchase Agreement with JP Morgan (the "JPM Repurchase Agreement" or "Revolving facility C") to finance certain commercial loans.

The JPM Repurchase Agreement contains representations, warranties, covenants, including financial covenants, events of default and indemnities that are customary for agreements of this type.

In January 2020, GCAT 2020-23A, LLC and GCAT 2020-23B, LLC, both subsidiaries of the Company, entered into a Master Repurchase Agreement with Bank of America (the "BofA Repurchase Agreement" or "Revolving facility G") to finance certain residential loans.

As a result of the previously discussed Loan Sale, which settled on May 28, 2020, Revolving facility G was paid off.

Financing arrangements

The Company continues to take steps to manage and de-lever its portfolio.

Through asset sales and related repurchase financing paydowns and pay-offs, the Company has reduced its exposure to various counterparties, bringing the total number of counterparties with debt outstanding down from 30 as of December 31, 2019 to 18 as of March 31, 2020.

Subsequent to quarter end, the Company further reduced its total number of financing counterparties to 5 .

At March 31, 2020, the Company did not have equity exposure to any single counterparty in an amount in excess of 5% of stockholders' equity, excluding stockholders’ equity at risk under financing through affiliated entities.

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2020

The following table presents information at June 30, 2020 with respect to each counterparty that provides the Company with financing for which the Company had greater than 5% of its stockholders’ equity at risk, excluding stockholders’ equity at risk under financing through affiliated entities ($ in thousands).

Counterparty Stockholders’ Equity

at Risk Weighted Average

Maturity (days) Percentage of

Stockholders’ Equity

Credit Suisse AG, Cayman Islands Branch $ 50,756 24 13.9 %

Barclays Bank PLC

28,966 329 7.9 %

The following table presents information at December 31, 2019 with respect to each counterparty that provides the Company with financing for which the Company had greater than 5% of its stockholders’ equity at risk, excluding stockholders’ equity at risk under financing through affiliated entities ($ in thousands).

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Barclays Capital Inc.

$ 77,334 277 9.1 %

Citigroup Global Markets Inc.

2 unchanged sentences

Although specific to each financing arrangement, typical supplemental terms include requirements of minimum equity, leverage ratios, performance triggers or other financial ratios.

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

March 31, 2020

Other assets and liabilities

The following table details certain information related to the Company's "Other assets" and "Other liabilities" line items on its consolidated balance sheet as of March 31, 2020 and December 31, 2019 (in thousands):

March 31, 2020 December 31, 2019

The following table details certain information related to the Company's "Other assets" and "Other liabilities" line items on its consolidated balance sheet as of June 30, 2020 and December 31, 2019 (in thousands):

June 30, 2020 December 31, 2019

Interest receivable $ 2,815 $ 13,548

Receivable on unsettled trades - $ 12,658 and $ 0 pledged as collateral, respectively

Derivative assets, at fair value 84 2,282

5 unchanged sentences

Derivative liabilities, at fair value — 411

Due to affiliates 6,673 5,226

Accrued expenses 2,734 6,175

4 unchanged sentences

(1) Refer to Note 13 for more information.

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2020

Derivative assets and liabilities

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The Company uses foreign currency forward contracts to manage foreign currency risk and to protect the value or to fix the amount of certain investments or cash flows in terms of U.S.

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 ("LCH"), 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.

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.

Non-exchange traded derivatives were not affected by these legal interpretations and continue to be reported at fair value including accrued interest.

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

March 31, 2020

On March 23, 2020, in an effort to prudently manage its portfolio through unprecedented market volatility resulting from the COVID-19 pandemic and preserve long-term stockholder value, the Company sold its 30 Year Fixed Rate Agency securities, its most interest rate sensitive assets.

The following table presents the fair value of the Company's derivatives and other instruments and their balance sheet location at March 31, 2020 and December 31, 2019 (in thousands).

During the six months ended June 30, 2020, in an effort to prudently manage its portfolio through unprecedented market volatility resulting from the COVID-19 pandemic and preserve long-term stockholder value, the Company sold its 30 Year Fixed Rate Agency securities, its most interest rate sensitive assets.

The following table presents the fair value of the Company's derivatives and other instruments and their balance sheet location at June 30, 2020 and December 31, 2019 (in thousands).

Derivatives and Other Instruments (1) Designation Balance Sheet

Location March 31, 2020 December 31, 2019

Location June 30, 2020 December 31, 2019

Pay Fix/Receive Float Interest Rate Swap Agreements (2) Non-Hedge Other assets $ — $ 199

1 unchanged sentence

Payer Swaptions Non-Hedge Other assets — 2,083

TBAs Non-Hedge Other assets 2,740 —

TBAs Non-Hedge Other liabilities ( 2,348 ) —

(1) As of March 31, 2020, the Company applied a fair value reduction of $ 28.1 thousand and $ 0.2 million to its Euro Futures assets and British Pounds Futures liabilities, respectively, related to variation margin.

Short positions on British Pound Futures Non-Hedge Other assets 84 —

(1) As of June 30, 2020, the Company did not apply a fair value reduction on its assets or liabilities related to variation margin.

As of December 31, 2019, the Company applied a fair value reduction of $ 19.7 thousand and $ 0.1 million to its Euro Futures liabilities and British Pound Futures liabilities, respectively, related to variation margin.

(2) The Company did not hold any interest rate swap assets or liabilities as of March 31, 2020.

(2) The Company did not hold any interest rate swap assets or liabilities as of June 30, 2020.

As of December 31, 2019, the Company applied a reduction in fair value of $ 10.8 million and $ 2.2 million to its interest rate swap assets and liabilities, respectively, related to variation margin.

1 unchanged sentence

Notional amount of non-hedge derivatives and other instruments:

Notional Currency March 31, 2020 December 31, 2019

Notional Currency June 30, 2020 December 31, 2019

Pay Fix/Receive Float Interest Rate Swap Agreements USD $ — $ 1,848,750

7 unchanged sentences

Notes to Consolidated Financial Statements (Unaudited)

March 31, 2020

June 30, 2020

The following table summarizes gains/(losses) related to derivatives and other instruments (in thousands):

Three Months Ended

March 31, 2020 March 31, 2019

Three Months Ended Six Months Ended

June 30, 2020 June 30, 2019 June 30, 2020 June 30, 2019

Included within Unrealized gain/(loss) on derivative and other instruments, net

5 unchanged sentences

Euro Futures ( 28 ) — 20 —

TBAs ( 392 ) ( 452 ) — 441

Treasuries — — — 82

11 unchanged sentences

Total income/(loss) $ 122 $ ( 31,746 ) $ ( 73,641 ) $ ( 60,838 )

The following table presents both gross information and net information about derivative and other instruments eligible for offset in the consolidated balance sheets as of March 31, 2020 (in thousands):

The following table presents both gross information and net information about derivative and other instruments eligible for offset in the consolidated balance sheets as of June 30, 2020 (in thousands):

Gross Amounts Not Offset in the

14 unchanged sentences

Derivative Assets

Interest Rate Swaptions $ 5 $ — $ 5 $ — $ — $ 5

TBAs 2,740 — 2,740 — — 2,740

Total Derivative Assets $ 2,745 $ — $ 2,745 $ — $ — $ 2,745

Derivative Liabilities

TBAs $ ( 2,348 ) $ — $ ( 2,348 ) $ — $ ( 2,348 ) $ —

Total Derivative Liabilities $ ( 2,348 ) $ — $ ( 2,348 ) $ — $ ( 2,348 ) $ —

(1) As of March 31, 2020, the Company applied a fair value reduction $ 28.1 thousand and $ 0.2 million to its Euro Futures assets and British Pounds Futures liabilities, respectively, related to variation margin.

British Pound Futures $ 84 $ — $ 84 $ — $ — $ 84

The following table presents both gross information and net information about derivative instruments eligible for offset in the

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements (Unaudited)

March 31, 2020

The following table presents both gross information and net information about derivative instruments eligible for offset in the consolidated balance sheets as of December 31, 2019 (in thousands):

June 30, 2020

consolidated balance sheets as of December 31, 2019 (in thousands):

Gross Amounts Not Offset in the

24 unchanged sentences

The posting of collateral is generally bilateral, meaning that if the fair value of the Company’s derivatives increases, its counterparty will post collateral to it.

As of March 31, 2020, the Company pledged no real estate securities and cash of $ 0.3 million as collateral against certain derivatives.

Of the $ 0.3 million of cash pledged as collateral against certain derivatives, $( 0.1 ) million represents amounts related to variation margin.

The Company’s counterparties posted a de minimis amount of cash as collateral against certain derivatives.

As of December 31, 2019, the Company pledged real estate securities with a fair value of $ 3.0 million and cash of $ 32.1 million as collateral against certain derivatives.

4 unchanged sentences

This arrangement hedges the Company's exposure to higher interest rates because the variable-rate payments received on the swap agreements largely offset additional interest accruing on the related borrowings due to the higher interest rate, leaving the fixed-rate payments to be paid on the swap agreements as the Company’s effective borrowing rate, subject to certain adjustments including changes in spreads between variable rates on the swap agreements and actual borrowing rates.

During the quarter ended March 31, 2020, the Company sold its interest rate sensitive assets.

As a result, the Company did no t hold any interest rate swap positions as of March 31, 2020.

During the six months ended June 30, 2020, the Company sold its interest rate sensitive assets.

As a result, the Company did no t hold any interest rate swap positions as of June 30, 2020.

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements (Unaudited)

March 31, 2020

June 30, 2020

As of December 31, 2019, the Company’s interest rate swap positions consisted of pay-fixed interest rate swaps.

11 unchanged sentences

Total/Wtd Avg $ 1,848,750 1.60 % 1.91 % 4.32

As discussed in Note 2, the Company has entered into TBAs.

The following table presents information about the Company’s TBAs for the three months ended March 31, 2020 and March 31, 2019 (in thousands):

The Company did not hold any TBA positions for the three months ended June 30, 2020.

The following tables present information about the Company’s TBAs for the three months ended June 30, 2019 and six months ended June 30, 2020 and June 30, 2019 (in thousands):

For the Three Months Ended:

Buys or Covers Sales or Shorts Ending Net Notional

2 unchanged sentences

from/to Broker

March 31, 2020 TBAs - Long $ — $ 728,000 $ ( 728,000 ) $ — $ — $ 392 $ 2,740 $ ( 2,348 )

March 31, 2019 TBAs - Long $ — $ 657,000 $ ( 532,000 ) $ 125,000 $ 126,680 $ ( 125,713 ) $ 1,922 $ ( 1,025 )

June 30, 2019 TBAs - Long $ 125,000 $ 737,500 $ ( 737,500 ) $ 125,000 $ 126,064 $ ( 125,612 ) $ 625 $ ( 173 )

TBAs - Short $ — $ — $ ( 100,000 ) $ ( 100,000 ) $ ( 102,242 ) $ 102,230 $ — $ ( 12 )

For the Six Months Ended:

Buys or Covers Sales or Shorts Ending Net Notional

Net Fair Value as of

Net Receivable/(Payable)

from/to Broker

June 30, 2020 TBAs - Long $ — $ 728,000 $ ( 728,000 ) $ — $ — $ — $ — $ —

June 30, 2019 TBAs - Long $ — $ 1,394,500 $ ( 1,269,500 ) $ 125,000 $ 126,064 $ ( 125,612 ) $ 625 $ ( 173 )

TBAs - Short $ — $ 185,000 $ ( 285,000 ) $ ( 100,000 ) $ ( 102,242 ) $ 102,230 $ — $ ( 12 )

Earnings per share

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Diluted EPS takes into account the effect of dilutive instruments, such as stock options, warrants, unvested restricted stock and unvested restricted stock units but uses the average share price for the period in determining the number of incremental shares that are to be added to the weighted average number of shares outstanding.

As of March 31, 2020 and March 31, 2019, the Company’s unvested restricted stock units were as follows:

March 31, 2020 March 31, 2019

Unvested restricted stock units previously granted to the Manager 20,009 40,007

As of June 30, 2020 and June 30, 2019, the Company’s unvested restricted stock units were as follows 20.0 thousand and 40.0 thousand, respectively.

Restricted stock units granted to the manager do not entitle the participant the rights of a shareholder of the Company’s common stock, such as dividend and voting rights, until shares are issued in settlement of the vested units.

The restricted stock units are not considered to be participating shares.

The dilutive effects of the restricted stock units are only included in diluted weighted average common shares outstanding.

The restricted stock

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements (Unaudited)

March 31, 2020

The following table presents a reconciliation of the earnings and shares used in calculating basic and diluted EPS for the three months ended March 31, 2020 and March 31, 2019 (in thousands, except per share data):

Three Months Ended

March 31, 2020 March 31, 2019

June 30, 2020

units are not considered to be participating shares.

The dilutive effects of the restricted stock units are only included in diluted weighted average common shares outstanding.

The following table presents a reconciliation of the earnings and shares used in calculating basic and diluted EPS for the three and six months ended June 30, 2020 and June 30, 2019 (in thousands, except per share data):

Three Months Ended Six Months Ended

June 30, 2020 June 30, 2019 June 30, 2020 June 30, 2019

Net Income/(Loss) from Continuing Operations $ 2,700 $ 19,871 $ ( 482,317 ) $ 50,060

14 unchanged sentences

Total Earnings/(Loss) Per Share of Common Stock $ ( 0.08 ) $ 0.47 $ ( 15.04 ) $ 1.30

(1) Manager restricted stock units of 17.6 thousand were excluded from the computation of diluted earnings per share because its effect would be anti-dilutive for the three months ended March 31, 2020.

On March 27, 2020, the Company announced that its Board of Directors approved a suspension of the Company's quarterly dividends on its common stock, 8.25 % Series A Cumulative Redeemable Preferred Stock, 8.00 % Series B Cumulative Redeemable Preferred Stock, and 8.000 % Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, beginning with the common stock dividend that normally would have been declared in March 2020 and the preferred stock dividend that would have been declared in May 2020, in order to conserve capital and improve its liquidity position during the market volatility due to the COVID-19 pandemic.

Based on current circumstances, it is the Company's intention to suspend quarterly dividends on common and preferred stock for the foreseeable future.

Refer to Note 12 for more information on the Company's preferred stock.

The following tables detail the Company's common stock dividends during the three months ended March 31, 2019:

Declaration Date Record Date Payment Date Dividend Per Share

3/15/2019 3/29/2019 4/30/2019 $ 0.50

(1) Manager restricted stock units of 16.4 thousand and 17.3 thousand were excluded from the computation of diluted earnings per share because its effect would be anti-dilutive for the three and six months ended June 30, 2020, respectively.

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements (Unaudited)

March 31, 2020

The following tables detail the Company's preferred stock dividends during the three months ended March 31, 2020 and March 31, 2019.

Dividend Declaration Date Record Date Payment Date Dividend Per Share

June 30, 2020

Based on current conditions for the Company, the Company does not anticipate paying dividends on its common or preferred stock for the foreseeable future.

As a result, the Company did not declare or accrue quarterly dividends on its Common or Preferred Stock during the three months ended June 30, 2020.

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.

Pursuant to their terms, all 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.

Refer to Note 12 for more information on the Company's common and preferred stock.

Refer to "Item 2.

Management's Discussion and Analysis of Financial Condition and Results of Operations - Book value per share" for a discussion of the treatment of accumulated, unpaid, or undeclared preferred dividends on the Company's book value.

The following table details the aggregate and per-share amounts of arrearages in cumulative, unpaid, and undeclared preferred dividends as of June 30, 2020 (in thousands, except per share data):

Class of Stock Dividend Per Preferred Share in Arrears Amount of Preferred Dividend in Arrears

8.25 % Series A

$ 0.51563 $ 1,067

Dividend Declaration Date Record Date Payment Date Dividend Per Share

8.00 % Series B

2/14/2020 2/28/2020 3/17/2020 $ 0.50

Dividend Declaration Date Record Date Payment Date Dividend Per Share

8.000 % Series C

Total $ 5,667

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 following tables detail the Company's common stock dividends during the six months ended June 30, 2019:

Declaration Date Record Date Payment Date Dividend Per Share

3/15/2019 3/29/2019 4/30/2019 $ 0.50

Dividend Declaration Date Record Date Payment Date Dividend Per Share

8.25 % Series A

6/14/2019 6/28/2019 7/31/2019 0.50

Dividend Declaration Date Record Date Payment Date Dividend Per Share

The following tables detail the Company's preferred stock dividends during the six months ended June 30, 2020 and June 30, 2019.

Cash Dividend Per Share

Declaration Date Record Date Payment Date 8.25 % Series A

8.00 % Series B

8.000 % Series C

2/14/2020 2/28/2020 3/17/2020 $ 0.51563 $ 0.50 $ 0.50

2/15/2019 2/28/2019 3/18/2019 0.51563 0.50 —

5/17/2019 5/31/2019 6/17/2019 0.51563 0.50 —

As a REIT, the Company is not subject to federal income tax to the extent that it makes qualifying distributions to its stockholders, and provided it satisfies on a continuing basis, through actual investment and operating results, the REIT requirements including certain asset, income, distribution and stock ownership tests.

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federal income tax treatment of REITs.

For the three months ended March 31, 2020 and March 31, 2019, the Company recorded excise tax expense of $( 0.8 ) million and $ 0.1 million, respectively.

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2020

For the three months ended June 30, 2020, the Company did not record any excise tax expense.

For the six months ended June 30, 2020, the Company recorded excise tax expense of $( 0.8 ) million.

The reversal of the previously accrued excise tax expense is a result of losses resulting from market conditions associated with the COVID-19 pandemic.

For the three and six months ended June 30, 2019, the Company recorded excise tax expense of $ 0.2 million and $ 0.3 million, respectively.

Excise tax represents a four percent tax on the required amount of the Company’s ordinary income and net capital gains not distributed during the year.

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Distributions in excess of the Company’s current and accumulated earnings and profits will be characterized as return of capital or capital gains.

Based on its analysis of any potential uncertain income tax positions, the Company concluded it did not have any uncertain tax positions that meet the recognition or measurement criteria of ASC 740 as of March 31, 2020 or March 31, 2019.

The Company’s federal income tax returns for the last three tax years are open to examination by the Internal Revenue Service.

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

March 31, 2020

the event that the Company incurs income tax related interest and penalties, its policy is to classify them as a component of provision for income taxes.

In the event that the Company incurs income tax related interest and penalties, its policy is to classify them as a component of provision for income taxes.

Related party transactions

The Company has entered into a management agreement with the Manager, which provided for an initial term and will be deemed renewed automatically each year for an additional one-year period, subject to certain termination rights.

As of March 31, 2020 and December 31, 2019, no event of termination had occurred.

As of June 30, 2020 and December 31, 2019, no event of termination had occurred.

The Company is externally managed and advised by the Manager.

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Stockholders’ Equity, for purposes of calculating the management fee, could be greater or less than the amount of stockholders’ equity shown on the Company’s financial statements.

For the three months ended March 31, 2020 and March 31, 2019, the Company incurred management fees of approximately $ 2.1 million and $ 2.3 million, respectively.

On April 6, 2020, the Company and the Manager executed an amendment to the management agreement pursuant to which the Manager agreed to defer the Company's payment of the management fee for Q1 2020 through September 30, 2020, or such other time as the Company and the Manager agree.

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2020

For the three and six months ended June 30, 2020, the Company incurred management fees of approximately $ 1.7 million and $ 3.8 million, respectively.

For the three and six months ended June 30, 2019, the Company incurred management fees of approximately $ 2.4 million and $ 4.7 million, respectively.

On April 6, 2020, the Company and the Manager executed an amendment to the management agreement pursuant to which the Manager agreed to defer the Company's payment of the management fee effective Q1 2020 through September 30, 2020, or such other time as the Company and the Manager agree.

Termination fee

The termination fee, payable upon the occurrence of (i) the Company’s termination of the management agreement without cause or (ii) the Manager’s termination of the management agreement upon a breach by the Company of any material term of the management agreement, will be equal to three times the average annual management fee during the 24-month period prior to such termination, calculated as of the end of the most recently completed fiscal quarter.

As of March 31, 2020 and December 31, 2019, no event of termination of the management agreement had occurred.

As of June 30, 2020 and December 31, 2019, no event of termination of the management agreement had occurred.

Expense reimbursement

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however, the reimbursement is subject to an annual budget process which combines guidelines from the Management Agreement with oversight by the Company’s Board of Directors.

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

March 31, 2020

the percentage of time spent on the Company’s affairs, and (iii) other corporate finance, tax, accounting, internal audit, legal, risk management, operations, compliance and other non-investment personnel of the Manager and its affiliates who spend all or a portion of their time managing the Company’s affairs based upon the percentage of time devoted by such personnel to the Company’s affairs.

The Company reimburses the Manager or its affiliates for the Company’s allocable share of the compensation, including, without limitation, annual base salary, bonus, any related withholding taxes and employee benefits paid to (i) the Company’s chief financial officer based on the percentage of time spent on Company affairs, (ii) the Company’s general counsel based on the percentage of time spent on the Company’s affairs, and (iii) other corporate finance, tax, accounting, internal audit, legal, risk management, operations, compliance and other non-investment personnel of the Manager and its affiliates who spend all or a portion of their time managing the Company’s affairs based upon the percentage of time devoted by such personnel to the Company’s affairs.

In their capacities as officers or personnel of the Manager or its affiliates, they devote such portion of their time to the Company’s affairs as is necessary to enable the Company to operate its business.

Of the $ 2.3 million and $ 3.8 million of Other operating expenses for the three months ended March 31, 2020 and March 31, 2019, respectively, the Company has incurred $ 2.0 million in both periods representing a reimbursement of expenses.

On April 6, 2020, the Company and the Manager executed an amendment to the management agreement pursuant to which the Manager agreed to defer the Company's payment of the reimbursement of expenses for Q1 2020 through September 30, 2020, or such other time as the Company and the Manager agree.

Subordinated debt

Of the $ 4.5 million and $ 5.3 million of Other operating expenses for the three and six months ended June 30, 2020, respectively, the Company has incurred $ 1.9 million and $ 3.9 million, respectively, representing a reimbursement of expenses.

Of the $ 3.8 million and $ 7.6 million of Other operating expenses for the three and six months ended June 30, 2019, respectively, the Company has incurred $ 1.9 million and $ 3.9 million, respectively, representing a reimbursement of expenses.

On April 6, 2020, the Company and the Manager executed an amendment to the management agreement pursuant to which the Manager agreed to defer the Company's payment of the reimbursement of expenses effective Q1 2020 through September 30, 2020, or such other time as the Company and the Manager agree.

On April 10, 2020, in connection with the first Forbearance Agreement, the Company issued a secured promissory note (the "Note") to the Manager evidencing a $ 10 million loan made by the Manager to the Company.

Additionally, on April 27, 2020, in connection with the second Forbearance Agreement, the Company and the Manager entered into an amendment to the Note to reflect an additional $ 10 million loan by the Manager to the Company.

The $ 10 million loan made by the Manager on April 10, 2020 is payable on March 31, 2021, and the $ 10 million loan made on April 27, 2020 is payable on July 27, 2020.

The $ 10 million loan made by the Manager on April 10, 2020 is payable on March 31, 2021, and the $ 10 million loan made on April 27, 2020 was repaid in full with interest when it matured on July 27, 2020.

The unpaid balance of the Note accrues interest at a rate of 6.0 % per annum.

Interest on the Note is payable monthly in kind through the addition of such accrued monthly interest to the outstanding principal balance of the Note.

The Manager has agreed to subordinate the obligations of the Company with respect to the Note and liens held by the Manager for the security of the performance of the Company's obligations under the Note to the Company's obligations to the Participating Counterparties and to the secured promissory note payable to RBC further discussed in Note 13.

The Manager agreed to subordinate the obligations of the Company with respect to the Note and liens held by the Manager for the security of the performance of the Company's obligations under the Note to the Company's obligations to the Participating Counterparties and to the secured promissory note payable to Royal Bank of Canada.

The Company's obligations to the Participating Counterparties and to the secured promissory note payable to Royal Bank of Canada were satisfied or released as

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2020

of June 30, 2020.

Restricted stock grants

Pursuant to the Company’s Manager Equity Incentive Plan and the Equity Incentive Plan adopted on July 6, 2011, the Company can award up to 277,500 shares of its common stock in the form of restricted stock, stock options, restricted stock units or other types of awards to the directors, officers, advisors, consultants and other personnel of the Company and to the Manager.

As of March 31, 2020, 11,456 shares of common stock were available to be awarded under the equity incentive plans.

Awards under the equity incentive plans are forfeitable until they become vested.

An award will become vested only if the vesting conditions set forth in the applicable award agreement (as determined by the compensation committee) are satisfied.

The vesting conditions may include performance of services for a specified period, achievement of performance goals, or a combination of both.

The compensation committee also has the authority to provide for accelerated vesting of an award upon the occurrence of certain events in its discretion.

As of March 31, 2020, the Company has granted an aggregate of 105,794 and 40,250 shares of restricted common stock to its independent directors and Manager, respectively, and 120,000 restricted stock units to its Manager under its equity incentive plans.

As of March 31, 2020, all the shares of restricted common stock granted to the Company’s Manager and independent directors have vested and 99,991 restricted stock units granted to the Company’s Manager have vested.

The 20,009 restricted stock units that have not vested as of March 31, 2020 were granted to the Manager on July 1, 2017 and represent the right to receive an equivalent number of shares of the Company’s common stock to be issued when the units vest on July 1, 2020.

Effective on April 15, 2020 upon the approval of the Company's stockholders at its Annual Meeting, the 2020 Equity Incentive Plan provides for 2,000,000 shares of common stock to be issued.

The maximum number of shares of common stock granted during a single fiscal year to any non-employee director, taken together with any cash fees paid to such non-employee director during any fiscal year, shall not exceed $ 300,000 in total value (calculating the value of any such awards based on the grant date fair value).

As of June 30, 2020, 1,925,209 shares of common stock were available to be awarded under the Equity Incentive Plan.

Since its IPO, the Company has granted an aggregate of 180,585 and 40,250 shares of restricted common stock to its independent directors and Manager, respectively, and 120,000 restricted stock units to its Manager under its equity incentive plans.

As of June 30, 2020, all the shares of restricted common stock granted to the Company’s Manager and independent directors have vested and 99,991 restricted stock units granted to the Company’s Manager have vested.

The 20,009 restricted stock units that have not vested as of June 30, 2020 were granted to the Manager on July 1, 2017 and represent the right to receive an equivalent number of shares of the Company’s common stock to be issued when the units vest on July 1, 2020.

The units do not entitle the participant the rights of a holder of the Company’s common stock, such as dividend and voting rights, until shares are issued in settlement of the vested units.

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The number of shares of restricted common stock to be issued each quarter to each independent director is determined based on the average of the high and low prices of the Company’s common stock on the New York Stock Exchange on the last trading day of each fiscal quarter.

To the extent that any fractional shares would otherwise be issuable and payable to each independent director, a cash payment is made to each

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

March 31, 2020

independent director in lieu of any fractional shares.

To the extent that any fractional shares would otherwise be issuable and payable to each independent director, a cash payment is made to each independent director in lieu of any fractional shares.

All directors’ fees are paid pro rata (and restricted stock grants determined) on a quarterly basis in arrears, and shares issued are fully vested and non-forfeitable.

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On March 25, 2020, the Company's Board of Directors decreased from 5 independent directors to 4 independent directors.

On June 19, 2020, the Company's Board of Directors decreased from 4 independent directors to 3 independent directors.

Pursuant to the Forbearance Agreement previously discussed, the Company, among other things, agreed to compensate its independent directors solely with common stock for the quarter ended March 31, 2020.

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The Company is one investor, amongst other investors managed by affiliates of Angelo Gordon, in such entities and has applied the equity method of accounting for such investments.

See Note 2 for the gross fair value of the Company's share of these investments as of March 31, 2020 and December 31, 2019.

See Note 2 for the gross fair value of the Company's share of these investments as of June 30, 2020 and December 31, 2019.

During Q3 2018, the Company transferred certain of its CMBS from certain of its non-wholly owned subsidiaries to a fully consolidated entity.

The Company executed the transfer in order to obtain financing on these real estate securities.

As a result, there was a reclassification of these assets from the "Investments in debt and equity of affiliates" line item to the "CMBS" line item on the Company's consolidated balance sheets.

In addition, the Company has also shown this reclassification as a non-cash transfer on its consolidated statement of cash flows.

See Note 2 for further detail.

The Company’s investment in AG Arc is reflected on the "Investments in debt and equity of affiliates" line item on its consolidated balance sheets.

The Company has an approximate 44.6 % interest in AG Arc.

See Note 2 for the fair value of AG Arc as of March 31, 2020 and December 31, 2019.

In June 2016, Arc Home closed on the acquisition of a Fannie Mae, Freddie Mac, Federal Housing Administration ("FHA"), Veteran’s Administration ("VA") and Ginnie Mae seller/servicer of mortgages with licenses to conduct business in 47 states, including Washington D.C.

Through this subsidiary, Arc Home originates conforming, Government, Jumbo, Non-QM and other non-conforming residential mortgage loans, retains the mortgage servicing rights associated with the loans it originates, and purchases additional mortgage servicing rights from third-party sellers.

See Note 2 for the fair value of AG Arc as of June 30, 2020 and December 31, 2019.

In June 2016, Arc Home closed on the acquisition of a Fannie Mae, Freddie Mac, Federal Housing Administration ("FHA"), Veteran’s Administration ("VA") and Ginnie Mae seller/servicer of mortgages, currently with licenses to conduct business in 50 states, including Washington D.C.

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2020

originates, and purchases additional mortgage servicing rights from third-party sellers.

Arc Home is led by an external management team.

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The Company, directly or through its subsidiaries, has entered into agreements with Arc Home to purchase rights to receive the excess servicing spread related to certain of Arc Home's MSRs.

As of March 31, 2020 and December 31, 2019, these Excess MSRs had fair value of approximately $ 14.5 million and $ 18.2 million, respectively.

As of June 30, 2020 and December 31, 2019, these Excess MSRs had fair value of approximately $ 12.7 million and $ 18.2 million, respectively.

On August 29, 2017, the Company, alongside private funds under the management of Angelo Gordon, entered into the MATH LLC Agreement, which requires that MATH fund a capital commitment of $ 75.0 million to MATT.

This commitment was increased by $ 25.0 million to $ 100.0 million on March 28, 2019 and by $ 5.0 million to $ 105.0 million on August 23, 2019 with amendments to the MATH LLC Agreement.

As of March 31, 2020, the Company’s share of MATH’s total capital commitment to MATT was $ 46.8 million, of which the Company had funded $ 44.6 million, and the Company's remaining commitment was $ 2.2 million (net of any return of capital to the Company).

On April 3, 2020, the financing arrangements within MATT were restructured and the previously mentioned commitment was removed.

Refer to Note 2 for further detail on this restructuring.

The Company has an approximate 44.6 % interest in MATH.

Subsequent to quarter end, the financing arrangements within MATT were restructured and the previously mentioned commitment was removed.

See Note 15 for additional details.

On May 15, 2019 and November 14, 2019, the Company, alongside private funds under the management of Angelo Gordon and a third party, entered into the LOTS I and LOTS II Agreements, respectively, which requires the Company to fund various commitments to LOTS in connection with the origination of Land Related Financing.

As of March 31, 2020, the Company’s total capital commitment to LOTS was $ 45.0 million, of which the Company has funded $ 22.7 million, and the Company's remaining commitment was $ 22.3 million.

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

March 31, 2020

On May 15, 2019 and November 14, 2019, the Company, alongside private funds under the management of Angelo Gordon and a third party, entered into the LOTS I and LOTS II Agreements, respectively (collectively, "LOTS"), which requires the Company to fund various commitments to LOTS in connection with the origination of Land Related Financing.

Refer to Note 13 for additional information.

Transactions with affiliates

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The Company also utilized the third party valuation firm to establish the fee level for non-QM loans in the third quarter of 2019.

For the three months ended March 31, 2020 and March 31, 2019, the fees paid by the Company to the Asset Manager totaled $ 0.3 million and $ 0.1 million, respectively.

In connection with the Forbearance Agreement, the Company is deferring all fees paid to the Asset Manager.

For the three months ended March 31, 2020, the Company deferred $ 0.1 million of fees owed to the Asset Manager.

For the six months ended June 30, 2020, the fees paid by the Company to the Asset Manager totaled $ 0.3 million.

For the three and six months ended June 30, 2019, the fees paid by the Company to the Asset Manager totaled $ 0.1 million and $ 0.3 million, respectively.

For the three and six months ended June 30, 2020, the Company deferred $ 0.3 million and $ 0.4 million, respectively, of fees owed to the Asset Manager and plans to continue to defer fees through September 30, 2020 or such other time as the Company and the Manager agree.

In connection with the Company’s investments in Excess MSRs purchased through Arc Home, the Company pays an administrative fee to Arc Home.

For the three months ended March 31, 2020 and March 31, 2019, the administrative fees paid by the Company to Arc Home totaled $ 0.1 million for both periods.

In October 2018, in accordance with the Company’s Affiliated Transactions Policy, the Company acquired certain real estate securities and loans from an affiliate of the Manager (the "October 2018 Selling Affiliate").

As of the date of the trade, the real estate securities and loans acquired from the October 2018 Selling Affiliate had a total fair value of $ 0.5 million.

As procuring market bids for the real estate securities and loans was determined to be impracticable in the Manager’s reasonable judgment, appropriate pricing was based on a valuation prepared by independent third-party pricing vendors.

The third-party pricing vendors allowed the Company to confirm third-party market pricing and best execution.

For the three and six months ended June 30, 2020, the administrative fees paid by the Company to Arc Home totaled $ 0.1 million and $ 0.2 million, respectively.

For the three and six months ended June 30, 2019, the administrative fees paid by the Company to Arc Home totaled $ 0.1 million and $ 0.2 million, respectively.

In March 2019, in accordance with the Company’s Affiliated Transactions Policy, the Company executed one trade whereby the Company acquired a real estate security from an affiliate of the Manager (the "March 2019 Selling Affiliate").

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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 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 value of $ 42.9 million as of June 30, 2019.

Certain senior tranches in the securitization were sold to third parties with the Company and

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2020

private funds under the management of Angelo Gordon retaining the subordinate tranches, which had a fair value of $ 42.9 million as of June 30, 2019.

The Company has a 44.6 % interest in the retained subordinate tranches.

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The Company has a 44.6 % interest in the retained subordinate tranches.

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

March 31, 2020

In October 2019, in accordance with the Company’s Affiliated Transactions Policy, the Company acquired certain real estate securities from an affiliate of the Manager (the "October 2019 Selling Affiliate").

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On May 2, 2018, the Company filed a shelf registration statement registering up to $ 750.0 million of its securities, including capital stock (the "2018 Registration Statement").

As of March 31, 2020, $ 591.2 million of the Company’s securities, including capital stock, was available for issuance under the 2018 Registration Statement.

As of June 30, 2020, $ 591.2 million of the Company’s securities, including capital stock, was available for issuance under the 2018 Registration Statement.

The 2018 Registration Statement became effective on May 18, 2018 and will expire on May 18, 2021.

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No warrants were exercised in 2018 through the expiration date on July 6, 2018.

The Company’s Series A and Series B Preferred Stock have no stated maturity and are not subject to any sinking fund or mandatory redemption.

Under certain circumstances upon a change of control, the Company’s Series A and Series B Preferred Stock are convertible to shares of the Company’s common stock.

Holders of the Company’s Series A and Series B Preferred Stock have no voting rights, except under limited conditions, and holders are entitled to receive cumulative cash dividends at a rate of 8.25 % and 8.00 % per annum on the Series A and Series B Preferred Stock, respectively, of the $ 25.00 per share liquidation preference before holders of the common stock are entitled to receive any dividends.

Shares of the Company’s Series A and Series B Preferred Stock are currently redeemable at $ 25.00 per share plus accumulated and unpaid dividends (whether or not declared) exclusively at the Company’s option.

Dividends are payable quarterly in arrears on the 17th day of each March, June, September and December.

The Company's Series A and Series B Preferred Stock generally do not have any voting rights, subject to an exception in the event the Company fails to pay dividends on such stock for six or more quarterly periods (whether or not consecutive).

Under such circumstances, holders of the Company's Series A and Series B Preferred Stock voting together as a single class with the holders of all other classes or series of our preferred stock upon which like voting rights have been conferred and are exercisable and which are entitled to vote as a class with the Company's Series A and Series B Preferred Stock will be entitled to vote to elect two additional directors to the Company’s Board of Directors until all unpaid dividends have been paid or declared and set apart for payment.

In addition, certain material and adverse changes to the terms of any series of the Company's Series A and Series B Preferred Stock cannot be made without the affirmative vote of holders of at least two-thirds of the outstanding shares of the series of the Company's Series A and Series B Preferred Stock whose terms are being changed.

As of March 31, 2020, the Company had declared all required quarterly dividends on the Company’s Series A and Series B Preferred Stock.

On March 27, 2020, the Company announced that its Board of Directors approved a suspension of the Company's quarterly dividends on its 8.25 % Series A Cumulative Redeemable Preferred Stock and 8.00 % Series B Cumulative Redeemable Preferred Stock, beginning with the preferred dividend that would have been declared in May 2020, in order to conserve capital

In addition to the Company’s Series A and Series B Preferred Stock, the Company completed a public offering of 4,000,000 shares of 8.000 % Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock with a liquidation preference of $ 25.00 per share (the "Series C Preferred Stock") on September 17, 2019.

The Company subsequently issued 600,000 shares of Series C Preferred Stock pursuant to the underwriters' exercise of their over-allotment option.

The Company received total gross proceeds of $ 115.0 million and net proceeds of approximately $ 111.2 million, net of underwriting discounts, commissions and expenses.

The Company’s Series A, Series B and Series C Preferred Stock have no stated maturity and are not subject to

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements (Unaudited)

March 31, 2020

and improve its liquidity position during the market volatility due to the COVID-19 pandemic.

Based on current circumstances, it is the Company's intention to suspend quarterly dividends on common and preferred stock for the foreseeable future.

June 30, 2020

any sinking fund or mandatory redemption.

Under certain circumstances upon a change of control, the Company’s Series A, Series B and Series C Preferred Stock are convertible to shares of the Company’s common stock.

Holders of the Company’s Series A, Series B and Series C Preferred Stock have no voting rights, except under limited conditions, and holders are entitled to receive cumulative cash dividends at a the respective stated rate per annum before holders of the common stock are entitled to receive any cash dividends.

The dividend rate of the Series A and Series B preferred stock is 8.25 % and 8.00 % per annum, respectively, of the $ 25.00 per share liquidation preference.

The initial dividend rate for the Series C Preferred Stock, from and including the date of original issue to, but not including, September 17, 2024, is 8.000 % per annum of the $ 25.00 per share liquidation preference.

Shares of the Company's Series C Preferred Stock are redeemable at $ 25.00 per share plus accumulated and unpaid dividends (whether or not declared) exclusively at the Company’s option commencing on September 17, 2024, or earlier under certain circumstances intended to preserve our qualification as a REIT for Federal income tax purposes.

Dividends are payable quarterly in arrears on the 17th day of each March, June, September and December.

The Company's Series A, Series B and Series C Preferred Stock generally do not have any voting rights, subject to an exception in the event the Company fails to pay dividends on such stock for six or more quarterly periods (whether or not consecutive).

Under such circumstances, holders of the Company's Series A, Series B and Series C Preferred Stock voting together as a single class with the holders of all other classes or series of our preferred stock upon which like voting rights have been conferred and are exercisable and which are entitled to vote as a class with the Company's Series A, Series B and Series C Preferred Stock will be entitled to vote to elect two additional directors to the Company’s Board of Directors until all unpaid dividends have been paid or declared and set apart for payment.

In addition, certain material and adverse changes to the terms of any series of the Company's Series A, Series B and Series C Preferred Stock cannot be made without the affirmative vote of holders of at least two-thirds of the outstanding shares of the series of the Company's Series A, Series B and Series C Preferred Stock whose terms are being changed.

As of June 30, 2020, the Company had not declared all required quarterly dividends on the Company’s Series A, Series B and Series C Preferred Stock.

On March 27, 2020, the Company announced that its Board of Directors approved a suspension of the Company's quarterly dividends on its 8.25 % Series A Cumulative Redeemable Preferred Stock, 8.00 % Series B Cumulative Redeemable Preferred Stock and 8.000 % Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, beginning with the preferred dividend that would have been declared in May 2020, in order to conserve capital and improve its liquidity position during the market volatility due to the COVID-19 pandemic as well as a suspension of the quarterly dividend on the Common Stock, beginning with the dividend that normally would have been declared in March 2020.

Based on current conditions for the Company, the Company does not anticipate paying dividends on its common or preferred stock for the foreseeable future.

Refer to Note 9 for more information on the arrearages related to the Company's preferred stock.

Under the terms governing our series of preferred stock, we cannot pay cash dividends with respect to our common stock if dividends on our preferred stock are in arrears.

On November 3, 2015, the Company’s Board of Directors authorized a stock repurchase program ("Repurchase Program") to repurchase up to $ 25.0 million of the Company's outstanding common stock.

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The cost of the acquisition by the Company of shares of its own stock in excess of the aggregate par value of the shares first reduces additional paid-in capital, to the extent available, with any residual cost applied against retained earnings.

No shares were repurchased under the Repurchase Program during the three months ended March 31, 2020 and March 31, 2019, and approximately $ 14.6 million of common stock remained authorized for future share repurchases under the Repurchase Program.

No shares were repurchased under the Repurchase Program during the three and six months ended June 30, 2020 and June 30, 2019, and approximately $ 14.6 million of common stock remained authorized for future share repurchases under the Repurchase Program.

On May 5, 2017, the Company entered into an equity distribution agreement with each of Credit Suisse Securities (USA) LLC and JMP Securities LLC (collectively, the "Sales Agents"), which the Company refers to as the "Equity Distribution Agreements," pursuant to which the Company may sell up to $ 100.0 million aggregate offering price of shares of its common stock from time to time through the Sales Agents under the Securities Act of 1933.

The Equity Distribution Agreements were amended on May 22, 2018 in conjunction with the filing of the Company’s 2018 Registration Statement.

For the three months ended March 31, 2020, the Company did not sell any shares of common stock under the Equity Distribution Agreements.

For the three months ended March 31, 2019, the Company sold 503.7 thousand shares of common stock under the Equity Distribution Agreements for net proceeds of approximately $ 8.6 million.

As of March 31, 2020 the Company has sold approximately 1.5 million shares of common stock under the Equity Distribution Agreements for net proceeds of approximately $ 26.6 million.

On February 14, 2019, the Company completed a public offering of 3,000,000 shares of its common stock and subsequently issued an additional 450,000 shares pursuant to the underwriters' exercise of their over-allotment option at a price of $ 16.70 per share.

Net proceeds to the Company from the offering were approximately $ 57.4 million, after deducting estimated offering expenses.

On September 17, 2019, the Company completed a public offering of 4,000,000 shares of 8.000 % Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock (the "Series C Preferred Stock") and subsequently issued 600,000 shares of Series C Preferred Stock pursuant to the underwriters' exercise of their over-allotment option with a liquidation preference of $ 25.00 per share.

The Company received total gross proceeds of $ 115.0 million and net proceeds of approximately $ 111.2 million, net of underwriting discounts, commissions and expenses.

The Series C Preferred Stock has no stated maturity and is not subject to any sinking fund or mandatory redemption.

Under certain circumstances upon a change of control, the Series C Preferred Stock is convertible to shares of our common stock.

Holders of Series C Preferred Stock have no voting rights, except under limited conditions, and holders are entitled to receive cumulative cash dividends before holders of our common stock are entitled to receive any dividends.

The initial dividend rate for the Series C Preferred Stock, from and including the date of original issue to, but not including, September 17, 2024, will be equal to 8.000 % per annum of the $ 25.00 per share liquidation preference.

Dividends are payable quarterly in arrears on the 17th day of each March, June, September and December.

The Series C Preferred Stock generally do not have any voting rights, subject to an exception in the event the Company fails to pay dividends on such stock for six or more quarterly periods (whether or not consecutive).

Under such circumstances, holders of the Series C Preferred Stock voting together as a single class with the holders of all other classes or series of our preferred stock upon which like voting rights have been conferred and are exercisable and which are entitled to vote as a class with the Series C Preferred Stock will be entitled to vote to elect two additional directors to the Company’s Board of Directors until all unpaid dividends have been paid or declared and set apart for payment.

In addition, certain material and adverse changes to the terms of any series of the Series C Preferred

For the three and six

AG Mortgage Investment Trust Inc.

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Notes to Consolidated Financial Statements (Unaudited)

March 31, 2020

Stock cannot be made without the affirmative vote of holders of at least two-thirds of the outstanding shares of the series of the Series C Preferred Stock whose terms are being changed.

As of March 31, 2020, the Company had declared all required quarterly dividends on the Company’s Series C Preferred Stock.

On March 27, 2020, the Company announced that its Board of Directors approved a suspension of the Company's quarterly dividends on its Series C Preferred Stock, beginning with the preferred dividend that would have been declared in May 2020, in order to conserve capital and improve its liquidity position during the market volatility due to the COVID-19 pandemic.

Based on current circumstances, it is the Company's intention to suspend quarterly dividends on common and preferred stock for the foreseeable future.

June 30, 2020

months ended June 30, 2020, the Company sold 1.0 million shares of common stock under the Equity Distribution Agreements for net proceeds of approximately $ 3.5 million.

For the three and six months ended June 30, 2019, the Company sold 0.5 million shares of common stock under the Equity Distribution Agreements for net proceeds of approximately $ 8.6 million.

As of June 30, 2020, the Company has sold approximately 2.5 million shares of common stock under the Equity Distribution Agreements for gross proceeds of $ 31.1 million, with $ 68.9 million available to be issued.

Net proceeds to the Company from the offering were approximately $ 57.4 million, after deducting estimated offering expenses.

Commitments and Contingencies

From time to time, the Company may become involved in various claims and legal actions arising in the ordinary course of business.

As of March 31, 2020, other than as set forth below, the Company was not involved in any material legal proceedings.

As of June 30, 2020, other than as set forth below, the Company was not involved in any material legal proceedings.

On March 25, 2020, certain of the Company's subsidiaries filed a suit in federal district court in New York seeking to enjoin Royal Bank of Canada and one of its affiliates ("RBC") from selling certain assets that the Company had on repo with RBC and seeking damages ( AG MIT CMO et al.

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As previously disclosed in a Form 8-K filed with the SEC on June 2, 2020, the Company entered into a settlement agreement with RBC on May 28, 2020, pursuant to which the Company and RBC mutually released each other from further claims related to the repurchase agreements at issue.

As part of the settlement, the Company paid RBC $ 5.0 million in cash and issued to RBC a secured promissory note in the principal amount of $ 2.0 million.

As of March 31, 2020, the Company had determined that a material loss was probable and a loss contingency of $ 7.0 million was established as of that date.

The Company has recognized this liability in the "Net realized gain/(loss)" line item on the consolidated statement of operations.

Subsequent to quarter end, the Company repaid the secured promissory note due to RBC in full.

As of March 31, 2020, the Company has also recorded a loss of $ 9.4 million related to deficiencies asserted by another counterparty that has been settled as of the date of issuance of these financial statements.

The Company has recognized this liability in the "Net realized gain/(loss)" line item on the consolidated statement of operations.

The Company also has certain disputes with counterparties that remain unsettled as of the date of issuance of these financial statements.

As of March 31, 2020, the Company determined that additional liabilities related to financing counterparty seizures were probable of being asserted;

however, as of March 31, 2020, the amount could not be reasonably estimated.

The below table details the Company's outstanding commitments as of March 31, 2020 (in thousands):

As part of the settlement, and to resolve all claims by either party under the repurchase agreements, the Company paid RBC $ 5.0 million in cash and issued to RBC a secured promissory note in the principal amount of $ 2.0 million.

On June 11, 2020, the Company repaid the secured promissory note due to RBC in full.

The Company has recognized this settlement in the "Net realized gain/(loss)" line item on the consolidated statement of operations.

As a result, as of June 30, 2020, the Company has satisfied all of its payment obligations to RBC under the settlement agreement and promissory note, and, as previously reported, the federal lawsuit has been voluntarily dismissed with prejudice.

As of June 30, 2020, the Company has also recorded a loss of $ 11.6 million related to deficiencies asserted by other counterparties.

The Company has recognized these losses in the "Net realized gain/(loss)" line item on the consolidated statement of operations.

As of the date of issuance of these financial statements, MITT has resolved and settled all deficiency claims with lenders.

The below table details the Company's outstanding commitments as of June 30, 2020 (in thousands):

Commitment type Date of Commitment Total Commitment Funded Commitment Remaining Commitment

MATH (a)(b) March 29, 2018 $ 46,820 $ 44,590 $ 2,230

Commercial loan G (c) July 26, 2018 84,515 52,089 32,426

Commercial loan I (c) January 23, 2019 20,000 14,646 5,354

Commercial loan J (c) February 11, 2019 30,000 5,220 24,780

Commercial loan K (c) February 22, 2019 20,000 11,172 8,828

LOTS (a) Various 44,995 22,655 22,340

Commercial loan G (a) July 26, 2018 $ 84,515 $ 56,710 $ 27,805

Commercial loan I (a) January 23, 2019 20,000 15,212 4,788

Commercial loan J (a) February 11, 2019 30,000 6,291 23,709

Commercial loan K (a) February 22, 2019 20,000 12,673 7,327

LOTS (b) Various 40,819 22,999 17,820

Total $ 195,334 $ 113,885 $ 81,449

(a) Refer to Note 11 "Investments in debt and equity of affiliates" for more information regarding MATH and LOTS.

(b) Subsequent to quarter end, the financing arrangement in this entity was restructured and the Company no longer needs to fund the remaining commitment.

See Note 15 for additional details.

(a) The Company entered into commitments on commercial loans relating to construction projects.

See Note 4 for further details.

(b) Refer to Note 11 "Investments in debt and equity of affiliates" for more information regarding LOTS.

AG Mortgage Investment Trust Inc.

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Notes to Consolidated Financial Statements (Unaudited)

March 31, 2020

June 30, 2020

Discontinued Operations and Assets and Liabilities Held for Sale

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The Company reclassified the operating results of its single-family rental properties segment as discontinued operations and excluded it from continuing operations for all periods presented.

As of March 31, 2020 and December 31, 2019, the Company has disposed of substantially all of its single-family rental properties segment.

The Company had no net income/(loss) from discontinued operations for the three months ended March 31, 2020.

The table below presents our results of operations for the three months ended March 31, 2019, for the single-family rental properties segment's discontinued operations as reported separately as net income (loss) from discontinued operations, net of tax (in thousands):

Three Months Ended

March 31, 2019

As of June 30, 2020 and December 31, 2019, the Company has disposed of substantially all of its single-family rental properties segment.

The table below presents our results of operations for the three and six months ended June 30, 2020 and June 30, 2019, for the single-family rental properties segment's discontinued operations as reported separately as net income (loss) from discontinued operations, net of tax (in thousands):

Three Months Ended Six Months Ended

June 30, 2020 June 30, 2019 June 30, 2020 June 30, 2019

Interest expense $ — $ ( 1,247 ) $ — $ ( 2,494 )

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Net Income/(Loss) from Discontinued Operations $ 361 $ ( 1,193 ) $ 361 $ ( 2,227 )

The table below presents our statement of net position for the years ended March 31, 2020 and December 31, 2019, respectively, for the single-family rental properties segment's discontinued operations as reported separately as assets and liabilities held for sale on our consolidated balance sheets (in thousands):

March 31, 2020 December 31, 2019

In the second quarter of 2020, the Company reversed certain previously accrued expenses related to discontinued operations.

The table below presents our statement of net position for the years ended June 30, 2020 and December 31, 2019, respectively, for the single-family rental properties segment's discontinued operations as reported separately as assets and liabilities held for sale on our consolidated balance sheets (in thousands):

June 30, 2020 December 31, 2019

Other assets $ — $ 154

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Total $ 305 $ 1,546

Subsequent Events

The Company sold 0.4 million shares of common stock under the Equity Distribution Agreements for net proceeds of approximately $ 1.2 million, which settled in July.

Subsequent to quarter end, the Company sold certain CMBS positions for proceeds of approximately $ 24.4 million.

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements (Unaudited)

March 31, 2020

Subsequent Events

On April 3, 2020, the Company, alongside private funds under the management of Angelo Gordon, restructured its financing arrangements in MATT ("Restructured Financing Arrangement") in the aggregate amount of approximately $ 202.0 million.

The Restructured Financing Arrangement requires that all of the principal and interest on the assets financed by the Restructured Financing Arrangement be used to pay down the principal and interest on such outstanding financing arrangement.

The Restructured Financing Arrangement is not a mark-to-market facility and is non-recourse to the Company.

The Restructured Financing Arrangement provides for a termination date of October 1, 2021.

At the earlier of the termination date of the Restructured Financing Arrangement or the securitization or sale by the Company of the remaining assets financed by the Restructured Financing Arrangement, the financing counterparty will be entitled to 35 % of the remaining equity in the assets.

In addition, subsequent to March 31, 2020, the Company took the following actions:

• Entered three consecutive forbearance agreements, pursuant to which the forbearing counterparties agreed not to exercise any of their rights or remedies under their applicable financing arrangement with the Company through June 15, 2020.

• Entered into agreements with each of its financing counterparties to exit forbearance, pursuant to which each financing counterparty agreed to permanently waive all existing and prior events of default under the financing agreements with the Company and reinstate the Company's financing arrangements subject to certain restrictions and covenants described in more detail in Note 2 under the "Financing arrangements" heading.

• Sold real estate securities for proceeds of approximately $ 232.3 million and residential and commercial loans for proceeds of approximately $ 416.9 million.

• Further reduced financing arrangement balance from $ 969.9 million at March 31, 2020 to $ 242.2 million at May 31, 2020.

Financing arrangements exclude securitized debt and subordinated debt.

• Reduced the Company's debt obligations to approximately 450 million, net of approximately $ 9 million of cash posted as collateral to our financing counterparties.

Debt obligations include all financing arrangements, securitized debt and subordinated debt.

Of this amount, approximately $ 240 million are recourse debt obligations, approximately $ 190 million are non-recourse debt obligations and approximately $ 20 million are subordinated debt obligations.

For more information on the status of the Company's financing arrangements, forbearance agreements, and reinstatement agreement, refer to Note 2 and Note 7.

For more information on asset sales the Company has made subsequent to quarter end, refer to the "Executive summary" section of Item 2 of this report.

For more information on outstanding deficiencies, refer to Note 13.

June 30, 2020

On July 27, 2020, the Company repaid $ 10.0 million of the secured debt plus accrued interest to the Manager as it became due.

Subsequent to quarter end, the Company also paid $ 2.2 million of deficiencies to non-affiliated counterparties that were accrued for as of June 30, 2020.

As of the date of issuance of these financial statements, MITT has resolved and settled all deficiency claims with lenders.

Refer to Note 11 for more information regarding the secured debt and Note 13 regarding the deficiencies.

Subsequent to quarter end, 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 value of $ 221.6 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.

The Company has a 44.6 % interest in the retained subordinated tranches.

Compared sentence by sentence after normalising whitespace, quotation marks, case and digits, so re-formatting and restated figures do not read as changed language. Wording changes appear as one removal and one addition. The current filing and the prior one are authoritative.

What changed 10-Q

Item 1. Financial Statements