What changed in this filing

/stocks — the workspaceLOADING

Item 1. Financial Statements

2020-11-06 compared with 2020-08-10 · 603 added, 535 removed, 1443 unchanged (44% of the section changed)

4 unchanged sentences

(in thousands, except per share data)

June 30, 2020 December 31, 2019

September 30, 2020 December 31, 2019

Real estate securities, at fair value:

18 unchanged sentences

Securitized debt, at fair value (1)(2) 358,986 224,348

Payable on unsettled trades 105,016 —

Dividend payable — 14,734

Due to affiliates 31,396 5,226

Other liabilities 20,944 24,675

5 unchanged sentences

50,000 shares authorized:

8.25 % Series A Cumulative Redeemable Preferred Stock, 2,070 shares issued and outstanding ($ 52,817 aggregate liquidation preference)

8.25 % Series A Cumulative Redeemable Preferred Stock;

2,027 and 2,070 shares issued and outstanding at September 30, 2020 and December 31, 2019, respectively ($ 52,770 and $ 51,750 aggregate liquidation preference, respectively)

48,888 49,921

8.00 % Series B Cumulative Redeemable Preferred Stock, 4,600 shares issued and outstanding ($ 117,300 aggregate liquidation preference)

8.00 % Series B Cumulative Redeemable Preferred Stock;

4,569 and 4,600 shares issued and outstanding at September 30, 2020 and December 31, 2019, respectively ($ 118,792 and $ 115,000 aggregate liquidation preference, respectively)

110,541 111,293

8.000 % Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, 4,600 shares issued and outstanding ($ 117,300 aggregate liquidation preference)

8.000 % Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, 4,571 and 4,600 shares issued and outstanding at September 30, 2020 and December 31, 2019, respectively ($ 118,837 and $ 115,000 aggregate liquidation preference, respectively)

110,533 111,243

Common stock, par value $ 0.01 per share;

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

450,000 shares of common stock authorized and 36,121 and 32,742 shares issued and outstanding at September 30, 2020 and December 31, 2019, respectively

Additional paid-in capital 673,105 662,183

9 unchanged sentences

(in thousands, except per share data)

Three Months Ended Six Months Ended

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

Three Months Ended Nine Months Ended

September 30, 2020 September 30, 2019 September 30, 2020 September 30, 2019

Net Interest Income

22 unchanged sentences

Net Income/(Loss) 20,046 10,049 ( 461,910 ) 57,882

Gain on Exchange Offer, net (Note 12) 539 — 539 —

Dividends on preferred stock (1) ( 5,563 ) ( 3,720 ) ( 16,897 ) ( 10,455 )

11 unchanged sentences

Diluted 34,422 32,748 33,347 32,016

(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.

(1) The three and nine months ended September 30, 2020 include cumulative and undeclared dividends of $ 5.6 million and $ 11.2 million, respectively, on the Company's Preferred Stock as of September 30, 2020.

As further described in Note 2, undeclared dividends are not recorded on the balance sheet.

Subsequent to quarter end, the Board of Directors has approved and the Company has declared and set apart for payment all accrued and unpaid dividends on the Company's Preferred Stock.

See Note 15 for additional information.

The three and nine months ended September 30, 2019 include cumulative and undeclared dividends of $ 0.4 million on the Company's 8.000 % Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock as of September 30, 2019.

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

3 unchanged sentences

(in thousands)

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

For the Three Months Ended September 30, 2020 and September 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

Balance at July 1, 2020 33,825 $ 338 $ 49,921 $ 111,293 $ 111,243 $ 666,127 $ ( 573,544 ) $ 365,378

Net proceeds from issuance of common stock 1,736 18 — — — 5,467 — 5,485

Grant of restricted stock and amortization of equity based compensation 44 — — — — 60 — 60

Exchange Offer (Note 12) 516 5 ( 1,033 ) ( 752 ) ( 710 ) 1,451 539 ( 500 )

Net Income/(Loss) — — — — — — 20,046 20,046

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

Balance at September 30, 2020 36,121 $ 361 $ 48,888 $ 110,541 $ 110,533 $ 673,105 $ ( 552,959 ) $ 390,469

Common Stock 8.25% Series A

Preferred Stock 8.00% Series B

Preferred Stock Additional

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

Paid-in Capital Retained

1 unchanged sentence

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

Balance at July 1, 2019 32,709 $ 327 $ 49,921 $ 111,293 $ — $ 661,833 $ ( 92,510 ) $ 730,864

Net proceeds from issuance of preferred stock — — — — 111,183 — — 111,183

Grant of restricted stock and amortization of equity based compensation 27 — — — — 176 — 176

3 unchanged sentences

Net Income/(Loss) — — — — — — 10,049 10,049

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

Balance at September 30, 2019 32,736 $ 327 $ 49,921 $ 111,293 $ 111,183 $ 662,009 $ ( 100,560 ) $ 834,173

For the Nine Months Ended September 30, 2020 and September 30, 2019

Common Stock 8.25% Series A

10 unchanged sentences

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

Exchange Offer (Note 12) 516 5 ( 1,033 ) ( 752 ) ( 710 ) 1,451 539 ( 500 )

Net Income/(Loss) — — — — — — ( 461,910 ) ( 461,910 )

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

Balance at September 30, 2020 36,121 $ 361 $ 48,888 $ 110,541 $ 110,533 $ 673,105 $ ( 552,959 ) $ 390,469

Common Stock 8.25% Series A

Preferred Stock 8.00% Series B

Preferred Stock Additional

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

Paid-in Capital Retained

3 unchanged sentences

Net proceeds from issuance of common stock 3,953 40 — — — 66,023 — 66,063

Net proceeds from issuance of preferred stock — — — — 111,183 — — 111,183

Grant of restricted stock and amortization of equity based compensation 39 — — — — 574 — 574

3 unchanged sentences

Net Income/(Loss) — — — — — — 57,882 57,882

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

Balance at September 30, 2019 32,736 $ 327 $ 49,921 $ 111,293 $ 111,183 $ 662,009 $ ( 100,560 ) $ 834,173

AG Mortgage Investment Trust, Inc.

2 unchanged sentences

(in thousands)

Six Months Ended

June 30, 2020 June 30, 2019

Nine Months Ended

September 30, 2020 September 30, 2019

Cash Flows from Operating Activities

25 unchanged sentences

Investments in debt and equity of affiliates ( 44,869 ) ( 75,528 )

Proceeds from sales of excess MSRs 7,735 —

Proceeds from sales of real estate securities 2,722,425 677,554

18 unchanged sentences

Net proceeds from issuance of common stock 4,669 66,063

Net proceeds from issuance of preferred stock — 111,183

Borrowings under financing arrangements 13,374,192 34,984,677

Nine Months Ended

September 30, 2020 September 30, 2019

Repayments of financing arrangements ( 16,037,399 ) ( 34,180,260 )

Borrowings under secured debt 20,000 —

Six Months Ended

June 30, 2020 June 30, 2019

Repayments of secured debt ( 10,000 ) —

Proceeds from issuance of securitized debt 166,487 224,931

15 unchanged sentences

Payable on unsettled trades $ 105,016 $ 15,544

Receivable on unsettled trades $ — $ 4,509

Common stock dividends declared but not paid $ — $ 14,731

Exchange Offer (Note 12) $ 2,495 $ —

Holdback on sale of excess MSRs $ 725 $ —

Management fees paid using Common Stock in lieu of cash $ 4,315 $ —

Decrease in securitized debt $ 7,091 $ 2,846

4 unchanged sentences

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:

June 30, 2020 June 30, 2019

September 30, 2020 September 30, 2019

Cash and cash equivalents $ 44,592 $ 31,468

6 unchanged sentences

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2020

September 30, 2020

AG Mortgage Investment Trust, Inc.

(the "Company") was incorporated in the state of Maryland on March 1, 2011.

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

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.

The Company is a hybrid mortgage REIT that opportunistically invests in a diversified risk adjusted portfolio of agency investments and credit investments, which contain the asset classes further described 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.

13 unchanged sentences

Commercial Mortgage Backed Securities ("CMBS") represent investments of fixed- and floating-rate CMBS, including investment grade (AAA through BBB) and non-investment grade classes (BB and below), secured by, or evidencing an ownership interest in, a single commercial mortgage loan or a pool of commercial mortgage loans.

Conduit CMBS are CMBS that are collateralized by multiple commercial loans and multiple borrowers.

Single-Asset/Single-Borrower securities are CMBS which securitize a single loan that is backed by a single asset (usually a large commercial property) or by a pool of cross collateralized mortgage obligations to a single borrower or related borrowers.

The Company’s Non-Agency RMBS, CMBS and ABS portfolios are generally not issued or guaranteed by Fannie Mae, Freddie Mac or any agency of the U.S.

8 unchanged sentences

government agency or GSE ("Credit Excess MSR").

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

Prior to December 31, 2019, the Company conducted its business through the following segments;

2 unchanged sentences

The sale of the Company's SFR portfolio has met the criteria for discontinued operations.

Accordingly, for all current and prior periods presented, the related assets and liabilities are presented as assets and liabilities held for sale on the consolidated balance sheets and the related operating results are presented as income/(loss) from discontinued operations on the consolidated statement of operations.

See Note 14 for further details.

The Company is externally managed by AG REIT Management, LLC, a Delaware limited liability company (the "Manager"), a wholly-owned subsidiary of Angelo, Gordon & Co., L.P.

("Angelo Gordon"), a privately-held, SEC-registered investment

Accordingly, for all current and prior periods presented, the related assets and

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2020

adviser, pursuant to a management agreement.

September 30, 2020

liabilities are presented as assets and liabilities held for sale on the consolidated balance sheets and the related operating results are presented as income/(loss) from discontinued operations on the consolidated statement of operations.

See Note 14 for further details.

The Company is externally managed by AG REIT Management, LLC, a Delaware limited liability company (the "Manager"), a wholly-owned subsidiary of Angelo, Gordon & Co., L.P.

("Angelo Gordon"), a privately-held, SEC-registered investment adviser, pursuant to a management agreement.

The Manager, pursuant to a delegation agreement dated as of June 29, 2011, has delegated to Angelo Gordon the overall responsibility of its day-to-day duties and obligations arising under the management agreement.

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

states, have implemented additional measures, such as shelter-in-place and stay-at-home orders.

Many businesses have moved to a remote working environment, temporarily suspended operations, laid off a significant percentage of their workforce and/or shut down completely.

states, implemented additional measures, such as shelter-in-place and stay-at-home orders.

Many businesses moved to a remote working environment, temporarily suspended operations, laid off a significant percentage of their workforce and/or shut down completely.

Moreover, the COVID-19 pandemic and certain of the actions taken to reduce its spread have resulted in lost business revenue, rapid and significant increases in unemployment, changes in consumer behavior and significant reductions in liquidity and the fair value of many assets, including those in which the Company invests.

Although many of the government restrictions are in the process of being relaxed, these conditions, or some level thereof, are expected to continue over the near term and may prevail throughout 2020.

Although many of the government restrictions were relaxed over the summer and early fall, these conditions, or some level thereof, are expected to continue over the near term and may continue into 2021, depending on state and local outbreaks and the success of availability of an effective vaccine.

Beginning in mid-March, the global pandemic associated with COVID-19 and related economic conditions caused financial and mortgage-related asset markets to come under extreme duress, resulting in credit spread widening, a sharp decrease in interest rates and unprecedented illiquidity in repurchase agreement financing and mortgage-backed securities ("MBS") markets.

The illiquidity was exacerbated by inadequate demand for MBS among primary dealers due to balance sheet constraints.

These events, in turn, resulted in declines in the value of our assets and margin calls from our repurchase agreement financing counterparties.

These events, in turn, resulted in declines in the value of our assets and margin calls from the Company's repurchase agreement financing counterparties.

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 $ 2.75 at June 30, 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 six months ended 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's book value decreased from $ 17.61 at December 31, 2019 to $ 3.34 at September 30, 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 during the nine months ended September 30, 2020:

• The Company reduced its investment portfolio from $ 4.0 billion at December 31, 2019 to $ 903.7 million at September 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 $ 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.

• The Company reduced its outstanding financing arrangements from $ 3.2 billion at December 31, 2019 to $ 225.5 million at September 30, 2020, resulting in a decline of its overall leverage ratio from 4.1 x to 1.8 x.

The Company executed the following during the three months ended September 30, 2020:

• The Company purchased $ 250.1 million of Agency RMBS and $ 60.2 million of Residential Mortgage Loans.

• The Company participated in a non-rated securitization, in which Residential Mortgage Loans with a fair value of $ 199.6 million were securitized, converting financing from recourse financing that was mark-to-market with respect to margin calls to non-recourse financing that is no longer mark-to-market with respect to margin calls.

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2020

September 30, 2020

• The Company sold real estate securities for proceeds of $ 38.8 million, residential mortgage loans for proceeds of $ 6.2 million, commercial loans for proceeds of $ 2.7 million and Excess MSRs for proceeds of $ 8.5 million.

• The Company, alongside private funds under the management of Angelo Gordon, participated through its unconsolidated ownership interest in MATT, as defined below, in a rated Non-QM loan securitization, in which Non-QM loans with a fair value of $ 226.0 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 $ 24.3 million as of September 30, 2020.

The Company has a 44.6 % interest in the retained subordinate tranches.

• On September 24, 2020, the Company issued (i) 1,215,370 shares of common stock to the Manager in full satisfaction of the deferred base management fee of $ 3.8 million payable by the Company in respect to the first and second quarters of 2020 and (ii) 154,500 shares of common stock in satisfaction of $ 0.5 million of the base management fee payable by the Company in respect to the third quarter of 2020.

The shares of Common Stock issued to the Manager were valued at $ 3.15 per share based on the midpoint of the estimated range of the Company’s book value per share as of August 31, 2020.

The remaining third quarter management fee will be paid in the normal course of business.

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 for future periods 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 and global public health response, (iii) the pandemic’s impact on the U.S.

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 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.

Certain reclassifications have been made to the prior year's consolidated financial statements to conform to the three months ended September 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 Company also included additional detail on certain asset classes within the real estate securities portfolio given the Company's reduction in portfolio size.

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

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 has conducted a going concern analysis which 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 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.

The global impact of the COVID-19 pandemic continues to evolve as state and local governments adopted a number of measures and recommendations in response to the outbreak, including imposing travel restrictions, "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.

2 unchanged sentences

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.

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

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

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2020

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

As of September 30, 2020, the Company held $ 44.6 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.

5 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.

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2020

Restricted cash

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

Restricted cash includes cash pledged as collateral for clearing and executing trades, derivatives, and financing arrangements, as well as restricted cash deposited into accounts held at certain consolidated trusts.

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.

5 unchanged sentences

Offering costs

The Company has incurred offering costs in connection with common stock offerings, registration statements and preferred stock offerings.

The Company has incurred offering costs in connection with common stock offerings, registration statements, preferred stock offerings and exchanges.

Where applicable, the offering costs were paid out of the proceeds of the respective offerings.

1 unchanged sentence

Offering costs in connection with preferred stock offerings have been accounted for as a reduction of their respective gross proceeds.

Exchange costs in connection with the Company's preferred stock exchanges have been accounted for as a reduction to the Company's retained earnings.

Use of estimates

7 unchanged sentences

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.

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2020

Valuation of financial instruments

9 unchanged sentences

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

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

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.

4 unchanged sentences

Based on due diligence, there have been no significant changes in any of the pricing services’ fair value methodologies or processes as a result of COVID-19.

Additionally, despite increased price volatility and widening of bid-ask spreads, the Company does not believe the pricing services’ ability to determine fair values was adversely impacted.

The Company does not believe the pricing services’ ability to determine fair values has been adversely impacted.

As a result, the Company concluded there was no migration from Level 2 to Level 3 as a result of COVID-19.

1 unchanged sentence

Investments in real estate securities are recorded in accordance with ASC 320-10, "Investments – Debt and Equity Securities," ASC 325-40, "Beneficial Interests in Securitized Financial Assets," or ASC 310-30, "Loans and Debt Securities Acquired with Deteriorated Credit Quality." The Company has chosen to make a fair value election pursuant to ASC 825, "Financial Instruments" for its real estate securities portfolio.

Real estate securities are recorded at fair value on the consolidated balance sheets and the periodic change in fair value is recorded in current period earnings on the consolidated statement of operations as a component of "Unrealized gain/(loss) on real estate securities and loans, net." Real estate securities acquired through securitizations are shown in the line item "Purchase of real estate securities" on the consolidated statement of cash flows.

Real estate securities are recorded at fair value on the consolidated balance sheets and the periodic change in fair value is recorded in current period earnings on the consolidated statement of operations as a component of "Unrealized gain/(loss) on real estate securities and loans, net." Real estate securities acquired are shown in the line item "Purchase of real estate securities" on the consolidated statement of cash flows.

Purchases and sales of real estate securities are recorded on the trade date.

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When the Company purchases securities with evidence of credit deterioration since origination, it will analyze the securities to determine if the guidance found in ASC 310-30 is applicable.

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2020

In June 2016, FASB issued ASU 2016-13, "Financial Instruments – Credit Losses" ("ASU 2016-13").

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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.

As the Company measures its debt securities and loans at fair value with any changes recognized through net income and updates its estimate of the cash flows expected to be collected on these asset classes on at least a quarterly basis recognizing changes in cash flows in interest income prospectively through an adjustment of an asset’s yield over its remaining life, the adoption of the standard did not have a material impact to the Company’s consolidated financial statements.

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.

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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,

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

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.

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.

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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 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.

Electing the fair value option allows the Company to record changes in fair value in the Consolidated Statement of Operations, which, in management's view, more appropriately reflects the results of operations for a particular reporting period as all loan activities will be recorded in a similar manner.

As such, loans are recorded at fair value on the consolidated balance

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2020

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.

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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

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

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.

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.

6 unchanged sentences

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

4 unchanged sentences

as such, the Company will treat these financial instruments and financing arrangements consistently with this election.

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2020

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").

3 unchanged sentences

On August 29, 2017, the Company, alongside private funds managed by Angelo Gordon, formed Mortgage Acquisition Holding I LLC ("MATH") to conduct a residential mortgage investment strategy.

MATH in turn sponsored the formation of an entity called Mortgage Acquisition Trust I LLC ("MATT") to purchase predominantly "Non-QM" loans, which are residential mortgage loans that are not deemed "qualified mortgage," or "QM," loans under the rules of the CFPB.

Non-QM loans are not eligible for delivery to Fannie Mae, Freddie Mac, or Ginnie Mae.

9 unchanged sentences

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.

The Company executed this 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 from the "Investments in debt and equity of affiliates" line item to the "CMBS" line item on its consolidated statements of cash flows.

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).

June 30, 2020 December 31, 2019

September 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 $ 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.

(2) Within Real Estate Securities, Excess MSRs and Loans is $ 152.5 million and $ 254.3 million of fair value of Non-QM loans held in MATT at September 30, 2020 and December 31, 2019, respectively.

The related financing on the Non-QM loans was $ 117.0 million and $ 200.3 million at September 30, 2020 and December 31, 2019, respectively.

As of September 30, 2020, Non-QM Loans excluded loans with an unpaid principal balance of $ 24.5 million whereby an affiliate of MATT has the right, but not the obligation, to repurchase loans from a trust that are 90 days or more delinquent at its discretion.

These loans, which are eligible to be repurchased, would be recorded on the balance sheet of MATT, an unconsolidated equity method investee of the Company, with a corresponding and offsetting liability.

Additionally, there is $ 25.5 million and $ 17.0 million of fair value of Land Related Financing held in LOTS at September 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.

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2020

Accounting for excess mortgage servicing rights

13 unchanged sentences

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

As the Company measures its Excess MSRs at fair value with any changes recognized through net income and updates its estimate of the cash flows expected to be collected on this asset class on at least a quarterly basis recognizing changes in cash flows in interest income prospectively through an adjustment of an asset’s yield over its remaining life, the adoption of the standard did not have a material impact to the Company’s consolidated financial statements.

Investment consolidation and transfers of financial assets

13 unchanged sentences

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.

Securitization involves transferring assets to an SPE to convert all or

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2020

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.

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 transferred assets were recorded as a secured borrowing.

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.

As of September 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.

1 unchanged sentence

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 "August 2018 VIE").

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

The Company determined that the August 2018 VIE should be consolidated.

As of September 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

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.

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

See Note 4 below for more detail.

The Company entered into securitization transactions of certain of its re-performing residential mortgage loans, which resulted in the Company consolidating the respective VIEs that were created to facilitate these transactions and to which the underlying assets in connection with these securitizations were transferred (the "August 2019 VIE" and the "September 2020 VIE").

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

Upon consolidation, the Company elected the fair value option pursuant to ASC 825 for the assets and liabilities of the August 2019 VIE and September 2020 VIE.

See Note 4 for more detail regarding these VIEs.

Refer to Note 6 related to the Company's determination of fair value for the assets and liabilities included within these VIEs.

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.

11 unchanged sentences

From time to time, the Company may securitize mortgage loans it holds if such financing is available.

These transactions will be recorded in accordance with ASC 860-10 and will be accounted for as either a "sale" and the loans will be removed from the consolidated balance sheets or as a "financing" and will be classified as "residential mortgage loans" on the consolidated balance sheets, depending upon the structure of the securitization transaction.

These transactions will be recorded in accordance with ASC 860-10 and will be accounted for as either a "sale" and the loans will be removed from the

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2020

consolidated balance sheets or as a "financing" and will be classified as "residential mortgage loans" on the consolidated balance sheets, depending upon the structure of the securitization transaction.

ASC 860-10 is a standard that may require the Company to exercise significant judgment in determining whether a transaction should be recorded as a "sale" or a "financing."

5 unchanged sentences

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.

If actual and anticipated cash flows differ from previous estimates, the Company records an adjustment in the current period to the amortization of premiums for the impact of the cumulative change in the effective yield through the reporting date.

Similarly, the Company also reassesses the cash flows on at least a quarterly basis for securities accounted for under ASC 325-40 (generally Non-Agency RMBS, ABS, CMBS, interest-only securities and Excess MSRs).

1 unchanged sentence

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

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2020

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

Differences between previously estimated cash flows and current actual and anticipated cash flows are recognized prospectively through an adjustment of the yield over the remaining life of the security based on the current amortized cost of the investment as adjusted for credit impairment, if any.

1 unchanged sentence

The Company has elected to record interest in accordance with ASC 835-30-35-2 using the effective interest method for all loans accounted for under the fair value option (ASC 825).

Any amortization is reflected as an adjustment to interest income in the consolidated statement of operations.

Any amortization or accretion is reflected as an adjustment to interest income in the consolidated statement of operations.

For security and loan investments purchased with evidence of deterioration of credit quality for which it is probable, at acquisition, that the Company will be unable to collect all contractually required payments receivable, the Company will apply the provisions of ASC 310-30.

11 unchanged sentences

The Company pledges certain securities, loans or properties as collateral under financing arrangements with financial institutions, the terms and conditions of which are negotiated on a transaction-by-transaction basis.

The amounts available to be borrowed under repurchase agreements and revolving facilities are dependent upon the fair value of the securities, or loans pledged as collateral, which can fluctuate with changes in interest rates, type of security and liquidity conditions within the banking, mortgage finance and real estate industries.

The amounts available to be

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2020

borrowed under repurchase agreements and revolving facilities are dependent upon the fair value of the securities, or loans pledged as collateral, which can fluctuate with changes in interest rates, type of security and liquidity conditions within the banking, mortgage finance and real estate industries.

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

As of September 30, 2020, 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 created by the COVID-19 pandemic.

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

Subject to the terms of the applicable financing arrangement, if the Company fails to deliver additional collateral or otherwise meet margin calls when due, the financing counterparties may be able to demand immediate payment by the Company of the aggregate outstanding financing obligations owed to such counterparties, and if such financing obligations are not paid, may be permitted to sell the financed assets and apply the proceeds to the Company's financing obligations and/or take ownership of the assets securing the Company's financing obligations.

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

Subject to the terms of the applicable financing arrangement, if the Company had failed to deliver additional collateral or otherwise meet margin calls when due, the financing counterparties may have been able to demand immediate payment by the Company of the aggregate outstanding financing obligations owed to such counterparties, and if such financing obligations were not paid, may have been permitted to sell the financed assets and apply the proceeds to the Company's financing obligations and/or take ownership of the assets securing the Company's financing obligations.

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.

1 unchanged sentence

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.

7 unchanged sentences

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.

Refer to Note 13 for more information on outstanding deficiencies.

Refer to Note 13 for more information on deficiencies, all of which have been settled.

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.

On and after September 17, 2024, dividends on the Series C Preferred Stock will accumulate at a percentage of the $ 25.00

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2020

liquidation preference equal to an annual floating rate of the then 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.

13 unchanged sentences

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 September 30, 2020 and December 31, 2019 ($ in thousands).

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)

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

September 30, 2020

September 30, 2020 Gross Unrealized Weighted Average

Current Face Premium /

Amortized Cost Gains Losses Fair Value Coupon (1) Yield

30 Year Fixed Rate $ 237,142 $ 12,760 $ 249,902 $ 258 $ ( 37 ) $ 250,123 2.21 % 1.17 %

Credit Investments:

Non-Agency RMBS $ 63,228 $ ( 16,880 ) $ 46,348 $ 3,736 $ ( 4,593 ) $ 45,491 4.95 % 8.43 %

Non-Agency RMBS Interest Only (2) 183,667 ( 183,590 ) 77 301 ( 52 ) 326 0.59 % NM

Total Non-Agency:

Residential Investments

Prime 14,104 ( 6,356 ) 7,748 660 ( 46 ) 8,362 3.69 % 7.64 %

Alt-A/Subprime 16,471 ( 9,676 ) 6,795 2,951 — 9,746 4.25 % 5.25 %

Credit Risk Transfer 15,523 — 15,523 — ( 3,489 ) 12,034 4.70 % 4.60 %

RMBS 2,869 811 3,680 40 ( 276 ) 3,444 6.16 % 6.08 %

Non-Agency RMBS Interest Only 171,444 ( 171,365 ) 79 281 ( 48 ) 312 0.55 % 14.42 %

Re/Non-Performing Securities 2,758 ( 539 ) 2,219 128 ( 33 ) 2,314 5.25 % 9.99 %

Land Related Financing 6,989 ( 176 ) 6,813 246 — 7,059 7.75 % 8.33 %

Total Residential Investments:

230,158 ( 187,301 ) 42,857 4,306 ( 3,892 ) 43,271 2.34 % 6.42 %

CMBS 121,193 ( 17,692 ) 103,501 1,584 ( 22,664 ) 82,421 4.06 % 5.63 %

Commercial Investments

Conduit 4,925 ( 1,081 ) 3,844 — ( 781 ) 3,063 4.78 % 11.88 %

Single-Asset/Single-Borrower 50,480 ( 1,543 ) 48,937 829 ( 11,588 ) 38,178 4.17 % 4.84 %

Freddie Mac K-Series CMBS 22,572 ( 12,221 ) 10,351 48 ( 1,763 ) 8,636 3.84 % 8.98 %

CMBS Interest Only (2) 687,293 ( 683,075 ) 4,218 205 ( 72 ) 4,351 0.10 % 7.51 %

Total Commercial Investments:

765,270 ( 697,920 ) 67,350 1,082 ( 14,204 ) 54,228 0.44 % 6.11 %

1 unchanged sentence

995,428 ( 885,221 ) 110,207 5,388 ( 18,096 ) 97,499 0.72 % 6.25 %

Total $ 1,232,570 $ ( 872,461 ) $ 360,109 $ 5,646 $ ( 18,133 ) $ 347,622 1.04 % 2.60 %

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

(2) Non-Agency RMBS Interest Only includes only two investments.

The overall impact of the investments' yields on the Company's portfolio is immaterial.

The following table details the Company’s real estate securities portfolio as of December 31, 2019 ($ in thousands):

Gross Unrealized Weighted Average

(2) Comprised of Freddie Mac K-Series interest-only bonds.

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2020

December 31, 2019 Gross Unrealized Weighted Average

Current Face Premium /

5 unchanged sentences

Credit Investments:

Non-Agency RMBS 769,254 ( 107,848 ) 661,406 55,343 ( 353 ) 716,396 4.84 % 6.28 %

Residential Investments

Prime 297,932 ( 84,876 ) 213,056 29,052 ( 221 ) 241,887 4.92 % 7.44 %

Alt-A/Subprime 141,464 ( 30,859 ) 110,605 12,234 ( 127 ) 122,712 4.40 % 6.89 %

Credit Risk Transfer 270,397 591 270,988 8,972 ( 5 ) 279,955 5.17 % 5.27 %

RMBS 44,867 9,473 54,340 3,391 — 57,731 3.21 % 3.58 %

Non-Agency RMBS Interest Only 209,362 ( 207,948 ) 1,414 — ( 340 ) 1,074 0.77 % 5.96 %

Total Non-Agency:

Re/Non-Performing Securities 5,966 ( 1,965 ) 4,001 1,180 — 5,181 5.18 % 19.20 %

Land Related Financing 8,628 ( 212 ) 8,416 514 — 8,930 7.75 % 8.26 %

Total Residential Investments:

978,616 ( 315,796 ) 662,820 55,343 ( 693 ) 717,470 4.40 % 6.28 %

CMBS 485,713 ( 134,596 ) 351,117 18,720 ( 906 ) 368,931 4.91 % 7.28 %

Commercial Investments

Conduit 72,318 ( 9,181 ) 63,137 811 ( 602 ) 63,346 4.24 % 5.57 %

Single-Asset/Single-Borrower 204,702 ( 5,606 ) 199,096 879 ( 304 ) 199,671 5.09 % 5.57 %

Freddie Mac K-Series CMBS 208,693 ( 119,809 ) 88,884 17,030 — 105,914 5.70 % 11.54 %

CMBS Interest Only (2) 3,427,025 ( 3,382,273 ) 44,752 3,486 ( 246 ) 47,992 0.24 % 6.68 %

Total Commercial Investments:

3,912,738 ( 3,516,869 ) 395,869 22,206 ( 1,152 ) 416,923 0.60 % 7.21 %

3 unchanged sentences

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

(2) Comprised of Freddie Mac K-Series interest-only bonds.

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

1 unchanged sentence

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 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.

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Notes to Consolidated Financial Statements (Unaudited)

June 30, 2020

than their carrying amounts.

For the three months ended September 30, 2019, the Company recognized an OTTI charge of $ 3.1 million on its securities, which is included in the "Net realized gain/(loss)" line item on the consolidated statement of operations.

The Company recorded $ 3.1 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 $ 3.1 million of OTTI recorded, $ 2.2 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.

For the nine months ended September 30, 2019, the Company recognized an OTTI charge of $ 14.2 million on its securities, which is included in the "Net realized gain/(loss)" line item on the consolidated statement of operations.

The Company recorded $ 14.2 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 $ 14.2 million of OTTI recorded, $ 3.4 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 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

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2020

The following tables detail the weighted average life of our real estate securities as of September 30, 2020 and December 31, 2019 ($ in thousands):

September 30, 2020 Agency RMBS Credit Investments

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

Less than or equal to 1 year $ — $ — — % $ 16,576 $ 21,741 1.33 %

7 unchanged sentences

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

The following table details the weighted average life of our real estate securities broken out by Agency RMBS and Credit Investments as of December 31, 2019 ($ in thousands):

Agency RMBS Credit Investments

December 31, 2019 Agency RMBS Credit Investments

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

8 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 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.

For the three months ended September 30, 2020, the Company sold 13 securities for total proceeds of $ 38.8 million, recording realized gains of $ 0.7 million and realized losses of $ 4.5 million.

For the nine months ended September 30, 2020, the Company sold, directly or as a result of financing counterparty seizures, 341 securities for total proceeds of $ 2.7 billion, recording realized gains of $ 54.0 million and losses of $ 180.4 million.

For the three months ended September 30, 2019, the Company sold 25 securities for total proceeds of $ 231.5 million and entered into 3 unsettled security sales for additional proceeds of $ 4.5 million, recording realized gains of $ 7.1 million and realized losses of $ 2.5 million.

For the nine months ended September 30, 2019, the Company sold 71 securities for total proceeds of $ 677.6 million and entered into 3 unsettled security sales for additional proceeds of $ 4.5 million, recording realized gains of $ 15.2 million and realized losses of $ 4.8 million.

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements (Unaudited)

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.

September 30, 2020

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.

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

December 31, 2019

8 unchanged sentences

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.

Except for restricted cash, shown within the Other assets line item above, assets held by the August 2018 VIE are not restricted and can be used to settle any obligations of the Company.

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

Except for restricted cash, shown within the Other assets line item above, assets held by the August 2018 VIE were not restricted and could have been used to settle any obligations of the Company as of December 31, 2019.

The liabilities of the August 2018 VIE were recourse to the Company and could be satisfied with assets of the Company as of December 31, 2019.

As the Company does not hold any interest in the August 2018 VIE as of September 30, 2020, the liabilities of the August 2018 VIE are no longer recourse to the Company.

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.

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements (Unaudited)

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.

September 30, 2020

In September 2020, the Company purchased a residential mortgage loan portfolio with a gross aggregate unpaid principal balance and a gross acquisition fair value of $ 71.7 million and $ 60.2 million, respectively.

This loan portfolio was simultaneously securitized and is included within the September 2020 VIE.

For the three months ended September 30, 2020, the Company sold 52 loans for total proceeds of $ 6.2 million, recording realized gains of $ 0.3 million and realized losses of $ 0.6 million.

For the nine months ended September 30, 2020, the Company sold 2,410 loans for total proceeds of $ 389.0 million, recording realized gains of $ 1.8 million and realized losses of $ 59.3 million.

No loans were sold for the three months ended September 30, 2019.

For the nine months ended September 30, 2019, the Company sold 79 loans for total proceeds of $ 12.8 million, recording realized gains of $ 1.0 million and realized losses $ 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 June 30, 2020 and December 31, 2019 ($ in thousands):

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

Gross Unrealized Weighted Average

Principal Balance

(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

September 30, 2020 $ 518,510 $ ( 72,943 ) $ 445,567 $ 3,786 $ ( 19,705 ) $ 429,648 3.64 % 5.17 % 6.76

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 June 30, 2020 and December 31, 2019 (in thousands):

June 30, 2020 December 31, 2019

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

September 30, 2020 December 31, 2019

Fair Value Unpaid Principal Balance Fair Value Unpaid Principal Balance

8 unchanged sentences

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 and six months ended June 30, 2019 on the Company’s residential mortgage loans.

For the three and nine months ended September 30, 2019, the Company recognized $ 0.1 million of OTTI on certain loan pools, which is included in the "Net realized gain/(loss)" line item on the consolidated statement of operations.

The company recorded $ 0.1 million of OTTI where the fair values of the loan pools were less than their carrying amounts.

The $ 0.1 million related to loan pools with an unpaid principal balance of $ 4.9 million, a fair value of $ 4.3 million and an average fair market value of $ 4.6 million for the three and nine months ended September 30, 2019.

The Company recognized $ 0.1 million of interest income on the loan pools where OTTI was taken during the three and nine months ended September 30, 2019.

AG Mortgage Investment Trust Inc.

1 unchanged sentence

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.

September 30, 2020

As of September 30, 2020 and December 31, 2019, the Company had residential mortgage loans with a fair value of $ 33.0 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 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

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

Geographic Concentration of Credit Risk September 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:

7 unchanged sentences

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

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

Three Months Ended Nine Months Ended

September 30, 2020 September 30, 2019 September 30, 2020 September 30, 2019

Beginning Balance $ 138,161 $ 89,515 $ 168,877 $ 79,610

4 unchanged sentences

Ending Balance $ 160,841 $ 154,366 $ 160,841 $ 154,366

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 September 30, 2020, the Company’s residential mortgage loan portfolio was comprised of 3,394 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.

The Company entered into a securitization transaction of certain of its residential mortgage loans in August 2019 (the "August 2019 VIE").

The Company concluded that the SPE created to facilitate this transaction was a VIE and also determined that the August 2019 VIE should be consolidated by the Company.

The transferred assets were recorded as a secured borrowing, based on the Company’s involvement in the August 2019 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 August 2019 VIE.

Upon consolidation, the Company elected the fair value option for the assets and liabilities of the August 2019 VIE in order to avoid an accounting mismatch between its assets and its liabilities and to more accurately represent the economics of its interest in the entity.

Electing the fair value option allows the Company to record changes in fair value in the consolidated statement of operations.

The Company applied the guidance under ASU 2014-13, "Measuring the Financial Assets and the Financial Liabilities of a Consolidated Collateralized Financing Entity," whereby the Company determines whether the fair value of the assets or liabilities of the August 2019 VIE is more observable as a basis for measuring the less observable financial instruments.

The Company has determined that the fair value of the liabilities of the August 2019 VIE are more observable since the prices for these liabilities are more easily determined as similar instruments trade more frequently on a relative basis than the individual assets of the VIE.

In August 2019 and September 2020, the Company entered into securitization transactions of certain of its residential mortgage loans.

The Company concluded that the SPEs created to facilitate these transactions were VIEs and also determined that the August 2019 VIE and September 2020 VIE should be consolidated by the Company.

The transferred assets were recorded as secured borrowings, based on the Company’s involvement in the August 2019 VIE and September 2020 VIE, including the design and purpose of the SPEs, and whether the Company’s involvement reflected controlling financial interests that resulted in the Company being deemed the primary beneficiaries of the August 2019 VIE and the September 2020 VIE.

Upon consolidation, the Company elected the fair value option for the assets and liabilities of the August 2019 VIE and the September 2020 VIE.

The Company applied the guidance under ASU 2014-13, "Measuring the Financial Assets and the Financial Liabilities of a Consolidated Collateralized Financing Entity," whereby the Company determines whether the fair value of the assets or liabilities of the August 2019 VIE and September 2020 VIE are more observable as a basis for measuring the less observable financial instruments.

The Company has determined that the fair value of the liabilities of the August 2019 VIE and September 2020 VIE are more observable since the prices for these liabilities are more easily determined as similar instruments trade more frequently on a relative basis than the individual assets of the VIEs.

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements (Unaudited)

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

September 30, 2020

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

September 30, 2020 December 31, 2019

Residential mortgage loans, at fair value $ 420,200 $ 255,171

Restricted cash 1,976 —

Other assets 2,596 898

4 unchanged sentences

Total liabilities $ 383,450 $ 242,298

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):

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

Weighted Average

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

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

September 30, 2020

August 2019 VIE Residential mortgage loans $ 248,023 $ 220,590 3.71 % 4.80 % 6.97

Securitized debt (2) 206,434 195,499 2.96 % 2.97 % 5.13

December 31, 2019 Residential mortgage loans (2) 263,956 255,171 3.96 % 5.11 % 7.66

September 2020 VIE Residential mortgage loans 249,071 199,610 3.58 % 5.46 % 6.72

Securitized debt (2) 163,487 163,487 2.98 % 3.00 % 2.09

December 31, 2019

August 2019 VIE Residential mortgage loans 263,956 255,171 3.96 % 5.11 % 7.66

Securitized debt (2) 217,455 217,118 2.92 % 2.86 % 5.00

(1) This is based on projected life.

1 unchanged sentence

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

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

(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.

(2) As of September 30, 2020 and December 31, 2019, the Company has recorded secured financing of $ 359.0 million and $ 217.1 million, respectively, 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.

The holders of the securitized debt have no recourse to the general credit of the Company.

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

The Company has no obligation to provide any other explicit or implicit support to the August 2019 VIE and September 2020 VIE.

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)

June 30, 2020

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

Weighted Average

September 30, 2020

For the three months ended September 30, 2020, the Company sold 1 commercial loan, for total proceeds of $ 2.7 million, recording realized losses of $ 4.7 million.

For the nine months ended September 30, 2020, the Company sold 2 commercial loans for total proceeds of $ 36.9 million, recording realized losses of $ 6.5 million.

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

The following tables present detail on the Company’s commercial loan portfolio as of September 30, 2020 and December 31, 2019 ($ in thousands).

September 30, 2020 Weighted Average

(1)(2) Current Face Premium

1 unchanged sentence

(4) Yield (5) Life

(6) Initial Stated

Maturity Date Extended

Date (7) Location Collateral Type

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 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

Loan J (8) 6,291 — 6,291 ( 4,051 ) 2,240 5.65 % 5.65 % 2.12 January 1, 2023 January 1, 2024 NY Hotel, Retail

Loan K (11) 12,673 — 12,673 ( 1,100 ) 11,573 10.00 % 11.22 % 1.27 May 22, 2021 February 22, 2024 NY Hotel, Retail

Loan L (11) 51,000 ( 344 ) 50,656 ( 3,481 ) 47,175 5.40 % 5.66 % 4.12 July 22, 2022 July 22, 2024 IL Hotel, Retail

Loan G (8)(9) $ 56,697 $ — $ 56,697 $ ( 3,941 ) $ 52,756 5.27 % 5.27 % 1.80 July 9, 2022 CA Condo, Retail, Hotel

Loan I (10)(11) 15,211 ( 173 ) 15,038 ( 826 ) 14,212 11.50 % 12.00 % 2.47 February 9, 2023 MN Office, Retail

Loan K (12) 14,173 — 14,173 ( 1,100 ) 13,073 10.00 % 11.00 % 1.27 February 22, 2024 NY Hotel, Retail

Loan L (12)(13) 51,000 ( 338 ) 50,662 ( 7,823 ) 42,839 5.40 % 5.67 % 3.86 July 22, 2024 IL Hotel, Retail

$ 137,081 $ ( 511 ) $ 136,570 $ ( 13,690 ) $ 122,880 6.50 % 6.80 % 2.59

(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 June 30, 2020.

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

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

4 unchanged sentences

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

(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.

(8) Loan G is a first mortgage loan.

(9) Loan G has been amended and has been extended to its extended maturity date upon reaching its initial maturity of July 9, 2020.

See Note 13 for more details regarding commitments.

(10) Loan I is a mezzanine loan.

(11) Subsequent to quarter end, the Company and the borrower of Loan I entered into a modification agreement to, among other things, extend the term of the Loan, allow for a portion of the interest to be deferred and increase the capital commitment amount by $ 6.0 million.

See Note 13 for more details regarding commitments.

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

(13) Subsequent to quarter end, the Company and the borrower of Loan L entered into a modification agreement to, among other things, require the borrower to pay previously deferred interest in full, defer interest for the following 12-month period and require funding of capital reserves by the borrower.

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2020

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

Weighted Average

September 30, 2020

December 31, 2019 Weighted Average

Loan (1) Current Face Premium

2 unchanged sentences

(2) Yield (3) Life

(4) Initial Stated

Maturity Date Extended

Date (5) Location Collateral Type

Loan G (6) $ 45,856 $ — $ 45,856 $ — $ 45,856 6.46 % 6.46 % 0.53 July 9, 2020 July 9, 2022 CA Condo, Retail, Hotel

Loan H (6) 36,000 — 36,000 — 36,000 5.49 % 5.49 % 0.19 March 9, 2019 June 9, 2020 AZ Office

Loan I (7) 11,992 ( 184 ) 11,808 184 11,992 12.21 % 14.51 % 1.04 February 9, 2021 February 9, 2023 MN Office, Retail

Loan J (6) 4,674 — 4,674 — 4,674 6.36 % 6.36 % 2.12 January 1, 2023 January 1, 2024 NY Hotel, Retail

Loan K (8) 9,164 — 9,164 — 9,164 10.71 % 11.86 % 1.72 May 22, 2021 February 22, 2024 NY Hotel, Retail

Loan L (8) 51,000 ( 502 ) 50,498 502 51,000 6.16 % 6.50 % 4.63 July 22, 2022 July 22, 2024 IL Hotel, Retail

Loan G (6) $ 45,856 $ — $ 45,856 $ — $ 45,856 6.46 % 6.46 % 0.53 July 9, 2022 CA Condo, Retail, Hotel

Loan H (6) 36,000 — 36,000 — 36,000 5.49 % 5.49 % 0.19 June 9, 2020 AZ Office

Loan I (7) 11,992 ( 184 ) 11,808 184 11,992 12.21 % 14.51 % 1.04 February 9, 2023 MN Office, Retail

Loan J (6) 4,674 — 4,674 — 4,674 6.36 % 6.36 % 2.12 January 1, 2024 NY Hotel, Retail

Loan K (8) 9,164 — 9,164 — 9,164 10.71 % 11.86 % 1.72 February 22, 2024 NY Hotel, Retail

Loan L (8) 51,000 ( 502 ) 50,498 502 51,000 6.16 % 6.50 % 4.63 July 22, 2024 IL Hotel, Retail

$ 158,686 $ ( 686 ) $ 158,000 $ 686 $ 158,686 6.82 % 7.17 % 1.92

8 unchanged sentences

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

During the three and nine months ended September 30, 2020, the Company recorded $ 44.5 thousand and $ 0.2 million of discount accretion on its commercial loans, respectively.

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

On August 31, 2020, the Company, alongside private funds under the management of Angelo Gordon, sold its Ginnie Mae Excess MSR portfolio to Arc Home for total proceeds of $ 18.9 million.

The portfolio had a total unpaid principal balance of $ 3.1 billion.

The Company's share of the total proceeds approximated $ 8.5 million, representing its approximate 45 % ownership interest.

The Company recorded realized gains of $ 0.1 million and realized losses of $ 4.8 million.

Arc Home subsequently sold its Ginnie Mae MSR portfolio to a third party.

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 June 30, 2020 ($ in thousands).

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

Gross Unrealized Weighted Average

1 unchanged sentence

Balance Amortized

Cost Gains Losses Fair Value Yield Life

Cost Losses Fair Value Yield Life

Agency Excess MSRs $ 652,756 $ 4,725 $ ( 1,284 ) $ 3,441 3.97 % 5.61

7 unchanged sentences

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2020

September 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.

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.

For the three months ended September 30, 2019, the Company recognized an OTTI charge of $ 0.4 million on its Excess MSRs, which is included in the "Net realized gain/(loss)" line item on the consolidated statement of operations.

None of the $ 0.4 million of OTTI recorded for the three months ended September 30, 2019 was related to Excess MSRs where OTTI was not recognized in a prior year.

For the nine months ended September 30, 2019, the Company recognized an OTTI charge of $ 2.6 million on its Excess MSRs, which is included in the "Net realized gain/(loss)" line item on the consolidated statement of operations.

Of the $ 2.6 million of OTTI recorded for the nine months ended September 30, 2019, $ 0.8 million was related to Excess MSRs where OTTI was not recognized in a prior year.

Fair value measurements

3 unchanged sentences

Treasury securities are based upon prices obtained from third party pricing services, which are indicative of market activity.

The fair value of the Company’s obligation to return securities borrowed under reverse repurchase agreements is based upon the value of the underlying borrowed U.S.

Treasury securities as of the reporting date.

The evaluation methodology of the Company’s third-party pricing services incorporates commonly used market pricing methods, including a spread measurement to various indices such as the one-year constant maturity treasury and LIBOR, which are observable inputs.

17 unchanged sentences

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2020

September 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.

See Note 8 for more information.

In determining the fair value of the Company's mortgage loans and securitized debt relating to the August 2019 VIE, the Company considers data such as loan origination information, additional updated borrower information, loan servicing data, as available, forward interest rates, general economic conditions, home price index forecasts and valuations of the underlying properties.

In determining the fair value of the Company's mortgage loans and securitized debt relating to the August 2019 VIE and the September 2020 VIE, the Company considers data such as loan origination information, additional updated borrower information, loan servicing data, as available, forward interest rates, general economic conditions, home price index forecasts and valuations of the underlying properties.

The variables considered most significant to the determination of the fair value of the Company's mortgage loans include market-implied discount rates, projections of default rates, delinquency rates, prepayment rates and loss severity (considering mortgage insurance).

10 unchanged sentences

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

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

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2020

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

Fair Value at September 30, 2020

Level 1 Level 2 Level 3 Total

30 Year Fixed Rate $ — $ 250,123 $ — $ 250,123

Credit Investments:

6 unchanged sentences

Excess mortgage servicing rights — — 3,526 3,526

Derivative assets 84 — — 84

AG Arc (3) — — 41,436 41,436

1 unchanged sentence

Securitized debt $ — $ — $ ( 358,986 ) $ ( 358,986 )

Derivative liabilities — ( 39 ) — ( 39 )

Total Liabilities Measured at Fair Value $ — $ ( 39 ) $ ( 358,986 ) $ ( 359,025 )

(1) Non-Agency RMBS is comprised of Prime, Alt-A/Subprime, Non-US RMBS, Re/Non-Performing Securities and Land Related Financing.

(2) CMBS is comprised of Conduit, Single-Asset/Single-Borrower and Freddie Mac K-Series CMBS.

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

The table above includes the Company's investment in AG Arc, which is included in its Investments in Debt and Equity of Affiliates line item on the consolidated balance sheets, as the Company has chosen to elect the fair value option with respect to its investment pursuant to ASC 825.

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2020

September 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):

18 unchanged sentences

Total Liabilities Measured at Fair Value $ ( 122 ) $ ( 152,222 ) $ ( 72,415 ) $ ( 224,759 )

(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 and six months ended June 30, 2020 and June 30, 2019.

(1) Non-Agency RMBS is comprised of Prime, Alt-A/Subprime, Non-US RMBS, Re/Non-Performing Securities and Land Related Financing.

(2) CMBS is comprised of Conduit, Single-Asset/Single-Borrower and Freddie Mac K-Series CMBS.

(3) Refer to Note 2 for more information on the Company's accounting policies with regard to cash equivalents, if applicable, 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 and nine months ended September 30, 2020 and September 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)

June 30, 2020

September 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 June 30, 2020 (in thousands)

Three Months Ended September 30, 2020 (in thousands)

Mortgage Loans Commercial

2 unchanged sentences

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

Transfers (1):

Transfers out of level 3 — ( 2,225 ) — — — —

Purchases/Transfers — 60,100 8,308 — — —

5 unchanged sentences

Ending Balance $ 3,690 $ 427,373 $ 122,880 $ 3,526 $ 41,436 $ ( 358,986 )

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 )

Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held as of September 30, 2020 (3) $ 221 $ 9,778 $ — $ 3,298 $ 13,406 $ ( 3,323 )

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

During the three months ended September 30, 2020, the Company transferred 2 Residential Mortgage Loan positions 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:

9 unchanged sentences

Total $ 23,380

Three Months Ended June 30, 2019 (in thousands)

Three Months Ended September 30, 2019 (in thousands)

Interest Only

5 unchanged sentences

Purchases/Transfers 72,933 — 473 39,095 — 181,053 60,803 — — —

Issuances of Securitized Debt — — — — — — — — — ( 65,171 )

Capital Contributions — — — — — — — — 11,148 —

Proceeds from sales/redemptions ( 23,630 ) — — — ( 917 ) — — — — —

3 unchanged sentences

Ending Balance $ 654,057 $ 1,422 $ 12,292 $ 257,962 $ 44,943 $ 379,377 $ 146,518 $ 18,155 $ 27,271 $ ( 73,186 )

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 )

Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held as of September 30, 2019 (3) $ 106 $ 371 $ ( 489 ) $ 4,356 $ ( 925 ) $ 4,651 $ 510 $ ( 2,328 ) $ ( 2,594 ) $ ( 15 )

(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.

During the three months ended September 30, 2019, the Company transferred 9 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.

1 unchanged sentence

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2020

September 30, 2020

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

9 unchanged sentences

Total $ 3,643

Six Months Ended June 30, 2020 (in thousands)

RMBS Interest Only

CMBS CMBS Interest

AG Arc Securitized

Nine Months Ended September 30, 2020 (in thousands)

RMBS Non-Agency

RMBS Interest Only CMBS CMBS Interest

Only Residential

Loans Commercial

Rights AG Arc Securitized

Beginning balance $ 630,115 $ 1,074 $ 366,566 $ 47,992 $ 417,785 $ 158,686 $ 17,775 $ 28,546 $ ( 72,415 )

9 unchanged sentences

Ending Balance $ 3,690 $ — $ — $ — $ 427,373 $ 122,880 $ 3,526 $ 41,436 $ ( 358,986 )

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

Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held as of September 30, 2020 (3) $ ( 329 ) $ — $ — $ — $ ( 25,443 ) $ ( 14,210 ) $ ( 2,183 ) $ 12,890 $ 8,598

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

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.

During the nine months ended September 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 nine months ended September 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)

June 30, 2020

Six Months Ended June 30, 2019 (in thousands)

September 30, 2020

Nine Months Ended September 30, 2019 (in thousands)

Interest Only

6 unchanged sentences

Purchases/Transfers 213,495 — 1,632 82,540 — 207,048 90,451 — — —

Issuances of Securitized Debt — — — — — — — — — ( 65,171 )

Capital Contributions — — — — — — — — 17,837 —

4 unchanged sentences

Ending Balance $ 654,057 $ 1,422 $ 12,292 $ 257,962 $ 44,943 $ 379,377 $ 146,518 $ 18,155 $ 27,271 $ ( 73,186 )

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

Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held as of September 30, 2019 (3) $ 10,193 $ ( 613 ) $ 165 $ 15,089 $ ( 2,631 ) $ 12,643 $ 710 $ ( 5,867 ) $ ( 10,926 ) $ ( 2 )

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

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.

During the nine months ended September 30, 2019, the Company transferred 14 Non-Agency RMBS securities into the Level 3 category from the Level 2 category and 4 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)

June 30, 2020

September 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 June 30, 2020 (in thousands) Valuation Technique Unobservable Input Range

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

(Weighted Average) (1)

16 unchanged sentences

AG Arc $ 41,436 Comparable Multiple Book Value Multiple 1.0 x - 1.0 x ( 1.0 x)

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

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

(Weighted Average)

4 unchanged sentences

(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.

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

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2020

September 30, 2020

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

40 unchanged sentences

Broker quotations may also be used.

The significant unobservable inputs used in the fair value measurement of the Company’s securities are prepayment rates, probability of default, and loss severity in the event of default.

The significant unobservable inputs used in the fair value measurement of the Company’s securities are yields, prepayment rates, probability of default, and loss severity in the event of default.

Significant increases (decreases) in any of those inputs in isolation would result in a significantly lower (higher) fair value measurement.

3 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

The valuations of commercial loans also require significant judgments, which include assumptions regarding capitalization rates, re-performance rates, leasing, creditworthiness

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2020

necessary by management.

September 30, 2020

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

1 unchanged sentence

Financing arrangements

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

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

September 30, 2020 December 31, 2019

Repurchase agreements $ 164,304 $ 3,121,966

Revolving facilities (1) 61,200 111,502

Financing arrangements, net $ 251,098 $ 3,233,468

Financing arrangements $ 225,504 $ 3,233,468

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

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.

4 unchanged sentences

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.

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

Refer to Note 13 for more information on deficiencies, all of which have been settled.

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

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

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2020

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.

September 30, 2020

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.

3 unchanged sentences

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.

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 June 30, 2020 ($ in thousands):

Repurchase Agreements Real Estate Securities Pledged

3 unchanged sentences

30 days or less $ 140,386 0.94 % 15.4 % $ 174,449 $ 182,292 $ 483

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

8 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 June 30, 2020 ($ in thousands):

Repurchase Agreements Residential Mortgage Loans Pledged (1)

3 unchanged sentences

61-90 days $ 23,918 4.10 % 4.10 % 42.7 % $ 45,019 $ 44,017 $ 704

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

(1) These amounts represent certain of the Company's retained interests in securitizations.

Refer to Note 4 for more information on the August 2019 VIE and September 2020 VIE.

6 unchanged sentences

Total / Weighted Average $ 131,594 3.53 % 3.68 % 22.0 % $ 171,224 $ 160,601 $ 820

(1) Balances contain certain of the Company's retained interests in securitizations.

Refer to Note 4 for more information on the Company's August 2019 VIE.

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements (Unaudited)

June 30, 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 June 30, 2020 ($ in thousands):

Repurchase Agreements Commercial Loans Pledged

Repurchase Agreements Maturing Within:

Balance Weighted

Weighted Average

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

September 30, 2020

The Company did no t have any repurchase agreements with any corresponding commercial loans pledged as collateral as of September 30, 2020.

7 unchanged sentences

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

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

As of September 30, 2020, the Company pledged cash of $ 0.4 million as collateral for clearing trades.

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

September 30, 2020 December 31, 2019

Fair Value of investments pledged as collateral under repurchase agreements

6 unchanged sentences

Total collateral pledged under repurchase agreements $ 219,506 $ 3,516,146

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

As of September 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

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

September 30, 2020 December 31, 2019

Repurchase agreements secured by investments:

5 unchanged sentences

Gross Liability for repurchase agreements $ 164,304 $ 3,121,966

Repurchase agreements eligible for offset are presented gross on the consolidated balance sheets as of September 30, 2020 and December 31, 2019.

The Company has not offset or netted its repurchase agreements with any cash collateral posted for either period.

AG Mortgage Investment Trust Inc.

1 unchanged sentence

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

Consolidated Balance Sheets

As of Gross Amounts of

Gross Amounts Offset in the Consolidated

Balance Sheets

Net Amounts of

Liabilities Presented in the

Consolidated Balance Sheets

Cash Collateral

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

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

September 30, 2020

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 June 30, 2020 and December 31, 2019 ($ in thousands).

June 30, 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 September 30, 2020 and December 31, 2019 ($ in thousands).

September 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

5 unchanged sentences

(3) Increasing the Company's borrowing capacity under this facility requires consent of the lender.

In June 2018, AG MIT WFB1 2014 LLC ("AG MIT WFB1"), a subsidiary of the Company, entered into Amendments Seven and Eight of the Master Repurchase Agreement and Securities Contract (as amended, the "WFB1 Repurchase Agreement" or "Revolving facility B") with Wells Fargo to finance the ownership and acquisition of certain pools of residential mortgage loans.

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.

(4) 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.

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 6 as of June 30, 2020.

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).

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 6 as of September 30, 2020.

The following tables present information at September 30, 2020 and 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).

September 30, 2020

Counterparty Stockholders’ Equity

3 unchanged sentences

Credit Suisse AG, Cayman Islands Branch $ 38,385 43 9.8 %

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).

December 31, 2019

Counterparty Stockholders’ Equity

8 unchanged sentences

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

As of September 30, 2020, the Company is in compliance with all of its financial covenants.

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 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 June 30, 2020 and December 31, 2019 (in thousands):

June 30, 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 September 30, 2020 and December 31, 2019 (in thousands):

September 30, 2020 December 31, 2019

Interest receivable $ 3,265 $ 13,548

6 unchanged sentences

Derivative liabilities, at fair value 39 411

Due to affiliates (1) 13,766 5,226

Accrued expenses 4,351 6,175

Deficiencies payable (1) 2,200 —

Taxes payable — 815

2 unchanged sentences

(1) Refer to Note 11 for more information.

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2020

Derivative assets and liabilities

6 unchanged sentences

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.

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).

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

Derivatives and Other Instruments (1) Designation Balance Sheet

Location June 30, 2020 December 31, 2019

Location September 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

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.

(1) As of September 30, 2020, the Company applied a fair value reduction of $ 27.3 thousand on its British Pound Futures 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 June 30, 2020.

(2) As of September 30, 2020, the Company applied a reduction in fair value of $ 0.2 million and $ 13.9 thousand to its interest rate swap assets and liabilities, respectively, related to variation margin.

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.

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2020

The following table summarizes information related to derivatives and other instruments (in thousands):

Notional amount of non-hedge derivatives and other instruments:

Notional Currency June 30, 2020 December 31, 2019

Notional Currency September 30, 2020 December 31, 2019

Pay Fix/Receive Float Interest Rate Swap Agreements USD $ 180,000 $ 1,848,750

4 unchanged sentences

(2) Each Euro Future contract embodies € 125,000 of notional value.

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2020

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

Three Months Ended Six Months Ended

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

Three Months Ended Nine Months Ended

September 30, 2020 September 30, 2019 September 30, 2020 September 30, 2019

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

19 unchanged sentences

Total income/(loss) $ 5 $ ( 13,111 ) $ ( 73,636 ) $ ( 73,949 )

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

Consolidated Balance Sheet

Description Gross Amounts of

Recognized Assets

(Liabilities)

Gross Amounts

Offset in the

Balance Sheets

Net Amounts of

Assets (Liabilities)

Presented in the

Balance Sheets

(Posted)/Received

Cash Collateral

(Posted)/Received

Derivative Assets

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.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2020

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

Gross Amounts Not Offset in the

Consolidated Balance Sheet

Description (1) Gross Amounts of

Recognized Assets

(Liabilities) Gross Amounts

Offset in the

Balance Sheets Net Amounts of

Assets (Liabilities)

Presented in the

Balance Sheets

(Posted)/Received Cash Collateral

(Posted)/Received Net Amount

Derivative Assets (2)

Interest Rate Swaps $ 1,980 $ — $ 1,980 $ — $ 1 $ 1,979

Interest Rate Swaptions 2,083 — 2,083 — — 2,083

Total Derivative Assets $ 4,063 $ — $ 4,063 $ — $ 1 $ 4,062

Derivative Liabilities (3)

Interest Rate Swaps $ 977 $ — $ 977 $ — $ 1 $ 976

Total Derivative Liabilities $ 977 $ — $ 977 $ — $ 1 $ 976

(1) 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.

The Company applied a reduction in fair value of $ 19.7 thousand and $ 0.1 million to its Euro Futures liabilities and British Pound Futures liabilities, respectively, related to variation margin.

(2) Included in Other assets on the consolidated balance sheet is $ 4.1 million less accrued interest of $( 1.8 ) million for a total of $ 2.3 million.

(3) Included in Other liabilities on the consolidated balance sheet is $ 1.0 million less accrued interest of $( 1.4 ) million for a total of $( 0.4 ) million.

Derivative and other instruments eligible for offset are presented gross on the consolidated balance sheets as of September 30, 2020 and December 31, 2019.

The Company has not offset or netted any derivatives or other instruments with any financial instruments or cash collateral posted or received.

The Company must post cash or securities as collateral on its derivative instruments when their fair value declines.

1 unchanged sentence

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 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.

As of September 30, 2020, the Company did not pledge any real estate securities as collateral against certain derivatives and pledged $ 3.1 million of cash as collateral against certain derivatives.

Of the $ 3.1 million of cash pledged as collateral against certain derivatives, $ 0.2 million represents amounts related to variation margin.

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

Interest rate swaps

To help mitigate exposure to increases in interest rates, the Company may use currently-paying and forward-starting, one- or three-month LIBOR-indexed, pay-fixed, receive-variable, interest rate swap agreements.

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 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.

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.

Of the $ 32.1 million of cash pledged as collateral against certain

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2020

September 30, 2020

derivatives, $ 8.5 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 September 30, 2020 and December 31, 2019.

Interest rate swaps

As of September 30, 2020, the Company’s interest rate swap positions consisted of pay-fixed interest rate swaps.

The following table presents information about the Company’s interest rate swaps as of September 30, 2020 ($ in thousands):

Maturity Notional Amount Weighted Average

Pay-Fixed Rate Weighted Average

Receive-Variable Rate Weighted Average

Years to Maturity

2025 $ 136,000 0.34 % 0.13 % 4.95

2030 44,000 0.68 % 0.12 % 9.96

Total/Wtd Avg $ 180,000 0.42 % 0.13 % 6.18

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

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):

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

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

For the Three Months Ended:

3 unchanged sentences

from/to Broker

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

September 30, 2019 TBAs - Long $ 125,000 $ 475,000 $ ( 450,000 ) $ 150,000 $ 153,175 $ ( 154,042 ) $ 386 $ ( 1,253 )

TBAs - Short $ ( 100,000 ) $ 300,000 $ ( 200,000 ) $ — $ — $ — $ — $ —

For the Six Months Ended:

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2020

For the Nine Months Ended:

Buys or Covers Sales or Shorts Ending Net Notional

2 unchanged sentences

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 )

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

September 30, 2019 TBAs - Long $ — $ 1,869,500 $ ( 1,719,500 ) $ 150,000 $ 153,175 $ ( 154,042 ) $ 386 $ ( 1,253 )

TBAs - Short $ — $ 485,000 $ ( 485,000 ) $ — $ — $ — $ — $ —

2 unchanged sentences

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 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.

The Company had no unvested restricted stock units as of September 30, 2020 and 20.0 thousand unvested restricted outstanding stock units as of September 30, 2019.

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

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.

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements (Unaudited)

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

September 30, 2020

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

Three Months Ended Nine Months Ended

September 30, 2020 September 30, 2019 September 30, 2020 September 30, 2019

Net Income/(Loss) from Continuing Operations $ 20,046 $ 11,106 $ ( 462,271 ) $ 61,166

Gain on Exchange Offer, net 539 — 539 —

Dividends on preferred stock ( 5,563 ) ( 3,720 ) ( 16,897 ) ( 10,455 )

13 unchanged sentences

Total Earnings/(Loss) Per Share of Common Stock $ 0.44 $ 0.19 $ ( 14.34 ) $ 1.48

(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.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

June 30, 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 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.

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 and the three months ended September 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.

4 unchanged sentences

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):

Subsequent to quarter end, the Company announced that its Board of Directors has approved, and the Company has declared and set apart for payment on December 17, 2020, the next regular payment date, all accrued and unpaid cash 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 that were in arrears as well as the full dividends payable on the preferred stock for the fourth quarter of 2020 in the amount of $ 1.54689 , $ 1.50 and $ 1.50 per share, respectively.

The dividends will be paid on December 17, 2020 to holders of record on November 30, 2020.

As of September 30, 2020, the Company's book value does not include any accrual of accumulated, unpaid, or undeclared dividends on its

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2020

Cumulative Redeemable Preferred Stock.

As such, the Company's book value will decrease by the amount of the dividends declared during the fourth quarter.

The Company's book value per share as of September 30, 2020 would be $ 0.31 lower after deducting the accumulated and unpaid preferred dividends outstanding as of September 30, 2020.

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

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

5 unchanged sentences

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:

The following tables detail the Company's common stock dividends declared during the nine months ended September 30, 2019:

Declaration Date Record Date Payment Date Dividend Per Share

1 unchanged sentence

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

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

9/6/2019 9/30/2019 10/31/2019 0.45

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

Cash Dividend Per Share

5 unchanged sentences

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

8/16/2019 8/30/2019 9/17/2019 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.

1 unchanged sentence

federal income tax treatment of REITs.

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.

For the three months ended September 30, 2020, the Company did no t record any excise tax expense.

For the nine months ended September 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.

For the three and nine months ended September 30, 2019, the Company recorded excise tax expense of $ 0.2 million and $ 0.5 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.

3 unchanged sentences

federal, state or local tax examinations related to the Company.

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2020

The Company elected to treat certain domestic subsidiaries as TRSs and may elect to treat other subsidiaries as TRSs.

3 unchanged sentences

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 June 30, 2020 or June 30, 2019.

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

2 unchanged sentences

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

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

The Company is externally managed and advised by the Manager.

7 unchanged sentences

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 and nine months ended September 30, 2020, the Company incurred management fees of approximately $ 1.7 million and $ 5.5 million, respectively.

For the three and nine months ended September 30, 2019, the Company incurred management fees of approximately $ 2.3 million and $ 7.1 million, respectively.

As of September 30, 2020 and December 31, 2019, the Company recorded management fees payable of $ 1.2 million and $ 2.7 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.

AG Mortgage Investment Trust Inc.

1 unchanged sentence

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.

September 30, 2020

On September 24, 2020, the Company and the Manager executed another amendment (the "Second Management Agreement Amendment") to the management agreement, pursuant to which the Manager agreed to receive a portion of the accrued base management fee owed to it in shares of common stock.

Pursuant to the Second Management Agreement Amendment, the Manager agreed to accept (i) 1,215,370 shares of common stock in full satisfaction of the deferred base management fee of $ 3.8 million payable by the Company in respect to the first and second quarters of 2020 and (ii) 154,500 shares of common stock in satisfaction of $ 0.5 million of the base management fee payable by the Company in respect to the third quarter of 2020.

The shares of Common Stock issued to the Manager were valued at $ 3.15 per share based on the midpoint of the estimated range of the Company’s book value per share as of August 31, 2020.

The remaining third quarter management fee will be paid in the normal course of business.

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

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

Expense reimbursement

4 unchanged sentences

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 $ 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.

Of the $ 5.9 million and $ 11.3 million of Other operating expenses for the three and nine months ended September 30, 2020, respectively, the Company has incurred $ 2.3 million and $ 6.2 million, respectively, representing a reimbursement of expenses.

Of the $ 6.1 million and $ 13.7 million of Other operating expenses for the three and nine months ended September 30, 2019, respectively, the Company has incurred $ 1.6 million and $ 5.5 million, respectively, representing a reimbursement of expenses.

As of September 30, 2020 and December 31, 2019, the Company recorded a reimbursement payable to the Manager of $ 2.2 million and $ 2.5 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 reimbursement of expenses effective Q1 2020 through September 30, 2020, or such other time as the Company and the Manager agree.

As of September 30, 2020, the Company has reimbursed the Manager for expenses through the second quarter of 2020.

Expenses related to the third quarter will be paid in the normal course of business.

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.

2 unchanged sentences

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 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

Interest on the Note is

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2020

of June 30, 2020.

September 30, 2020

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

Restricted stock grants

1 unchanged sentence

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.

As of September 30, 2020, 1,901,106 shares of common stock were available to be awarded under the Equity Incentive Plan.

Since its IPO, the Company has granted an aggregate of 204,688 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.

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

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.

The vesting of such units is subject to the continuation of the management agreement.

If the management agreement terminates, all unvested units then held by the Manager or the Manager’s transferee shall be immediately cancelled and forfeited without consideration.

Director compensation

4 unchanged sentences

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.

These shares may not be sold or transferred by such director during the time of his service as an independent member of the Company’s board.

These shares may not be sold or transferred by such director during the time of their service as an independent member of the Company’s board.

Beginning in 2019, the Company increased the annual fee paid to the lead independent director from $ 15,000 to $ 25,000 .

5 unchanged sentences

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 June 30, 2020 and December 31, 2019.

See Note 2 for the gross fair value of the Company's share of these investments as of September 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.

2 unchanged sentences

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

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

See Note 2 for the fair value of AG Arc as of September 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.

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.

Arc Home is led by an external management team.

AG Mortgage Investment Trust Inc.

1 unchanged sentence

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.

September 30, 2020

Arc Home may sell loans to the Company, to third parties, or to affiliates of the Manager.

1 unchanged sentence

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

As of September 30, 2020 and December 31, 2019, these Excess MSRs had fair value of approximately $ 3.9 million and $ 18.2 million, respectively.

See below "Transactions with affiliates" and Note 5 for details regarding the sale of a portion of the Company's Excess MSRs during the third quarter of 2020.

During the third quarter of 2020, Arc Home began selling Non-QM loans to a private fund under the management of Angelo Gordon.

Arc Home sold $ 4.6 million of unpaid principal balance of Non-QM loans to this affiliate of the Manager in September 2020.

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.

5 unchanged sentences

Refer to Note 13 for additional information.

The Company has an approximate 47.5 % and 50 % interest in LOTS I and LOTS II, respectively.

Transactions with affiliates

5 unchanged sentences

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 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.

For the three and nine months ended September 30, 2020, the fees paid by the Company to the Asset Manager totaled $ 0.6 million and $ 2.1 million, respectively.

For the three and nine months ended September 30, 2019, the fees paid by the Company to the Asset Manager totaled $ 0.1 million and $ 0.4 million, respectively.

These fees include amounts paid directly by the Company and amounts paid by trustees in securitizations that the Company owns residual interests in.

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 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.

For the three and nine months ended September 30, 2020, the administrative fees paid by the Company to Arc Home totaled $ 42.0 thousand and $ 0.2 million, respectively.

For the three and nine months ended September 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").

8 unchanged sentences

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2020

September 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.

18 unchanged sentences

The Company has a 44.6 % interest in the retained subordinate tranches.

In July 2020, in accordance with the Company’s Affiliated Transactions Policy, the Company sold certain real estate securities to an affiliate of the Manager (the "July 2020 Acquiring Affiliate").

As of the date of the trade, the real estate securities sold to the July 2020 Acquiring Affiliate had a total fair value of $ 1.9 million.

The July 2020 Acquiring Affiliate purchased the real estate securities through a BWIC.

Prior to the submission of the BWIC by the Company, the July 2020 Acquiring Affiliate submitted its bid for real estate securities to the Company.

The July 2020 Acquiring Affiliate’s pre-submission of its bid allowed the Company to confirm third-party market pricing and best execution.

In August 2020, 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 $ 226.0 million were securitized.

The Company has a 44.6 % interest in the retained subordinate tranches.

In August 2020, the Company, alongside private funds under the management of Angelo Gordon, sold its Ginnie Mae Excess MSR portfolio to Arc Home for total proceeds of $ 18.9 million.

The portfolio had a total unpaid principal balance of $ 3.1 billion.

The Company's share of the total proceeds approximated $ 8.5 million, representing its approximate 45 % ownership interest.

Arc Home subsequently sold its Ginnie Mae MSR portfolio to a third party.

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2020

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 June 30, 2020, $ 591.2 million of the Company’s securities, including capital stock, was available for issuance under the 2018 Registration Statement.

As of September 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.

6 unchanged sentences

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.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2020

any sinking fund or mandatory redemption.

The Company’s Series A, Series B and Series C 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, Series B and Series C Preferred Stock are convertible to shares of the Company’s common stock.

2 unchanged sentences

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.

On and after September 17, 2024, dividends on the Series C Preferred Stock will accumulate at a percentage of the $ 25.00 liquidation preference equal to an annual floating rate of the then three-month LIBOR plus a spread of 6.476 % per annum.

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.

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.

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 its 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.

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 its 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.

As of September 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.

Under the terms of the Company's charter governing its series of preferred stock, the Company cannot pay cash dividends with respect to its common stock if dividends on its 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.

Such authorization does not have an expiration date.

Such authorization does not have an expiration

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2020

As part of the Repurchase Program, shares may be purchased in open market transactions, including through block purchases, through privately negotiated transactions, or pursuant to any trading plan that may be adopted in accordance with Rule 10b5-1 of the Exchange Act.

4 unchanged sentences

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 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.

No shares were repurchased under the Repurchase Program during the three and nine months ended September 30, 2020 and September 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 and six

For the three and nine months ended September 30, 2020, the Company sold 0.4 million and 1.4 million shares of common stock under the Equity Distribution Agreements for net proceeds of approximately $ 1.2 million and $ 4.7 million, respectively.

For the three and nine months ended September 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 September 30, 2020, the Company has sold approximately 2.8 million shares of common stock under the Equity Distribution Agreements for gross proceeds of $ 32.3 million, with 67.7 million available to be issued.

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 August 14, 2020, the Company announced the commencement of an offer to exchange (the "Exchange Offer") newly issued shares of common stock for up to 250,470 shares of its Series A Preferred Stock, up to 556,600 shares of its Series B Preferred Stock, and up to 556,600 shares of its Series C Preferred Stock.

The Exchange Offer had an expiration date of September 11, 2020.

Based on the final count provided by the Exchange Agent, American Stock Transfer & Trust Company, LLC, a total of 42,820 shares of Series A Preferred Stock, 31,085 Series B Preferred Stock and 29,355 Series C Preferred Stock were validly tendered and not properly withdrawn prior to the expiration of the Exchange Offer.

The Company accepted all such 103,260 validly tendered shares of preferred stock, and issued in exchange a total of 516,300 shares of Common Stock in reliance upon the exemption from registration provided under Section 3(a)(9) of the Securities Act of 1933, as amended.

After settlement, the Company had outstanding 2,027,180 shares of Series A Preferred Stock, 4,568,915 shares of Series B Preferred Stock and 4,570,645 shares of Series C Preferred Stock.

On September 24, 2020, the Company issued (i) 1,215,370 shares of common stock to the Manager in full satisfaction of the deferred base management fee of $ 3.8 million payable by the Company in respect to the first and second quarters of 2020 and (ii) 154,500 shares of common stock in satisfaction of $ 0.5 million of the base management fee payable by the Company in respect to the third quarter of 2020.

The shares of Common Stock issued to the Manager were valued at $ 3.15 per share based on the midpoint of the estimated range of the Company’s book value per share as of August 31, 2020.

The remaining third quarter management fee will be paid in the normal course of business.

Refer to Note 11 for more information on this transaction.

The dividends will be paid on December 17, 2020 to holders of record on November 30, 2020.

As of September 30, 2020, the Company's book value does not include any accrual of accumulated, unpaid, or undeclared dividends on its

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements (Unaudited)

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.

September 30, 2020

Cumulative Redeemable Preferred Stock.

As such, the Company's book value as of September 30, 2020 will decrease by the amount of the dividends declared during the fourth quarter.

The Company's book value per share as of September 30, 2020 would be $ 0.31 lower after deducting the accumulated and unpaid preferred dividends outstanding as of September 30, 2020.

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 June 30, 2020, other than as set forth below, the Company was not involved in any material legal proceedings.

As of September 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.

7 unchanged sentences

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.

As a result, as of September 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 September 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):

As of August 2020, MITT resolved and settled all deficiency claims with lenders.

The below table details the Company's outstanding commitments as of September 30, 2020 (in thousands):

Commitment type Date of Commitment Total Commitment Funded Commitment Remaining Commitment

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 G (a)(b) July 26, 2018 $ 78,806 $ 56,697 $ 22,109

Commercial loan I (a)(c) January 23, 2019 20,000 15,211 4,789

Commercial loan K (a) February 22, 2019 20,000 14,173 5,827

LOTS (b) Various 40,819 22,999 17,820

LOTS (d) Various 39,361 24,191 15,170

Total $ 158,167 $ 110,272 $ 47,895

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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.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2020

(b) Paydowns of $ 5.7 million on Commercial loan G during the quarter decreased the total commitment from $ 84.5 million to $ 78.8 million.

(c) Subsequent to quarter end, the Company and the borrower of Loan I entered into a modification agreement to, among other things, extend the term of the Loan, allow for a portion of the interest to be deferred and increase the capital commitment amount by $ 6.0 million.

(d) Refer to Note 11 "Investments in debt and equity of affiliates" for more information regarding LOTS.

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 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

As of September 30, 2020 and December 31, 2019, the Company has disposed of substantially all of its single-family rental properties segment.

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2020

The table below presents the Company's results of operations for the three and nine months ended September 30, 2020 and September 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).

There was no net income or loss from discontinued operations for the three months ended September 30, 2020.

Three Months Ended Nine Months Ended

September 30, 2019 September 30, 2020 September 30, 2019

Interest expense $ ( 1,247 ) $ — $ ( 3,741 )

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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

The table below presents the Company's statement of net positions for the years ended September 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):

September 30, 2020 December 31, 2019

Other assets $ — $ 154

Total Assets — 154

Other liabilities $ 305 $ 1,546

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.

On September 30, 2020, the Company agreed to issue an aggregate of 3,679,634 shares of its common stock and agreed to pay aggregate cash consideration of $ 6.3 million in exchange for 210,662 shares of Series A Preferred Stock, 404,187 shares of Series B Preferred Stock, and 427,467 shares of Series C Preferred Stock, pursuant to a privately negotiated exchange agreement entered into on September 30, 2020 with existing holders of the preferred stock.

After the transaction closed, the preferred stock exchanged pursuant to the exchange agreement were reclassified as authorized but unissued shares of preferred stock without designation as to class or series.

On October 2, 2020, the Company agreed to issue an aggregate of 900,000 shares of its common stock and agreed to pay aggregate cash consideration of $ 1.7 million in exchange for 260,000 shares of Series C Preferred Stock, pursuant to a privately negotiated exchange agreement entered into on October 2, 2020 with existing holders of the Series C Preferred Stock.

After the transaction closed, the Series C Preferred Stock exchanged pursuant to the exchange agreement were reclassified as authorized but unissued shares of preferred stock without designation as to class or series.

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements (Unaudited)

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.

September 30, 2020

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 that were in arrears as well as the full dividends payable on the preferred stock for the fourth quarter of 2020 in the amount of $ 1.54689 , $ 1.50 and $ 1.50 per share, respectively.

The dividends will be paid on December 17, 2020 to holders of record on November 30, 2020.

As of September 30, 2020, the Company's book value does not include any accrual of accumulated, unpaid, or undeclared dividends on our Cumulative Redeemable Preferred Stock.

As such, the Company's book value will decrease by the amount of the dividends declared during the fourth quarter.

The Company's book value per share as of September 30, 2020 would be $ 0.31 lower deducting the accumulated and unpaid preferred dividends outstanding as of September 30, 2020.

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