What changed in this filing

/stocks — the workspaceLOADING

Item 1. Financial Statements

2021-08-03 compared with 2021-05-07 · 638 added, 511 removed, 1008 unchanged (53% of the section changed)

4 unchanged sentences

(in thousands, except per share data)

March 31, 2021 December 31, 2020

June 30, 2021 December 31, 2020

Residential mortgage loans, at fair value - $ 502,956 and $ 46,571 pledged as collateral, respectively (1)

$ 1,029,244 $ 435,441

Real estate securities, at fair value:

2 unchanged sentences

Non-Agency - $ 3,454 and $ 28,653 pledged as collateral, respectively

16,371 38,406

CMBS - $ 31,614 and $ 42,669 pledged as collateral, respectively

31,614 56,788

Residential mortgage loans, at fair value - $ 257,844 and $ 46,571 pledged as collateral, respectively (1)

642,959 435,441

Commercial loans, at fair value 62,279 111,549

4 unchanged sentences

Restricted cash 23,708 14,392

Receivable on unsettled trades - $ 104,772 and $ 0 pledged as collateral, respectively

Other assets 12,133 9,407

8 unchanged sentences

Stockholders’ Equity

Preferred stock - $ 0.01 par value;

50,000 shares authorized:

8.25 % Series A Cumulative Redeemable Preferred Stock;

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;

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, 3,883 shares issued and outstanding at March 31, 2021 and December 31, 2020 ($ 97,079 aggregate liquidation preference)

Preferred stock - $ 227,991 and $ 246,610 aggregate liquidation preference as of June 30, 2021 and December 31, 2020, respectively

220,472 238,478

Common stock, par value $ 0.01 per share;

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

450,000 shares of common stock authorized and 16,164 and 13,811 shares issued and outstanding at June 30, 2021 and December 31, 2020, respectively (2)

Additional paid-in capital (2) 719,940 689,147

2 unchanged sentences

Total Liabilities & Stockholders’ Equity $ 2,168,290 $ 1,400,045

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

(1) See Note 3 for details related to variable interest entities.

(2) Amounts have been adjusted to reflect the one-for-three reverse stock split effected July 22, 2021.

See Note 2 and Note 11 for additional details.

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

AG Mortgage Investment Trust, Inc.

2 unchanged sentences

(in thousands, except per share data)

Three Months Ended

March 31, 2021 March 31, 2020

Three Months Ended Six Months Ended

June 30, 2021 June 30, 2020 June 30, 2021 June 30, 2020

Net Interest Income

5 unchanged sentences

Net interest component of interest rate swaps ( 1,573 ) — ( 2,314 ) 923

Unrealized gain/(loss) on real estate securities and loans, net ( 6,658 ) ( 313,897 )

Unrealized gain/(loss) on derivative and other instruments, net 26,507 5,686

Foreign currency gain/(loss), net 14 1,649

Other income 23 3

Unrealized gain/(loss), net 9,685 100,179 29,534 ( 208,032 )

Other income/(loss), net — ( 155 ) 37 1,497

Total Other Income/(Loss) 12,486 8,415 27,593 ( 448,364 )

7 unchanged sentences

Equity in earnings/(loss) from affiliates 1,278 3,434 27,614 ( 40,758 )

Net Income/(Loss) from Continuing Operations 15,493 2,700 58,742 ( 482,317 )

Net Income/(Loss) from Discontinued Operations — 361 — 361

Net Income/(Loss) 15,493 3,061 58,742 ( 481,956 )

3 unchanged sentences

Earnings/(Loss) Per Share - Basic (2)

Continuing Operations $ 0.70 $ ( 0.27 ) $ 3.34 $ ( 45.14 )

Discontinued Operations — 0.03 — 0.03

Total Earnings/(Loss) Per Share of Common Stock (2) $ 0.70 $ ( 0.24 ) $ 3.34 $ ( 45.11 )

Earnings/(Loss) Per Share - Diluted (2)

Continuing Operations $ 0.70 $ ( 0.27 ) $ 3.34 $ ( 45.14 )

Discontinued Operations — 0.03 — 0.03

Total Earnings/(Loss) Per Share of Common Stock (2) $ 0.70 $ ( 0.24 ) $ 3.34 $ ( 45.11 )

2 unchanged sentences

Diluted 15,595 10,953 14,860 10,935

(1) The three and six months ended June 30, 2020 include cumulative and undeclared dividends of $ 5.7 million on the Company's Preferred Stock as of June 30, 2020.

(2) Amounts have been adjusted to reflect the one-for-three reverse stock split effected July 22, 2021.

See Note 2 and Note 11 for additional details.

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

3 unchanged sentences

(in thousands)

For the Three Months Ended March 31, 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

For the Three Months Ended June 30, 2021 and June 30, 2020

Common Stock (1) Preferred Stock Additional

Paid-in Capital (1) Retained

1 unchanged sentence

Shares Amount Total

Balance at April 1, 2021 15,500 $ 156 $ 226,297 $ 711,055 $ ( 482,203 ) $ 455,305

Net proceeds from issuance of common stock 227 2 — 3,098 — 3,100

Grant of restricted stock 6 — — 80 — 80

Common dividends declared — — — — ( 3,394 ) ( 3,394 )

Preferred dividends declared — — — — ( 4,707 ) ( 4,707 )

Exchange Offers (Note 11) 431 4 ( 5,825 ) 5,707 114 —

Net Income/(Loss) — — — — 15,493 15,493

Balance at June 30, 2021 16,164 $ 162 $ 220,472 $ 719,940 $ ( 474,697 ) $ 465,877

Common Stock (1) Preferred Stock Additional

Paid-in Capital (1) Retained

Earnings/(Deficit)

Shares Amount Total

Balance at April 1, 2020 10,915 $ 109 $ 272,457 $ 662,704 $ ( 576,605 ) $ 358,665

Net proceeds from issuance of common stock 334 4 — 3,495 — 3,499

Grant of restricted stock and amortization of equity based compensation 25 — — 153 — 153

Net Income/(Loss) — — — — 3,061 3,061

Balance at June 30, 2020 11,274 $ 113 $ 272,457 $ 666,352 $ ( 573,544 ) $ 365,378

For the Six Months Ended June 30, 2021 and June 30, 2020

Common Stock (1) Preferred Stock Additional

Paid-in Capital (1) Retained

Earnings/(Deficit)

Shares Amount Total

Balance at January 1, 2021 13,811 $ 138 $ 238,478 $ 689,147 $ ( 518,058 ) $ 409,705

2 unchanged sentences

Common dividends declared — — — — ( 6,185 ) ( 6,185 )

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

Preferred Series B dividends declared — — — — — — ( 2,082 ) ( 2,082 )

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

Preferred dividends declared — — — — ( 9,668 ) ( 9,668 )

Exchange Offers (Note 11) 1,368 14 ( 18,006 ) 17,510 472 ( 10 )

Net Income/(Loss) — — — — 58,742 58,742

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

Preferred Stock 8.00% Series B

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

Balance at June 30, 2021 16,164 $ 162 $ 220,472 $ 719,940 $ ( 474,697 ) $ 465,877

Common Stock (1) Preferred Stock Additional

Paid-in Capital (1) Retained

2 unchanged sentences

Balance at January 1, 2020 10,913 $ 109 $ 272,457 $ 662,401 $ ( 85,921 ) $ 849,046

Net proceeds from issuance of common stock 334 4 — 3,495 — 3,499

Grant of restricted stock and amortization of equity based compensation 27 — — 456 — 456

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 )

Preferred dividends declared — — — — ( 5,667 ) ( 5,667 )

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

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

Balance at June 30, 2020 11,274 $ 113 $ 272,457 $ 666,352 $ ( 573,544 ) $ 365,378

(1) Amounts have been adjusted to reflect the one-for-three reverse stock split effected July 22, 2021.

See Note 2 and Note 11 for additional details.

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

3 unchanged sentences

(in thousands)

Three Months Ended

March 31, 2021 March 31, 2020

Six Months Ended

June 30, 2021 June 30, 2020

Cash Flows from Operating Activities

Net income/(loss) $ 58,742 $ ( 481,956 )

Net (income)/loss from discontinued operations — ( 361 )

Net income/(loss) from continuing operations 58,742 ( 482,317 )

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

1 unchanged sentence

Net realized (gain)/loss ( 336 ) 242,752

Unrealized (gain)/loss on real estate securities and loans, net 6,658 313,897

Unrealized (gain)/loss on derivative and other instruments, net ( 26,507 ) ( 5,686 )

Unrealized (gain)/loss, net ( 29,534 ) 208,032

Foreign currency (gain)/loss, net ( 14 ) ( 1,493 )

30 unchanged sentences

Repayments of financing arrangements ( 7,231,853 ) ( 15,339,611 )

Deferred financing costs paid ( 200 ) —

Borrowing under secured debt — 20,000

Repayments of secured debt ( 10,000 ) —

Proceeds from issuance of securitized debt 203,625 3,000

Principal repayments on securitized debt ( 78,931 ) ( 9,223 )

3 unchanged sentences

Net cash provided by continuing financing activities 758,147 ( 2,685,150 )

Three Months Ended

March 31, 2021 March 31, 2020

Six Months Ended

June 30, 2021 June 30, 2020

Net change in cash and cash equivalents and restricted cash 25,387 ( 55,885 )

8 unchanged sentences

Common stock dividends declared but not paid $ 3,394 $ —

Exchange Offer (Note 11) $ 12,181 $ —

Exchange Offers (Note 11) $ 18,006 $ —

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

4 unchanged sentences

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

June 30, 2021 June 30, 2020

Cash and cash equivalents $ 64,007 $ 68,150

5 unchanged sentences

Notes to Consolidated Financial Statements (Unaudited)

March 31, 2021

June 30, 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 credit investments and agency investments, which contains the asset classes further described below.

The Company is a 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:

2 unchanged sentences

Residential mortgage loans

• Residential mortgage loans represent pools of fixed- and adjustable-rate loans collateralized by Non-QM, re-performing, and non-performing mortgages.

• 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.

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

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

7 unchanged sentences

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.

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

Government such as Ginnie Mae.

13 unchanged sentences

Notes to Consolidated Financial Statements (Unaudited)

March 31, 2021

June 30, 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

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 larger gatherings, including at sporting events, religious services and schools.

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

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

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

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

Although many of the government restrictions 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 novel coronavirus ("COVID-19") pandemic has caused significant disruptions in the U.S.

and world economies resulting in lost business revenues, 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.

Beginning in mid-March 2020, the global pandemic associated with COVID-19 and the 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.

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 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.

Although market conditions have improved in quarters subsequent to March 2020, the full impact of COVID-19 on the mortgage REIT industry, credit markets, and, consequently, on the Company’s financial condition and results of operations for future periods remains uncertain.

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.

For all periods presented, all per share amounts and common shares outstanding have been adjusted on a retroactive basis to reflect the Company's one-for-three reverse stock split which was effected following the close of business on July 22, 2021.

Certain prior period amounts have been reclassified to conform to the current period’s presentation.

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.

3 unchanged sentences

The Company classifies highly liquid investments with original maturities of three months or less from the date of purchase as cash equivalents.

Cash equivalents includes cash invested in money market funds.

Cash equivalents may include cash invested in money market funds.

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

3 unchanged sentences

Any cash due to the Company in the form of principal payments is included in the "Other assets" line item on the consolidated balance sheets and in cash flows from operating activities on the consolidated statement of cash flows.

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

March 31, 2021

Restricted cash

6 unchanged sentences

Actual results may differ from those estimates.

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2021

Earnings/(Loss) per share

In accordance with the provisions of Accounting Standards Codification ("ASC") 260, "Earnings per Share," the Company calculates basic income/(loss) per share by dividing net income/(loss) available to common stockholders for the period by weighted average shares of the Company’s common stock outstanding for that period.

Diluted income per share 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.

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.

Diluted income per share takes into account the effect of dilutive instruments, such as stock options, warrants, unvested restricted stock, and unvested restricted stock units, using 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.

Potential dilutive shares are excluded from the calculation if they have an anti-dilutive effect in the period.

Reverse stock split

On July 12, 2021, the Company announced that its board of directors approved a one-for-three reverse stock split of the Company's outstanding shares of common stock.

The reverse stock split was effected following the close of business on July 22, 2021 (the "Effective Time").

At the Effective Time, every three issued and outstanding shares of the Company’s common stock were combined into one share of the Company’s common stock.

No fractional shares were issued in connection with the reverse stock split.

Instead, each stockholder holding fractional shares was entitled to receive, in lieu of such fractional shares, cash in an amount determined based on the closing price of the Company's common stock on the date of the Effective Time.

The reverse stock split applied to all of the Company's outstanding shares of common stock and did not affect any stockholder’s ownership percentage of shares of the Company's common stock, except for immaterial changes resulting from the payment of cash for fractional shares.

There was no change in the Company's authorized capital stock or par value of each share of common stock as a result of the reverse stock split.

All per share amounts and common shares outstanding for all periods presented in the unaudited consolidated financial statements have been adjusted on a retroactive basis to reflect the Company's reverse stock split.

Valuation of financial instruments

9 unchanged sentences

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

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

Among the data collected and analyzed were:

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

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

Accounting for loans

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

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

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements (Unaudited)

March 31, 2021

value election pursuant to ASC 825 for its loan portfolio.

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.

June 30, 2021

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

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

21 unchanged sentences

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." 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

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), net." 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.

1 unchanged sentence

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.

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.

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2021

On January 1, 2020, the Company adopted ASU 2016-13, "Financial Instruments – Credit Losses" ("ASU 2016-13").

The impact of the guidance on accounting for the Company's debt securities and loans is limited to recognition of effective yield.

The Company measures its debt securities and loans at fair value with any changes recognized through net income and it 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.

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.

3 unchanged sentences

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, loans and its interest in AG Arc LLC.

Substantially all 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.

10 unchanged sentences

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.

For the three and six months ended June 30, 2021, the Company eliminated $ 1.4 million and $ 1.9 million of intra-entity profits recognized by Arc Home, respectively, and also decreased the cost basis of the underlying loans by the same amount in connection with loan sales to the Company.

As the Company did not purchase any loans from Arc Home during three and six months ended June 30, 2020, it did no t eliminate any intra-entity profits during the three and six months ended June 30, 2020.

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

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.

MATH in turn sponsored the formation of an entity called Mortgage Acquisition Trust I LLC ("MATT") to purchase predominantly Non-QM Loans.

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

As of June 30, 2021, MATT primarily holds retained tranches from securitizations.

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").

Investments in debt and equity of affiliates

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2021

Summary of 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

June 30, 2021

December 31, 2020

Assets Liabilities Equity Assets Liabilities Equity

6 unchanged sentences

Investments in debt and equity of affiliates $ 199,024 $ ( 63,156 ) $ 135,868 $ 268,584 $ ( 117,917 ) $ 150,667

(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.

(1) As of June 30, 2021 and December 31, 2020, Non-QM Loans excluded loans with an unpaid principal balance of $ 11.2 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.

1 unchanged sentence

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

Three Months Ended Six Months Ended

June 30, 2021 June 30, 2020 June 30, 2021 June 30, 2020

Non-QM Loans $ 1,275 $ ( 8,115 ) $ 15,921 $ ( 34,844 )

4 unchanged sentences

$ 1,278 $ 3,434 $ 27,614 $ ( 40,758 )

(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.

(1) The earnings/(loss) at AG Arc during the three and six months ended June 30, 2021 were primarily the result of $ 0.2 million and $ 4.4 million, respectively, of net income related to Arc Home's lending and servicing operations and $( 2.8 ) million and $( 1.2 ) million, respectively, related to changes in the fair value of the MSR portfolio held by Arc Home.

Earnings/(loss) recognized by AG Arc does not include the Company's portion of gains recorded by Arc Home in connection with the sale of residential mortgage loans to the Company.

For the three and six months ended June 30, 2021, the Company eliminated $ 1.4 million and $ 1.9 million, respectively, of intra-entity profits recognized by Arc Home and also decreased the cost basis of the underlying loans the Company purchased by the same amount, as described above.

Investment consolidation and transfers of financial assets

3 unchanged sentences

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

The primary beneficiary of a VIE is

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

AG Mortgage Investment Trust Inc.

1 unchanged sentence

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.

June 30, 2021

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.

8 unchanged sentences

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 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").

The Company enters into securitization transactions of certain of its residential mortgage loans, which results in the Company consolidating the respective VIEs that are created to facilitate these transactions and to which the underlying assets in connection with these securitizations are transferred ("Residential Mortgage Loan VIEs").

The Company has entered into securitization transactions on certain of its Non-QM Loans ("Non-QM VIEs"), as well as certain of its re- and non-performing loans ("RPL/NPL VIEs").

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

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

Upon consolidation, the Company elected the fair value option pursuant to ASC 825 for the assets and liabilities of the Residential Mortgage Loan VIEs.

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.

Refer to Note 5 related to the Company's determination of fair value for the assets and liabilities included within these VIEs.

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 Residential Mortgage Loan VIEs 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 Residential Mortgage Loan VIEs 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 3 for more detail regarding the Residential Mortgage Loan VIEs and Note 5 for more detail related to the Company's determination of fair value for the assets and liabilities included within these VIEs.

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

7 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

The transferor would then determine the gain or loss on sale of financial assets

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements (Unaudited)

March 31, 2021

their fair value.

June 30, 2021

by allocating the carrying value of the underlying mortgage between securities or loans sold and the interests retained based on 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.

26 unchanged sentences

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

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

The amounts available to be

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements (Unaudited)

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.

June 30, 2021

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

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

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.

3 unchanged sentences

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.

As of June 30, 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.

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

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

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

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

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

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

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

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

In connection with the market disruption created by the COVID-19 pandemic, in March 2020, the Company received notifications of alleged events of default and deficiency notices from several of its financing counterparties.

The Company engaged in discussions with its financing counterparties and, as a result, entered into a series of forbearance agreements (collectively, the "Forbearance Agreement") with certain of its financing counterparties (the "Participating Counterparties") pursuant to which each Participating Counterparty agreed to forbear from exercising its rights and remedies with respect to events of default and any and all other defaults under the applicable financing arrangement (each, a “Bilateral Agreement”) for the period ending June 15, 2020.

On June 10, 2020, the Company and the Participating Counterparties entered into a reinstatement agreement (the “Reinstatement Agreement”), pursuant to which the Forbearance Agreement was terminated and each Participating Counterparty permanently waived all existing and prior events of default under the applicable Bilateral Agreements.

Pursuant to the Reinstatement Agreement, the Bilateral Agreements were reinstated with certain amendments to reflect current market terms (i.e., increased haircuts and higher coupons), updated financial covenants and various reporting requirements from the Company to the Participating Counterparties, releases, certain netting obligations and cross-default provisions.

As a result of the Reinstatement Agreement, default interest on the Company’s outstanding borrowings under the Bilateral Agreements ceased to accrue as of June 10, 2020, all cash margin was applied to outstanding balances owed by the Company, and principal and interest payments on the underlying collateral were permitted to flow to and be used by the Company, just as it was prior to the Forbearance Agreements.

In addition, pursuant to the terms of the Reinstatement Agreement, the security interests granted to Participating Counterparties as additional collateral under the Forbearance Agreement have been terminated and released.

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

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

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

In general, the amendments reflect increased haircuts and higher coupons.

On June 10, 2020, the Company also entered a separate reinstatement agreement with JPMorgan Chase Bank (the "JPM Reinstatement Agreement") on substantially the same terms as those set forth in the Reinstatement Agreement.

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.

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

March 31, 2021

Concurrently, on June 10, 2020, the Company entered a separate reinstatement agreement with one of its financing counterparties on substantially the same terms as those set forth in the Reinstatement Agreement.

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.

Holders of the Company’s 8.25 % Series A Cumulative Redeemable Preferred Stock ("Series A Preferred Stock"), 8.00 % Series B Cumulative Redeemable Preferred Stock ("Series B Preferred Stock"), and 8.000 % Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock ("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.

4 unchanged sentences

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

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2021

Accounting for derivative financial instruments

3 unchanged sentences

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.

As of June 30, 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.

10 unchanged sentences

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."

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

Variation margin

3 unchanged sentences

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.

6 unchanged sentences

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

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2021

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

17 unchanged sentences

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

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.

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

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.

4 unchanged sentences

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.

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2021

Offering costs

12 unchanged sentences

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

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

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 /

Amortized Cost Gains Losses Fair Value Coupon (1) Yield

30 Year Fixed Rate $ 906,892 $ 37,735 $ 944,627 $ — $ ( 29,204 ) $ 915,423 2.15 % 1.62 %

Credit Investments:

Residential Investments

Prime 6,816 ( 4,629 ) 2,187 390 — 2,577 3.50 % 14.20 %

Alt-A/Subprime 16,282 ( 9,379 ) 6,903 4,542 — 11,445 4.25 % 14.16 %

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

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 %

Total Residential Investments:

167,514 ( 156,481 ) 11,033 5,381 ( 43 ) 16,371 1.36 % 14.38 %

Commercial Investments

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

Freddie Mac K-Series CMBS 22,327 ( 11,709 ) 10,618 1,662 ( 53 ) 12,227 3.83 % 9.23 %

CMBS Interest Only (3) 685,961 ( 681,952 ) 4,009 270 ( 106 ) 4,173 0.10 % 7.02 %

Total Commercial Investments:

743,788 ( 693,742 ) 50,046 1,932 ( 6,140 ) 45,838 0.33 % 5.96 %

Total Credit Investments:

911,302 ( 850,223 ) 61,079 7,313 ( 6,183 ) 62,209 0.44 % 8.17 %

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

December 31, 2020 Gross Unrealized Weighted Average

Current Face Premium /

Amortized Cost Gains Losses Fair Value Coupon (1) Yield

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

Credit Investments:

Residential Investments

Prime 15,093 ( 7,081 ) 8,012 663 ( 10 ) 8,665 3.68 % 8.97 %

Alt-A/Subprime 16,287 ( 9,377 ) 6,910 4,586 — 11,496 4.25 % 12.52 %

Credit Risk Transfer 13,880 — 13,880 15 ( 587 ) 13,308 4.71 % 4.70 %

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

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 %

Total Residential Investments:

206,975 ( 173,503 ) 33,472 5,671 ( 737 ) 38,406 2.01 % 8.50 %

Commercial Investments

Conduit 4,925 ( 1,024 ) 3,901 — ( 606 ) 3,295 4.62 % 11.89 %

Single-Asset/Single-Borrower 50,480 ( 1,494 ) 48,986 668 ( 9,464 ) 40,190 4.15 % 4.81 %

Freddie Mac K-Series CMBS 22,572 ( 12,062 ) 10,510 47 ( 1,557 ) 9,000 3.83 % 9.00 %

CMBS Interest Only (3) 687,077 ( 682,961 ) 4,116 256 ( 69 ) 4,303 0.10 % 6.93 %

Total Commercial Investments:

765,054 ( 697,541 ) 67,513 971 ( 11,696 ) 56,788 0.44 % 6.04 %

Total Credit Investments:

972,029 ( 871,044 ) 100,985 6,642 ( 12,433 ) 95,194 0.65 % 7.04 %

Total $ 1,466,336 $ ( 848,676 ) $ 617,660 $ 8,436 $ ( 12,550 ) $ 613,546 1.18 % 2.08 %

(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.

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

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

Less than or equal to 1 year $ — $ — — % $ 30,891 $ 36,803 4.11 %

Greater than one year and less than or equal to five years — — — 2,890 2,543 0.16 %

Greater than five years and less than or equal to ten years 734,069 755,645 2.18 % 12,178 11,303 0.25 %

Greater than ten years 181,354 188,982 2.00 % 16,250 10,430 4.25 %

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

December 31, 2020 Agency RMBS Credit Investments

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

Less than or equal to 1 year $ — $ — — % $ 31,166 $ 39,588 1.81 %

Greater than one year and less than or equal to five years 181,947 181,209 2.29 % 20,131 21,634 0.33 %

Greater than five years and less than or equal to ten years 336,405 335,466 2.00 % 20,310 20,808 0.36 %

Greater than ten years — — — 23,587 18,955 4.18 %

Total $ 518,352 $ 516,675 2.10 % $ 95,194 $ 100,985 0.65 %

(1) This is based on projected life.

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 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

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.

For the three months ended June 30, 2021, the Company purchased Non-QM Loans with a gross aggregate unpaid principal balance and a gross acquisition fair value of $ 426.8 million and $ 446.2 million, respectively.

For the six months ended June 30, 2021, the Company purchased Non-QM Loans with a gross aggregate unpaid principal balance and a gross acquisition fair value of $ 625.2 million and $ 654.7 million, respectively.

A portion of these loans were 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.

For the three and six months ended June 30, 2021, the Company sold 367 loans for total proceeds of $ 45.6 million and one residual position where the Company previously consolidated the securitization for total proceeds of $ 1.6 million, which was unsettled as of quarter end, recording realized gains of $ 8.1 million and realized losses of $ 0.4 million.

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

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

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements (Unaudited)

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):

June 30, 2021

The table below details information regarding the Company’s residential mortgage loan portfolio as of June 30, 2021 and December 31, 2020 ($ in thousands):

Gross Unrealized Weighted Average

1 unchanged sentence

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

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 $ 621,095 $ 26,556 $ 647,651 $ 8,473 $ ( 972 ) $ 655,152 4.86 % 3.61 % 3.85

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

Re- and Non-Performing Loans 415,942 ( 52,530 ) 363,412 15,947 ( 5,267 ) 374,092 3.59 % 6.00 % 6.98

Total at June 30, 2021 (2) $ 1,037,037 $ ( 25,974 ) $ 1,011,063 $ 24,420 $ ( 6,239 ) $ 1,029,244 4.36 % 4.48 % 5.11

Re- and Non-Performing Loans at 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.

1 unchanged sentence

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

(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.

(2) As of June 30, 2021, the Company’s residential mortgage loan portfolio was comprised of 3,825 loans with original loan balances between $ 5.6 thousand and $ 3.7 million.

Additionally, the Company had residential mortgage loans that were in the process of foreclosure with a fair value of $ 28.9 million.

1 unchanged sentence

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

The table below details information regarding the Company’s residential mortgage loans as of June 30, 2021 and December 31, 2020 (in thousands):

June 30, 2021 December 31, 2020

Fair Value Unpaid Principal Balance Fair Value Unpaid Principal Balance

7 unchanged sentences

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

The following is a summary of the geographic concentration of credit risk within the Company’s residential mortgage loan portfolio as of June 30, 2021 and December 31, 2020, excluding any loans classified as Other above:

Geographic Concentration of Credit Risk June 30, 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:

6 unchanged sentences

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

June 30, 2021

The following is a summary of the changes in the accretable portion of the discount for the Company’s re-performing and non-performing loan portfolios for the three and six months ended June 30, 2021 and 2020, which is determined by the excess of the Company’s estimate of undiscounted principal expected to be collected in excess of the amortized cost of the mortgage loan (in thousands).

The table excludes residual positions where the Company consolidates a securitization and the positions are recorded in the Company's consolidated balance sheets as residential mortgage loans.

Three Months Ended Six Months Ended

June 30, 2021 June 30, 2020 June 30, 2021 June 30, 2020

Beginning Balance $ 55,003 $ 50,291 $ 56,907 $ 41,472

5 unchanged sentences

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

The following table details certain information related to the assets and liabilities of the Residential Loan VIEs as of June 30, 2021 and December 31, 2020 (in thousands):

June 30, 2021 December 31, 2020

Residential mortgage loans, at fair value $ 589,394 $ 426,604

6 unchanged sentences

Total liabilities $ 525,189 $ 381,268

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):

The following table details additional information regarding residential mortgage loans and securitized debt related to the Residential Loan VIEs as of June 30, 2021 and December 31, 2020 ($ in thousands):

Weighted Average

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

March 31, 2021

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

June 30, 2021

Non-QM Loan VIEs Non-QM Loans $ 208,505 $ 221,852 4.63 % 3.65 % 3.69

Securitized debt 201,383 201,580 1.25 % 1.25 % 2.05

September 2020 VIE Residential mortgage loans $ 236,422 $ 205,352 4.18 % 4.93 % 5.99

RPL/NPL VIEs Re- and Non-Performing Loans 407,822 367,542 4.07 % 4.98 % 6.12

Securitized debt 279,713 280,953 2.26 % 2.28 % 3.19

December 31, 2020

August 2019 VIE Residential mortgage loans $ 238,487 $ 222,282 3.79 % 5.44 % 6.86

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

RPL/NPL VIEs Re- and Non-Performing Loans $ 481,346 $ 426,604 3.58 % 5.61 % 6.78

Securitized debt 356,631 355,159 2.98 % 3.00 % 3.85

2 unchanged sentences

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

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

The Company has no obligation to provide any other explicit or implicit support to the Residential Loan VIEs.

AG Mortgage Investment Trust Inc.

1 unchanged sentence

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.

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

June 30, 2021

Commercial loans

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.

For the three months ended June 30, 2021, the Company did no t sell any commercial loans.

For the six months ended June 30, 2021, the Company sold two commercial loans for total proceeds of $ 74.3 million, recording realized losses of $ 2.9 million.

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

During the fourth quarter of 2020, the Company and the borrower of Commercial 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 June 30, 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).

As of June 30, 2021, Commercial Loan K was in maturity default as a result of failing to meet the required terms for extension under the loan documents.

The Company continues to evaluate its options with respect to the Commercial Loan K and may exercise its remedies under the loan documents, which may include a foreclosure against the collateral.

The following tables present detail on the Company’s commercial loan portfolio as of June 30, 2021 and December 31, 2020 ($ in thousands).

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

March 31, 2021 Weighted Average

June 30, 2021 Weighted Average

Loan (1)(2) Current Face Premium

5 unchanged sentences

Loan L (8) 51,000 ( 337 ) 50,663 ( 6,793 ) 43,870 N/A N/A 3.11 July 22, 2024 IL Hotel, Retail

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

Total $ 69,809 $ ( 337 ) $ 69,472 $ ( 7,193 ) $ 62,279 2.69 % 3.77 % 2.29

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

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

(2) Refer to Note 12 "Commitments and Contingencies" for details on the Company's commitments on its Commercial Loans as of June 30, 2021.

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

4 unchanged sentences

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

As of June 30, 2021, Commercial Loan K was in maturity default related to its initial maturity which was in May 2021 as described above.

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

17 unchanged sentences

Maturities are affected by prepayments of principal.

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2021

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

2 unchanged sentences

(9) Loan I is a mezzanine loan.

Real Estate Securities

The following tables detail the Company’s real estate securities portfolio as of June 30, 2021 and December 31, 2020 ($ in thousands).

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

June 30, 2021 Gross Unrealized Weighted Average

Current Face Premium /

Amortized Cost Gains Losses Fair Value Coupon (1) Yield

30 Year Fixed Rate $ 677,514 $ 24,329 $ 701,843 $ 1,425 $ ( 6,564 ) $ 696,704 2.26 % 1.73 %

Credit Investments:

Residential Investments

Prime 6,874 ( 4,646 ) 2,228 467 — 2,695 3.50 % 15.21 %

Re/Non-Performing Securities 1,170 ( 157 ) 1,013 170 — 1,183 5.25 % 21.28 %

Total Residential Investments:

8,044 ( 4,803 ) 3,241 637 — 3,878 3.92 % 17.06 %

Commercial Investments

Single-Asset/Single-Borrower 35,500 ( 48 ) 35,452 — ( 3,838 ) 31,614 4.03 % 4.39 %

Total Credit Investments:

43,544 ( 4,851 ) 38,693 637 ( 3,838 ) 35,492 4.02 % 5.78 %

Total $ 721,058 $ 19,478 $ 740,536 $ 2,062 $ ( 10,402 ) $ 732,196 2.36 % 1.92 %

December 31, 2020 Gross Unrealized Weighted Average

Current Face Premium /

Amortized Cost Gains Losses Fair Value Coupon (1) Yield

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

Credit Investments:

Residential Investments

Prime 15,093 ( 7,081 ) 8,012 663 ( 10 ) 8,665 3.68 % 8.97 %

Alt-A/Subprime 16,287 ( 9,377 ) 6,910 4,586 — 11,496 4.25 % 12.52 %

Credit Risk Transfer 13,880 — 13,880 15 ( 587 ) 13,308 4.71 % 4.70 %

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

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 %

Total Residential Investments:

206,975 ( 173,503 ) 33,472 5,671 ( 737 ) 38,406 2.01 % 8.50 %

Commercial Investments

Conduit 4,925 ( 1,024 ) 3,901 — ( 606 ) 3,295 4.62 % 11.89 %

Single-Asset/Single-Borrower 50,480 ( 1,494 ) 48,986 668 ( 9,464 ) 40,190 4.15 % 4.81 %

Freddie Mac K-Series CMBS 22,572 ( 12,062 ) 10,510 47 ( 1,557 ) 9,000 3.83 % 9.00 %

CMBS Interest Only (3) 687,077 ( 682,961 ) 4,116 256 ( 69 ) 4,303 0.10 % 6.93 %

Total Commercial Investments:

765,054 ( 697,541 ) 67,513 971 ( 11,696 ) 56,788 0.44 % 6.04 %

Total Credit Investments:

972,029 ( 871,044 ) 100,985 6,642 ( 12,433 ) 95,194 0.65 % 7.04 %

Total $ 1,466,336 $ ( 848,676 ) $ 617,660 $ 8,436 $ ( 12,550 ) $ 613,546 1.18 % 2.08 %

(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 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.

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements (Unaudited)

March 31, 2021

Fair value measurements

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.

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.

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.

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

maturity date;

collateral type;

periodic and life cap;

and prepayment speeds.

The Company collects and considers current market intelligence on all major markets, including benchmark security evaluations and bid-lists from various sources, when available.

As part of the Company’s risk management process, the Company reviews and analyzes all prices obtained by comparing prices to recently completed transactions involving the same or similar investments on or near the reporting date.

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

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, 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 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.

June 30, 2021

The following tables detail the weighted average life of our real estate securities as of June 30, 2021 and December 31, 2020 ($ in thousands):

June 30, 2021 Agency RMBS Credit Investments

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

Less than or equal to 1 year $ — $ — — % $ 32,596 $ 36,349 4.07 %

Greater than five years and less than or equal to ten years 662,740 667,450 2.28 % 2,472 2,195 3.50 %

Greater than ten years 33,964 34,393 2.00 % 424 149 — %

Total $ 696,704 $ 701,843 2.26 % $ 35,492 $ 38,693 4.02 %

December 31, 2020 Agency RMBS Credit Investments

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

Less than or equal to 1 year $ — $ — — % $ 31,166 $ 39,588 1.81 %

Greater than one year and less than or equal to five years 181,947 181,209 2.29 % 20,131 21,634 0.33 %

Greater than five years and less than or equal to ten years 336,405 335,466 2.00 % 20,310 20,808 0.36 %

Greater than ten years — — — 23,587 18,955 4.18 %

Total $ 518,352 $ 516,675 2.10 % $ 95,194 $ 100,985 0.65 %

(1) This is based on projected life.

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 June 30, 2021, the Company sold 39 real estate securities for total proceeds of $ 341.5 million, with an additional $ 104.6 million of proceeds on three unsettled security sales, recording realized gains of $ 9.9 million and realized losses of $ 14.3 million.

For the six months ended June 30, 2021, the Company sold 66 real estate securities for total proceeds of $ 453.3 million, with an additional $ 104.6 million of proceeds on three unsettled security sales, recording realized gains of $ 12.4 million and realized losses $ 17.3 million.

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

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

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements (Unaudited)

March 31, 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

June 30, 2021

Fair value measurements

The following table presents the Company’s financial instruments measured at fair value on a recurring basis as of June 30, 2021 (in thousands):

Fair Value at June 30, 2021

Level 1 Level 2 Level 3 Total

Residential mortgage loans $ — $ 866 $ 1,028,378 $ 1,029,244

30 Year Fixed Rate — 696,704 — 696,704

1 unchanged sentence

Non-Agency RMBS (1) — 2,695 1,183 3,878

Non-Agency RMBS Interest Only — 281 — 281

CMBS (2) — 31,614 — 31,614

CMBS Interest Only — 4,173 — 4,173

Residential mortgage loans — 2,220 640,739 642,959

Commercial loans — — 62,279 62,279

6 unchanged sentences

Total Liabilities Measured at Fair Value $ — $ ( 1,334 ) $ ( 482,533 ) $ ( 483,867 )

(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.

(1) Non-Agency RMBS is comprised of Prime and Re/Non-Performing Securities.

(2) CMBS represents Single-Asset/Single-Borrower Securities.

(3) As of June 30, 2021, the Company applied a reduction in fair value of $ 13.3 million and $ 1.0 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 unchanged sentences

Notes to Consolidated Financial Statements (Unaudited)

March 31, 2021

June 30, 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):

1 unchanged sentence

Level 1 Level 2 Level 3 Total

Residential mortgage loans $ — $ 2,134 $ 433,307 $ 435,441

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

4 unchanged sentences

CMBS Interest Only — 4,303 — 4,303

Residential mortgage loans — 2,134 433,307 435,441

Commercial loans — — 125,508 125,508

12 unchanged sentences

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 months ended March 31, 2021 and March 31, 2020.

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 also considers the underlying characteristics of each investment, which are also observable inputs, including:

maturity date;

collateral type;

periodic and life cap;

and prepayment speeds.

The Company collects and considers current market intelligence on all major markets, including benchmark security evaluations and bid-lists from various sources, when available.

In determining the fair value of the Company's mortgage loans and securitized debt relating to the Residential Loan VIEs, 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.

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

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2021

adjusted cash flows and other information in determining the fair value of its 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 and securitized debt 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.

The Company did not have any transfers of assets or liabilities between Levels 1 and 2 of the fair value hierarchy during the three and six months ended June 30, 2021 and 2020.

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

3 unchanged sentences

Changes in these indications could impact price transparency, and thereby cause a change in level designations in future periods.

The following tables present additional information about the Company’s assets and liabilities which are measured at fair value on a recurring basis for which the Company has utilized Level 3 inputs to determine fair value:

Three Months Ended June 30, 2021 (in thousands)

Mortgage Loans Non-Agency

RMBS Commercial

Loans Excess Mortgage

Servicing Rights AG Arc Securitized

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

Purchases/Transfers 444,737 — 1,589 — — —

Issuances of Securitized Debt — — — — — ( 203,392 )

Proceeds from sales of assets ( 45,615 ) — — — — —

Proceeds from settlement ( 21,357 ) ( 469 ) — — — 66,154

Total net gains/(losses) (1)

Included in net income 9,874 11 2,481 ( 392 ) ( 1,276 ) ( 866 )

Ending Balance $ 1,028,378 $ 1,183 $ 62,279 $ 2,608 $ 50,862 $ ( 482,533 )

Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held as of June 30, 2021 (2)

$ 2,840 $ 11 $ 2,481 $ ( 392 ) $ ( 1,276 ) $ ( 866 )

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

Unrealized gain/(loss), net $ 3,982

Net realized gain/(loss) 7,126

Equity in earnings/(loss) from affiliates ( 1,276 )

Total $ 9,832

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

Unrealized gain/(loss), net $ 4,074

Equity in earnings/(loss) from affiliates ( 1,276 )

Total $ 2,798

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements (Unaudited)

March 31, 2021

Three Months Ended March 31, 2021 (in thousands)

RMBS Residential

Mortgage Loans Commercial

June 30, 2021

Three Months Ended June 30, 2020 (in thousands)

Mortgage Loans Non-Agency

RMBS Commercial

Loans Excess Mortgage

1 unchanged sentence

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

Purchases/Transfers — — 7,759 — — —

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

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

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

Total net gains/(losses) (1)

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

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

Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held as of June 30, 2020 (2)

$ 60,434 $ 4 $ ( 2,134 ) $ ( 1,780 ) $ 9,511 $ ( 8,145 )

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

Unrealized gain/(loss), net $ 48,385

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

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

Total $ 2,166

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

Unrealized gain/(loss), net $ 48,379

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

Total $ 57,890

Six Months Ended June 30, 2021 (in thousands)

Mortgage Loans Non-Agency

RMBS Commercial

Loans Excess Mortgage

Servicing Rights AG Arc Securitized

Beginning balance $ 433,307 $ 3,100 $ 125,508 $ 3,158 $ 45,341 $ ( 355,159 )

Transfers (1):

1 unchanged sentence

Purchases/Transfers 652,797 — 5,258 — — —

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

Issuances of Securitized Debt — — — — — ( 203,392 )

Proceeds from sales of assets and seizures of assets ( 45,615 ) — ( 74,342 ) — — —

Proceeds from settlement ( 33,651 ) ( 501 ) ( 195 ) — — 78,931

2 unchanged sentences

Ending Balance $ 1,028,378 $ 1,183 $ 62,279 $ 2,608 $ 50,862 $ ( 482,533 )

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 )

Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held as of June 30, 2021 (3)

$ 14,601 $ 83 $ 3,219 $ ( 550 ) $ 5,521 $ ( 2,913 )

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

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.

During the six months ended June 30, 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:

Unrealized gain/(loss) on real estate securities and loans, net $ 18,306

Unrealized gain/(loss) on derivative and other instruments, net ( 2,205 )

Unrealized gain/(loss), net $ 20,083

Net realized gain/(loss) 4,127

2 unchanged sentences

(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 $ 12,571

Unrealized gain/(loss) on derivative and other instruments, net ( 2,205 )

Unrealized gain/(loss), net $ 14,440

Equity in earnings/(loss) from affiliates 5,521

Total $ 19,961

Three Months Ended March 31, 2020 (in thousands)

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2021

Six Months Ended June 30, 2020 (in thousands)

Loans Non-Agency

RMBS Non-Agency

RMBS Interest Only CMBS CMBS Interest

Only Residential

Mortgage Loans Commercial

Loans Excess Mortgage

Servicing Rights AG Arc Securitized

Only Commercial

Rights AG Arc Securitized

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

3 unchanged sentences

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

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

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

3 unchanged sentences

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

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

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

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

During the three months ended March 31, 2020, the Company transferred 50 Non-Agency RMBS, 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.

During the six months ended June 30, 2020, the Company transferred 50 Non-Agency RMBS securities, two Non-Agency RMBS Interest Only securities, 32 CMBS securities, 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 six months ended June 30, 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.

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

March 31, 2021

(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 $ ( 145,817 )

Unrealized gain/(loss) on derivative and other instruments, net 16,357

Unrealized gain/(loss), net $ ( 81,075 )

Net realized gain/(loss) ( 110,001 )

2 unchanged sentences

(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 $ ( 108,285 )

Unrealized gain/(loss) on derivative and other instruments, net 16,365

Unrealized gain/(loss), net $ ( 43,541 )

Equity in earnings/(loss) from affiliates ( 516 )

Total $ ( 44,057 )

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2021

The following tables present a summary of quantitative information about the significant unobservable inputs used in the fair value measurement of investments for which the Company has utilized Level 3 inputs to determine fair value.

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

Asset Class Fair Value at June 30, 2021 (in thousands) Valuation Technique Unobservable Input Range

(Weighted Average) (1)

Yield 1.62 % - 10.00 % ( 3.42 %)

Non-Agency RMBS $ 1,641 Discounted Cash Flow Projected Collateral Prepayments 5.28 % - 5.28 % ( 5.28 %)

Projected Collateral Losses 4.13 % - 4.13 % ( 4.13 %)

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

Yield 3.66 % - 10.00 % ( 5.36 %)

Residential Mortgage Loans $ 982,331 Discounted Cash Flow Projected Collateral Prepayments 4.41 % - 37.62 % ( 14.40 %)

4 unchanged sentences

Yield 8.37 % - 8.37 % ( 8.37 %)

Non-Agency RMBS $ 1,183 Discounted Cash Flow Projected Collateral Prepayments 5.41 % - 5.41 % ( 5.41 %)

Projected Collateral Losses 2.92 % - 2.92 % ( 2.92 %)

Projected Collateral Severities -30.09% - -30.09% (-30.09%)

Yield 10.12 % - 30.06 % ( 13.28 %)

Commercial Loans $ 62,279 Discounted Cash Flow Credit Spread 901 bps - 2,568 bps ( 1,185 bps)

5 unchanged sentences

AG Arc $ 50,862 Comparable Multiple Book Value Multiple 1.06 x - 1.06 x ( 1.06 x)

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

Liability Class Fair Value at June 30, 2021 (in thousands) Valuation Technique Unobservable Input Range

(Weighted Average)

4 unchanged sentences

(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.

(2) Represents the proportion of the principal expected to be collected relative to the loan balances as of June 30, 2021.

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements (Unaudited)

March 31, 2021

June 30, 2021

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

1 unchanged sentence

Yield 4.50 % - 10.00 % ( 5.01 %)

Non-Agency RMBS $ 1,601 Discounted Cash Flow Projected Collateral Prepayments 5.46 % - 5.46 % ( 5.46 %)

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

Projected Collateral Losses 1.66 % - 5.75 % ( 2.58 %)

2 unchanged sentences

Yield 8.05 % - 8.05 % ( 8.05 %)

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

Non-Agency RMBS $ 1,601 Discounted Cash Flow Projected Collateral Prepayments 5.46 % - 5.46 % ( 5.46 %)

Projected Collateral Losses 5.37 % - 5.37 % ( 5.37 %)

31 unchanged sentences

Notes to Consolidated Financial Statements (Unaudited)

March 31, 2021

June 30, 2021

Financing arrangements

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

The following table presents a summary of the Company's financing arrangements as of June 30, 2021 and December 31, 2020 ($ in thousands).

June 30, 2021

December 31, 2020

2 unchanged sentences

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

Residential Mortgage Loans (4)(5) $ 408,656 Sept 2021 - Jan 2022 2.56 % 0.53 $ 491,795 $ 502,956 $ 25,590

Agency RMBS (6) 752,723 July 2021 0.10 % 0.04 694,925 794,643 435,893

Non-Agency RMBS 1,621 July 2021 - Oct 2021 1.97 % 0.08 3,091 3,454 14,550

CMBS 18,518 July 2021 1.59 % 0.02 35,452 31,614 24,881

Total Repurchase Agreements $ 1,181,518 0.98 % 0.21 $ 1,225,263 $ 1,332,667 $ 500,914

2 unchanged sentences

Total Financing Arrangements $ 1,207,468 1.03 % 0.25 $ 1,275,926 $ 1,376,537 $ 564,047

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

(1) The Company also had $ 0.3 million of cash pledged under repurchase agreements as of June 30, 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.

(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.

Refer to Note 3 for more information on the Residential Loan VIEs.

(4) The Company's Residential Mortgage Loan financing arrangements include a maximum uncommitted borrowing capacity of $ 800 million on facilities used to finance Non-QM Loans.

Subsequent to quarter end, the Company amended certain financing arrangements to increase the maximum uncommitted borrowing capacity used to finance Non-QM Loans by $ 300 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.

The stated rate on the Residential Mortgage Loans repurchase agreements was 2.53 % as of June 30, 2021.

(6) As of June 30, 2021, repurchase agreements on Agency RMBS includes repurchase agreements and collateral on unsettled Agency RMBS sales.

(7) The revolving facility is interest only until maturity.

(8) 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).

The stated rate on the Commercial Loans revolving facility was 2.11 % as of June 30, 2021.

(9) The Company's commercial loan revolving facility includes a maximum uncommitted borrowing capacity of $ 100 million.

The following table presents contractual maturity information about the Company's borrowings under repurchase agreements and revolving facilities as of June 30, 2021 ($ in thousands).

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

Repurchase Agreements

Residential Mortgage Loans $ — $ 42,158 $ 366,498 $ — $ 408,656

Agency RMBS 752,723 — — — 752,723

1 unchanged sentence

CMBS 18,518 — — — 18,518

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

Total Repurchase Agreements $ 772,523 $ 42,158 $ 366,837 $ — $ 1,181,518

2 unchanged sentences

Total Financing Arrangements $ 772,523 $ 42,158 $ 366,837 $ 25,950 $ 1,207,468

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)

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

June 30, 2021

Counterparties

The Company had exposure to five counterparties as of June 30, 2021 and December 31, 2020.

The following tables present information as of June 30, 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).

June 30, 2021

Counterparty Stockholders’ Equity

4 unchanged sentences

$ 105,759 103 22.7 %

Credit Suisse AG, Cayman Islands Branch

29,000 54 6.4 %

BofA Securities, Inc.

24,308 14 5.3 %

December 31, 2020

14 unchanged sentences

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.

As of June 30, 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 March 31, 2021 and December 31, 2020 (in thousands):

March 31, 2021 December 31, 2020

The following table details certain information related to the Company's "Other assets" and "Other liabilities" line items on its consolidated balance sheet as of June 30, 2021 and December 31, 2020 (in thousands):

June 30, 2021 December 31, 2020

Interest receivable $ 6,525 $ 2,962

Derivative assets, at fair value 89 —

Other assets 3,703 5,538

12 unchanged sentences

Notes to Consolidated Financial Statements (Unaudited)

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).

June 30, 2021

The following table presents the fair value of the Company's derivatives and other instruments and their balance sheet location as of June 30, 2021 and December 31, 2020 (in thousands).

Derivatives and Other Instruments (1) Designation Balance Sheet

Location March 31, 2021 December 31, 2020

Location June 30, 2021 December 31, 2020

Pay Fix/Receive Float Interest Rate Swap Agreements (1) Non-Hedge Other liabilities $ ( 289 ) $ ( 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.

TBAs Non-Hedge Other assets 89 —

TBAs Non-Hedge Other liabilities ( 21 ) —

(1) As of June 30, 2021, the Company applied a reduction in fair value of $ 13.3 million and $ 1.0 million 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.

1 unchanged sentence

Notional amount of non-hedge derivatives and other instruments:

Notional Currency March 31, 2021 December 31, 2020

Notional Currency June 30, 2021 December 31, 2020

Pay Fix/Receive Float Interest Rate Swap Agreements USD $ 806,000 $ 417,000

Short TBAs USD ( 130,000 ) —

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

1 unchanged sentence

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

Three Months Ended

March 31, 2021 March 31, 2020

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

Three Months Ended Six Months Ended

June 30, 2021 June 30, 2020 June 30, 2021 June 30, 2020

Included within Unrealized gain/(loss), net

Interest Rate Swaps $ ( 15,865 ) $ — $ 12,555 $ ( 11,588 )

2 unchanged sentences

Euro Futures — ( 28 ) — 20

TBAs 67 ( 392 ) 67 —

( 15,798 ) ( 186 ) 12,686 ( 12,079 )

4 unchanged sentences

Euro Futures — 66 — 68

TBAs — 392 — 4,610

897 308 732 ( 61,562 )

Total income/(loss) $ ( 14,901 ) $ 122 $ 13,418 $ ( 73,641 )

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.

Derivative and other instruments eligible for offset are presented gross on the consolidated balance sheets as of June 30, 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.

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

This typically occurs when prevailing market rates change adversely, with the severity of the change also dependent on the term of the derivatives involved.

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

As of March 31, 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

This typically occurs when prevailing market rates change adversely, with the severity of the change also dependent on the term of

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements (Unaudited)

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.

June 30, 2021

the derivatives involved.

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 June 30, 2021, the Company's restricted cash balance included $ 21.9 million of collateral related to certain derivatives, of which $ 9.6 million represents cash collateral posted by the Company and $ 12.3 million represents amounts related to variation margin.

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

As of June 30, 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 June 30, 2021 ($ in thousands):

Maturity Notional Amount Weighted Average

7 unchanged sentences

2031 112,000 1.23 % 0.17 % 9.59

2051 15,000 1.96 % 0.19 % 29.80

Total/Wtd Avg $ 806,000 0.74 % 0.17 % 6.41

10 unchanged sentences

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

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):

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2021

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

The following tables present information about the Company’s TBAs for the three months ended June 30, 2021 and the six months ended June 30, 2021 and June 30, 2020 (in thousands):

For the Three Months Ended:

3 unchanged sentences

from/to Broker

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

June 30, 2021 TBAs - Short $ — $ — $ ( 130,000 ) $ ( 130,000 ) $ ( 134,171 ) $ 134,239 $ 89 $ ( 21 )

For the Six Months Ended:

Buys or Covers Sales or Shorts Ending Net Notional

Net Fair Value as of

Net Receivable/(Payable)

from/to Broker

June 30, 2021 TBAs - Short $ — $ — $ ( 130,000 ) $ ( 130,000 ) $ ( 134,171 ) $ 134,239 $ 89 $ ( 21 )

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

Earnings per share

Basic earnings per share ("EPS") is calculated by dividing net income/(loss) available to common stockholders for the period by the weighted average shares of the Company’s common stock outstanding for that period that participate in the Company’s common dividends.

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.

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

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

Following the close of business on July 22, 2021, the Company effected a one-for-three reverse stock split of its outstanding shares of common stock.

Refer to Note 2 and Note 11 for additional information.

The following table presents a reconciliation of the earnings and shares used in calculating basic and diluted earnings per share for the three and six months ended June 30, 2021 and 2020.

(in thousands, except per share data)

Three Months Ended Six Months Ended

June 30, 2021 June 30, 2020 June 30, 2021 June 30, 2020

Net Income/(Loss) from Continuing Operations $ 15,493 $ 2,700 $ 58,742 $ ( 482,317 )

1 unchanged sentence

Dividends on preferred stock ( 4,689 ) ( 5,667 ) ( 9,613 ) ( 11,334 )

Net income/(loss) from continuing operations available to common stockholders $ 10,918 $ ( 2,967 ) $ 49,601 $ ( 493,651 )

Net Income/(Loss) from Discontinued Operations — 361 — 361

Net income/(loss) available to common stockholders $ 10,918 $ ( 2,606 ) $ 49,601 $ ( 493,290 )

2 unchanged sentences

Earnings/(Loss) Per Share - Basic (2)

Continuing Operations $ 0.70 $ ( 0.27 ) $ 3.34 $ ( 45.14 )

Discontinued Operations — 0.03 — 0.03

Total Earnings/(Loss) Per Share of Common Stock (2) $ 0.70 $ ( 0.24 ) $ 3.34 $ ( 45.11 )

Earnings/(Loss) Per Share - Diluted (2)

Continuing Operations $ 0.70 $ ( 0.27 ) $ 3.34 $ ( 45.14 )

Discontinued Operations — 0.03 — 0.03

Total Earnings/(Loss) Per Share of Common Stock (2) $ 0.70 $ ( 0.24 ) $ 3.34 $ ( 45.11 )

(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.

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2021

(1) Manager restricted stock units of 5.5 thousand and 5.8 thousand were excluded from the computation of diluted earnings per share because its effect would be anti-dilutive for the three and six months ended June 30, 2020, respectively.

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.

1 unchanged sentence

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:

The Company had no unvested restricted stock units as of June 30, 2021 and December 31, 2020, respectively.

The following table details the Company's common stock dividends declared during the six months ended June 30, 2021:

Declaration Date Record Date Payment Date Cash Dividend Per Share

3/22/2021 4/1/2021 4/30/2021 $ 0.18

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:

6/15/2021 6/30/2021 7/30/2021 0.21

The Company did no t declare any common stock dividends during the three and six months ended June 30, 2020.

The following tables detail the Company's preferred stock dividends declared and paid during the six months ended June 30, 2021 and 2020:

2021 Cash Dividend Per Share

3 unchanged sentences

2/16/2021 2/26/2021 3/17/2021 $ 0.51563 $ 0.50 $ 0.50

5/17/2021 5/28/2021 6/17/2021 0.51563 0.50 0.50

Total $ 1.03126 $ 1.00 $ 1.00

2020 Cash Dividend Per Share

3 unchanged sentences

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

3 unchanged sentences

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.

For the three and six months ended June 30, 2021, as well as the three months ended June 30, 2020, the Company did no t record any excise tax expense.

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

The reversal of the previously accrued excise tax expense during the six months ended June 30, 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.

Based on its analysis of any potential uncertain income tax positions, the Company concluded it did not have any uncertain tax positions that meet the recognition or measurement criteria of ASC 740 as of March 31, 2021.

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

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

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2021

Related party transactions

10 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 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.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

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.

For the three and six months ended June 30, 2021, the Company incurred management fees of approximately $ 1.7 million and $ 3.3 million, respectively.

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

As of June 30, 2021 and December 31, 2020, the Company recorded management fees payable of $ 1.7 million and $ 1.7 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 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.

4 unchanged sentences

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.

As of June 30, 2021 and December 31, 2020, no event of termination of the management agreement had occurred.

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2021

Expense reimbursement

4 unchanged sentences

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

Of the $ 4.0 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.

Of the $ 4.9 million and $ 8.8 million of Other operating expenses for the three and six months ended June 30, 2021, respectively, the Company has incurred $ 1.1 million and $ 2.7 million, respectively, representing a reimbursement of expenses.

Of the $ 4.6 million and $ 5.5 million of Other operating expenses for the three and six months ended June 30, 2020, respectively, the Company has incurred $ 1.9 million and $ 3.9 million, respectively, representing a reimbursement of expenses.

As of June 30, 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.

5 unchanged sentences

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.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

March 31, 2021

outstanding principal balance of the Note.

Interest on the Note was payable monthly in kind through the addition of such accrued monthly interest to the 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.

1 unchanged sentence

Restricted stock grants

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.

Equity Incentive Plans

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 a maximum of 666,666 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 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.

As of June 30, 2021, 612,676 shares of common stock were available to be awarded under the 2020 Equity Incentive Plan.

Since its IPO, the Company has granted an aggregate of 35,264 and 53,990 shares of restricted common stock to its independent directors under its equity incentive plan dated July 6, 2011 and its 2020 Equity Incentive Plan, respectively.

As of June 30, 2021, all shares of restricted common stock granted to its independent directors have vested.

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2021

Manager Equity Incentive Plans

Following approval of the Company's stockholders at its 2021 annual meeting of stockholders, the AG Mortgage Investment Trust, Inc.

2021 Manager Equity Incentive Plan (the "2021 Manager Plan") became effective on April 7, 2021 and provides for a maximum of 573,425 shares of common stock to be issued to the Manager.

As of June 30, 2021, there were no shares or awards issued under the 2021 Manager Plan.

The AG Mortgage Investment Trust, Inc.

Manager Equity Incentive Plan became effective on July 6, 2011 (the "2011 Manager Plan").

Since its IPO, the Company has issued 13,416 shares of restricted common stock and 40,000 restricted stock units to its Manager under the 2011 Manager Plan.

Upon the adoption of the 2020 Equity Incentive Plan on April 15, 2020, the Company was no longer permitted to issue any shares of our common stock under the 2011 Manager Plan.

As of July 1, 2020, all shares of restricted common stock and restricted stock units granted to its Manager under the 2011 Manager Plan fully vested.

Director compensation

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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.

As of June 30, 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.

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

See Note 2 for the gross fair value of the Company's share of these investments as of March 31, 2021 and December 31, 2020 and the net income/(loss) generated by these investments for the three months ended March 31, 2021 and 2020.

See Note 2 for the gross fair value of the Company's share of these investments as of June 30, 2021 and December 31, 2020 and the net income/(loss) generated by these investments for the three and six months ended June 30, 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 March 31, 2021 and December 31, 2020.

See Note 2 for the fair value of AG Arc as of June 30, 2021 and December 31, 2020.

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

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

As of March 31, 2021 and December 31, 2020, these Excess MSRs had a fair value of approximately $ 3.3 million and $ 3.5 million, respectively.

As of June 30, 2021 and December 31, 2020, these Excess MSRs had a fair value of approximately $ 2.9 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.

In July 2021, subsequent to quarter end, the Company sold the remaining Excess MSR portfolio to Arc Home.

Arc Home subsequently sold the MSR portfolio to a third-party.

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 required all principal and interest on the underlying assets in MATT to be used to pay down principal and interest on the outstanding financing arrangement.

As of April 3, 2020, the Restructured Financing Arrangement did not have mark-to-market 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

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements (Unaudited)

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.

June 30, 2021

equity in the assets.

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

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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.

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.

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.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

March 31, 2021

of $ 348.2 million were securitized.

The fees paid by the Company to the Asset Manager totaled $ 0.6 million and $ 1.1 million for the three and six months ended June 30, 2021, respectively.

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

For the three and six months ended June 30, 2020, the Company deferred $ 0.3 million and $ 0.4 million, respectively, of fees owed to the Asset Manager and continued to defer fees through September 30, 2020.

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 $ 191.7 million and $ 268.6 million to this affiliate of the Manager during the three and six months ended June 30, 2021, respectively.

For the three and six months ended June 30, 2021, Arc Home sold Non-QM Loans with an unpaid principal balance of $ 192.8 million and $ 250.5 million to the Company, respectively.

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 $ 26.6 million as of March 31, 2020.

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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.

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2021

of $ 226.0 million were securitized.

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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").

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This allowed the Company to confirm third-party market pricing and best execution.

In April 2021, in accordance with the Company’s Affiliated Transactions Policy, the Company sold certain CMBS to affiliates of the Manager (the "April 2021 Acquiring Affiliates").

As of the date of the transaction, the CMBS sold to the April 2021 Acquiring Affiliates had a total fair value of $ 16.8 million.

Pricing was based on valuations prepared by third-party pricing vendors in accordance with the Company's policy.

The third-party pricing vendors allowed the Company to confirm third-party market pricing and best execution.

In May 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.

Subsequent to this transaction, MATT had securitized a majority of Non-QM Loans previously acquired and its remaining portfolio consisted primarily 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.

Reverse stock split

On July 12, 2021, the Company announced that its board of directors approved a one-for-three reverse stock split of its outstanding shares of common stock.

The reverse stock split was effected following the close of business on July 22, 2021.

At the Effective Time, every three issued and outstanding shares of the Company’s common stock were converted into one share of the Company’s common stock.

No fractional shares were issued in connection with the reverse stock split.

As a result, the number of common shares outstanding was reduced from 48,510,978 immediately prior to the Effective Time to 16,170,312 .

There was no change in the Company's authorized capital stock or par value of each share of common stock as a result of the reverse stock split.

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2021

Stock repurchase programs

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The cost of the acquisition by the Company of shares of its own stock in excess of the aggregate par value of the shares first reduces additional paid-in capital, to the extent available, with any residual cost applied against retained earnings.

No shares were repurchased under the Repurchase Program during the three months

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

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.

No shares were repurchased under the Repurchase Program during the three and six months ended June 30, 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 Series A Preferred Stock, its Series B Preferred Stock, and its Series C Preferred Stock having an aggregate value of up to $ 20.0 million.

No shares were repurchased under the Repurchase Program during the three and six months ended June 30, 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.

For the three months ended June 30, 2021, the Company issued 0.2 million shares of common stock under the Equity Distribution Agreements for net proceeds of approximately $ 3.1 million.

For the six months ended June 30, 2021, the Company sold 1.0 million shares of common stock under the Equity Distribution Agreements for net proceeds of approximately $ 13.1 million.

For the three and six months ended June 30, 2020, the Company issued 0.3 million shares of common stock under the Equity Distribution Agreements for net proceeds of approximately $ 3.5 million.

Since inception of the program, the Company has issued approximately 2.2 million shares of common stock under the Equity Distribution Agreements for gross proceeds of $ 48.3 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").

On May 7, 2021, the Company filed a new shelf registration statement, registering up to $ 1.0 billion of its securities, including capital stock (the "2021 Registration Statement").

The 2021 Registration Statement became effective on May 26, 2021 and will expire on May 28, 2024.

Upon effectiveness of the 2021 Registration Statement, the Company's previous registration statement filed in 2018 was terminated.

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 Company is authorized to designate and issue up to $ 50.0 million shares of preferred stock, par value $ 0.01 per share, in one or more classes or series.

As of June 30, 2021, there were 1.7 million, 3.7 million, and 3.7 million of Series A Preferred Stock, Series B Preferred Stock, and Series C Preferred Stock, respectively, issued and outstanding.

As of December 31, 2020, there were 1.8 million, 4.2 million, and 3.9 million of Series A Preferred Stock, Series B Preferred Stock, and Series C Preferred Stock, respectively, issued and outstanding.

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2021

The following table includes a summary of preferred stock issued and outstanding as of June 30, 2021 ($ and shares in thousands):

Preferred Stock Series Issuance Date Shares Outstanding Carrying Value Aggregate Liquidation Preference (1) Optional Redemption

Date (2) Rate (3)(4)

Series A Preferred Stock August 3, 2012 1,663 $ 40,110 $ 41,580 August 3, 2017 8.25 %

Series B Preferred Stock September 27, 2012 3,728 90,187 93,191 September 17, 2017 8.00 %

Series C Preferred Stock September 17, 2019 3,729 90,175 93,220 September 17, 2024 8.000 %

Total 9,120 $ 220,472 $ 227,991

(1) The Company's Preferred Stock has a liquidation preference of $ 25.00 per share.

(2) Shares have no stated maturity and are not subject to any sinking fund or mandatory redemption.

Shares of the Company’s Preferred Stock are 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 may be redeemable earlier than the optional redemption date under certain circumstances intended to preserve its qualification as a REIT for Federal income tax purposes.

(3) 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 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.

(4) Dividends are payable quarterly in arrears on the 17th day of each March, June, September and December and holders are entitled to receive cumulative cash dividends at the respective state rate per annum before holders of common stock are entitled to receive any cash dividends.

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).

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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.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

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

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.

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On December 22, 2020, the Company's Board of Directors declared a dividend of $ 0.09 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.

During the first and second quarters 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.

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2021

556,600 shares of its Series C Preferred Stock.

This offer had an expiration date of September 11, 2020.

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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.

On June 14, 2021, the Company agreed to issue an aggregate of 429,802 shares of its common stock in exchange for 86,478 shares of Series B Preferred Stock and 154,383 shares of Series C Preferred Stock, pursuant to privately negotiated exchange agreements with certain existing holders of the preferred stock.

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

As of June 30, 2021, the Company had outstanding 1,663,193 shares of Series A Preferred Stock, 3,727,641 shares of Series B Preferred Stock, and 3,728,795 shares of Series C Preferred Stock.

Common stock issuance to the Manager

On September 24, 2020, the Company issued (i) 405,123 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) 51,500 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

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

March 31, 2021

on the midpoint of the estimated range of the Company’s book value per share as of August 31, 2020.

The shares of Common Stock issued to the Manager were valued at $ 9.45 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 was paid in the normal course of business.

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From time to time, the Company may become involved in various claims and legal actions arising in the ordinary course of business.

As of March 31, 2021, other than as set forth below, the Company was not involved in any material legal proceedings.

As of June 30, 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.

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As previously disclosed in a Form 8-K filed with the SEC on June 2, 2020, the Company entered into a settlement agreement with RBC on May 28, 2020, pursuant to which the Company and RBC mutually released each other from further claims related to the repurchase agreements at issue.

As part of the settlement, and to resolve all claims by either party under the repurchase agreements, the Company paid RBC $ 5.0 million in cash and issued to RBC a secured promissory note in the principal amount of $ 2.0 million.

As part of the settlement, and to resolve all claims by either party under the repurchase agreements, the Company paid RBC $ 5.0 million

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2021

in cash and issued to RBC a secured promissory note in the principal amount of $ 2.0 million.

On June 11, 2020, the Company repaid the secured promissory note due to RBC in full.

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

The below table details the Company's outstanding commitments as of March 31, 2021 (in thousands):

The below table details the Company's outstanding commitments as of June 30, 2021 (in thousands):

Commitment type Date of Commitment Total Commitment Funded Commitment Remaining Commitment

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Subsequent Events

During July 2021, the Company sold its remaining CMBS portfolio for total proceeds of $ 33.7 million.

A portion of the CMBS portfolio representing $ 17.6 million of total proceeds was sold at fair value to an affiliate of the Manager and was executed in accordance with the Company’s Affiliated Transactions Policy.

Subsequent to quarter end, the Company purchased $ 86.1 million of Non-QM Loans, inclusive of $ 58.5 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.

During July 2021, the Company agreed to purchase a pool of residential mortgage loans collateralized by GSE-eligible investment properties with an aggregate unpaid principal balance of $ 114.7 million.

In connection with these acquisitions, the Company entered into a financing arrangement with a maximum uncommitted borrowing capacity of $ 500 million.

During July 2021, the Company amended its financing arrangements to increase the maximum uncommitted borrowing capacity to finance Non-QM Loans from $ 800 million to $ 1.1 billion.

On July 12, 2021, the Company announced that its board of directors approved a one-for-three reverse stock split of the Company's outstanding shares of common stock.

The reverse stock split was effected following the close of business on July 22, 2021.

Refer to Note 2 and Note 11 for additional information.

In July 2021, the Company, alongside private funds under the management of Angelo Gordon, sold its remaining Excess MSR portfolio to Arc Home.

Arc Home subsequently sold the MSR portfolio to a third-party.

On July 30, 2021, the Company announced that its Board of Directors has declared third quarter 2021 preferred stock dividends on its Series A Preferred Stock, Series B Preferred Stock, and Series C Preferred Stock in the amount of $ 0.51563 , $ 0.50 and $ 0.50 per share, respectively.

The dividends will be paid on September 17, 2021 to holders of record on August 31, 2021.

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