What changed in this filing

/stocks — the workspaceLOADING

Item 1. Financial Statements

2021-11-05 compared with 2021-08-03 · 459 added, 483 removed, 1163 unchanged (45% of the section changed)

4 unchanged sentences

(in thousands, except per share data)

June 30, 2021 December 31, 2020

September 30, 2021 December 31, 2020

Residential mortgage loans, at fair value - $ 854,977 and $ 46,571 pledged as collateral, respectively (1)

$ 1,607,066 $ 435,441

Real estate securities, at fair value:

Agency - $ 689,871 and $ 460,949 pledged as collateral, respectively

696,704 518,352

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

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

Real estate securities, at fair value - $ 467,740 and $ 532,271 pledged as collateral, respectively

509,980 613,546

2 unchanged sentences

Investments in debt and equity of affiliates 109,123 150,667

Excess mortgage servicing rights, at fair value 2,608 3,158

Cash and cash equivalents 101,749 47,926

Restricted cash 27,087 14,392

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

Other assets 18,074 12,565

8 unchanged sentences

Stockholders’ Equity

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

Preferred stock - $ 227,991 and $ 246,610 aggregate liquidation preference as of September 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 16,164 and 13,811 shares issued and outstanding at June 30, 2021 and December 31, 2020, respectively (2)

450,000 shares of common stock authorized and 15,912 and 13,811 shares issued and outstanding at September 30, 2021 and December 31, 2020, respectively (2)

Additional paid-in capital (2) 717,176 689,147

10 unchanged sentences

(in thousands, except per share data)

Three Months Ended Six Months Ended

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

Three Months Ended Nine Months Ended

September 30, 2021 September 30, 2020 September 30, 2021 September 30, 2020

Net Interest Income

33 unchanged sentences

Diluted 16,077 11,474 15,270 11,116

(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.

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

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

5 unchanged sentences

(in thousands)

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

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

Common Stock (1) Preferred Stock Additional

2 unchanged sentences

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

Balance at July 1, 2021 16,164 $ 162 $ 220,472 $ 719,940 $ ( 474,697 ) $ 465,877

Repurchase of common stock ( 258 ) ( 3 ) — ( 2,844 ) — ( 2,847 )

Grant of restricted stock 6 — — 80 — 80

1 unchanged sentence

Preferred dividends declared — — — — ( 4,586 ) ( 4,586 )

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

Net Income/(Loss) — — — — 34,579 34,579

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

Balance at September 30, 2021 15,912 $ 159 $ 220,472 $ 717,176 $ ( 448,058 ) $ 489,749

Common Stock (1) Preferred Stock Additional

2 unchanged sentences

Shares Amount Total

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

Balance at July 1, 2020 11,274 $ 113 $ 272,457 $ 666,352 $ ( 573,544 ) $ 365,378

Net proceeds from issuance of common stock 578 6 — 5,479 — 5,485

Grant of restricted stock and amortization of equity based compensation 15 — — 60 — 60

Exchange Offer (Note 11) 172 2 ( 2,495 ) 1,454 539 ( 500 )

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

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

Balance at September 30, 2020 12,039 $ 121 $ 269,962 $ 673,345 $ ( 552,959 ) $ 390,469

For the Nine Months Ended September 30, 2021 and September 30, 2020

Common Stock (1) Preferred Stock Additional

4 unchanged sentences

Net proceeds from issuance of common stock 972 10 — 13,123 — 13,133

Repurchase of common stock ( 258 ) ( 3 ) — ( 2,844 ) — ( 2,847 )

Grant of restricted stock 19 — — 240 — 240

3 unchanged sentences

Net Income/(Loss) — — — — 93,321 93,321

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

Balance at September 30, 2021 15,912 $ 159 $ 220,472 $ 717,176 $ ( 448,058 ) $ 489,749

Common Stock (1) Preferred Stock Additional

6 unchanged sentences

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

Exchange Offers (Note 11) 172 2 ( 2,495 ) 1,454 539 ( 500 )

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

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

Balance at September 30, 2020 12,039 $ 121 $ 269,962 $ 673,345 $ ( 552,959 ) $ 390,469

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

5 unchanged sentences

(in thousands)

Six Months Ended

June 30, 2021 June 30, 2020

Nine Months Ended

September 30, 2021 September 30, 2020

Cash Flows from Operating Activities

22 unchanged sentences

Investments in debt and equity of affiliates ( 3,806 ) ( 44,869 )

Proceeds from sales of excess MSRs 2,230 7,735

Proceeds from sales of real estate securities 761,568 2,722,425

12 unchanged sentences

Net proceeds from issuance of common stock 13,133 4,669

Repurchase of common stock ( 2,847 ) —

Borrowings under financing arrangements 12,367,334 13,374,192

7 unchanged sentences

Dividends paid on common stock ( 7,428 ) ( 14,734 )

Nine Months Ended

September 30, 2021 September 30, 2020

Dividends paid on preferred stock ( 14,254 ) ( 5,667 )

Net cash provided by continuing financing activities 925,449 ( 2,565,086 )

Six Months Ended

June 30, 2021 June 30, 2020

Net change in cash and cash equivalents and restricted cash 66,508 ( 75,491 )

6 unchanged sentences

Supplemental disclosure of non-cash financing and investing activities:

Receivable on unsettled trades $ 106,247 $ —

Payable on unsettled trades $ — $ 105,016

Common stock dividends declared but not paid $ 3,354 $ —

Exchange Offers (Note 11) $ 18,006 $ 2,495

Holdback on sale of excess MSRs $ 134 $ 725

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

Decrease in securitized debt $ — $ 7,091

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

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

Decrease in securitized debt $ — $ 7,091

Transfer from residential mortgage loans to other assets $ 1,338 $ 2,100

1 unchanged sentence

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:

June 30, 2021 June 30, 2020

September 30, 2021 September 30, 2020

Cash and cash equivalents $ 101,749 $ 44,592

5 unchanged sentences

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2021

September 30, 2021

AG Mortgage Investment Trust, Inc.

5 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.

• Residential mortgage loans represent pools of fixed- and adjustable-rate loans collateralized by Non-QM, GSE Non-Owner Occupied, 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.

• GSE Non-Owner Occupied Loans are loans that are underwritten in accordance with U.S.

government-sponsored entity ("GSE") guidelines and are secured by investment properties.

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

1 unchanged sentence

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

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

GSEs or agencies of the U.S.

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

3 unchanged sentences

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

The Company did not hold any CMBS as of September 30, 2021.

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.

The Company did not hold any Commercial Loans as of September 30, 2021.

• 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.

2 unchanged sentences

government ("Agency Excess MSR").

The Company did not directly hold any Agency Excess MSRs as of September 30, 2021.

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

4 unchanged sentences

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

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

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

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

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2021

September 30, 2021

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

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

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

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 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.

In March 2020, the global novel coronavirus ("COVID-19") pandemic 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.

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.

Although market conditions have improved during 2021, the COVID-19 pandemic is ongoing with new variants emerging despite growing vaccination rates.

As a result, 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

2 unchanged sentences

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

As of September 30, 2021 and December 31, 2020, the Company reclassified Agency RMBS, Non-Agency RMBS, and CMBS with an aggregate fair value of $ 510.0 million and $ 613.5 million, respectively, into the "Real estate securities, at fair value" line item on the consolidated balance sheets.

See Note 4 for details related to Agency RMBS, Non-Agency RMBS, and CMBS.

Excess MSRs with a fair value of $ 0.1 million and $ 3.2 million as of September 30, 2021 and December 31, 2020, respectively, were reclassified into the "Other Assets" line item on the consolidated balance sheets.

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.

12 unchanged sentences

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

Restricted cash may be returned to the Company when the related collateral requirements are exceeded or at the maturity of the derivative or financing arrangement.

Restricted cash may be returned to the Company when the related collateral

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2021

requirements are exceeded or at the maturity of the derivative or financing arrangement.

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

2 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

22 unchanged sentences

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

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2021

Accounting for loans

3 unchanged sentences

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.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2021

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

Prior to the 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), 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.

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

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.

Real estate securities are recorded at fair value on the consolidated balance

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2021

September 30, 2021

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.

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.

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

11 unchanged sentences

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

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

Arc Home originates residential mortgage loans and retains the mortgage servicing rights associated with the loans it originates.

Arc Home is led by an external management team.

2 unchanged sentences

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

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

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

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

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

For the three 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.

For the three and nine months ended September 30, 2021, the Company eliminated $ 1.6 million and $ 3.5 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.

The Company did not purchase any loans from Arc Home during three and nine months ended September 30, 2020 and, as a result, it did no t eliminate any intra-entity profits during the three and nine months ended September 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.

1 unchanged sentence

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").

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

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2021

September 30, 2021

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").

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).

June 30, 2021

September 30, 2021

December 31, 2020

7 unchanged sentences

Investments in debt and equity of affiliates $ 160,797 $ ( 51,674 ) $ 109,123 $ 268,584 $ ( 117,917 ) $ 150,667

(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.

(1) As of September 30, 2021 and December 31, 2020, Non-QM Loans excluded loans with an unpaid principal balance of $ 8.2 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 Six Months Ended

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

Three Months Ended Nine Months Ended

September 30, 2021 September 30, 2020 September 30, 2021 September 30, 2020

Non-QM Loans $ ( 644 ) $ 1,828 $ 15,277 $ ( 33,016 )

4 unchanged sentences

$ 6,882 $ 17,187 $ 34,496 $ ( 23,571 )

(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.

(1) The earnings/(loss) at AG Arc during the three and nine months ended September 30, 2021 were primarily the result of $ 1.0 million and $ 5.4 million of net income related to Arc Home's lending and servicing operations, offset by $( 0.7 ) million and $( 1.9 ) million, respectively, related to changes in the fair value of the MSR portfolio held by Arc Home.

Earnings/(loss) recognized by AG Arc do 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 nine months ended September 30, 2021, the Company eliminated $ 1.6 million and $ 3.5 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

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

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

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

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

The primary beneficiary of a VIE is determined to be the party that has both the power to direct the activities of a VIE that most significantly impact the VIE’s

In performing the analysis, the Company refers to guidance in

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements (Unaudited)

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.

September 30, 2021

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

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

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

This determination can sometimes involve complex and subjective analyses.

22 unchanged sentences

That determination must consider the transferor’s continuing involvement in the transferred financial asset, including all arrangements or agreements made contemporaneously with, or in contemplation of, the transfer, even if they were not entered into at the time of the transfer.

The financial components approach under ASC 860-10 limits the circumstances in which a financial asset, or portion of a financial asset, should be derecognized when the transferor has not transferred the entire original financial asset to an entity that is not consolidated with the transferor in the financial statements being presented and/or when the transferor has continuing involvement with the transferred financial asset.

It defines the term "participating interest" to establish specific conditions for reporting a transfer of a portion of a financial asset as a sale.

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

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements (Unaudited)

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.

September 30, 2021

financial asset to an entity that is not consolidated with the transferor in the financial statements being presented and/or when the transferor has continuing involvement with the transferred financial asset.

It defines the term "participating interest" to establish specific conditions for reporting a transfer of a portion of a financial asset as a sale.

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

5 unchanged sentences

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

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

The Company has elected to record interest in accordance with ASC 835-30-35-2, "Imputation of Interest," using the effective interest method for all securities and loans accounted for under the fair value option in accordance with ASC 825, "Financial Instruments." As such, premiums and discounts are amortized or accreted into interest income over the lives of the securities or loans in accordance with ASC 310-20, "Nonrefundable Fees and Other Costs," ASC 320-10 or ASC 325-40, as applicable.

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

1 unchanged sentence

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

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

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

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

8 unchanged sentences

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

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2021

Financing arrangements

3 unchanged sentences

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

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

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.

5 unchanged sentences

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

As of June 30, 2021 and December 31, 2020, the Company had met all margin call requirements.

As of September 30, 2021 and December 31, 2020, the Company had met all margin call requirements.

Forbearance and Reinstatement Agreements

9 unchanged sentences

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.

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

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2021

preference equal to an annual floating rate of the then three-month LIBOR plus a spread of 6.476 % per annum.

If the Company’s Board of Directors does not declare a dividend in a given period, an accrual is not recorded on the balance sheet.

3 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

Derivative contracts

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

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

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

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

As of 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.

As of September 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 with corresponding changes in fair value recognized in the consolidated statement of operations.

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

18 unchanged sentences

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

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2021

Forward Purchase Commitments

The Company may enter into forward purchase commitments with counterparties whereby the Company commits to purchasing residential mortgage loans at a particular price.

Actual loan purchases are contingent upon successful loan closings.

The counterparties are required to deliver the committed loans on a mandatory basis.

These commitments to purchase mortgage loans are classified as derivatives and are therefore recorded at fair value on the consolidated balance sheets, with corresponding changes in fair value recognized in the consolidated statement of operations.

Derivatives with positive fair values to the Company are reported as assets and derivatives with negative fair values to the Company are reported as liabilities.

Manager compensation

3 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)

September 30, 2021

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.

2 unchanged sentences

Deal related performance fees

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

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

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

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

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2021

Offering costs

7 unchanged sentences

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

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

This ASU is effective as of March 12, 2020 through December 31, 2022 and may be elected over time as reference rate reform activities occur.

The ASU applies to all entities that have contracts, hedging relationships and other transactions that reference LIBOR and certain other reference rates that are expected to be discontinued.

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

1 unchanged sentence

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

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

While the Company is currently assessing the impact of this ASU, the Company does not expect the adoption to have a material impact on the Company’s consolidated financial statements

Residential mortgage loans

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.

For the three months ended September 30, 2021, the Company purchased Non-QM Loans with a gross aggregate unpaid principal balance and a gross acquisition fair value of $ 381.0 million and $ 396.9 million, respectively.

For the nine months ended September 30, 2021, the Company purchased Non-QM Loans with a gross aggregate unpaid principal balance and a gross acquisition fair value of $ 1.0 billion and $ 1.1 billion, respectively.

A portion of these loans were purchased from Arc Home.

See Note 10 for more detail.

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.

For the three and nine months ended September 30, 2021, the Company purchased GSE Non-Owner Occupied Loans with a gross aggregate unpaid principal balance and a gross acquisition fair value of $ 208.2 million and $ 213.4 million, respectively.

A portion of these loans were purchased from Arc Home.

See Note 10 for more detail.

The Company did no t sell any residential mortgage loans during the three months ended September 30, 2021.

For the nine months ended September 30, 2021, the Company sold 367 loans for total proceeds of $ 45.6 million and one residual position

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements (Unaudited)

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

Principal Balance

September 30, 2021

where the Company previously consolidated the securitization for total proceeds of $ 1.6 million, recording realized gains of $ 8.1 million and realized losses of $ 0.4 million.

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

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

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

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

Unpaid Principal Balance Gross Unrealized Weighted Average

(Discount) Amortized Cost Gains Losses Fair Value (1) Coupon Yield Life

Non-QM Loans $ 975,501 $ 38,730 $ 1,014,231 $ 16,016 $ ( 248 ) $ 1,029,999 5.02 % 3.64 % 4.10

GSE Non-Owner Occupied Loans 207,801 4,644 212,445 2,188 — 214,633 3.63 % 3.11 % 6.15

Re- and Non-Performing Loans 399,728 ( 51,164 ) 348,564 18,532 ( 4,662 ) 362,434 3.56 % 6.21 % 7.06

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

Total at September 30, 2021 (3) $ 1,583,030 $ ( 7,790 ) $ 1,575,240 $ 36,736 $ ( 4,910 ) $ 1,607,066 4.47 % 4.15 % 5.11

Re- and Non-Performing Loans at December 31, 2020 (4) $ 500,980 $ ( 69,007 ) $ 431,973 $ 13,640 $ ( 10,172 ) $ 435,441 3.58 % 5.69 % 6.67

(1) As of September 30, 2021, the fair value of the Company's residential mortgage loan portfolio includes $ 484.4 million and $ 356.7 million of Non-QM Loans and Re- and Non-Performing Loans included within Residential Mortgage Loan VIEs, respectively.

As of December 31, 2020, the fair value of the Company's residential mortgage loan portfolio includes $ 426.6 million of Re- and Non-Performing Loans included within Residential Mortgage Loan VIEs.

Refer to the "Variable interest entities" section below for additional details.

(2) 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 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.

(3) As of September 30, 2021, the Company’s residential mortgage loan portfolio was comprised of 5,099 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 $ 30.8 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 June 30, 2021 and December 31, 2020 (in thousands):

June 30, 2021 December 31, 2020

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

September 30, 2021 December 31, 2020

Fair Value Unpaid Principal Balance Fair Value Unpaid Principal Balance

Non-QM Loans $ 1,029,999 $ 975,501 $ — $ —

Re-Performing 267,853 291,301 312,733 347,359

Non-Performing 99,689 116,520 113,976 134,129

GSE Non-Owner Occupied Loans 214,633 207,801 — —

Re-Performing Loans 259,682 279,330 312,733 347,359

Non-Performing Loans 96,975 113,223 113,976 134,129

Other (1) 5,777 7,175 8,732 19,492

2 unchanged sentences

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

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2021

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 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

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

Geographic Concentration of Credit Risk September 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:

California 35 % 17 %

Florida 13 % 11 %

New York 14 % 10 %

Florida 12 % 11 %

New Jersey 7 % 6 %

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

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 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 nine months ended September 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

Three Months Ended Nine Months Ended

September 30, 2021 September 30, 2020 September 30, 2021 September 30, 2020

Beginning Balance $ 51,672 $ 37,287 $ 56,907 $ 41,472

4 unchanged sentences

Ending Balance $ 46,764 $ 49,966 $ 46,764 $ 49,966

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2021

Variable interest entities

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

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

September 30, 2021 December 31, 2020

Carrying Value Weighted Average Carrying Value Weighted Average

Yield Life (Years) (1) Yield Life (Years) (1)

Non-QM Loan VIEs $ 484,427 3.60 %

4.01 $ — — % —

RPL/NPL VIEs 356,657 5.81 %

7.14 426,604 5.61 %

Residential mortgage loans, at fair value $ 841,084 $ 426,604

2 unchanged sentences

Total Assets $ 846,178 $ 432,419

Financing arrangements $ 42,158 $ 25,590

Non-QM Loan VIEs - Securitized debt $ 442,883 1.27 %

2.20 $ — — % —

RPL/NPL VIEs - Securitized debt 265,538 3.05 %

3.90 355,159 3.00 %

Securitized debt, at fair value $ 708,421 $ 355,159

Financing arrangements 57,007 25,590

Other liabilities 481 519

Total Liabilities $ 765,909 $ 381,268

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)

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

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

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

Total Equity $ 80,269 $ 51,151

(1) This is based on projected life.

2 unchanged sentences

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.

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

Commercial loans

During the three months ended September 30, 2021, Loan K and Loan L were repaid in full for total proceeds of $ 74.1 million, recording realized gains of $ 0.4 million.

In connection with the repayment of Loan L, the Company received $ 3.0 million of deferred interest for the 12-month period following a loan modification entered into with the borrower during the fourth quarter of 2020.

In addition, the proceeds received from the repayment of Loan L were used to pay down the $ 26.0 million commercial loan revolving facility.

In addition to these payoffs, the Company sold Loan G and Loan I for total proceeds of $ 74.3 million, recording realized losses of $ 2.9 million during the nine months ended September 30, 2021.

As of September 30, 2021, the Company did not hold any commercial loans.

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

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

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2021

Commercial loans

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.

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).

June 30, 2021 Weighted Average

Loan (1)(2) Current Face Premium

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

(4) Yield (5) Life

(6) Extended Maturity

Date (7) Location Collateral Type

Loan K (8) $ 18,809 $ — $ 18,809 $ ( 400 ) $ 18,409 10.00 % 12.75 % 0.09 February 22, 2024 NY Hotel, Retail

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

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 June 30, 2021.

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

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

(5) Yield includes any exit fees.

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

Maturities are affected by prepayments of principal.

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

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.

December 31, 2020 Weighted Average

September 30, 2021

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

The gross unrealized losses in the table below represents inception to date unrealized losses.

Gross Unrealized Losses Weighted Average Extended

Loan Current Face Premium

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

Date (6) Location Collateral Type

(Discount) Amortized Cost Fair Value Coupon Yield Life

(Years) Location Collateral Type

Commercial Loans, at fair value

6 unchanged sentences

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

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

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

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

(4) Yield includes any exit fees.

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

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.

(7) Loan G is a first mortgage loan.

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

(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

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

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

September 30, 2021 Current Face Premium /

Amortized Cost Gross Unrealized Weighted Average

Gains Losses Fair Value Coupon (1) Yield

30 Year Fixed Rate $ 497,214 $ 12,797 $ 510,011 $ 695 $ ( 4,180 ) $ 506,526 2.19 % 1.77 %

Credit Investments:

Residential Investments

Credit - Residential Investments:

Prime 6,966 ( 4,694 ) 2,272 421 — 2,693 3.50 % 15.06 %

Re/Non-Performing Securities 709 ( 55 ) 654 107 — 761 5.25 % 32.50 %

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:

Total Credit - Residential Investments:

7,675 ( 4,749 ) 2,926 528 — 3,454 3.78 % 18.90 %

Total $ 504,889 $ 8,048 $ 512,937 $ 1,223 $ ( 4,180 ) $ 509,980 2.20 % 1.88 %

December 31, 2020 Gross Unrealized Weighted Average

Current Face Premium /

Amortized Cost Gains Losses Fair Value Coupon (1) Yield

December 31, 2020 Current Face Premium /

Amortized Cost Gross Unrealized Weighted Average

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 %

20 unchanged sentences

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

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

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

September 30, 2021

(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.

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

September 30, 2021 Agency RMBS Credit - Residential 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 $ — $ — — % $ 553 $ 516 5.25 %

Greater than one year and less than or equal to five years — — — 208 138 — %

Greater than five years and less than or equal to ten years 479,158 482,099 2.20 % 2,284 2,107 3.50 %

12 unchanged sentences

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

For the three months ended June 30, 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.

For the three months ended September 30, 2021, the Company sold four real estate securities for total proceeds of $ 202.8 million, recording realized losses of $ 4.8 million.

For the nine months ended September 30, 2021, the Company sold 73 real estate securities for total proceeds of $ 760.7 million, recording realized gains of $ 12.4 million and realized losses $ 22.1 million.

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

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

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2021

September 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

The following tables present the Company’s financial instruments measured at fair value on a recurring basis as of September 30, 2021 and December 31, 2020 (in thousands):

Fair Value at September 30, 2021

Level 1 Level 2 Level 3 Total

Residential mortgage loans $ — $ 875 $ 1,606,191 $ 1,607,066

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

Credit Investments:

30 Year Fixed Rate Agency RMBS — 506,526 — 506,526

Non-Agency RMBS (1) — 2,694 760 3,454

CMBS (2) — 31,614 — 31,614

Commercial loans — — 62,279 62,279

Excess mortgage servicing rights (2) — — 70 70

6 unchanged sentences

(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.

(2) Excess mortgage servicing rights are included in the "Other assets" line item on the consolidated balance sheets.

(3) As of September 30, 2021, the Company applied a reduction in fair value of $ 13.4 million and $ 0.6 million to its interest rate swap assets and liabilities, respectively, related to variation margin with a corresponding increase or decrease in restricted cash, respectively.

Derivative assets and liabilities are included in the "Other assets" and "Other liabilities" line items on the consolidated balance sheets, 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)

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):

September 30, 2021

Fair value at December 31, 2020

17 unchanged sentences

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

(3) Excess mortgage servicing rights are included in the "Other assets" line item on the consolidated balance sheets.

(4) 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.

Derivative assets and liabilities are included in the "Other assets" and "Other liabilities" line items on the consolidated balance sheets, respectively.

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

11 unchanged sentences

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

In 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.

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

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

The Company uses loan level data and macro-economic inputs to

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2021

adjusted cash flows and other information in determining the fair value of its mortgage loans.

September 30, 2021

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.

2 unchanged sentences

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.

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

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

4 unchanged sentences

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)

Three Months Ended September 30, 2021 (in thousands)

Mortgage Loans Non-Agency

1 unchanged sentence

Loans Excess Mortgage

Servicing Rights AG Arc Securitized

Servicing Rights Derivative Assets AG Arc Securitized

debt Derivative Liabilities

Beginning balance $ 1,028,378 $ 1,183 $ 62,279 $ 2,608 $ — $ 50,862 $ ( 482,533 ) $ —

1 unchanged sentence

Issuances of Securitized Debt — — — — — — ( 260,086 ) —

Capital distributions — — — — — ( 893 ) — —

Proceeds from sales of assets — — — ( 2,364 ) — —

3 unchanged sentences

Ending Balance $ 1,606,191 $ 760 $ — $ 70 $ 841 $ 51,949 $ ( 708,421 ) $ ( 46 )

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

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

$ 10,880 $ ( 27 ) $ — $ 523 $ 841 $ 1,980 $ ( 209 ) $ ( 46 )

11 unchanged sentences

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2021

Three Months Ended June 30, 2020 (in thousands)

September 30, 2021

Three Months Ended September 30, 2020 (in thousands)

Mortgage Loans Non-Agency

3 unchanged sentences

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

Transfers (1):

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

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

5 unchanged sentences

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

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

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

$ 9,778 $ 221 $ — $ 3,298 $ 13,406 $ ( 3,323 )

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

During the three months ended September 30, 2020, the Company transferred two Residential Mortgage Loan investments 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:

7 unchanged sentences

Total $ 23,380

Six Months Ended June 30, 2021 (in thousands)

Nine months ended September 30, 2021 (in thousands)

Mortgage Loans Non-Agency

1 unchanged sentence

Loans Excess Mortgage

Servicing Rights AG Arc Securitized

Servicing Rights Derivative Assets AG Arc Securitized

debt Derivative Liabilities

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

3 unchanged sentences

Issuances of Securitized Debt — — — — — — ( 463,478 ) —

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

Capital distributions — — — — — ( 893 ) — —

Proceeds from sales of assets ( 45,615 ) — ( 74,342 ) ( 2,364 ) — —

Proceeds from settlement ( 75,746 ) ( 897 ) ( 70,232 ) — — — 113,338 —

2 unchanged sentences

Ending Balance $ 1,606,191 $ 760 $ — $ 70 $ 841 $ 51,949 $ ( 708,421 ) $ ( 46 )

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

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

$ 25,481 $ 56 $ — $ ( 27 ) $ 841 $ 7,501 $ ( 3,122 ) $ ( 46 )

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

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.

During the nine months ended September 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:

10 unchanged sentences

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2021

Six Months Ended June 30, 2020 (in thousands)

September 30, 2021

Nine months ended September 30, 2020

Loans Non-Agency

14 unchanged sentences

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

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

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

$ ( 25,443 ) $ ( 329 ) $ — $ — $ — $ ( 14,210 ) $ ( 2,183 ) $ 12,890 $ 8,598

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

During the six months ended June 30, 2020, the Company transferred 50 Non-Agency RMBS securities, 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.

During the nine months ended September 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 nine months ended September 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.

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

10 unchanged sentences

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2021

September 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 June 30, 2021 (in thousands) Valuation Technique Unobservable Input Range

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

(Weighted Average) (1)

9 unchanged sentences

Projected Collateral Severities -41.91% - -41.91% (-41.91%)

Excess Mortgage Servicing Rights $ 70 Consensus Pricing Offered Quotes 0.26 - 0.26 ( 0.26 )

Yield 2.82 % - 2.97 % ( 2.86 %)

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

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

Loan-to-Value 48.10 % - 92.70 % ( 73.46 %)

Excess Mortgage Servicing Rights Discounted Cash Flow Yield 9.00 % - 9.70 % ( 9.09 %)

$ 2,521 Projected Collateral Prepayments 10.97 % - 16.00 % ( 12.06 %)

$ 87 Consensus Pricing Offered Quotes 0.30 - 0.30 ( 0.30 )

Derivative assets $ 841 Discounted Cash Flow Projected Collateral Prepayments 12.37 % - 15.66 % ( 13.71 %)

Projected Collateral Losses 0.16 % - 0.25 % ( 0.21 %)

Projected Collateral Severities 10.00 % - 10.00 % ( 10.00 %)

Pull Through % 90.00 % - 95.00 % ( 91.34 %)

AG Arc $ 51,949 Comparable Multiple Book Value Multiple 1.06 x - 1.06 x ( 1.06 x)

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

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

(Weighted Average)

3 unchanged sentences

Projected Collateral Severities 8.42 % - 16.50 % ( 11.38 %)

(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 June 30, 2021.

Yield 3.04 % - 3.04 % ( 3.04 %)

Derivative liabilities $ ( 46 ) Discounted Cash Flow Projected Collateral Prepayments 15.03 % - 15.03 % ( 15.03 %)

Projected Collateral Losses 0.22 % - 0.22 % ( 0.22 %)

Projected Collateral Severities 10.00 % - 10.00 % ( 10.00 %)

Pull Through % 100.00 % - 100.00 % ( 100.00 %)

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2021

September 30, 2021

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

14 unchanged sentences

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

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

$ 3,073 Discounted Cash Flow Projected Collateral Prepayments 11.11 % - 15.51 % ( 12.49 %)

Yield 9.00 % - 9.70 % ( 9.08 %)

Excess Mortgage Servicing Rights $ 3,073 Discounted Cash Flow Projected Collateral Prepayments 11.11 % - 15.51 % ( 12.49 %)

$ 85 Consensus Pricing Offered Quotes 0.25 - 0.25 ( 0.25 )

22 unchanged sentences

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2021

September 30, 2021

Financing arrangements

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

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

September 30, 2021

December 31, 2020

2 unchanged sentences

Repurchase Agreements

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

Residential Mortgage Loans (4)(5) $ 713,049 Oct 2021 - Sept 2022 2.44 % 0.50 $ 829,450 $ 854,977 $ 25,590

Agency RMBS 445,836 Oct 2021 0.11 % 0.04 467,323 464,696 435,893

Non-Agency RMBS 1,634 Oct 2021 1.60 % 0.04 2,761 3,044 14,550

CMBS — N/A — % — — — 24,881

Total Repurchase Agreements $ 1,160,519 1.54 % 0.32 $ 1,299,534 $ 1,322,717 $ 500,914

Revolving Facilities

Commercial Loans (7)(8)(9) $ 25,950 Aug 2023 3.16 % 2.11 $ 50,663 $ 43,870 $ 63,133

Commercial Loans $ — N/A — % — $ — $ — $ 63,133

Total Financing Arrangements $ 1,160,519 1.54 % 0.32 $ 1,299,534 $ 1,322,717 $ 564,047

(1) The Company also had $ 0.3 million of cash pledged under repurchase agreements as of June 30, 2021.

(1) The Company also had $ 4.6 million of cash pledged under repurchase agreements as of September 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 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 2.53 % 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.

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

(4) The Company's Residential Mortgage Loan financing arrangements include a maximum uncommitted borrowing capacity of $ 1.1 billion on facilities used to finance Non-QM Loans and $ 500 million on facilities used to finance GSE Non-Owner Occupied Loans.

(5) The funding cost includes deferred financing costs.

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

The weighted average stated rate on the Residential Mortgage Loans repurchase agreements was 2.22 % as of September 30, 2021.

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

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

Repurchase Agreements

2 unchanged sentences

Non-Agency RMBS 1,634 — — 1,634

CMBS 18,518 — — — 18,518

Total Repurchase Agreements $ 460,069 $ 44,408 $ 656,042 $ 1,160,519

Revolving Facilities

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

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

Counterparties

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

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements (Unaudited)

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

September 30, 2021

The following tables present information as of September 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).

September 30, 2021

Counterparty Stockholders’ Equity

4 unchanged sentences

$ 84,947 71 17.3 %

Credit Suisse AG, Cayman Islands Branch

56,517 169 11.5 %

December 31, 2020

14 unchanged sentences

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

As of June 30, 2021, the Company is in compliance with all of its financial covenants.

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

June 30, 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 September 30, 2021 and December 31, 2020 (in thousands):

September 30, 2021 December 31, 2020

Interest receivable $ 8,483 $ 2,962

2 unchanged sentences

Due from broker 3,217 907

Excess mortgage servicing rights, at fair value 70 3,158

Total Other assets $ 18,074 $ 12,565

3 unchanged sentences

Due to affiliates (1) 3,411 14,041

Purchase Price Payable on GSE Non-Owner Occupied Loans (2) 3,084 —

Accrued expenses 2,264 2,521

5 unchanged sentences

Notes to Consolidated Financial Statements (Unaudited)

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 June 30, 2021 December 31, 2020

Pay Fix/Receive Float Interest Rate Swap Agreements (1) Non-Hedge Other liabilities $ ( 289 ) $ ( 68 )

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.

September 30, 2021

(2) Represents the portion of the purchase price on GSE Non-Owner Occupied Loans that has not yet settled as of September 30, 2021.

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

Derivatives and Other Instruments (1)(2) Balance Sheet

Location September 30, 2021 December 31, 2020

Pay Fix/Receive Float Interest Rate Swap Agreements (1) Other liabilities $ ( 64 ) $ ( 68 )

TBAs Other assets 1,358 —

Forward Purchase Commitments

Other assets 841 —

Forward Purchase Commitments

Other liabilities ( 46 ) —

(1) As of September 30, 2021, the Company applied a reduction in fair value of $ 13.4 million and $ 0.6 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.

(2) As of September 30, 2021 and December 31, 2020, all derivatives held by the Company are not designated as hedges.

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

Notional amount of non-hedge derivatives and other instruments:

Notional Currency June 30, 2021 December 31, 2020

Notional Currency September 30, 2021 December 31, 2020

Pay Fix/Receive Float Interest Rate Swap Agreements (1) USD $ 720,000 $ 417,000

Short TBAs USD ( 307,500 ) —

Forward Purchase Commitments USD 120,455 —

Short positions on British Pound Futures (2) GBP — 3,313

(1) As of September 30, 2021, the Company's pay fix/receive float interest rate swaps had a weighted average pay-fixed rate of 0.73 %, a weighted average receive-variable rate of 0.13 %, and a weighted average years to maturity of 5.87 years.

As of December 31, 2020, the Company's pay fix/receive float interest rate swaps had a weighted average pay-fixed rate of 0.49 %, a weighted average receive-variable rate of 0.23 %, and a weighted average years to maturity of 5.99 years.

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

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2021

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

Three Months Ended Six Months Ended

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

Three Months Ended Nine Months Ended

September 30, 2021 September 30, 2020 September 30, 2021 September 30, 2020

Included within Unrealized gain/(loss), net

4 unchanged sentences

TBAs 1,290 — 1,357 —

Forward Purchase Commitments

2,095 1,164 14,781 ( 10,915 )

7 unchanged sentences

Total income/(loss) $ 2,665 $ 5 $ 16,083 $ ( 73,636 )

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.

Derivative and other instruments eligible for offset are presented gross on the consolidated balance sheets as of September 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

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2021

the derivatives involved.

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 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 September 30, 2021, the Company's restricted cash balance included $ 21.0 million of collateral related to certain derivatives, of which $ 8.2 million represents cash collateral posted by the Company and $ 12.8 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

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

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

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

Pay-Fixed Rate Weighted Average

Receive-Variable Rate Weighted Average

Years to Maturity

2025 $ 296,000 0.39 % 0.18 % 4.26

2026 202,000 0.76 % 0.16 % 4.75

2028 95,000 1.02 % 0.16 % 6.62

2030 86,000 0.76 % 0.17 % 9.27

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

As of December 31, 2020, the Company’s interest rate swap positions consisted of pay-fixed interest rate swaps.

The following table presents information about the Company’s interest rate swaps as of December 31, 2020 ($ in thousands):

Maturity Notional Amount Weighted Average

Pay-Fixed Rate Weighted Average

Receive-Variable Rate Weighted Average

Years to Maturity

2025 $ 296,000 0.39 % 0.23 % 4.76

2026 20,000 0.45 % 0.24 % 5.01

2030 86,000 0.76 % 0.23 % 9.77

2031 15,000 0.95 % 0.24 % 10.01

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

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):

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

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

For the Three Months Ended:

3 unchanged sentences

from/to Broker

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

For the Six Months Ended:

September 30, 2021 TBAs - Short $ ( 130,000 ) $ 338,000 $ ( 515,500 ) $ ( 307,500 ) $ ( 316,937 ) $ 318,295 $ 1,358

For the Nine Months Ended:

Buys or Covers Sales or Shorts Ending Net Notional

2 unchanged sentences

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 ) — — — — —

September 30, 2021 TBAs - Short $ — $ 338,000 $ ( 645,500 ) $ ( 307,500 ) $ ( 316,937 ) $ 318,295 $ 1,358

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

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2021

Earnings per share

2 unchanged sentences

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

The following table presents a reconciliation of the earnings and shares used in calculating basic and diluted earnings per share for the three and nine months ended September 30, 2021 and 2020 (in thousands, except per share data).

Three Months Ended Nine Months Ended

September 30, 2021 September 30, 2020 September 30, 2021 September 30, 2020

Net Income/(Loss) from Continuing Operations $ 34,579 $ 20,046 $ 93,321 $ ( 462,271 )

14 unchanged sentences

Total Earnings/(Loss) Per Share of Common Stock $ 1.87 $ 1.31 $ 5.21 $ ( 43.03 )

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 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:

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

On March 27, 2020, the Company announced that its Board of Directors approved a suspension of the Company's quarterly dividends on its 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.

On December 17, 2020, the Company paid its Series A Preferred Stock, Series B Preferred Stock, and Series C Preferred Stock dividends that were in arrears as well as the full dividends payable on the preferred stock for the fourth quarter of 2020 in the amount of $ 1.54689 , $ 1.50 , and $ 1.50 per share, respectively.

On December 22, 2020, the Company's Board of Directors declared a dividend of $ 0.09 per common share for the fourth quarter 2020 which was paid on January 29, 2021 to shareholders

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2021

of record at the close of business on December 31, 2020.

During the first through third quarters of 2021, the Company declared its preferred and common dividends in ordinary course.

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

Declaration Date Record Date Payment Date Cash Dividend Per Share

1 unchanged sentence

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:

9/15/2021 9/30/2021 10/29/2021 0.21

The Company did no t declare any common stock dividends during the nine months ended September 30, 2020.

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

2021 Cash Dividend Per Share

4 unchanged sentences

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

7/30/2021 8/31/2021 9/17/2021 0.51563 0.50 0.50

Total $ 1.54689 $ 1.50 $ 1.50

9 unchanged sentences

The expense is calculated in accordance with applicable tax regulations.

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.

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

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

The reversal of the previously accrued excise tax expense during the nine months ended September 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.

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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 June 30, 2021.

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

3 unchanged sentences

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2021

September 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 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.

For the three and nine months ended September 30, 2021, the Company incurred management fees of approximately $ 1.7 million and $ 5.0 million, respectively.

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

As of September 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.

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

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

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2021

September 30, 2021

Expense reimbursement

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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 $ 4.9 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.

Of the $ 5.0 million and $ 13.9 million of Other operating expenses for the three and nine months ended September 30, 2021, respectively, the Company has incurred $ 1.6 million and $ 4.2 million, respectively, representing a reimbursement of expenses.

Of the $ 5.9 million and $ 11.4 million of Other operating expenses for the three and nine months ended September 30, 2020, respectively, the Company has incurred $ 2.3 million and $ 6.2 million, respectively, representing a reimbursement of expenses.

As of September 30, 2021 and December 31, 2020, the Company recorded a reimbursement payable to the Manager of $ 1.6 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.

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

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

As of September 30, 2021, 606,372 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 60,294 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.

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

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2021

September 30, 2021

Manager Equity Incentive Plans

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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.

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

The AG Mortgage Investment Trust, Inc.

8 unchanged sentences

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

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

As of June 30, 2021, the Company's Board of Directors consisted of four independent directors.

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

As of September 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 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.

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

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

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

Arc Home may also enter into agreements with us, third parties, or affiliates of the Manager to sell rights to receive the excess servicing spread related to MSRs that it either purchases from third parties or originates.

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

As of 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.

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

As of September 30, 2021, the Company did not hold any of these Excess MSRs.

These Excess MSRs had a fair value of approximately $ 3.5 million as of December 31, 2020.

See below "Transactions with affiliates" for details regarding the sale of the Company's Excess MSRs during the third quarters of 2020 and 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").

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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

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

MATT chose to

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2021

equity in the assets.

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

MATT chose to make a fair value election on this financing arrangement and the Company treated this arrangement consistently with this election.

September 30, 2021

make a fair value election on this financing arrangement and the Company treated this arrangement consistently with this election.

On January 29, 2021, the Company, alongside private funds under the management of Angelo Gordon, entered into an amendment with respect to its Restructured Financing Arrangement in MATT.

8 unchanged sentences

Transactions with affiliates

In connection with the Company’s investments in residential mortgage loans, residential mortgage loans in securitized form which are issued by an entity in which the Company holds an equity interest in and which are held alongside other private funds under the management of Angelo Gordon (the "Re/Non-Performing Loans") and Non-QM Loans, the Company engages asset managers to provide advisory, consultation, asset management and other services.

Beginning in November 2015, the Company also engaged Red Creek Asset Management LLC ("Asset Manager"), a related party of the Manager and direct subsidiary of Angelo Gordon, as the asset manager for certain of its Re/Non-Performing Loans.

Beginning in September 2019, the Company engaged the Asset Manager as the asset manager for its Non-QM Loans.

The Company pays the Asset Manager separate arm’s-length asset management fees as assessed and confirmed periodically by a third-party valuation firm for its Re/Non-Performing Loans and Non-QM Loans.

In the third quarter of 2019, the third-party assessment of asset management fees resulted in the Company updating the fee amount for its Re/Non-Performing Loans.

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 $ 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.

In connection with the Company’s investments in residential mortgage loans, the Company engages asset managers to provide advisory, consultation, asset management, and other services.

The Company engaged Red Creek Asset Management LLC ("Asset Manager"), a related party of the Manager and direct subsidiary of Angelo Gordon, as the asset manager for certain of its residential mortgage loans.

The Company pays the Asset Manager separate arm’s-length asset management fees as assessed and confirmed periodically by a third-party valuation firm.

In the third quarter of 2019, the third-party assessment of asset management fees resulted in the Company updating the fee amount for its Re- and Non-Performing Loans and establishing the fee level for its Non-QM Loans.

The fees paid by the Company to the Asset Manager totaled $ 0.5 million and $ 1.7 million for the three and nine months ended September 30, 2021, respectively.

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

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.

Arc Home sold Non-QM Loans with an unpaid principal balance of $ 172.0 million and $ 440.6 million to this affiliate of the Manager during the three and nine months ended September 30, 2021, respectively.

For the three and nine months ended September 30, 2020, Arc Home sold Non-QM Loans with an unpaid principal balance of $ 4.6 million to this affiliate of the Manager.

For the three and nine months ended September 30, 2021, Arc Home sold Non-QM Loans with an unpaid principal balance of $ 172.1 million and $ 422.5 million to the Company, respectively.

For the three and nine months ended September 30, 2021, Arc Home sold GSE Non-Owner Occupied Loans with an unpaid principal balance of $ 64.6 million to the Company.

In February 2020, the Company, alongside private funds under the management of Angelo Gordon, participated through its unconsolidated ownership interest in MATT in a rated Non-QM Loan securitization, in which Non-QM Loans with a fair value of $ 348.2 million were securitized.

1 unchanged sentence

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

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

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

The July 2020 Acquiring Affiliate purchased the real estate securities by submitting an offer to purchase the securities from the Company in a competitive bidding process.

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

As of the date of the transaction, these real estate securities had a total fair value of $ 1.9 million.

The purchase occurred by the affiliate submitting an offer to purchase the securities to the Company in a competitive bidding process.

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

In August 2020, the Company, alongside private funds under the management of Angelo Gordon, participated through its unconsolidated ownership interest in MATT in a rated Non-QM Loan securitization, in which Non-QM Loans with a fair value

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2021

of $ 226.0 million were securitized.

Certain senior tranches in the securitization were sold to third parties with the Company and private funds under the management of Angelo Gordon retaining the subordinate tranches, which had a fair value of $ 24.3 million as of September 30, 2020.

1 unchanged sentence

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

The portfolio had a total unpaid principal balance of $ 3.5 billion.

The portfolio had a total unpaid principal balance of

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2021

$ 3.5 billion.

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

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

In October 2020, in accordance with the Company’s Affiliated Transactions Policy, the Company acquired certain real estate securities and Excess MSRs from an affiliate of the Manager (the "October 2020 Selling Affiliate").

As of the date of the transaction, the real estate securities and Excess MSRs acquired from the October 2020 Selling Affiliate had a total fair value of $ 0.5 million and $ 20.0 thousand, respectively.

In October 2020, in accordance with the Company’s Affiliated Transactions Policy, the Company acquired certain real estate securities and Excess MSRs from an affiliate of the Manager.

As of the date of the transaction, these real estate securities and Excess MSRs had a total fair value of $ 0.5 million and $ 20.0 thousand, respectively.

As procuring market bids for the real estate securities was determined to be impracticable in the Manager’s reasonable judgment, appropriate pricing was based on a valuation prepared by third-party pricing vendors.

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

In March 2021, in accordance with the Company’s Affiliated Transactions Policy, the Company sold certain real estate securities to an affiliate of the Manager (the "March 2021 Acquiring Affiliate").

As of the date of the transaction, the real estate securities sold to the March 2021 Acquiring Affiliate had a total fair value of $ 6.9 million.

The March 2021 Acquiring Affiliate purchased the real estate securities by submitting an offer to purchase the securities from the Company in a competitive bidding process.

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.

As of the date of the transaction, these real estate securities had a total fair value of $ 6.9 million.

The purchase occurred by the affiliate submitting an offer to purchase the securities to the Company in a competitive bidding process.

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.

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

As of the date of the transaction, the CMBS sold to the buyer 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.

4 unchanged sentences

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.

In July 2021, in accordance with the Company’s Affiliated Transactions Policy, the Company sold certain real estate securities to affiliates of the Manager.

As of the date of the transaction, these real estate securities had a total fair value of $ 17.6 million.

The purchase occurred by the affiliate submitting an offer to purchase the securities to the Company in a competitive bidding process.

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

In July 2021, the Company, alongside private funds under the management of Angelo Gordon, sold its remaining Agency Excess MSRs to Arc Home for total proceeds of $ 9.9 million.

The portfolio had a total unpaid principal balance of $ 2.0 billion.

The Company's share of the total proceeds was $ 2.7 million, representing its approximate 45 % ownership interest.

Arc Home subsequently sold its MSR portfolio to a third party for a minimal gain, offset by prepayment protection reserve and transaction related costs.

Reverse stock split

11 unchanged sentences

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2021

September 30, 2021

Stock repurchase programs

7 unchanged sentences

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

No shares were repurchased under the Repurchase Program during the three and six months ended June 30, 2021 and 2020 and approximately $ 14.6 million of common stock remained authorized for future share repurchases under the Repurchase Program.

0.3 million of shares were repurchased under the Repurchase Program during the three and nine months ended September 30, 2021.

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

Approximately $ 11.8 million of common stock remained authorized for future share repurchases under the Repurchase Program as of September 30, 2021.

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.

No shares were repurchased under the Preferred Repurchase Program during the three and nine months ended September 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.

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.

For the three months ended September 30, 2021, the Company did no t issue any shares of common stock under the Equity Distribution Agreements.

For the nine months ended September 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 nine months ended September 30, 2020, the Company sold 0.1 million and 0.5 million shares of common stock under the Equity Distribution Agreements for net proceeds of approximately $ 1.2 million and $ 4.7 million, respectively.

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.

5 unchanged sentences

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 September 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.

2 unchanged sentences

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):

September 30, 2021

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

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

14 unchanged sentences

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.

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 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

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

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

The Company accepted all such 103,260 validly tendered shares of preferred stock, and issued in exchange a total of 172,100 shares of common stock in reliance upon the exemption from registration provided under Section 3(a)(9) of the Securities Act of 1933, as amended.

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2021

The below details privately negotiated exchange agreements with existing holders of the Company's preferred shares exchanged for common shares and, in certain cases, cash consideration during the 2020 and 2021.

Subsequent to each transaction closed, the Preferred Stock exchanged pursuant to the exchange agreement was reclassified as authorized but unissued shares of preferred stock without designation as to class or series ($ in thousands).

Preferred Shares Exchanged

Date Shares of Series A Preferred Stock Shares of Series B Preferred Stock Shares of Series C Preferred Stock Total Preferred Stock Par Value Common Shares Exchanged Cash Consideration

September 30, 2020

210,662 404,187 427,467 $ 26,058 1,226,544 $ 6,337

October 2, 2020

— — 260,000 6,500 300,000 1,670

March 17, 2021

153,325 350,609 — 12,598 937,462 —

June 14, 2021 — 86,478 154,383 6,022 429,802 —

556,600 shares of its Series C Preferred Stock.

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

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

On September 30, 2020, the Company agreed to issue an aggregate of 1,226,544 shares of its common stock and agreed to pay aggregate cash consideration of $ 6.3 million in exchange for 210,662 shares of Series A Preferred Stock, 404,187 shares of Series B Preferred Stock, and 427,467 shares of Series C Preferred Stock, pursuant to a privately negotiated exchange agreement with existing holders of the preferred stock.

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

On October 2, 2020, the Company agreed to issue an aggregate of 300,000 shares of its common stock and agreed to pay aggregate cash consideration of $ 1.7 million in exchange for 260,000 shares of Series C Preferred Stock, pursuant to a privately negotiated exchange agreement with existing holders of the Series C Preferred Stock.

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

On March 17, 2021, the Company agreed to issue an aggregate of 937,462 shares of its common stock in exchange for 153,325 shares of Series A Preferred Stock and 350,609 shares of Series B Preferred Stock, pursuant to a privately negotiated exchange agreement with existing holders of the preferred stock.

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

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.

As of September 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

5 unchanged sentences

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

As of June 30, 2021, other than as set forth below, the Company was not involved in any material legal proceedings.

As of September 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.

4 unchanged sentences

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

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.

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

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

4 unchanged sentences

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

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

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2021

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

Commitment type Date of Commitment Total Commitment Funded Commitment Remaining Commitment

Commercial loan K (a) February 22, 2019 $ 20,000 $ 18,809 $ 1,191

GSE Non-Owner Occupied Loans (a) Various $ 150,088 $ 26,147 $ 123,941

LOTS (b) Various 23,644 16,623 7,021

1 unchanged sentence

Total $ 196,027 $ 42,770 $ 153,257

(a) The Company entered into commitments on commercial loans relating to construction projects.

See Note 3 for further details.

(a) The Company entered into commitments to purchase certain pools of GSE Non-Owner Occupied Loans which have not yet settled as of September 30, 2021.

(b) Refer to Note 10 "Investments in debt and equity of affiliates" for more information regarding LOTS and MATH.

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.

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.

The Company purchased $ 281.3 million of Non-QM Loans, inclusive of $ 80.8 million which were purchased from Arc Home.

Additionally, the Company purchased $ 105.1 million of GSE Non-Owner Occupied Loans, inclusive of $ 50.1 million which were purchased from Arc Home.

The Company repurchased 61,104 shares of common stock for $ 0.7 million.

On November 5, 2021, the Company announced that its Board of Directors has declared fourth 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 December 17, 2021 to holders of record on November 30, 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