What changed in this filing

/stocks — the workspaceLOADING

Item 1. Financial Statements

2021-05-07 compared with 2020-11-06 · 643 added, 1170 removed, 876 unchanged (67% of the section changed)

4 unchanged sentences

(in thousands, except per share data)

September 30, 2020 December 31, 2019

March 31, 2021 December 31, 2020

Real estate securities, at fair value:

7 unchanged sentences

642,959 435,441

Commercial loans, at fair value - $ 0 and $ 4,674 pledged as collateral, respectively

122,880 158,686

Commercial loans, at fair value 58,209 111,549

Commercial loans held for sale, at fair value — 13,959

Investments in debt and equity of affiliates 160,323 150,667

3 unchanged sentences

Other assets 8,922 9,407

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

Total Assets $ 1,942,600 $ 1,400,045

4 unchanged sentences

Other liabilities 7,875 18,755

Liabilities held for sale - Single-family rental properties, net 305 1,546

Total Liabilities 1,487,295 990,340

4 unchanged sentences

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)

1,663 and 1,817 shares issued and outstanding at March 31, 2021 and December 31, 2020, respectively ($ 41,580 and $ 45,413 aggregate liquidation preference, respectively)

40,110 43,808

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)

3,814 and 4,165 shares issued and outstanding at March 31, 2021 and December 31, 2020, respectively ($ 95,353 and $ 104,118 aggregate liquidation preference, respectively)

92,279 100,762

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)

8.000 % Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, 3,883 shares issued and outstanding at March 31, 2021 and December 31, 2020 ($ 97,079 aggregate liquidation preference)

93,908 93,908

Common stock, par value $ 0.01 per share;

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

450,000 shares of common stock authorized and 46,503 and 41,434 shares issued and outstanding at March 31, 2021 and December 31, 2020, respectively

Additional paid-in capital 710,746 688,871

4 unchanged sentences

(1) See Note 4 for details related to variable interest entities.

(2) See Note 4 for details related to variable interest entities.

AG Mortgage Investment Trust, Inc.

2 unchanged sentences

(in thousands, except per share data)

Three Months Ended Nine Months Ended

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

Three Months Ended

March 31, 2021 March 31, 2020

Net Interest Income

13 unchanged sentences

Restructuring related expenses — 1,500

Equity based compensation to affiliate — 76 163 275

Excise tax — ( 815 )

3 unchanged sentences

Equity in earnings/(loss) from affiliates 26,336 ( 44,192 )

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

Net Income/(Loss) from Discontinued Operations — ( 1,057 ) 361 ( 3,284 )

Net Income/(Loss) 43,249 ( 485,017 )

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

Gain on Exchange Offers, net (Note 11) 358 —

Dividends on preferred stock ( 4,924 ) ( 5,667 )

1 unchanged sentence

Earnings/(Loss) Per Share - Basic

Continuing Operations $ 0.44 $ 0.22 $ ( 14.35 ) $ 1.58

Discontinued Operations — ( 0.03 ) 0.01 ( 0.10 )

Total Earnings/(Loss) Per Share of Common Stock $ 0.91 $ ( 14.98 )

Earnings/(Loss) Per Share - Diluted

Continuing Operations $ 0.44 $ 0.22 $ ( 14.35 ) $ 1.58

Discontinued Operations — ( 0.03 ) 0.01 ( 0.10 )

Total Earnings/(Loss) Per Share of Common Stock $ 0.91 $ ( 14.98 )

2 unchanged sentences

Diluted 42,348 32,749

(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 September 30, 2020 and September 30, 2019

Common Stock 8.25% Series A

Preferred Stock 8.00% Series B

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

Paid-in Capital Retained

Earnings/(Deficit)

Shares Amount Total

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

Paid-in Capital Retained

Earnings/(Deficit)

Shares Amount Total

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

Common dividends declared — — — — — — ( 14,731 ) ( 14,731 )

Preferred Series A dividends declared — — — — — — ( 1,068 ) ( 1,068 )

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

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

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

For the Three Months Ended March 31, 2021 and March 31, 2020

Common Stock 8.25 % Series A

Preferred Stock 8.00% Series B

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

Preferred Stock

8.00 % Series B

Preferred Stock

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

Paid-in Capital Retained

3 unchanged sentences

Net proceeds from issuance of common stock 2,235 22 — — — 10,011 — 10,033

Grant of restricted stock and amortization of equity based compensation 125 1 — — — 515 — 516

Grant of restricted stock 22 — — — — 80 — 80

Common dividends declared — — — — — — ( 2,791 ) ( 2,791 )

Preferred Series A dividends declared — — — — — — ( 937 ) ( 937 )

1 unchanged sentence

Preferred Series C dividends declared — — — — — — ( 1,942 ) ( 1,942 )

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

Exchange Offers (Note 11) 2,812 29 ( 3,698 ) ( 8,483 ) — 11,784 358 ( 10 )

Net Income/(Loss) — — — — — — 43,249 43,249

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

Balance at March 31, 2021 46,503 $ 465 $ 40,110 $ 92,279 $ 93,908 $ 710,746 $ ( 482,203 ) $ 455,305

Common Stock 8.25% Series A

5 unchanged sentences

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

Net proceeds from issuance of common stock 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 7 — — — — 303 — 303

Common dividends declared — — — — — — ( 47,438 ) ( 47,438 )

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

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

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

Net Income/(Loss) — — — — — — ( 485,017 ) ( 485,017 )

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

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

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

AG Mortgage Investment Trust, Inc.

2 unchanged sentences

(in thousands)

Nine Months Ended

September 30, 2020 September 30, 2019

Three Months Ended

March 31, 2021 March 31, 2020

Cash Flows from Operating Activities

Net income/(loss) $ 43,249 $ ( 485,017 )

Net (income)/loss from discontinued operations ( 361 ) 3,284

Net income/(loss) from continuing operations ( 462,271 ) 61,166

Adjustments to reconcile net income/(loss) to net cash provided by (used in) operating activities:

18 unchanged sentences

Purchase of commercial loans ( 1,788 ) ( 6,778 )

Purchase of U.S.

Treasury securities — ( 81,917 )

Investments in debt and equity of affiliates ( 1,122 ) ( 28,180 )

Proceeds from sales of excess MSRs 7,735 —

Proceeds from sales of real estate securities 111,954 2,449,103

1 unchanged sentence

Proceeds from sales of commercial loans 74,579 —

Proceeds from sales of U.S.

Treasury securities — 82,048

Principal repayments on real estate securities 14,337 97,694

3 unchanged sentences

Distributions received in excess of income from investments in debt and equity of affiliates 12,325 19,509

Net proceeds from (payments made on) reverse repurchase agreements — 11,499

Net proceeds from (payments made on) sales of securities borrowed under reverse repurchase agreements — ( 11,479 )

Net settlement of interest rate swaps and other instruments 27,469 ( 73,338 )

1 unchanged sentence

Cash flows provided by (used in) other investing activities 619 ( 2,638 )

Net cash provided by (used in) continuing investing activities 2,491,879 ( 1,197,442 )

Net cash provided by (used in) discontinued investing activities — 374

Net cash provided by (used in) investing activities ( 526,454 ) 1,976,276

1 unchanged sentence

Net proceeds from issuance of common stock 10,033 —

Net proceeds from issuance of preferred stock — 111,183

Borrowings under financing arrangements 2,852,955 11,470,090

Nine Months Ended

September 30, 2020 September 30, 2019

Repayments of financing arrangements ( 2,284,802 ) ( 13,391,832 )

Borrowings under secured debt 20,000 —

Repayments of secured debt ( 10,000 ) —

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

Principal repayments on securitized debt ( 12,777 ) ( 5,707 )

Net collateral received from (paid to) derivative counterparty — ( 724 )

Net collateral received from (paid to) repurchase counterparty — ( 27,444 )

2 unchanged sentences

Net cash provided by continuing financing activities 549,205 ( 1,975,294 )

Net cash provided by (used in) financing activities ( 2,565,086 ) 1,147,672

Net change in cash, cash equivalents and restricted cash ( 75,491 ) ( 16,599 )

Cash, cash equivalents, and restricted cash, Beginning of Period 125,369 84,358

Three Months Ended

March 31, 2021 March 31, 2020

Net change in cash and cash equivalents and restricted cash 29,228 8,413

Cash and cash equivalents and restricted cash, Beginning of Period 62,318 125,369

Effect of exchange rate changes on cash 9 ( 83 )

Cash, cash equivalents, and restricted cash, End of Period $ 49,700 $ 67,841

Cash and cash equivalents and restricted cash, End of Period $ 91,555 $ 133,699

Supplemental disclosure of cash flow information:

2 unchanged sentences

Supplemental disclosure of non-cash financing and investing activities:

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

Receivable on unsettled trades $ — $ 12,007

1 unchanged sentence

Exchange Offer (Note 11) $ 12,181 $ —

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

Transfer of real estate securities in satisfaction of repurchase agreements $ — $ 340,267

Change in repurchase agreements from transfer of real estate securities $ — $ 339,898

Decrease in securitized debt $ — $ 1,193

Transfer from residential mortgage loans to other assets $ 571 $ 206

Transfer from investments in debt and equity of affiliates to CMBS $ — $ 320

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:

September 30, 2020 September 30, 2019

The following table provides a reconciliation of cash and cash equivalents and restricted cash reported within the consolidated balance sheets that sum to the total of the same such amounts shown in the consolidated statements of cash flows:

March 31, 2021 March 31, 2020

Cash and cash equivalents $ 51,637 $ 92,299

Restricted cash 39,918 41,400

Restricted cash included assets held for sale - Single-family rental properties, net — 5,588

Total cash, cash equivalents and restricted cash shown in the consolidated statements of cash flows $ 49,700 $ 67,841

Total cash and cash equivalents and restricted cash shown in the consolidated statements of cash flows $ 91,555 $ 133,699

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

2 unchanged sentences

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2020

March 31, 2021

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, 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.

government-sponsored entity such as Fannie Mae or Freddie Mac (collectively, "GSEs"), or any agency of the U.S.

Government such as Ginnie Mae (collectively, "Agency RMBS").

The principal and interest payments on Agency RMBS securities have an explicit guarantee by either an agency of the U.S.

government or a U.S.

government-sponsored entity.

Non-Agency RMBS represent fixed- and floating-rate RMBS issued by entities or organizations other than a GSE or agency of the U.S.

government, or that are collateralized by non-U.S.

mortgages, including investment grade (AAA through BBB) and non-investment grade classes (BB and below).

The mortgage loan collateral for Non-Agency RMBS consists of residential mortgage loans that do not generally conform to underwriting guidelines issued by U.S.

government agencies or U.S.

government-sponsored entities or are non-U.S.

Non-Agency RMBS also includes securities issued by companies whose primary assets are land and real estate.

Asset Backed Securities ("ABS") are securitized investments for which the underlying assets are diverse, not only representing real estate related assets.

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.

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

The Company's investment groups are primarily comprised of the following:

Investment Groups Description

Credit - Residential

Residential mortgage loans

• Non-QM Loans are residential mortgage loans that are not deemed "qualified mortgage," or "QM," loans under the rules of the Consumer Finance Protection Bureau.

• Performing, re-performing, and non-performing loans are residential mortgage loans collateralized by a first lien mortgage on residential mortgaged property.

Non-Agency Residential Mortgage-Backed Securities ("RMBS")

• Non-Agency RMBS represent fixed- and floating-rate RMBS issued by entities other than U.S.

government-sponsored entity ("GSE") or agency of the U.S.

The mortgage loan collateral for Non-Agency RMBS consists of residential mortgage loans that do not generally conform to underwriting guidelines issued by a GSE or agency of the U.S.

Credit - Commercial

Commercial Mortgage-Backed Securities ("CMBS") • CMBS represent investments of fixed- and floating-rate CMBS secured by, or evidencing an ownership interest in, a single commercial mortgage loan or a pool of commercial mortgage loans.

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.

Government, or are collateralized by non-U.S.

mortgages and are therefore subject to credit risk.

Collectively, the Company refers to Agency RMBS, Non-Agency RMBS, ABS and CMBS asset types as "real estate securities" or "securities."

Residential mortgage loans refer to performing, re-performing and non-performing loans secured by a first lien mortgage on residential mortgaged property located in any of the 50 states of the United States or in the District of Columbia.

Commercial loans are secured by an interest in commercial real estate and represent a contractual right to receive money on demand or on fixed or determinable dates.

Conduit CMBS are CMBS that are collateralized by commercial mortgage loans to multiple borrowers.

Commercial Loans • Commercial loans are collateralized by an interest in commercial real estate and represent a contractual right to receive money on demand or on fixed or determinable dates.

• Agency RMBS represent interests in pools of residential mortgage loans guaranteed by a GSE such as Fannie Mae or Freddie Mac, or any agency of the U.S.

Government such as Ginnie Mae.

Excess MSRs • Excess MSRs represent the excess servicing spread related to mortgage servicing rights, whose underlying collateral is securitized in a trust held by a GSE or agency of the U.S.

government ("Agency Excess MSR").

The Company refers to its residential and commercial mortgage loans as "mortgage loans" or "loans."

Excess MSRs refer to the excess servicing spread related to mortgage servicing rights, whose underlying collateral is securitized in a trust either held by a U.S.

government agency or GSE ("Agency Excess MSR") or not held by a U.S.

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;

(i) Securities and Loans and (ii) Single-Family Rental Properties.

On November 15, 2019, the Company sold its portfolio of single-family rental properties ("SFR portfolio") to a third party and no longer separated its business into segments.

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

The Company refers to Agency RMBS, Non-Agency RMBS, and CMBS asset types as "real estate securities" or "securities."

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

The Company conducts its business through one reportable segment, Securities and Loans, which reflects how the Company manages its business and analyzes and reports its results of operations.

On November 15, 2019, the Company sold its portfolio of single-family rental properties ("SFR portfolio") to a third party, which was previously reported as a separate operating segment.

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

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

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements (Unaudited)

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.

March 31, 2021

The Company conducts its operations to qualify and be taxed as a real estate investment trust ("REIT") under the Internal Revenue Code of 1986, as amended (the "Code").

2 unchanged sentences

COVID-19 Impact

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

On March 13, 2020, the U.S.

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

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

The novel coronavirus ("COVID-19") pandemic has caused, and will continue to cause, a significant disruption in the U.S.

and world economies.

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

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

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

2 unchanged sentences

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 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.

Although many of the government restrictions were relaxed over the summer and early fall of 2020, these conditions, or some level thereof, are expected to continue over the near term and may continue throughout the remainder of 2021, depending on state and local outbreaks and the pace and effectiveness of COVID-19 vaccinations.

Beginning in mid-March 2020, 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 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 $ 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 $ 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.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

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.

Refer to Note 2 "Financing arrangements" for further details related to the impact to the Company as a result of these economic conditions.

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.

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 the Company's borrowers, asset values and cost of capital.

and global economies, (iv) the timing, scope and effectiveness of additional governmental responses to the pandemic, including the availability of a treatment or the administration of vaccines, (v) the impact of government interventions, and (vi) the negative impact on the Company's borrowers, asset values and cost of capital.

Summary of significant accounting policies

The accompanying unaudited consolidated financial statements and related notes have been prepared on the accrual basis of accounting in accordance with accounting principles generally accepted in the United States of America ("GAAP") for interim financial reporting and the instructions to Form 10-Q and Rule 10-01 of Regulation S-X.

In the opinion of management, all adjustments considered necessary for a fair statement of the Company’s financial position, results of operations and cash flows have been included for the interim period and are of a normal and recurring nature.

In the opinion of management, all adjustments considered necessary for a fair presentation of the Company’s financial position, results of operations, and cash flows have been included for the interim period and are of a normal and recurring nature.

The operating results presented for interim periods are not necessarily indicative of the results that may be expected for any other interim period or for the entire year.

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 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.

Management believes that the Company will have sufficient liquidity to meet its obligations, as they become due, for the next twelve months.

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 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.

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

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

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

The Company believes the estimates and assumptions underlying our 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.

Cash and cash equivalents

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Cash equivalents includes cash invested in money market funds.

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.

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

Cash and cash equivalents are carried at cost, which approximates fair value.

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

Cash pledged to the Company as collateral is unrestricted in use and, accordingly, is included as a component of "Cash and cash equivalents" on the consolidated balance sheets.

Any cash held by the Company as collateral is included in the "Other liabilities" line item on the consolidated balance sheets and in cash flows from financing activities on the consolidated statement of cash flows.

Due to broker, which is included in the "Other liabilities" line item on the consolidated balance sheets, does not include variation margin received on centrally cleared derivatives.

See Note 8 for more detail.

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)

March 31, 2021

Restricted cash

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.

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

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Restricted cash is carried at cost, which approximates fair value.

Restricted cash does not include variation margin pledged on centrally cleared derivatives.

See Note 8 for more detail.

Offering costs

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.

Offering costs in connection with common stock offerings and costs in connection with registration statements have been accounted for as a reduction of additional paid-in capital.

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

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Actual results may differ from those estimates.

See Note 1 under " COVID-19 Impact " for more detail.

Earnings/(Loss) per share

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

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

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2020

Valuation of financial instruments

The fair value of the financial instruments that the Company records at fair value is determined by the Manager, subject to oversight of the Company’s Board of Directors, and in accordance with ASC 820, "Fair Value Measurements and Disclosures." When possible, the Company determines fair value using independent data sources.

ASC 820 establishes a hierarchy that prioritizes the inputs to valuation techniques giving the highest priority to readily available unadjusted quoted prices in active markets for identical assets (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements) when market prices are not readily available or reliable.

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

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

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.

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.

Accounting for real estate securities

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 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.

These investments meet the requirements to be classified as available for sale under ASC 320-10-25 which requires the securities to be carried at fair value on the consolidated balance sheets with changes in fair value recorded to other comprehensive income, a component of stockholders’ equity.

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 securities activities will be recorded in a similar manner.

The Company recognizes certain upfront costs and fees relating to securities 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.

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.

Accounting for loans

Investments in loans are recorded in accordance with ASC 310-10, "Receivables." The Company has chosen to make a fair

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2020

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

This new guidance significantly changes how entities will measure credit losses for most financial assets, including loans, that are not measured at fair value with changes in fair value recognized through net income.

The Company adopted the new guidance as of January 1, 2020.

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

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

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

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.

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

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."

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

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

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

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

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

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

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

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

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

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

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

The Manager seeks to mitigate risks including those associated with prepayments, defaults, severities, amongst others and will opportunistically rotate the portfolio into securities with more favorable attributes.

Strategies may also be employed to manage net capital gains, which need to be distributed for tax purposes.

Realized gains or losses on sales of securities, loans and derivatives are included in the "Net realized gain/(loss)" line item on the consolidated statement of operations.

The cost of positions sold is calculated using a first in, first out ("FIFO") basis.

Realized gains and losses are recorded in earnings at the time of disposition.

Accounting for residential and commercial mortgage loans

Investments in mortgage loans are recorded in accordance with ASC 310-10, "Receivables." At purchase, the Company may aggregate its mortgage loans into pools based on common risk characteristics.

Once a pool of loans is assembled, its composition is maintained.

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

March 31, 2021

value election pursuant to ASC 825 for its loan portfolio.

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.

As such, loans are recorded at fair value on the consolidated balance sheets and any periodic change in fair value is recorded in current period earnings on the consolidated statement of operations as a component of "Unrealized gain/(loss) on real estate securities and loans, net." The Company recognizes certain upfront costs and fees relating to loans for which the fair value option has been elected in current period earnings as incurred and does not defer those costs, which is in accordance with ASC 825-10-25.

Purchases and sales of loans are recorded on the settlement date, concurrent with the completion of due diligence and the removal of any contingencies.

Prior to the settlement date, the Company will include commitments to purchase loans within the Commitments and Contingencies footnote to the financial statements.

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A loan is written off when it is no longer realizable and/or legally discharged.

Residential Mortgage Loans

At purchase, the Company may aggregate its residential mortgage loans into pools based on common risk characteristics.

Once a pool of loans is assembled, its composition is maintained.

When the Company purchases mortgage loans with evidence of credit deterioration since origination and it determines that it is probable it will not collect all contractual cash flows on those loans, it will apply the guidance found in ASC 310-30.

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

Prior to the adoption of ASU 2016-13, decreases in cash flows expected to be collected from previously projected cash flows, which included all cash flows originally expected to be collected by the investor plus any additional cash flows expected to be collected arising from changes in estimate after acquisition, could have been recognized as impairment.

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

As previously stated, the Company adopted ASU 2016-13 as of January 1, 2020.

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

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

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

Commercial Loans

Commercial loans are classified as held for sale upon the Company determining that it intends to sell or liquidate the loan in the short-term and certain criteria have been met.

Commercial loans meeting all criteria for reclassification are presented separately on the consolidated balance sheets in the "Commercial Loans Held for Sale" line item.

Estimated costs incurred to sell a loan are included within the fair value of the loan.

Accounting for real estate securities

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

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

March 31, 2021

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.

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

This guidance significantly changed how entities measure credit losses for most financial assets, including loans, that are not measured at fair value with changes in fair value recognized through net income.

The Company adopted the guidance as of January 1, 2020.

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

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

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

Realized gains or losses on sales of securities, loans and derivatives are included in the "Net realized gain/(loss)" line item on the consolidated statement of operations.

The cost of positions sold is calculated using a first in, first out ("FIFO") basis.

Realized gains and losses are recorded in earnings at the time of disposition.

Investments in debt and equity of affiliates

The Company’s unconsolidated ownership interests in affiliates are accounted for using the equity method.

A majority of the Company’s investments held through affiliated entities are comprised of real estate securities, Excess MSRs, loans, and certain derivatives.

A majority of the Company’s investments held through affiliated entities are comprised of real estate securities, loans and its interest in AG Arc LLC.

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

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

Certain entities have chosen to make a fair value election on their financial instruments and certain financing arrangements pursuant to ASC 825;

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

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").

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

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

Arc Home originates conforming, Government, Jumbo, Non-QM, and other non-conforming residential mortgage loans and retains the mortgage servicing rights associated with the loans it originates.

Arc Home is led by an external management team.

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

The Company elected to treat its investment in AG Arc as a taxable REIT subsidiary.

As a result, income or losses recognized by the Company from its investment in AG Arc are recorded in "Equity in earnings/(loss) from affiliates" line item on the Company's consolidated statement of operations net of income taxes.

From time to time, the Company acquires newly originated Non-QM Loans from Arc Home with the intent to securitize the assets and obtain non-recourse financing.

In connection with the sale of loans from Arc Home to the Company, gains or losses recorded by Arc Home are consolidated into AG Arc.

In accordance with ASC 323-10, for loans acquired from Arc Home that remain on the Company's consolidated balance sheet at period end, the Company eliminates any profits or losses typically recognized through the "Equity in earnings/(loss) from affiliates" line item on the Company's consolidated statement of operations and adjusts the cost basis of the underlying loans accordingly.

For the three months ended March 31, 2021, the Company eliminated $ 0.5 million of intra-entity profits recognized by Arc Home and also decreased the cost basis of the underlying loans by the same amount in connection with loan sales to the Company.

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 Consumer Finance Protection Bureau.

MATH in turn sponsored the formation of an

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

March 31, 2021

entity called Mortgage Acquisition Trust I LLC ("MATT") to purchase predominantly Non-QM Loans.

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

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

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

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

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

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

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

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

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

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

On May 15, 2019 and November 14, 2019, the Company, alongside private funds managed by Angelo Gordon, formed LOT SP I LLC and LOT SP II LLC, respectively, (collectively, "LOTS").

LOTS were formed to originate first mortgage loans to third-party land developers and home builders for the acquisition and horizontal development of land ("Land Related Financing").

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).

September 30, 2020 December 31, 2019

Investments in debt and equity of affiliates

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

March 31, 2021 December 31, 2020

Assets Liabilities Equity Assets Liabilities Equity

Real Estate Securities, Excess MSRs and Loans, at fair value (1)(2) $ 217,643 $ ( 123,861 ) $ 93,782 $ 373,126 $ ( 257,068 ) $ 116,058

Non-QM Loans (1) $ 149,039 $ ( 100,762 ) $ 48,277 $ 153,200 $ ( 111,135 ) $ 42,065

Land Related Financing 22,718 — 22,718 22,824 — 22,824

Other (2) 46,001 ( 13,236 ) 32,765 41,940 ( 5,588 ) 36,352

Real Estate Securities and Loans, at fair value $ 217,758 $ ( 113,998 ) $ 103,760 $ 217,964 $ ( 116,723 ) $ 101,241

AG Arc, at fair value 52,138 — 52,138 45,341 — 45,341

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Investments in debt and equity of affiliates $ 278,156 $ ( 117,833 ) $ 160,323 $ 268,584 $ ( 117,917 ) $ 150,667

(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 $ 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.

(1) As of March 31, 2021 and December 31, 2020, Non-QM Loans excluded loans with an unpaid principal balance of $ 14.2 million and $ 17.3 million, respectively, 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

The Company has acquired the right to receive the excess servicing spread related to Excess MSRs.

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

Excess MSRs 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 derivative and other instruments, net."

The Company amortizes or accretes any premium or discount over the life of the related Excess MSRs utilizing the effective interest method.

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

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

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 interest receipts, and assumptions of prepayments, repurchases, defaults and liquidations.

If there is a significant increase in expected cash flows over what was 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 Excess MSR’s yield over its remaining life.

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

As previously stated, the Company adopted ASU 2016-13 as of January 1, 2020.

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

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

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.

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

The below table reconciles the net income/(loss) to the "Equity in earnings/(loss) from affiliates" line item on the Company's consolidated statements of operations (in thousands).

Three Months Ended

March 31, 2021 March 31, 2020

Non-QM Loans $ 14,646 $ ( 26,729 )

AG Arc (1) 6,340 ( 10,026 )

Land Related Financing 710 664

Other 4,640 ( 8,101 )

Equity in earnings/(loss) from affiliates

$ 26,336 $ ( 44,192 )

(1) The earnings at AG Arc during the three months ended March 31, 2021 were primarily the result of $ 4.2 million of net income related to Arc Home's lending and servicing operations and $ 1.5 million related to changes in the fair value of the MSR portfolio held by Arc Home.

Investment consolidation and transfers of financial assets

For each investment made, the Company evaluates the underlying entity that issued the securities acquired or to which the Company makes a loan to determine the appropriate accounting.

A similar analysis is performed for each entity with which the Company enters into an agreement for management, servicing or related services.

In performing the analysis, the Company refers to guidance in ASC 810-10, "Consolidation." In situations where the Company is the transferor of financial assets, the Company refers to the guidance in ASC 860-10 "Transfers and Servicing."

In variable interest entities ("VIEs"), an entity is subject to consolidation under ASC 810-10 if the equity investors either do not have sufficient equity at risk for the entity to finance its activities without additional subordinated financial support, are unable to direct the entity’s activities or are not exposed to the entity’s losses or entitled to its residual returns.

In variable interest entities ("VIEs"), an entity is subject to consolidation under ASC 810-10 if the equity investors (i) do not have sufficient equity at risk for the entity to finance its activities without additional subordinated financial support, (ii) are unable to direct the entity’s activities or (iii) are not exposed to the entity’s losses or entitled to its residual returns.

VIEs within the scope of ASC 810-10 are required to be consolidated by their primary beneficiary.

The primary beneficiary of a VIE is determined to be the party that has both the power to direct the activities of a VIE that most significantly impact the VIE’s economic performance and the obligation to absorb losses of the VIE that could potentially be significant to the VIE or the right to receive benefits from the VIE that could potentially be significant to the VIE.

The primary beneficiary of a VIE is

AG Mortgage Investment Trust Inc.

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Notes to Consolidated Financial Statements (Unaudited)

March 31, 2021

determined to be the party that has both the power to direct the activities of a VIE that most significantly impact the VIE’s economic performance and the obligation to absorb losses of the VIE that could potentially be significant to the VIE or the right to receive benefits from the VIE that could potentially be significant to the VIE.

This determination can sometimes involve complex and subjective analyses.

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If the Company determines that consolidation is not required, it will then assess whether the transfer of the underlying assets would qualify as a sale, should be accounted for as secured financings under GAAP, or should be accounted for as an equity method investment, depending on the circumstances.

See Note 3 and Note 4 for more detail.

See Note 4 for more detail.

A Special Purpose Entity ("SPE") is an entity designed to fulfill a specific limited need of the company that organized it.

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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

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.

Securitization involves transferring assets to an SPE to convert all or a portion of those assets into cash before they would have been realized in the normal course of business through the SPE’s issuance of debt or equity instruments.

Investors in an SPE usually have recourse only to the assets in the SPE and depending on the overall structure of the transaction, may benefit from various forms of credit enhancement, such as over-collateralization in the form of excess assets in the SPE, priority with respect to receipt of cash flows relative to holders of other debt or equity instruments issued by the SPE, or a line of credit or other form of liquidity agreement that is designed with the objective of ensuring that investors receive principal and/or interest cash flow on the investment in accordance with the terms of their investment agreement.

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

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 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.

See Note 3 below for more detail.

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

The Company entered into securitization transactions of certain of its re-performing and non-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.

1 unchanged sentence

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.

See Note 4 for more detail regarding these VIEs.

9 unchanged sentences

Under ASC 860-10, after a transfer of financial assets that meets the criteria for treatment as a sale—legal isolation, ability of transferee to pledge or exchange the transferred assets without constraint and transferred control—an entity recognizes the financial and servicing assets it acquired or retained and the liabilities it has incurred, derecognizes financial assets it has sold and derecognizes liabilities when extinguished.

The transferor would then determine the gain or loss on sale of financial assets by allocating the carrying value of the underlying mortgage between securities or loans sold and the interests retained based on their fair values.

The gain or loss on sale is the difference between the cash proceeds from the sale and the amount allocated to the securities or loans sold.

When a transfer of financial assets does not qualify for sale accounting, ASC 860-10 requires the transfer to be accounted for as a secured borrowing with a pledge of collateral.

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

AG Mortgage Investment Trust Inc.

1 unchanged sentence

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.

March 31, 2021

their fair value.

The gain or loss on sale is the difference between the cash proceeds from the sale and the amount allocated to the securities or loans sold.

When a transfer of financial assets does not qualify for sale accounting, ASC 860-10 requires the transfer to be accounted for as a secured borrowing with a pledge of collateral.

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.

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."

Interest income recognition

Interest income on the Company’s real estate securities portfolio is accrued based on the actual coupon rate and the outstanding principal balance of such securities.

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

As such, premiums and discounts are amortized or accreted into interest income over the lives of the securities in accordance with ASC 310-20, "Nonrefundable Fees and Other Costs," ASC 320-10 or ASC 325-40, as applicable.

Interest income on the Company’s real estate securities portfolio and loan portfolio is accrued based on the actual coupon rate and the outstanding principal balance of such securities or loans.

The Company has elected to record interest in accordance with ASC 835-30-35-2, "Imputation of Interest," using the effective interest method for all securities and loans accounted for under the fair value option in accordance with ASC 825, "Financial Instruments".

As such, premiums and discounts are amortized or accreted into interest income over the lives of the securities or loans in accordance with ASC 310-20, "Nonrefundable Fees and Other Costs," ASC 320-10 or ASC 325-40, as applicable.

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

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.

For Agency RMBS, exclusive of interest-only securities, prepayments of the underlying collateral are estimated on a quarterly basis, 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 retrospectively 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).

Similarly, the Company also reassesses the cash flows on at least a quarterly basis for securities and loans, including Non-Agency RMBS, CMBS, interest-only securities, Non-QM Loans, and Excess MSRs.

In estimating these cash flows, there are a number of assumptions made that are uncertain and subject to judgments and assumptions based on subjective and objective factors and contingencies.

1 unchanged sentence

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.

Interest income on the Company’s loan portfolio is accrued based on the actual coupon rate and the outstanding principal balance of such loans.

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 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.

For purposes of income recognition, the Company may aggregate loans that have common risk characteristics into pools and uses a composite interest rate and expectation of cash flows expected to be collected for the pool.

For purposes of income recognition, the Company aggregates loans that have common risk characteristics into pools and uses a composite interest rate and expectation of cash flows expected to be collected for the pool.

ASC 310-30 addresses accounting for differences between contractual cash flows and cash flows expected to be collected from an investor’s initial investment in loans or debt securities (loans) acquired in a transfer if those differences are attributable, at least in part, to credit quality.

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The Company finances the acquisition of certain assets within its portfolio through the use of financing arrangements.

Financing arrangements include repurchase agreements and financing facilities.

The Company's financing facilities include revolving facilities.

Repurchase agreements and financing facilities are treated as collateralized financing transactions and carried at their contractual amounts, including accrued interest, as specified in the respective agreements.

Financing arrangements include repurchase agreements and revolving facilities.

Repurchase agreements and revolving facilities are treated as collateralized financing transactions and carried at their contractual amounts, including accrued interest, as specified in the respective agreements.

The carrying amount of the Company’s repurchase agreements and revolving facilities approximates fair value.

4 unchanged sentences

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2020

March 31, 2021

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

If the fair value of pledged assets declines due to changes in market conditions, lenders typically would require the Company to post additional securities as collateral, pay down borrowings or establish cash margin accounts with the counterparties in order to re-establish the agreed-upon collateral requirements, referred to as margin calls.

The fair value of financial instruments pledged as collateral on the Company’s financing arrangements represents the Company’s fair value of such instruments which may differ from the fair value assigned to the collateral by its counterparties.

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

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.

Financings pursuant to repurchase agreements and revolving facilities are generally recourse to the Company.

As of March 31, 2021 and December 31, 2020, the Company had met all margin call requirements.

Forbearance and Reinstatement Agreements

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.

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

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

AG Mortgage Investment Trust Inc.

1 unchanged sentence

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.

March 31, 2021

Dividends on Preferred Stock

Holders of the Company’s Series A Preferred Stock, Series B Preferred Stock 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 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.

2 unchanged sentences

The undeclared and unpaid dividends on the Company’s preferred stock accrue without interest, and if dividends on the Company's preferred stock are in arrears, the Company cannot pay cash dividends with respect to its common stock.

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

See Note 11 for further detail on the Company’s Preferred Stock.

Accounting for derivative financial instruments

Derivative contracts

The Company enters into derivative contracts as a means of mitigating interest rate risk or foreign currency risk rather than to enhance returns.

The Company accounts for derivative financial instruments in accordance with ASC 815-10, "Derivatives and Hedging." ASC 815-10 requires an entity to recognize all derivatives as either assets or liabilities on the balance sheet and to measure those instruments at fair value.

Additionally, if or when hedge accounting is elected, the fair value adjustments will affect either other comprehensive income in stockholders’ equity until the hedged item is recognized in earnings or net income depending on whether the derivative instrument is designated and qualifies as a hedge for accounting purposes and, if so, the nature of the hedging activity.

As of March 31, 2021 and December 31, 2020, the Company did not have any interest rate derivatives designated as hedges.

All derivatives have been recorded at fair value in accordance with ASC 820-10, with corresponding changes in value recognized in the consolidated statement of operations.

The Company records derivative asset and liability positions on a gross basis with respect to its counterparties.

During the period in which the Company unwinds a derivative, it records a realized gain/(loss) in the "Net realized gain/(loss)" line item in the consolidated statement of operations.

To-be-announced securities

A to-be-announced security ("TBA") is a forward contract for the purchase or sale of Agency RMBS at a predetermined price, face amount, issuer, coupon and stated maturity on an agreed-upon future date.

The specific Agency RMBS delivered into or received from the contract upon the settlement date, published each month by the Securities Industry and Financial Markets Association, are not known at the time of the transaction.

The Company may also choose, prior to settlement, to move the settlement of these securities out to a later date by entering into an offsetting short or long position (referred to as a pair off), net settling the paired off positions for cash, simultaneously purchasing or selling a similar TBA contract for a later settlement date.

This transaction is commonly referred to as a dollar roll.

The Agency RMBS purchased or sold for a forward settlement date are typically priced at a discount to Agency RMBS for settlement in the current month.

This difference, or discount, is referred to as the price drop.

The price drop is the economic equivalent of net interest carry income on the underlying Agency RMBS over the roll period (interest income less implied financing cost) and is commonly referred to as dollar roll income/(loss).

Consequently, forward purchases of Agency RMBS and dollar roll transactions represent a form of off-balance sheet financing.

Dollar roll income is recognized in the consolidated statement of operations in the line item "Unrealized gain/(loss) on derivative and other instruments, net."

Variation margin

The Company may exchange cash "variation margin" with the counterparties to its derivative instruments on a daily basis based upon changes in the fair value of such derivative instruments as measured by the Chicago Mercantile Exchange ("CME") and the London Clearing House ("LCH"), the central clearinghouses ("CCPs") through which those derivatives are cleared.

In addition, the CCPs require market participants to deposit and maintain an "initial margin" amount which is determined by the CCPs and is generally intended to be set at a level sufficient to protect the CCPs from the maximum estimated single-day price movement in that market participant’s contracts.

Receivables recognized for the right to reclaim cash initial margin posted in respect of derivative instruments are included in the "Restricted cash" line item in the consolidated balance sheets.

The daily exchange of variation margin associated with a CCP instrument is legally characterized as the daily settlement of the derivative instrument itself, as opposed to a pledge of collateral.

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

March 31, 2021

Accordingly, the Company accounts for the daily receipt or payment of variation margin associated with its centrally cleared derivative instruments as a direct reduction to the carrying value of the derivative asset or liability, respectively.

The carrying amount of centrally cleared derivative instruments reflected in the Company’s consolidated balance sheets approximates the unsettled fair value of such instruments.

As variation margin is exchanged on a one-day lag, the unsettled fair value of such instruments represents the change in fair value that occurred on the last day of the reporting period.

Manager compensation

The management agreement provides for payment to the Manager of a management fee as well as a reimbursement of certain expenses incurred by the Manager or its affiliates on behalf of the Company.

The management fee and reimbursement are accrued and expensed during the period for which they are earned or for which the expenses are incurred, respectively.

The management fee and reimbursement are included in the "Management fee" and "Other operating expenses" line items, respectively, on the consolidated statement of operations.

For a more detailed discussion on the fees payable under the management agreement, see Note 10.

The Company conducts its operations to qualify and be taxed as a REIT.

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

If the Company fails to qualify as a REIT, and does not qualify for certain statutory relief provisions, it will be subject to U.S.

federal, state and local income taxes and may be precluded from qualifying as a REIT for the four taxable years following the year in which the Company fails to qualify as a REIT.

The dividends paid deduction of a REIT for qualifying dividends to its stockholders is computed using the Company’s taxable income/(loss) as opposed to net income/(loss) reported on the Company’s GAAP financial statements.

Taxable income/(loss), generally, will differ from net income/(loss) reported on the financial statements because the determination of taxable income/(loss) is based on tax principles and not financial accounting principles.

Cash distributions declared by the Company that do not exceed its current or accumulated earnings and profits will be considered ordinary income to stockholders for income tax purposes unless all or a portion of a distribution is designated by the Company as a capital gain dividend.

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

The Company elected to treat certain domestic subsidiaries as taxable REIT subsidiaries ("TRSs") and may elect to treat other subsidiaries as TRSs.

In general, a TRS may hold assets and engage in activities that the Company cannot hold or engage in directly and generally may engage in any real estate or non-real estate-related business.

A domestic TRS may declare dividends to the Company which will be included in the Company’s taxable income/(loss) which may necessitate a distribution to stockholders.

Conversely, if the Company retains earnings at the domestic TRS level, no distribution is required and the Company can increase book equity of the consolidated entity.

A domestic TRS is subject to U.S.

federal, state and local corporate income taxes.

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

The Company’s financial results are generally not expected to reflect provisions for current or deferred income taxes, except for any activities conducted through one or more TRSs that are subject to corporate income taxation.

The Company believes that it will operate in a manner that will allow it to qualify for taxation as a REIT.

As a result of the Company’s expected REIT qualification, it does not generally expect to pay federal or state corporate income tax.

Many of the REIT requirements, however, are highly technical and complex.

As a REIT, if the Company fails to distribute in any calendar year (subject to specific timing rules for certain dividends paid in January) at least the sum of (i) 85% of its ordinary income for such year, (ii) 95% of its capital gain net income for such year, and (iii) any undistributed taxable income from the prior year, the Company would be subject to a non-deductible 4% excise tax

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

March 31, 2021

on the excess of such required distribution over the sum of (i) the amounts actually distributed and (ii) the amounts of income retained and on which the Company has paid corporate income tax.

The Company evaluates uncertain income tax positions, if any, in accordance with ASC 740, "Income Taxes." The Company classifies interest and penalties, if any, related to unrecognized tax benefits as a component of provision for income taxes.

See Note 9 for further details.

Deal related performance fees

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

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

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

Offering costs

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.

Offering costs in connection with common stock offerings and costs in connection with registration statements have been accounted for as a reduction of additional paid-in capital.

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.

Recent accounting pronouncements

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

The guidance replaces the existing “incurred loss” model with an “expected loss” model for instruments measured at amortized cost.

It requires entities to record credit allowances for available-for-sale debt securities rather than reduce the carrying amount, as it currently is under the other-than temporary impairment model.

The new guidance also simplifies the accounting model for purchased credit-impaired debt securities and loans.

The Company adopted the new guidance as of January 1, 2020.

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

As the new guidance eliminates the accounting for other than temporary impairment, this guidance 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).

In March 2020, FASB issued ASU 2020-04, "Reference Rate Reform (Topic 848):

Facilitation of the Effects of Reference Rate Reform on Financial Reporting." This ASU provides temporary optional guidance intended to ease the burden of reference rate reform on financial reporting.

This ASU was effective upon its issuance on March 12, 2020 and applies to all entities that have contracts, hedging relationships and other transactions that reference LIBOR and certain other reference rates that are expected to be discontinued.

However, it cannot be applied to contract modifications that occur after December 31, 2022.

With certain exceptions, this ASU also cannot be applied to hedging relationships entered into or evaluated after that date.

The guidance provides optional expedients and exceptions for applying existing guidance to contract modifications, hedging relationships and other transactions that are expected to be affected by reference rate reform and meet certain scope guidance.

The Company is currently evaluating the effect this guidance will have on its consolidated financial statements.

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2020

September 30, 2020 Gross Unrealized Weighted Average

March 31, 2021

Real Estate Securities

The following tables detail the Company’s real estate securities portfolio as of March 31, 2021 and December 31, 2020 ($ in thousands).

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

March 31, 2021 Gross Unrealized Weighted Average

Current Face Premium /

6 unchanged sentences

Credit Risk Transfer 420 — 420 7 — 427 5.61 % 5.61 %

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 %

Non-Agency RMBS Interest Only (2) 142,388 ( 142,306 ) 82 242 ( 43 ) 281 0.51 % NM

Re/Non-Performing Securities 1,608 ( 167 ) 1,441 200 — 1,641 5.25 % 20.92 %

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

Total Residential Investments:

1 unchanged sentence

Commercial Investments

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

Single-Asset/Single-Borrower 35,500 ( 81 ) 35,419 — ( 5,981 ) 29,438 4.07 % 4.45 %

6 unchanged sentences

Total $ 1,818,194 $ ( 812,488 ) $ 1,005,706 $ 7,313 $ ( 35,387 ) $ 977,632 1.34 % 2.04 %

(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.

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2020

December 31, 2020 Gross Unrealized Weighted Average

2 unchanged sentences

30 Year Fixed Rate $ 494,307 $ 22,368 $ 516,675 $ 1,794 $ ( 117 ) $ 518,352 2.10 % 1.17 %

Interest Only 476,192 ( 403,248 ) 72,944 2,330 ( 1,133 ) 74,141 3.93 % 5.87 %

Total Agency RMBS:

2,601,259 ( 344,125 ) 2,257,134 59,734 ( 1,429 ) 2,315,439 3.77 % 3.26 %

Credit Investments:

4 unchanged sentences

RMBS 2,435 706 3,141 51 ( 92 ) 3,100 6.45 % 6.41 %

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

Non-Agency RMBS Interest Only (2) 157,590 ( 157,513 ) 77 207 ( 48 ) 236 0.53 % NM

Re/Non-Performing Securities 1,690 ( 238 ) 1,452 149 — 1,601 5.25 % 14.05 %

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

Total Residential Investments:

11 unchanged sentences

(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 as of March 31, 2021 and December 31, 2020.

The overall impact of the investments' yields on the Company's portfolio is not meaningful.

(3) 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.

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

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 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.

AG Mortgage Investment Trust Inc.

1 unchanged sentence

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

March 31, 2021

The following tables detail the weighted average life of our real estate securities as of March 31, 2021 and December 31, 2020 ($ in thousands):

March 31, 2021 Agency RMBS Credit Investments

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

4 unchanged sentences

Total $ 915,423 $ 944,627 2.15 % $ 62,209 $ 61,079 0.44 %

(1) This is based on projected life.

Typically, actual maturities of mortgage-backed securities are shorter than stated contractual maturities.

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

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

December 31, 2020 Agency RMBS Credit Investments

6 unchanged sentences

(1) This is based on projected life.

Typically, actual maturities of mortgage-backed securities are shorter than stated contractual maturities.

Typically, actual maturities are shorter than stated contractual maturities.

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

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

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.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

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

December 31, 2019

Real estate securities, at fair value:

Non-Agency $ 13,838

Other assets 808

Total assets $ 109,146

Financing arrangements $ 70,712

Securitized debt, at fair value 7,230

Other liabilities 3,553

Total liabilities $ 81,495

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 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):

Weighted Average

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

Consolidated tranche (2) $ 7,204 $ 7,230 3.46 % 4.11 % 1.96

Retained tranche 7,851 6,608 5.37 % 18.14 % 7.64

Total resecuritized asset (3) $ 15,055 $ 13,838 4.46 % 10.81 % 4.92

(1) This is based on projected life.

Typically, actual maturities of investments and loans are shorter than stated contractual maturities.

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

(2) As of December 31, 2019, the Company has recorded secured financing of $ 7.2 million on the consolidated balance sheets in the "Securitized debt, at fair value" line item.

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

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

For the three months ended March 31, 2021, the Company sold 27 real estate securities for total proceeds of $ 111.8 million, recording realized gains of $ 2.5 million and realized losses of $ 3.0 million.

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

Residential mortgage loans

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

For the three months ended March 31, 2021, the Company purchased Non-QM Loans with a gross aggregate unpaid principal balance and a gross acquisition fair value of $ 198.4 million and $ 208.5 million, respectively.

A portion of these loans was purchased from Arc Home.

See Note 10 for more detail.

For the three months ended March 31, 2021, the Company did not sell any residential mortgage loans.

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

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements (Unaudited)

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.

Unrealized gains and losses are recognized in current period earnings in the "Unrealized gain/(loss) on real estate securities and loans, net" line item.

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

March 31, 2021

The table below details information regarding the Company’s residential mortgage loan portfolio as of March 31, 2021 and December 31, 2020 ($ in thousands):

Gross Unrealized Weighted Average

1 unchanged sentence

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

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

Re- and Non-Performing Loans $ 487,455 $ ( 66,657 ) $ 420,798 $ 19,284 $ ( 6,430 ) $ 433,652 3.37 % 5.89 % 7.09

Non-QM Loans 198,371 9,493 207,864 1,446 ( 3 ) 209,307 5.36 % 4.00 % 4.66

Total at March 31, 2021 (2) $ 685,826 $ ( 57,164 ) $ 628,662 $ 20,730 $ ( 6,433 ) $ 642,959 3.96 % 5.27 % 6.39

December 31, 2020 (3) $ 500,980 $ ( 69,007 ) $ 431,973 $ 13,640 $ ( 10,172 ) $ 435,441 3.58 % 5.69 % 6.67

(1) This is based on projected life.

Typically, actual maturities of residential mortgage loans are shorter than stated contractual maturities.

Typically, actual maturities are shorter than stated contractual maturities.

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

September 30, 2020 December 31, 2019

(2) As of March 31, 2021, the Company’s residential mortgage loan portfolio was comprised of 3,560 loans with original loan balances between $ 5.6 thousand and $ 3.4 million.

Additionally, the Company had residential mortgage loans that were in the process of foreclosure with a fair value of $ 33.7 million.

(3) As of December 31, 2020, the Company’s residential mortgage loan portfolio was comprised of 3,273 conventional loans with original loan balances between $ 5.6 thousand and $ 3.4 million.

Additionally, the Company had residential mortgage loans that were in the process of foreclosure with a fair value of $ 37.1 million.

The table below details information regarding the Company’s residential mortgage loans as of March 31, 2021 and December 31, 2020 (in thousands):

March 31, 2021 December 31, 2020

Fair Value Unpaid Principal Balance Fair Value Unpaid Principal Balance

Non-QM Loans $ 209,307 $ 198,371 $ — $ —

Re-Performing 311,074 338,880 312,733 347,359

2 unchanged sentences

$ 642,959 $ 685,826 $ 435,441 $ 500,980

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

(1) Represents residual positions where the Company consolidates a securitization and the positions are recorded in the Company's consolidated balance sheets as residential mortgage loans.

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

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

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

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."

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.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

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 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

The Company’s residential 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 residential mortgage loan portfolio as of March 31, 2021 and December 31, 2020, excluding any loans classified as Other above:

Geographic Concentration of Credit Risk March 31, 2021 December 31, 2020

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

3 unchanged sentences

New Jersey 5 % 6 %

The Company records interest income on an effective interest basis.

The accretable discount is determined by the excess of the

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

in the mortgage loan.

The following is a summary of the changes in the accretable portion of discounts for the three 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

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

March 31, 2021

The following is a summary of the changes in the accretable portion of discounts for the Company’s re-performing and non-performing loan portfolios for the three months ended March 31, 2021 and March 31, 2020, which is determined by the excess of the Company’s estimate of undiscounted principal, interest, and other cash flows expected to be collected over its initial investment in the mortgage loan (in thousands):

Three Months Ended

March 31, 2021 March 31, 2020

Beginning Balance $ 170,291 $ 168,877

4 unchanged sentences

Ending Balance $ 174,203 $ 263,111

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.

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.

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

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

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

Variable interest entities

The following table details certain information related to the assets and liabilities of the August 2019 VIE and September 2020 VIE as of March 31, 2021 and December 31, 2020 (in thousands):

March 31, 2021 December 31, 2020

Residential mortgage loans, at fair value $ 425,158 $ 426,604

6 unchanged sentences

Total liabilities $ 372,943 $ 381,268

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):

The following table details additional information regarding residential mortgage loans and securitized debt related to the August 2019 VIE and September 2020 VIE as of March 31, 2021 and December 31, 2020 ($ in thousands):

Weighted Average

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

September 30, 2020

March 31, 2021

August 2019 VIE Residential mortgage loans $ 232,384 $ 219,806 3.56 % 5.49 % 7.33

5 unchanged sentences

Securitized debt 197,955 196,338 2.97 % 3.01 % 5.20

September 2020 VIE Residential mortgage loans $ 242,859 $ 204,322 3.37 % 5.80 % 6.70

Securitized debt 158,676 158,821 2.98 % 2.98 % 2.17

(1) This is based on projected life.

Typically, actual maturities of investments and loans are shorter than stated contractual maturities.

Typically, actual maturities are shorter than stated contractual maturities.

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

(2) As of 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.

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

March 31, 2021

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

1 unchanged sentence

Commercial loans

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

Unrealized gains and losses are recognized in current period earnings in the "Unrealized gain/(loss) on real estate securities and loans, net" line item.

For the three months ended March 31, 2021, the Company sold two commercial loans for total proceeds of $ 74.3 million, recording realized losses of $ 2.9 million.

For the three months ended March 31, 2020, the Company did not sell any commercial loans.

During the fourth quarter of 2020, the Company and the borrower of Loan L entered into a modification agreement which, among other things, required the borrower to pay previously deferred interest in full, deferred interest for the 12-month period following the modification, and required funding of capital reserves by the borrower.

The loan was placed on non-accrual status upon modification and was on non-accrual status as of March 31, 2021 and December 31, 2020.

As a result of the modification, the loan is classified as a troubled debt restructuring under GAAP.

The following tables present detail on the Company’s commercial loan portfolio as of March 31, 2021 and December 31, 2020 ($ in thousands).

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

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

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

Amortized Cost Gross Unrealized Losses Fair Value (3) Coupon

March 31, 2021 Weighted Average

Loan (1)(2) Current Face Premium

(Discount) Amortized Cost Gross Unrealized Losses Fair Value (3) Coupon

(4) Yield (5) Life

(6) Extended Maturity

Date (7) Location Collateral Type

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 (8) $ 17,220 $ — $ 17,220 $ ( 500 ) $ 16,720 10.00 % 10.79 % 1.02 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

Loan L (8) 51,000 ( 337 ) 50,663 ( 9,174 ) 41,489 N/A N/A 3.36 July 22, 2024 IL Hotel, Retail

$ 68,220 $ ( 337 ) $ 67,883 $ ( 9,674 ) $ 58,209 2.52 % 3.10 % 2.77

(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 September 30, 2020.

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

(2) Refer to Note 12 "Commitments and Contingencies" for details on the Company's commitments on its Commercial Loans as of March 31, 2021.

(3) Fair value includes the value of unfunded commitments.

(4) Each commercial loan investment has a variable coupon rate.

(5) Yield includes any exit fees.

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

(6) Actual maturities may be shorter or longer than stated contractual maturities.

Maturities are affected by prepayments of principal.

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

(8) Loan G 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.

(8) 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.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2020

December 31, 2020 Weighted Average

Loan (1) Current Face Premium

(Discount) Amortized Cost Gross

Gains Fair Value Coupon

(2) Yield (3) Life

(Discount) Amortized Cost Gross Unrealized Losses Fair Value (2) Coupon (3) Yield (4) Life

Date (6) Location Collateral Type

Commercial Loans, at fair value

Loan G (7) $ 59,451 $ — $ 59,451 $ ( 3,940 ) $ 55,511 5.27 % 5.27 % 1.54 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) 15,787 — 15,787 ( 1,100 ) 14,687 10.00 % 10.83 % 1.27 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

Loan L (8) 51,000 ( 337 ) 50,663 ( 9,312 ) 41,351 N/A N/A 3.61 July 22, 2024 IL Hotel, Retail

126,238 ( 337 ) 125,901 ( 14,352 ) 111,549 3.73 % 4.05 % 2.34

Commercial Loans Held for Sale, at fair value

Loan I (9) 15,929 ( 175 ) 15,754 ( 1,795 ) 13,959 11.50 % 12.23 % 2.22 February 9, 2023 MN Office, Retail

Total $ 142,167 $ ( 512 ) $ 141,655 $ ( 16,147 ) $ 125,508 4.60 % 4.96 % 2.33

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

(2) Fair value includes the value of unfunded commitments.

(3) Each commercial loan investment has a variable coupon rate.

(4) Yield includes any exit fees.

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

(5) Actual maturities may be shorter or longer than stated contractual maturities.

Maturities are affected by prepayments of principal.

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

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

(7) Loan I is a mezzanine loan.

(7) Loan G is a first mortgage loan.

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

Unrealized gains and losses are recognized in current period earnings in the "Unrealized gain/(loss) on derivative and other instruments, net" line item.

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 September 30, 2020 ($ in thousands).

Gross Unrealized Weighted Average

Unpaid Principal

Balance Amortized

Cost Losses Fair Value Yield Life

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

Credit Excess MSRs 29,185 172 ( 87 ) 85 23.56 % 7.27

Total Excess MSRs $ 681,941 $ 4,897 $ ( 1,371 ) $ 3,526 4.44 % 5.68

(1) This is based on projected life.

Actual maturities of Excess MSRs may be shorter than stated contractual maturities.

Maturities are affected by prepayments of principal.

(9) Loan I is a mezzanine loan.

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2020

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

Gross Unrealized Weighted Average

Unpaid Principal

Balance Amortized

Cost Gains Losses Fair Value Yield Life

Agency Excess MSRs $ 2,910,735 $ 19,570 $ 93 $ ( 2,031 ) $ 17,632 8.32 % 5.58

Credit Excess MSRs 34,753 178 2 ( 37 ) 143 21.38 % 5.25

Total Excess MSRs $ 2,945,488 $ 19,748 $ 95 $ ( 2,068 ) $ 17,775 8.42 % 5.58

(1) This is based on projected life.

Actual maturities of Excess MSRs may be shorter than stated contractual maturities.

Maturities are affected by prepayments of principal.

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 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.

March 31, 2021

Fair value measurements

As described in Note 2, the fair value of financial instruments that are recorded at fair value is determined by the Manager, subject to oversight of the Company’s Board of Directors, and in accordance with ASC 820, "Fair Value Measurements and Disclosures." When possible, the Company determines fair value using independent data sources.

As described in Note 2, the fair value of financial instruments determined by the Manager, subject to oversight of the Company’s Board of Directors, and in accordance with ASC 820, "Fair Value Measurements and Disclosures." When possible, management determines fair value using third-party data sources.

Values for the Company’s securities, Excess MSRs, securitized debt of the December 2014 VIE, derivatives and U.S.

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

Values for the Company’s securities, Excess MSRs, and derivatives are based upon prices obtained from third-party pricing services, which are indicative of market activity.

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.

7 unchanged sentences

If, in the opinion of the Manager, one or more prices reported to the Company are not reliable or unavailable, the Manager reviews the fair value based on characteristics of the investment it receives from the issuer and available market information.

In valuing its derivatives, the Company considers the creditworthiness of both the Company and its counterparties, along with collateral provisions contained in each derivative agreement, from the perspective of both the Company and its counterparties.

All of the Company’s derivatives are either subject to bilateral collateral arrangements or clearing in accordance with the Dodd-Frank Wall Street Reform and Consumer Protection Act of 2010 (the "Dodd Frank Act").

For swaps cleared under the Dodd Frank Act, a Central Counterparty Clearing House ("CCCH") now stands between the Company and the over-the-counter derivative counterparties.

In order to access clearing, the Company has entered into clearing agreements with Futures Commissions Merchants ("FCMs").

The daily exchange of variation margin associated with a CCCH centrally cleared derivative instrument is legally characterized as the daily settlement of the derivative instrument itself.

Accordingly, the Company accounts for the daily receipt or payment of variation margin associated with its centrally cleared interest rate swaps and futures as a direct reduction to the carrying value of the interest rate swap and future derivative asset or liability, respectively.

The carrying amount of centrally cleared

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

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 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).

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, loss severity, loan-to-value ratios, and recovery rates.

Projections of default and prepayment rates are impacted by other variables such as reperformance rates and timeline to liquidation.

The Company uses loan level data and macro-economic inputs to generate loss adjusted cash flows and other information in determining the fair value of its mortgage loans.

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

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

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

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

Management may also base its valuation on prices obtained from a third-party pricing service provider to assess and corroborate the valuation of a selection of investments in the Company’s loan portfolio and the Company's investment in Arc Home on a periodic basis.

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

The analyses provided by valuation service providers are reviewed and considered by the Manager.

TBA instruments are similar in form to the Company’s Agency RMBS portfolio, and the Company therefore estimates fair value based on similar methods.

Cash equivalents include investments in money market funds that invest primarily in short-term U.S.

Treasury and Agency securities.

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

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

AG Mortgage Investment Trust Inc.

1 unchanged sentence

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

March 31, 2021

The following table presents the Company’s financial instruments measured at fair value on a recurring basis as of March 31, 2021 (in thousands):

Fair Value at March 31, 2021

Level 1 Level 2 Level 3 Total

8 unchanged sentences

Excess mortgage servicing rights — — 3,000 3,000

Derivative assets (3) — 28,722 — 28,722

AG Arc (4) — — 52,138 52,138

3 unchanged sentences

Total Liabilities Measured at Fair Value $ — $ ( 22 ) $ ( 344,429 ) $ ( 344,451 )

(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.

(1) Non-Agency RMBS is comprised of Prime, Alt-A/Subprime, Credit Risk Transfer, and Re/Non-Performing Securities.

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

(3) As of March 31, 2021, the Company applied a reduction in fair value of $ 28.7 million and $ 21.7 thousand to its interest rate swap assets and liabilities, respectively, related to variation margin with a corresponding increase or decrease in restricted cash, respectively.

Refer to Note 2 and Note 7 for more information on the Company's accounting policies with regard to derivatives.

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

3 unchanged sentences

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2020

March 31, 2021

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

2 unchanged sentences

30 Year Fixed Rate $ — $ 518,352 $ — $ 518,352

Interest Only — 74,141 — 74,141

Credit Investments:

6 unchanged sentences

Excess mortgage servicing rights — — 3,158 3,158

Cash equivalents (3) 53,243 — — 53,243

Derivative assets (3) — 1,356 — 1,356

4 unchanged sentences

Total Liabilities Measured at Fair Value $ — $ ( 294 ) $ ( 355,159 ) $ ( 355,453 )

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

(1) Non-Agency RMBS is comprised of Prime, Alt-A/Subprime, Credit Risk Transfer, Non-US RMBS, and Re/Non-Performing Securities.

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

(3) As of December 31, 2020, the Company applied a reduction in fair value of $ 1.4 million and $ 0.2 million to its interest rate swap assets and liabilities, respectively, related to variation margin with a corresponding increase or decrease in restricted cash, respectively.

Refer to Note 2 and Note 7 for more information on the Company's accounting policies with regard to derivatives.

(4) 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.

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.

The Company did not have any transfers of assets or liabilities between Levels 1 and 2 of the fair value hierarchy during the three months ended March 31, 2021 and March 31, 2020.

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)

September 30, 2020

March 31, 2021

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 September 30, 2020 (in thousands)

Three Months Ended March 31, 2021 (in thousands)

RMBS Residential

Mortgage Loans Commercial

Excess Mortgage

Loans Excess Mortgage

Servicing Rights AG Arc Securitized

3 unchanged sentences

Purchases/Transfers — 208,060 3,669 — — —

Issuances of Securitized Debt — — — — — ( 163,487 )

Proceeds from sales of assets — — ( 74,342 ) — — —

3 unchanged sentences

Ending Balance $ 1,641 $ 640,739 $ 58,209 $ 3,000 $ 52,138 $ ( 344,429 )

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:

Unrealized gain/(loss) on real estate securities and loans, net $ 13,206

Unrealized gain/(loss) on derivative and other instruments, net ( 3,631 )

Net realized gain/(loss) ( 8,377 )

Equity in earnings/(loss) from affiliates 13,406

Total $ 14,604

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

Unrealized gain/(loss) on real estate securities and loans, net $ 9,999

Unrealized gain/(loss) on derivative and other instruments, net ( 25 )

Equity in earnings/(loss) from affiliates 13,406

Total $ 23,380

Three Months Ended September 30, 2019 (in thousands)

Interest Only

ABS CMBS CMBS Interest

AG Arc Securitized

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

Transfers (1):

Transfers into level 3 55,311 — — — — — — — — —

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 ) — — — — —

Proceeds from settlement ( 13,578 ) — ( 8,263 ) ( 5,777 ) — ( 6,364 ) ( 32,800 ) — — 630

Total net gains/(losses) (2)

Included in net income 1,876 ( 412 ) ( 489 ) 4,419 ( 976 ) 4,718 510 ( 2,738 ) ( 2,594 ) ( 15 )

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 September 30, 2019 (3) $ 106 $ 371 $ ( 489 ) $ 4,356 $ ( 925 ) $ 4,651 $ 510 $ ( 2,328 ) $ ( 2,594 ) $ ( 15 )

Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held as of March 31, 2021 (3) $ 72 $ 11,761 $ 738 $ ( 158 ) $ 6,797 $ ( 2,047 )

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

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.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2020

During the three months ended March 31, 2021, the Company transferred one Non-Agency RMBS 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 $ 17,163

Nine Months Ended September 30, 2020 (in thousands)

Three Months Ended March 31, 2020 (in thousands)

RMBS Non-Agency

1 unchanged sentence

Only Residential

Loans Commercial

Rights AG Arc Securitized

Mortgage Loans Commercial

Loans Excess Mortgage

Servicing Rights AG Arc Securitized

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

3 unchanged sentences

Purchases/Transfers 1,559 — 3,540 — 479,195 11,441 — — —

Issuances of Securitized Debt — — — — — — — — ( 166,487 )

Proceeds from sales of assets and seizures of assets ( 362,131 ) — ( 148,111 ) ( 21,996 ) ( 8,679 ) — — — —

3 unchanged sentences

Ending Balance $ 5,533 $ — $ — $ — $ 766,960 $ 158,051 $ 14,066 $ 18,519 $ ( 191,346 )

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

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

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

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.

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

During the three months ended March 31, 2020, the Company transferred one 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.

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

Unrealized gain/(loss) on real estate securities and loans, net $ ( 74,309 )

Unrealized gain/(loss) on derivative and other instruments, net 2,809

Net realized gain/(loss) ( 118,378 )

Equity in earnings/(loss) from affiliates 12,890

Total $ ( 176,988 )

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

Unrealized gain/(loss) on real estate securities and loans, net $ ( 39,982 )

Unrealized gain/(loss) on derivative and other instruments, net 6,415

Equity in earnings/(loss) from affiliates 12,890

Total $ ( 20,677 )

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2020

Nine Months Ended September 30, 2019 (in thousands)

Interest Only

ABS CMBS CMBS Interest

AG Arc Securitized

Beginning balance $ 491,554 $ 3,099 $ 21,160 $ 211,054 $ 50,331 $ 186,096 $ 98,574 $ 26,650 $ 20,360 $ ( 10,858 )

Transfers (1):

Transfers into level 3 88,511 — — — — — — — — —

Transfers out of level 3 ( 39,557 ) — — ( 5,279 ) — — — — — —

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

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

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

Proceeds from sales/redemptions ( 72,872 ) — ( 1,284 ) ( 20,165 ) ( 2,631 ) ( 12,780 ) — — — —

Proceeds from settlement ( 41,451 ) — ( 9,446 ) ( 28,711 ) — ( 14,553 ) ( 43,217 ) — — 2,845

Total net gains/(losses) (2)

Included in net income 14,377 ( 1,677 ) 230 18,523 ( 2,757 ) 13,566 710 ( 8,495 ) ( 10,926 ) ( 2 )

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 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 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.

March 31, 2021

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

9 unchanged sentences

Total $ ( 101,947 )

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

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

Asset Class Fair Value at March 31, 2021 (in thousands) Valuation Technique Unobservable Input Range

(Weighted Average) (1)

3 unchanged sentences

Projected Collateral Severities -25.91% - -25.91% (-25.91%)

$ 1,375 Consensus Pricing Offered Quotes 89.00 - 89.00 ( 89.00 )

Yield 3.66 % - 10.00 % ( 5.36 %)

3 unchanged sentences

$ 6,133 Consensus Pricing Offered Quotes 83.57 - 109.77 ( 101.08 )

$ 153,847 Recent Transaction Cost N/A

Yield 11.22 % - 42.08 % ( 13.80 %)

1 unchanged sentence

Recovery Percentage (2) 100.00 % - 100.00 % ( 100.00 %)

Loan-to-Value 46.10 % - 91.60 % ( 72.31 %)

Excess Mortgage Servicing Rights Discounted Cash Flow Yield 9.00 % - 9.69 % ( 9.08 %)

2 unchanged sentences

AG Arc $ 52,138 Comparable Multiple Book Value Multiple 1.06 x - 1.06 x ( 1.06 x)

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

Liability Class Fair Value at March 31, 2021 (in thousands) Valuation Technique Unobservable Input Range

(Weighted Average)

3 unchanged sentences

Projected Collateral Severities 8.90 % - 16.31 % ( 13.03 %)

(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 September 30, 2020.

(1) Amounts are weighted based on fair value.

(2) Represents the proportion of the principal expected to be collected relative to the loan balances as of March 31, 2021.

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2020

March 31, 2021

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

6 unchanged sentences

Yield 4.50 % - 10.00 % ( 5.01 %)

Non-Agency RMBS Interest Only $ 1,074 Discounted Cash Flow Projected Collateral Prepayments 18.00 % - 18.00 % ( 18.00 %)

Projected Collateral Losses 2.00 % - 2.00 % ( 2.00 %)

Projected Collateral Severities 35.00 % - 35.00 % ( 35.00 %)

Yield 0.00 % - 13.89 % ( 6.33 %)

CMBS $ 366,566 Discounted Cash Flow Projected Collateral Prepayments 0.00 % - 0.00 % ( 0.00 %)

Projected Collateral Losses 0.00 % - 0.00 % ( 0.00 %)

Projected Collateral Severities 0.00 % - 0.00 % ( 0.00 %)

Yield -2.57% - 9.86% (4.19%)

CMBS Interest Only $ 47,992 Discounted Cash Flow Projected Collateral Prepayments 99.00 % - 100.00 % ( 99.93 %)

Projected Collateral Losses 0.00 % - 0.00 % ( 0.00 %)

Projected Collateral Severities 0.00 % - 0.00 % ( 0.00 %)

Yield 4.00 % - 8.25 % ( 4.81 %)

Residential Mortgage Loans $ 426,709 Discounted Cash Flow Projected Collateral Prepayments 4.30 % - 9.31 % ( 7.28 %)

1 unchanged sentence

Projected Collateral Severities -9.29% - 49.43% (15.68%)

$ 53,678 Recent Transaction Cost N/A

$ 6,598 Consensus Pricing Offered Quotes 82.03 - 106.29 ( 99.96 )

Yield 10.95 % - 39.54 % ( 14.09 %)

1 unchanged sentence

Recovery Percentage (2) 100.00 % - 100.00 % ( 100.00 %)

$ 98,522 Consensus Pricing Offered Quotes 100.00 - 100.00 ( 100.00 )

Loan-to-Value 43.60 % - 97.50 % ( 62.04 %)

Excess Mortgage Servicing Rights Yield 9.00 % - 9.70 % ( 9.08 %)

8 unchanged sentences

Projected Collateral Severities 12.70 % - 20.03 % ( 16.75 %)

(1) Amounts are weighted based on fair values.

(1) Amounts are weighted based on fair value.

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

As further described above, fair values for the Company’s securities portfolio are based upon prices obtained from third-party pricing services.

As further described above, fair value for the Company’s securities portfolio are based upon prices obtained from third-party pricing services.

Broker quotations may also be used.

2 unchanged sentences

Generally, a change in the assumption used for the probability of default is accompanied by a directionally similar change in the assumption used for the loss severity and a directionally opposite change in the assumption used for prepayment rates.

Also, as described above, valuation of the Company’s loan portfolio is determined by the Manager using third-party pricing services where available, specialized third party valuation service providers, or model-based pricing.

Also, as described above, valuation of the Company’s loan portfolio is determined by the Manager using third-party pricing services where available, valuation analyses from third-party pricing service providers, or model-based pricing.

The evaluation considers the underlying characteristics of each loan, which are observable inputs, including:

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

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

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

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

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

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements (Unaudited)

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.

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

March 31, 2021

Financing arrangements

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

The following table presents a summary of the Company's financing arrangements as of March 31, 2021 and December 31, 2020 (in thousands).

March 31, 2021

December 31, 2020

Weighted Average Collateral (1)(2)(3)

Carrying Value Stated Maturity Funding Cost Life (Years) Amortized Cost Basis Fair Value Carrying Value

Repurchase Agreements

Agency RMBS $ 874,612 Apr 2021 0.14 % 0.04 $ 944,627 $ 915,423 $ 435,893

Non-Agency RMBS 8,231 Apr 2021 1.84 % 0.03 10,100 14,751 14,550

CMBS 18,081 Apr 2021 2.29 % 0.02 35,419 29,439 24,881

Residential Mortgage Loans (4)(5) 205,326 Jun 2021 - Jan 2022 2.65 % 0.74 253,098 257,844 25,590

Total Repurchase Agreements $ 1,106,250 0.65 % 0.17 $ 1,243,244 $ 1,217,457 $ 500,914

Revolving Facilities

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.

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.

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.

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

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

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

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

As of 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."

Repurchase agreements

A vast majority of the Company's financing arrangements have historically been effectuated through repurchase agreements.

The Company pledges certain real estate securities and loans as collateral under repurchase agreements with financial institutions, the terms and conditions of which are negotiated on a transaction-by-transaction basis.

Repurchase agreements involve the sale and a simultaneous agreement to repurchase the transferred assets or similar assets at a future date.

The amount borrowed generally is equal to the fair value of the assets pledged less an agreed-upon discount, referred to as a "haircut." The Company calculates haircuts disclosed in the tables below by dividing the equity on each borrowing by the current fair value of each investment.

Repurchase agreements are accounted for as financings and require the repurchase of the transferred assets at the end of each agreement’s term, typically 30 to 90 days.

The carrying amount of the Company’s repurchase agreements approximates fair value due to their short-term maturities or floating rate coupons.

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

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

Interest rates on these borrowings are fixed based on prevailing rates corresponding to the terms of the borrowings, and interest is paid at the termination of the borrowing at

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

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.

The fair value of financial instruments pledged as collateral on the Company’s repurchase agreements disclosed in the tables below represent the Company’s fair value of such instruments which may differ from the fair value assigned to the collateral by its counterparties.

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

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

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 September 30, 2020 ($ in thousands):

Repurchase Agreements Real Estate Securities Pledged

Repurchase Agreements Maturing Within:

Balance Weighted

Average Haircut

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

Repurchase Agreements Real Estate Securities Pledged

Repurchase Agreements Maturing Within:

Balance Weighted

Average Haircut

30 days or less $ 1,550,508 2.33 % 9.0 % $ 1,728,837 $ 1,660,649 $ 5,402

31-60 days 1,362,121 2.13 % 7.0 % 1,501,850 1,453,257 5,191

61-90 days 71,753 2.99 % 23.5 % 93,957 92,901 245

Greater than 180 days 2,973 3.79 % 23.7 % 4,039 3,690 3

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 September 30, 2020 ($ in thousands):

Repurchase Agreements Residential Mortgage Loans Pledged (1)

Repurchase Agreements Maturing Within:

Balance Weighted

Weighted Average

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

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

Commercial Loans (6)(7)(8) $ 25,950 Aug 2023 3.23 % 2.36 $ 50,663 $ 41,489 $ 63,133

Total Financing Arrangements $ 1,132,200 0.71 % 0.22 $ 1,293,907 $ 1,258,946 $ 564,047

(1) The Company also had $ 6.1 million of cash pledged under repurchase agreements as of March 31, 2021.

(2) Under the terms of the Company’s financing agreements, the Company's financing counterparties may, in certain cases, sell or re-hypothecate the pledged collateral.

(3) Amounts pledged as collateral under Residential Mortgage Loans include 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.

Repurchase Agreements Residential Mortgage Loans Pledged (1)

Repurchase Agreements Maturing Within:

Balance Weighted

Weighted Average

31-60 days $ 24,584 3.14 % 3.14 % 33.7 % $ 37,546 $ 25,192 $ 377

Greater than 180 days 107,010 3.61 % 3.80 % 19.3 % 133,678 135,409 443

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.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

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.

The following table presents a summary of financial information regarding the Company’s repurchase agreements and corresponding commercial loans pledged as collateral as of December 31, 2019 ($ in thousands):

Repurchase Agreements Commercial Loans Pledged

Repurchase Agreements Maturing Within:

Balance Weighted

Weighted Average

Greater than 180 days $ 3,017 4.46 % 5.89 % 35.4 % $ 4,674 $ 4,674 $ 26

Although repurchase agreements are committed borrowings until maturity, the lender retains the right to mark the underlying collateral to fair value.

A reduction in the value of pledged assets resulting from changes in market conditions or factor changes would require the Company to provide additional collateral or cash to fund margin calls.

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

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

Agency RMBS $ 107,252 $ 2,231,933

Non-Agency RMBS 26,711 682,828

CMBS 40,486 413,922

Residential Mortgage Loans 45,019 171,224

Commercial Loans — 4,674

Cash pledged (i.e., restricted cash) under repurchase agreements 38 11,565

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

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 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:

(4) The Company's Residential Mortgage Loan financing arrangements include a maximum uncommitted borrowing capacity of $ 250 million on a facility used to finance Non-QM Loans.

Subsequent to quarter end, the Company amended this financing arrangement to increase the maximum uncommitted borrowing capacity to $ 400 million.

(5) The funding cost includes deferred financing costs.

The stated rate on the Residential Mortgage Loans repurchase agreements was 2.58 % as of March 31, 2021.

(6) The revolving facilities is interest only until maturity.

(7) The funding cost includes deferred financing costs.

The stated rate on the Commercial Loans revolving facility was 2.19 % as of March 31, 2021.

(8) The maximum uncommitted borrowing capacity on the commercial loan revolving facility is $ 100 million.

The following table presents contractual maturity information about the Company's borrowings under repurchase agreements and revolving facilities at March 31, 2021 (in thousands).

Within 30 Days Over 30 Days to 3 Months Over 3 Months to 12 Months Over 12 Months Total

Repurchase Agreements

Agency RMBS $ 874,612 $ — $ — $ — $ 874,612

2 unchanged sentences

Residential Mortgage Loans — 28,004 177,322 — 205,326

Total Repurchase Agreements $ 900,924 $ 28,004 $ 177,322 $ — $ 1,106,250

Revolving Facilities

Commercial Loans $ — $ — $ — $ 25,950 $ 25,950

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.

Total Financing Arrangements $ 900,924 $ 28,004 $ 177,322 $ 25,950 $ 1,132,200

Counterparties

The Company had exposure to five counterparties as of March 31, 2021 and December 31, 2020.

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements (Unaudited)

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 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

Revolving facility B (4) Residential mortgage loans June 28, 2021 — % — % $ — $ — $ — 3.80 % 3.80 % $ 21,546 $ 27,476

Revolving facility C Commercial loans August 10, 2023 2.31 % 2.79 % 61,200 95,595 100,000 3.85 % 4.01 % 89,956 132,856

Total revolving facilities $ 61,200 $ 95,595 $ 100,000 $ 111,502 $ 160,332

(1) All revolving facilities listed above are interest only until maturity.

(2) Under the terms of the Company’s financing agreements, the Company's financial counterparties may, in certain cases, sell or re-hypothecate the pledged collateral.

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

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

Financing arrangements

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

March 31, 2021

The following tables present information as of March 31, 2021 and December 31, 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).

March 31, 2021

Counterparty Stockholders’ Equity

2 unchanged sentences

Stockholders’ Equity

Barclays Capital Inc.

$ 65,949 88 14.5 %

Credit Suisse AG, Cayman Islands Branch

29,000 54 6.4 %

BofA Securities, Inc.

24,308 14 5.3 %

December 31, 2020

3 unchanged sentences

Stockholders’ Equity

Barclays Capital Inc.

BofA Securities, Inc.

$ 28,091 19 6.9 %

Citigroup Global Markets Inc.

Credit Suisse AG, Cayman Islands Branch 26,305 35 6.4 %

Barclays Capital Inc.

24,890 15 6.1 %

Financial Covenants

The Company’s financing arrangements generally include customary representations, warranties, and covenants, but may also contain more restrictive supplemental terms and conditions.

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

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

In addition, some of the financing arrangements contain cross default features, whereby default under an agreement with one lender simultaneously causes default under agreements with other lenders.

To the extent that the Company fails to comply with the covenants contained in these financing arrangements or is otherwise found to be in default under the terms of such agreements, the counterparty has the right to accelerate amounts due under the associated agreement.

Financings pursuant to repurchase agreements and revolving facilities are generally recourse to the Company.

As of March 31, 2021, the Company is in compliance with all of its financial covenants.

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

September 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 March 31, 2021 and December 31, 2020 (in thousands):

March 31, 2021 December 31, 2020

Interest receivable $ 4,206 $ 2,962

Derivative assets, at fair value — 2,282

Other assets 4,321 5,538

6 unchanged sentences

Accrued expenses 2,692 2,521

Taxes payable — 815

Due to broker 1,061 1,272

1 unchanged sentence

(1) Refer to Note 10 for more information.

Derivative assets and liabilities

The Company’s derivatives may include interest rate swaps ("swaps"), TBAs, and swaption contracts.

They may also include Eurodollar Futures, U.S.

Treasury Futures, British Pound Futures, and Euro Futures (collectively, "Futures").

Derivatives have not been designated as hedging instruments.

The Company uses these derivatives and may also utilize other instruments to manage interest rate risk, including long and short positions in U.S.

Treasury securities.

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

The 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 September 30, 2020 December 31, 2019

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

Pay Fix/Receive Float Interest Rate Swap Agreements (2) Non-Hedge Other liabilities ( 39 ) ( 411 )

Payer Swaptions Non-Hedge Other assets — 2,083

(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) 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.

1 unchanged sentence

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2020

March 31, 2021

The following table presents the fair value of the Company's derivatives and other instruments and their balance sheet location at March 31, 2021 and December 31, 2020 (in thousands).

Derivatives and Other Instruments (1) Designation Balance Sheet

Location March 31, 2021 December 31, 2020

Pay Fix/Receive Float Interest Rate Swap Agreements (1) Non-Hedge Other liabilities $ — $ ( 68 )

(1) As of March 31, 2021, the Company applied a reduction in fair value of $ 28.7 million and $ 21.7 thousand to its interest rate swap assets and liabilities, respectively, related to variation margin with a corresponding increase or decrease in restricted cash, respectively.

As of December 31, 2020, the Company applied a reduction in fair value of $ 1.4 million and $ 0.2 million to its interest rate swap assets and liabilities, respectively, related to variation margin with a corresponding increase or decrease in restricted cash, respectively.

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

Notional amount of non-hedge derivatives and other instruments:

Notional Currency September 30, 2020 December 31, 2019

Notional Currency March 31, 2021 December 31, 2020

Pay Fix/Receive Float Interest Rate Swap Agreements USD $ 1,108,000 $ 417,000

Payer Swaptions USD — 650,000

Short positions on British Pound Futures (1) GBP — 3,313

Short positions on Euro Futures (2) EUR — 1,500

(1) Each British Pound Future contract embodies £ 62,500 of notional value.

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

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

Three Months Ended Nine Months Ended

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

Three Months Ended

March 31, 2021 March 31, 2020

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

Interest Rate Swaps $ 28,420 $ ( 11,588 )

Eurodollar Futures — 233 — 1,001

Swaptions — ( 692 )

Treasury Futures — ( 37 ) — ( 181 )

British Pound Futures 64 ( 53 )

Euro Futures — 48

TBAs — ( 1,307 ) — ( 866 )

Treasuries — — — 82

28,484 ( 11,893 )

1 unchanged sentence

Interest Rate Swaps — ( 65,368 )

Eurodollar Futures — 107 — ( 1,122 )

Swaptions — ( 1,386 )

Treasury Futures — ( 510 ) — ( 139 )

British Pound Futures ( 165 ) 664

Euro Futures — 2

TBAs — 1,152 4,610 2,753

Treasuries — 231 — ( 18 )

( 165 ) ( 61,870 )

Total income/(loss) $ 28,319 $ ( 73,763 )

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

Derivative and other instruments eligible for offset are presented gross on the consolidated balance sheets as of March 31, 2021 and December 31, 2020, if applicable.

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

2 unchanged sentences

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

As of 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.

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

As of March 31, 2021, the Company's restricted cash balance included $ 31.7 million of collateral related to certain derivatives, of which $ 3.0 million represents cash collateral posted by the Company and $ 28.7 million represents amounts related to variation margin.

As of December 31, 2020, the Company's restricted

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements (Unaudited)

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.

March 31, 2021

cash balance included $ 10.8 million of collateral related to certain derivatives, of which $ 9.7 million represents cash collateral posted by the Company and $ 1.1 million represents amounts related to variation margin.

Interest rate swaps

1 unchanged sentence

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.

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):

As of March 31, 2021, 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 March 31, 2021 ($ in thousands):

Maturity Notional Amount Weighted Average

4 unchanged sentences

2026 379,000 0.73 % 0.20 % 4.89

2028 160,000 1.09 % 0.19 % 6.88

2030 86,000 0.76 % 0.22 % 9.52

2031 187,000 1.38 % 0.20 % 9.88

Total/Wtd Avg $ 1,108,000 0.80 % 0.20 % 6.28

9 unchanged sentences

2031 15,000 0.95 % 0.24 % 10.01

2026 180,000 1.50 % 1.89 % 6.70

2029 165,000 1.77 % 1.94 % 9.85

Total/Wtd Avg $ 417,000 0.49 % 0.23 % 5.99

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):

The Company did not hold any TBA positions for the three months ended March 31, 2021.

The following tables present information about the Company’s TBAs for the three months ended March 31, 2020 (in thousands):

For the Three Months Ended:

3 unchanged sentences

from/to Broker

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 ) $ — $ — $ — $ — $ —

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

Net Fair Value as of

Net Receivable/(Payable)

from/to Broker

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 ) $ — $ — $ — $ — $ —

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

Earnings per share

1 unchanged sentence

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.

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 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)

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

March 31, 2021

The following table presents a reconciliation of the earnings and shares used in calculating basic and diluted EPS for the three months ended March 31, 2021 and March 31, 2020 (in thousands, except per share data):

Three Months Ended

March 31, 2021 March 31, 2020

Net Income/(Loss) from Continuing Operations $ 43,249 $ ( 485,017 )

Gain on Exchange Offer, net 539 — 539 —

Gain on Exchange Offers, net (Note 11) 358 —

Dividends on preferred stock ( 4,924 ) ( 5,667 )

Net income/(loss) from continuing operations available to common stockholders $ 15,022 $ 7,386 $ ( 478,629 ) $ 50,711

Net Income/(Loss) from Discontinued Operations — ( 1,057 ) 361 ( 3,284 )

Net income/(loss) available to common stockholders $ 38,683 $ ( 490,684 )

Basic weighted average common shares outstanding 42,348 32,749

Dilutive effect of restricted stock units — 12 — 9

Diluted weighted average common shares outstanding (1) 42,348 32,749

Earnings/(Loss) Per Share - Basic

Continuing Operations $ 0.44 $ 0.22 $ ( 14.35 ) $ 1.58

Discontinued Operations — ( 0.03 ) 0.01 ( 0.10 )

Total Earnings/(Loss) Per Share of Common Stock $ 0.91 $ ( 14.98 )

Earnings/(Loss) Per Share - Diluted

Continuing Operations $ 0.44 $ 0.22 $ ( 14.35 ) $ 1.58

Discontinued Operations — ( 0.03 ) 0.01 ( 0.10 )

Total Earnings/(Loss) Per Share of Common Stock $ 0.91 $ ( 14.98 )

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.

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.

However, undeclared preferred stock dividends are reflected in earnings per share as discussed in ASC 260-10-45-11.

Pursuant to their terms, all unpaid dividends on the Company’s preferred stock accrue without interest, and if dividends on the Company's preferred stock are in arrears, the Company cannot pay cash dividends with respect to its Common Stock.

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

Refer to "Item 2.

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

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

8.25 % Series A

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

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

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

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

The Company had no unvested restricted stock units as of March 31, 2021 and December 31, 2020, respectively.

The following table details the Company's common stock dividends declared during the three months ended March 31, 2021:

Declaration Date Record Date Payment Date Cash Dividend Per Share

3/22/2021 4/1/2021 4/30/2021 $ 0.06

The Company did no t declare any common stock dividends during the three months ended March 31, 2020.

The following tables detail the Company's preferred stock dividends declared and paid during the three months ended March 31, 2021 and March 31, 2020:

2021 Cash Dividend Per Share

Declaration Date Record Date Payment Date 8.25 % Series A

8.00 % Series B

8.000 % Series C

Total $ 11,231

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 declared during the nine months ended September 30, 2019:

Declaration Date Record Date Payment Date Dividend Per Share

2/16/2021 2/26/2021 3/17/2021 $ 0.51563 $ 0.50 $ 0.50

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

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.

2020 Cash Dividend Per Share

3 unchanged sentences

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

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

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

8/16/2019 8/30/2019 9/17/2019 0.51563 0.50 —

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

March 31, 2021

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.

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 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.

The expense is calculated in accordance with applicable tax regulations.

For the three months ended March 31, 2021, the Company did no t record any excise tax expense.

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

The reversal of the previously accrued excise tax expense during the three months ended March 31, 2020 was a result of losses resulting from market conditions associated with the COVID-19 pandemic.

The Company files tax returns in several U.S jurisdictions.

1 unchanged sentence

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.

In general, a TRS may hold assets and engage in activities that the Company cannot hold or engage in directly, and generally may engage in any real estate or non-real estate-related business.

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

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

The Company is externally managed and advised by the Manager.

3 unchanged sentences

Below is a description of the fees and reimbursements provided in the management agreements.

Management fee

2 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.

For the three months ended March 31, 2021 and 2020, the Company incurred management fees of approximately $ 1.7 million and $ 2.1 million, respectively.

As of March 31, 2021 and December 31, 2020, the Company recorded management fees payable of $ 1.7 million.

On April 6, 2020, the Company and the Manager executed an amendment to the management agreement pursuant to which the

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements (Unaudited)

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.

March 31, 2021

Manager agreed to defer the Company's payment of the management fee effective the first quarter of 2020 through 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 deferred base management fee in shares of common stock.

Pursuant to the Second Management Agreement Amendment, the Manager agreed to purchase (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.

The remaining third quarter 2020 management fee was 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 September 30, 2020 and December 31, 2019, no event of termination of the management agreement had occurred.

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, the Manager will be entitled to a termination fee equal to three times the average annual management fee during the 24-month period prior to such termination, calculated as of the end of the most recently completed fiscal quarter.

As of March 31, 2021 and December 31, 2020, 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 $ 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.

Of the $ 4.0 million and $ 0.9 million of Other operating expenses for the three months ended March 31, 2021 and 2020, respectively, the Company has incurred $ 1.5 million and $ 2.0 million, respectively, representing a reimbursement of expenses.

As of March 31, 2021 and December 31, 2020, the Company recorded a reimbursement payable to the Manager of $ 1.5 million and $ 1.8 million, respectively.

For the year ended December 31, 2021, the Manager agreed to waive its right to receive expense reimbursements of $ 0.8 million.

On April 6, 2020, the Company executed an amendment to the management agreement pursuant to which the Manager agreed to defer the reimbursement of expenses, effective the first quarter of 2020 through September 30, 2020.

All deferred expense reimbursements were paid as of September 30, 2020.

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

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

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

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

Interest on the Note is

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

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

Interest on the Note was payable monthly in kind through the addition of such accrued monthly interest to the

AG Mortgage Investment Trust Inc.

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Notes to Consolidated Financial Statements (Unaudited)

September 30, 2020

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

March 31, 2021

outstanding principal balance of the Note.

The Note and accrued interest on the Note, when outstanding, were included within the due to affiliates amount, which is included within the "Other Liabilities" line item in the consolidated balance sheets.

See Note 7 for a breakout of the "Other liabilities" line item.

Restricted stock grants

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

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

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

As of 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 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.

As of March 31, 2021, 1,857,350 shares of common stock were available to be awarded under the Equity Incentive Plan.

Since its IPO, the Company has granted an aggregate of 105,794 and 142,650 shares of restricted common stock to its independent directors under its equity incentive plans, dated July 6, 2011 (the "2011 Equity Incentive Plans") and its 2020 Equity Incentive Plan, respectively.

As of March 31, 2021, all shares of restricted common stock granted to its independent directors have vested.

Further, since its IPO, the Company has issued 40,250 shares of restricted common stock and 120,000 restricted stock units to its Manager under the 2011 Equity Incentive Plans.

As of July 1, 2020, all shares of restricted common stock and restricted stock units granted to its Manager have fully vested.

Director compensation

Beginning in 2018, the Company began paying a $ 160,000 annual base director’s fee to each independent director.

Base director’s fees are paid 50 % in cash and 50 % in restricted common stock.

Beginning January 1, 2021, the annual base director's fee for each independent director decreased from $ 160,000 to $ 150,000 , $ 70,000 of which is payable on a quarterly basis in cash and $ 80,000 of which is payable on a quarterly basis in shares of restricted common stock.

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

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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 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 .

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

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

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.

As of March 31, 2021, the Company's Board of Directors consisted of four independent directors.

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

Investments in debt and equity of affiliates

The Company invests in credit sensitive residential and commercial real estate assets through affiliated entities which hold an ownership interest in the assets.

The Company invests in credit sensitive residential assets through affiliated entities which hold an ownership interest in the assets.

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 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.

See Note 2 for further detail.

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

See Note 2 for the gross fair value of the Company's share of these investments as of March 31, 2021 and December 31, 2020 and the net income/(loss) generated by these investments for the three months ended March 31, 2021 and 2020.

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

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

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

See Note 2 for the fair value of AG Arc as of March 31, 2021 and December 31, 2020.

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

Arc Home may also enter into agreements with us, third parties, or affiliates of the Manager to sell rights to receive the excess servicing spread related to MSRs that it either purchases from third parties or originates.

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

As of March 31, 2021 and December 31, 2020, these Excess MSRs had a fair value of approximately $ 3.3 million and $ 3.5 million, respectively.

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

AG Mortgage Investment Trust Inc.

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Notes to Consolidated Financial Statements (Unaudited)

September 30, 2020

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

Arc Home may also enter into agreements with third parties or affiliates of the Manager to sell rights to receive the excess servicing spread related to MSRs that it either purchases from third parties or originates.

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 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.

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

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

Refer to Note 2 for further detail on this restructuring.

The Company has an approximate 44.6 % interest in MATH.

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

March 31, 2021

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

Arc Home sold Non-QM Loans with an unpaid principal balance of $ 76.8 million to this affiliate of the Manager during the three months ended March 31, 2021.

For the three months ended March 31, 2021, Arc Home sold Non-QM Loans with an unpaid principal balance of $ 57.7 million to the Company.

See "Transactions with affiliates" below for details regarding sales of Non-QM Loans from Arc Home to the Company during the first quarter of 2021.

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

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

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

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

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

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

MATT chose to make a fair value election on this financing arrangement and the Company treated this arrangement consistently with this election.

On January 29, 2021, the Company, alongside private funds under the management of Angelo Gordon, entered into an amendment with respect to its Restructured Financing Arrangement in MATT.

The amendment serves to convert the existing financing to a mark-to-market facility that is recourse to the Company and the private funds managed by Angelo Gordon that invest in MATT up to the below mentioned commitment from MATH to MATT.

Upon amending the agreement, the Company settled the premium recapture fee with the financing counterparty.

On January 29, 2021, the Company alongside private funds under the management of Angelo Gordon, entered into an amendment to the MATH LLC Agreement, which requires MATH to fund a capital commitment of $ 50.0 million to MATT.

The Company, through its investment in MATH, is responsible for its pro-rata share of the capital commitment.

Refer to Note 12 for additional information.

The Company's investment in LOTS require it to fund various commitments in connection with the origination of Land Related Financing.

Refer to Note 12 for additional information.

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

Transactions with affiliates

In connection with the Company’s investments in residential mortgage loans, residential mortgage loans in securitized form which are issued by an entity in which the Company holds an equity interest in and which are held alongside other private funds under the management of Angelo Gordon (the "Re/Non-Performing Loans") and non-QM loans, the Company may engage asset managers to provide advisory, consultation, asset management and other services.

Beginning in November 2015, the Company also engaged Red Creek Asset Management LLC ("Asset Manager"), an affiliate of the Manager and direct subsidiary of Angelo Gordon, as the asset manager for certain of its Re/Non-Performing Loans.

In connection with the Company’s investments in residential mortgage loans, residential mortgage loans in securitized form which are issued by an entity in which the Company holds an equity interest in and which are held alongside other private funds under the management of Angelo Gordon (the "Re/Non-Performing Loans") and Non-QM Loans, the Company engages asset managers to provide advisory, consultation, asset management and other services.

Beginning in November 2015, the Company also engaged Red Creek Asset Management LLC ("Asset Manager"), a related party of the Manager and direct subsidiary of Angelo Gordon, as the asset manager for certain of its Re/Non-Performing Loans.

Beginning in September 2019, the Company engaged the Asset Manager as the asset manager for its Non-QM Loans.

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

For the three 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.

The fees paid by the Company to the Asset Manager totaled $ 0.6 million and $ 0.3 million for the three months ended March 31, 2021 and 2020, respectively.

For the three months ended March 31, 2020, the Company deferred $ 0.1 million of fees owed to the Asset Manager, which were subsequently paid on September 30, 2020.

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

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 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").

As of the date of the trade, the security acquired from the March 2019 Selling Affiliate had a total fair value of $ 0.9 million.

The March 2019 Selling Affiliate sold the real estate security through a BWIC (Bids Wanted in Competition).

Prior to the submission of the BWIC by the March 2019 Selling Affiliate, the Company submitted its bid for the real estate security to the March 2019 Selling Affiliate.

The pre-submission of the Company's bid allowed the Company to confirm third-party market pricing and best execution.

In June 2019, the Company, alongside private funds under the management of Angelo Gordon, participated, through its unconsolidated ownership interest in MATT, in a rated non-QM loan securitization, in which non-QM loans with a fair value of $ 408.0 million were securitized.

Certain senior tranches in the securitization were sold to third parties with the Company and

The administrative fees paid by the Company to Arc Home totaled $ 11.1 thousand and $ 0.1 million for the three months ended March 31, 2021 and 2020, respectively.

In February 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

AG Mortgage Investment Trust Inc.

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Notes to Consolidated Financial Statements (Unaudited)

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.

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

In July 2019, in accordance with the Company’s Affiliated Transactions Policy, the Company acquired certain real estate securities from an affiliate of the Manager (the "July 2019 Selling Affiliate").

As of the date of the trade, the real estate securities acquired from the July 2019 Selling Affiliate had a total fair value of $ 2.0 million.

As procuring market bids for the real estate securities was determined to be impracticable in the Manager’s reasonable judgment, appropriate pricing was based on a valuation prepared by independent third-party pricing vendors.

The third-party pricing vendors allowed the Company to confirm third-party market pricing and best execution.

In September 2019, the Company, alongside private funds under the management of Angelo Gordon, participated, through its unconsolidated ownership interest in MATT, in a rated non-QM loan securitization, in which non-QM loans with a fair market value of $ 415.1 million were securitized.

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

In October 2019, in accordance with the Company’s Affiliated Transactions Policy, the Company acquired certain real estate securities from an affiliate of the Manager (the "October 2019 Selling Affiliate").

As of the date of the trade, the real estate securities acquired from the October 2019 Selling Affiliate had a total fair value of $ 2.2 million.

The October 2019 Selling Affiliate sold the real estate securities through a BWIC.

Prior to the submission of the BWIC by the October 2019 Selling Affiliate, the Company submitted its bid for real estate securities to the October 2019 Selling Affiliate.

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

In November 2019, the Company, alongside private funds under the management of Angelo Gordon, participated through its unconsolidated ownership interest in MATT in a rated non-QM loan securitization, in which non-QM loans with a fair value of $ 322.1 million were securitized.

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

In February 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 $ 348.2 million were securitized.

March 31, 2021

of $ 348.2 million were securitized.

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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.

As of the date of the transaction, 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 by submitting an offer to purchase the securities from the Company in a competitive bidding process.

This 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.

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

In October 2020, in accordance with the Company’s Affiliated Transactions Policy, the Company acquired certain real estate securities and Excess MSRs from an affiliate of the Manager (the "October 2020 Selling Affiliate").

As of the date of the transaction, the real estate securities and Excess MSRs acquired from the October 2020 Selling Affiliate had a total fair value of $ 0.5 million and $ 20.0 thousand, respectively.

The third-party pricing vendors allowed the Company to confirm third-party market pricing and best execution.

During the first quarter of 2021, the Company purchased Non-QM Loans from Arc Home with an underlying unpaid principal balance and fair value of $ 57.7 million and $ 59.2 million, respectively.

In March 2021, in accordance with the Company’s Affiliated Transactions Policy, the Company sold certain real estate securities to an affiliate of the Manager (the "March 2021 Acquiring Affiliate").

As of the date of the transaction, the real estate securities sold to the March 2021 Acquiring Affiliate had a total fair value of $ 6.9 million.

The March 2021 Acquiring Affiliate purchased the real estate securities by submitting an offer to purchase the securities from the Company in a competitive bidding process.

This allowed the Company to confirm third-party market pricing and best execution.

Stock repurchase programs

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.

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.

Open market repurchases will be made in accordance with Exchange Act Rule 10b-18, which sets certain restrictions on the method, timing, price and volume of open market stock repurchases.

Subject to applicable securities laws, the timing, manner, price and amount of any repurchases of common stock under the Repurchase Program may be determined by the Company in its discretion, using available cash resources.

Shares of common stock repurchased by the Company under the Repurchase Program, if any, will be cancelled and, until reissued by the Company, will be deemed to be authorized but unissued shares of its common stock as required by Maryland law.

The Repurchase Program may be suspended or discontinued by the Company at any time and without prior notice and the authorization does not obligate the Company to acquire any particular amount of common stock.

The cost of the acquisition by the Company of shares of its own stock in excess of the aggregate par value of the shares first reduces additional paid-in capital, to the extent available, with any residual cost applied against retained earnings.

No shares were repurchased under the Repurchase Program during the three months

AG Mortgage Investment Trust Inc.

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Notes to Consolidated Financial Statements (Unaudited)

September 30, 2020

March 31, 2021

ended March 31, 2021 and 2020 and approximately $ 14.6 million of common stock remained authorized for future share repurchases under the Repurchase Program.

On February 22, 2021, the Company's Board of Directors authorized a stock repurchase program (the "Preferred Repurchase Program") pursuant to which the Company's Board of Directors granted a repurchase authorization to acquire shares of its 8.25 % Series A Cumulative Redeemable Preferred Stock, its 8.00 % Series B Cumulative Redeemable Preferred Stock, and its 8.000 % Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock having an aggregate value of up to $ 20 million.

No shares were repurchased under the Repurchase Program during the three months ended March 31, 2021.

Equity distribution agreements

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, described below.

For the three months ended March 31, 2021, the Company issued 2.2 million shares of common stock under the Equity Distribution Agreements for net proceeds of approximately $ 10.0 million.

For the three months ended March 31, 2020, the Company did no t issue any shares of common stock under the Equity Distribution Agreements.

Since inception of the program, the Company has issued approximately 5.8 million shares of common stock under the Equity Distribution Agreements for gross proceeds of $ 45.0 million.

Shelf registration statement

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 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.

Concurrently with the IPO in 2011, the Company completed a private placement of 3,205,000 units at $ 20.00 per share to a limited number of investors qualifying as "accredited investors" under Rule 501 of Regulation D promulgated under the Securities Act of 1933, as amended (the "Securities Act").

Each unit consisted of one share of common stock ("private placement share") and a warrant ("private placement warrant") to purchase 0.50 of a share of common stock.

Each private placement warrant had an exercise price of $ 20.50 per share (as adjusted for reorganizations, reclassifications, consolidations, mergers, sales, transfers or other dispositions) and expired on July 6, 2018.

No warrants were exercised in 2018 through the expiration date on July 6, 2018.

In addition to the Company’s Series A and Series B Preferred Stock, the Company completed a public offering of 4,000,000 shares of 8.000 % Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock with a liquidation preference of $ 25.00 per share (the "Series C Preferred Stock") on September 17, 2019.

The Company subsequently issued 600,000 shares of Series C Preferred Stock pursuant to the underwriters' exercise of their over-allotment option.

The Company received total gross proceeds of $ 115.0 million and net proceeds of approximately $ 111.2 million, net of underwriting discounts, commissions and expenses.

The Company’s Series A, Series B and Series C Preferred Stock have no stated maturity and are not subject to any sinking fund or mandatory redemption.

Under certain circumstances upon a change of control, the Company’s Series A, Series B and Series C Preferred Stock are convertible to shares of the Company’s common stock.

Holders of the Company’s Series A, Series B and Series C Preferred Stock have no voting rights, except under limited conditions, and holders are entitled to receive cumulative cash dividends at a the respective stated rate per annum before holders of the common stock are entitled to receive any cash dividends.

The dividend rate of the Series A and Series B preferred stock is 8.25 % and 8.00 % per annum, respectively, of the $ 25.00 per share liquidation preference.

Preferred stock

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

Holders of the Company’s Series A Preferred Stock, Series B Preferred Stock, and Series C Preferred Stock have no voting rights, except under limited conditions, and holders are entitled to receive cumulative cash dividends at the respective stated rate per annum before holders of the common stock are entitled to receive any cash dividends.

The dividend rate of the Series A Preferred Stock and Series B Preferred Stock is 8.25 % and 8.00 % per annum, respectively, of the $ 25.00 per share liquidation preference.

The initial dividend rate for the Series C Preferred Stock, from and including the date of original issue to, but not including, September 17, 2024, is 8.000 % per annum of the $ 25.00 per share liquidation preference.

Shares of the Company’s Series 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 A Preferred Stock 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 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 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 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.

Refer to Note 9 for more information on the arrearages related to the Company's preferred stock.

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

The Company's Series A Preferred Stock, Series B Preferred Stock, 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 Preferred Stock, Series B Preferred Stock, 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 Preferred Stock, Series B Preferred Stock, 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 Preferred Stock, Series B Preferred Stock, 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 Preferred Stock, Series B Preferred Stock, and Series C Preferred Stock whose terms are being changed.

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2020

Open market repurchases will be made in accordance with Exchange Act Rule 10b-18, which sets certain restrictions on the method, timing, price and volume of open market stock repurchases.

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.

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 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.

March 31, 2021

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.

On December 17, 2020, the Company paid its Series A Preferred Stock, Series B Preferred Stock, and Series C Preferred Stock dividends 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.

On December 22, 2020, the Company's Board of Directors declared a dividend of $ 0.03 per common share for the fourth quarter 2020 which was paid on January 29, 2021 to shareholders of record at the close of business on December 31, 2020.

During the first quarter of 2021, the Company declared its preferred and common dividends in ordinary course.

Refer to Note 8 for more information on dividends declared during the period.

Exchange offers

On August 14, 2020, the Company announced the commencement of an offer to exchange 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.

This offer had an expiration date of September 11, 2020.

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 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 with existing holders of the preferred stock.

After the transaction closed, the Series A Preferred Stock, Series B Preferred Stock, and 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.

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 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.

On March 17, 2021, the Company agreed to issue an aggregate of 2,812,388 shares of its common stock in exchange for 153,325 shares of Series A Preferred Stock and 350,609 shares of Series B Preferred Stock, pursuant to a privately negotiated exchange agreement with existing holders of the preferred stock.

After the transaction closed, the Series A Preferred Stock and Series B 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.

As of March 31, 2021, the Company had outstanding 1,663,193 shares of Series A Preferred Stock, 3,814,119 shares of Series B Preferred Stock, and 3,883,178 shares of Series C Preferred Stock.

Common stock issuance to the Manager

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

The shares of Common Stock issued to the Manager were valued at $ 3.15 per share based

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements (Unaudited)

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.

March 31, 2021

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 was paid in the normal course of business.

Refer to Note 10 for more information on this transaction.

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

As of March 31, 2021, 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.

6 unchanged sentences

On June 11, 2020, the Company repaid the secured promissory note due to RBC in full.

The Company has recognized this settlement in the "Net realized gain/(loss)" line item on the consolidated statement of operations.

As a result, as of 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.

The Company recognized this settlement in the "Net realized gain/(loss)" line item on the consolidated statement of operations in the second quarter of 2020.

As a result, 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.

For the year ended December 31, 2020, the Company recorded a loss of $ 11.6 million related to deficiencies asserted by other counterparties.

The Company recognized these losses in the "Net realized gain/(loss)" line item on the consolidated statement of operations.

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):

The below table details the Company's outstanding commitments as of March 31, 2021 (in thousands):

Commitment type Date of Commitment Total Commitment Funded Commitment Remaining Commitment

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 $ 17,220 $ 2,780

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

LOTS (b) Various 32,345 20,604 11,741

MATH (b) January 29, 2021 22,295 — 22,295

Total $ 74,640 $ 37,824 $ 36,816

1 unchanged sentence

See Note 4 for further details.

(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

In November 2019, the Company signed a purchase and sale agreement whereby it agreed to sell its portfolio of single-family rental properties to a third party at a price of approximately $ 137 million as the portfolio was under-performing.

The Company recognized a gain of $ 0.2 million as a result of the transaction.

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 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 )

Other Income/(Loss)

Rental income 3,309 — 9,868

Net realized gain/(loss) — — ( 96 )

Other income 34 — 346

Total Other Income/(Loss) 3,343 — 10,118

Other operating expenses 154 ( 80 ) 246

Property depreciation and amortization 1,013 — 3,640

Property operating expenses 1,986 ( 281 ) 5,775

Total Expenses 3,153 ( 361 ) 9,661

Net Income/(Loss) from Discontinued Operations $ ( 1,057 ) $ 361 $ ( 3,284 )

In the second quarter of 2020, the Company reversed certain previously accrued expenses related to discontinued operations.

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

Other liabilities $ 305 $ 1,546

(b) Refer to Note 10 "Investments in debt and equity of affiliates" for more information regarding LOTS and MATH.

Subsequent Events

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.

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

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.

Subsequent to quarter end, the Company purchased $ 154.2 million of Non-QM Loans, inclusive of $ 47.3 million which were purchased from Arc Home.

The Company also amended or entered into financing arrangements to increase the maximum uncommitted borrowing capacity to finance Non-QM Loans to $ 800 million.

On April 20, 2021, in accordance with the Company’s Affiliated Transactions Policy, the Company sold certain CMBS to an affiliate of the Manager.

As of the date of the transaction, the real estate securities sold to the affiliate had a total fair value of $ 16.8 million.

On May 5, 2021, 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 $ 171.4 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.

Subsequent to this transaction, MATT had securitized all Non-QM Loans previously acquired and its remaining portfolio consisted of the subordinate tranches retained from this securitization and past securitizations.

During the current year, the Company has begun acquiring Non-QM Loans directly which are recorded in the "Residential mortgage loans, at fair value" line item on the consolidated balance sheets.

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