TPG Mortgage Investment Trust, Inc. 10-Q

ITEM 1. FINANCIAL STATEMENTS AG Mortgage Investment Trust, Inc. and Subsidiaries Consolidated Balance Sheets (Unaudited) (in thousands, except per share data) September 30, 2021 December 31, 2020 Assets 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 - $ 467,740 and $ 532,271 pledged as collateral, respectively 509,980 613,546 Commercial loans, at fair value — 111,549 Commercial loans held for sale, at fair value — 13,959 Investments in debt and equity of affiliates 109,123 150,667 Cash and cash equivalents 101,749 47,926 Restricted cash 27,087 14,392 Other assets 18,074 12,565 Total Assets $ 2,373,079 $ 1,400,045 Liabilities Financing arrangements $ 1,160,519 $ 564,047 Securitized debt, at fair value (1) 708,421 355,159 Payable on unsettled trades — 51,136 Dividend payable 3,354 1,243 Other liabilities 11,036 18,755 Total Liabilities 1,883,330 990,340 Commitments and Contingencies (Note 12) Stockholders’ Equity 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 15,912 and 13,811 shares issued and outstanding at September 30, 2021 and December 31, 2020, respectively (2) 159 138 Additional paid-in capital (2) 717,176 689,147 Retained earnings/(deficit) ( 448,058 ) ( 518,058 ) Total Stockholders’ Equity 489,749 409,705 Total Liabilities & Stockholders’ Equity $ 2,373,079 $ 1,400,045 (1) See Note 3 for details related to variable interest entities. (2) Amounts have been adjusted to reflect the one-for-three reverse stock split effected July 22, 2021. See Note 2 and Note 11 for additional details. The accompanying notes are an integral part of these unaudited consolidated financial statements. 3 AG Mortgage Investment Trust, Inc. and Subsidiaries Consolidated Statements of Operations (Unaudited) (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 Interest Income Interest income $ 19,629 $ 9,717 $ 45,976 $ 63,354 Interest expense 7,197 4,357 16,552 32,941 Total Net Interest Income 12,432 5,360 29,424 30,413 Other Income/(Loss) Net realized gain/(loss) ( 5,460 ) ( 14,431 ) ( 5,124 ) ( 257,183 ) Net interest component of interest rate swaps ( 1,184 ) ( 13 ) ( 3,498 ) 910 Unrealized gain/(loss), net 29,461 21,465 58,995 ( 186,567 ) Other income/(loss), net — ( 10 ) 37 1,487 Total Other Income/(Loss) 22,817 7,011 50,410 ( 441,353 ) Expenses Management fee to affiliate 1,693 1,698 5,014 5,525 Other operating expenses 5,010 5,929 13,859 11,416 Restructuring related expenses — 1,345 — 9,949 Excise tax — — — ( 815 ) Servicing fees 849 540 2,136 1,685 Total Expenses 7,552 9,512 21,009 27,760 Income/(loss) before equity in earnings/(loss) from affiliates 27,697 2,859 58,825 ( 438,700 ) Equity in earnings/(loss) from affiliates 6,882 17,187 34,496 ( 23,571 ) Net Income/(Loss) from Continuing Operations 34,579 20,046 93,321 ( 462,271 ) Net Income/(Loss) from Discontinued Operations — — — 361 Net Income/(Loss) 34,579 20,046 93,321 ( 461,910 ) Gain on Exchange Offers, net (Note 11) — 539 472 539 Dividends on preferred stock (1) ( 4,586 ) ( 5,563 ) ( 14,199 ) ( 16,897 ) Net Income/(Loss) Available to Common Stockholders $ 29,993 $ 15,022 $ 79,594 $ ( 478,268 ) Earnings/(Loss) Per Share - Basic (2) Continuing Operations $ 1.87 $ 1.31 $ 5.21 $ ( 43.06 ) Discontinued Operations — — — 0.03 Total Earnings/(Loss) Per Share of Common Stock (2) $ 1.87 $ 1.31 $ 5.21 $ ( 43.03 ) Earnings/(Loss) Per Share - Diluted (2) Continuing Operations $ 1.87 $ 1.31 $ 5.21 $ ( 43.06 ) Discontinued Operations — — — 0.03 Total Earnings/(Loss) Per Share of Common Stock (2) $ 1.87 $ 1.31 $ 5.21 $ ( 43.03 ) Weighted Average Number of Shares of Common Stock Outstanding (2) Basic 16,077 11,474 15,270 11,116 Diluted 16,077 11,474 15,270 11,116 (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. See Note 2 and Note 11 for additional details. The accompanying notes are an integral part of these unaudited consolidated financial statements. 4 AG Mortgage Investment Trust, Inc. and Subsidiaries Consolidated Statements of Stockholders’ Equity (Unaudited) (in thousands) For the Three Months Ended September 30, 2021 and September 30, 2020 Common Stock (1) Preferred Stock Additional Paid-in Capital (1) Retained Earnings/(Deficit) Shares Amount Total 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 Common dividends declared — — — — ( 3,354 ) ( 3,354 ) Preferred dividends declared — — — — ( 4,586 ) ( 4,586 ) Net Income/(Loss) — — — — 34,579 34,579 Balance at September 30, 2021 15,912 $ 159 $ 220,472 $ 717,176 $ ( 448,058 ) $ 489,749 Common Stock (1) Preferred Stock Additional Paid-in Capital (1) Retained Earnings/(Deficit) Shares Amount Total 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 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 Paid-in Capital (1) Retained Earnings/(Deficit) Shares Amount Total Balance at January 1, 2021 13,811 $ 138 $ 238,478 $ 689,147 $ ( 518,058 ) $ 409,705 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 Common dividends declared — — — — ( 9,539 ) ( 9,539 ) Preferred dividends declared — — — — ( 14,254 ) ( 14,254 ) Exchange Offers (Note 11) 1,368 14 ( 18,006 ) 17,510 472 ( 10 ) Net Income/(Loss) — — — — 93,321 93,321 Balance at September 30, 2021 15,912 $ 159 $ 220,472 $ 717,176 $ ( 448,058 ) $ 489,749 Common Stock (1) Preferred Stock Additional Paid-in Capital (1) Retained Earnings/(Deficit) Shares Amount Total Balance at January 1, 2020 10,913 $ 109 $ 272,457 $ 662,401 $ ( 85,921 ) $ 849,046 Net proceeds from issuance of common stock 912 10 — 8,974 — 8,984 Grant of restricted stock and amortization of equity based compensation 42 — — 516 — 516 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 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. See Note 2 and Note 11 for additional details. The accompanying notes are an integral part of these unaudited consolidated financial statements. 5 AG Mortgage Investment Trust, Inc. and Subsidiaries Consolidated Statements of Cash Flows (Unaudited) (in thousands) Nine Months Ended September 30, 2021 September 30, 2020 Cash Flows from Operating Activities Net income/(loss) $ 93,321 $ ( 461,910 ) Net (income)/loss from discontinued operations — ( 361 ) Net income/(loss) from continuing operations 93,321 ( 462,271 ) Adjustments to reconcile net income/(loss) to net cash provided by (used in) operating activities: Net amortization of premium/(discount) 2,993 ( 4,401 ) Net realized (gain)/loss 5,124 257,183 Unrealized (gain)/loss, net ( 58,995 ) 186,567 Foreign currency (gain)/loss, net ( 14 ) ( 1,483 ) Equity based compensation to affiliate — 163 Equity based compensation expense 240 353 (Income)/Loss from investments in debt and equity of affiliates in excess of distributions received ( 17,337 ) 25,712 Change in operating assets/liabilities: Other assets ( 4,939 ) 8,644 Other liabilities ( 628 ) ( 12,025 ) Net cash provided by (used in) continuing operating activities 19,765 ( 1,558 ) Net cash provided by (used in) discontinued operating activities — ( 726 ) Net cash provided by (used in) operating activities 19,765 ( 2,284 ) Cash Flows from Investing Activities Purchase of real estate securities ( 768,794 ) ( 174,845 ) Purchase of residential mortgage loans ( 1,263,835 ) ( 541,823 ) Origination of commercial loans ( 1,881 ) ( 8,228 ) Purchase of commercial loans ( 3,219 ) ( 19,280 ) 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 Proceeds from sales of residential mortgage loans 47,219 393,633 Proceeds from sales of commercial loans 74,579 36,935 Principal repayments on real estate securities 49,336 104,213 Principal repayments on excess MSRs 497 2,579 Principal repayments on commercial loans 70,232 5,710 Principal repayments on residential mortgage loans 75,746 50,563 Distributions received in excess of income from investments in debt and equity of affiliates 66,154 26,444 Net settlement of interest rate swaps and other instruments 13,090 ( 73,180 ) Net settlement of TBAs ( 1,087 ) 4,610 Cash flows provided by (used in) other investing activities 3,265 ( 743 ) Net cash provided by (used in) investing activities ( 878,706 ) 2,491,879 Cash Flows from Financing Activities 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 Repayments of financing arrangements ( 11,770,861 ) ( 16,037,399 ) Deferred financing costs paid ( 277 ) — Borrowing under secured debt — 20,000 Repayments of secured debt ( 10,000 ) ( 10,000 ) Proceeds from issuance of securitized debt 463,987 166,487 Principal repayments on securitized debt ( 113,338 ) ( 16,021 ) Net collateral received from (paid to) repurchase counterparty — ( 46,613 ) Dividends paid on common stock ( 7,428 ) ( 14,734 ) 6 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 ) Net change in cash and cash equivalents and restricted cash 66,508 ( 75,491 ) Cash and cash equivalents and restricted cash, Beginning of Period 62,318 125,369 Effect of exchange rate changes on cash 10 ( 178 ) Cash and cash equivalents and restricted cash, End of Period $ 128,836 $ 49,700 Supplemental disclosure of cash flow information: Cash paid for interest on financing arrangements $ 15,416 $ 42,625 Cash paid for excise and income taxes $ 16 $ 1,058 Supplemental disclosure of non-cash financing and investing activities: 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 Transfer from residential mortgage loans to other assets $ 1,338 $ 2,100 Transfer from investments in debt and equity of affiliates to CMBS $ — $ 11,769 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: September 30, 2021 September 30, 2020 Cash and cash equivalents $ 101,749 $ 44,592 Restricted cash 27,087 5,108 Total cash and cash equivalents and restricted cash shown in the consolidated statements of cash flows $ 128,836 $ 49,700 The accompanying notes are an integral part of these unaudited consolidated financial statements. 7 AG Mortgage Investment Trust Inc. and Subsidiaries Notes to Consolidated Financial Statements (Unaudited) September 30, 2021 1. Organization AG Mortgage Investment Trust, Inc. (the "Company") was incorporated in the state of Maryland on March 1, 2011. The Company is a mortgage REIT that opportunistically invests in a diversified risk adjusted portfolio of credit investments and agency investments, which contains the asset classes further described below. The Company's investment groups are primarily comprised of the following: Investment Groups Description Credit - Residential Residential mortgage loans • 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. Non-Agency Residential Mortgage-Backed Securities ("RMBS") • Non-Agency RMBS represent fixed- and floating-rate RMBS issued by entities other than U.S. GSEs or agencies of the U.S. government. 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. government. Credit - Commercial Commercial Mortgage-Backed Securities ("CMBS") • CMBS represent investments of fixed- and floating-rate CMBS secured by, or evidencing an ownership interest in, a single commercial mortgage loan or a pool of commercial mortgage loans. Single-Asset/Single-Borrower securities are CMBS which securitize a single loan that is backed by a single asset (usually a large commercial property) or by a pool of cross collateralized mortgage obligations to a single borrower or related borrowers. 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 • Agency RMBS represent interests in pools of residential mortgage loans guaranteed by a GSE such as Fannie Mae or Freddie Mac, or an agency of the U.S. Government such as Ginnie Mae. Excess MSRs • Excess MSRs represent the excess servicing spread related to mortgage servicing rights, whose underlying collateral is securitized in a trust held by a GSE or agency of the U.S. government ("Agency Excess MSR"). The Company 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." The Company refers to Agency RMBS, Non-Agency RMBS, and CMBS asset types as "real estate securities" or "securities." Credit investments include loans, Non-Agency RMBS, and CMBS and agency investments include Agency RMBS and Agency Excess MSRs. The Company conducts its business through one reportable segment, Securities and Loans, which reflects how the Company manages its business and analyzes and reports its results of operations. On November 15, 2019, the Company sold its portfolio of single-family rental properties ("SFR portfolio") to a third party, which was previously reported as a separate operating segment. The sale of the Company's SFR portfolio met the criteria for discontinued operations. 8 AG Mortgage Investment Trust Inc. and Subsidiaries Notes to Consolidated Financial Statements (Unaudited) 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"). The consolidated financial statements include the accounts of the Company and its wholly-owned subsidiaries. All intercompany balances and transactions have been eliminated in consolidation. COVID-19 Impact 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 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. 2. Summary of significant accounting policies The accompanying unaudited consolidated financial statements and related notes have been prepared on the accrual basis of accounting in accordance with accounting principles generally accepted in the United States of America ("GAAP") for interim financial reporting and the instructions to Form 10-Q and Rule 10-01 of Regulation S-X. For all periods presented, all per share amounts and common shares outstanding have been adjusted on a retroactive basis to reflect the Company's one-for-three reverse stock split which was effected following the close of business on July 22, 2021. Certain prior period amounts have been reclassified to conform to the current period’s presentation. 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. The operating results presented for interim periods are not necessarily indicative of the results that may be expected for any other interim period or for the entire year. Cash and cash equivalents Cash is comprised of cash on deposit with financial institutions. The Company classifies highly liquid investments with original maturities of three months or less from the date of purchase as cash equivalents. Cash equivalents may include cash invested in money market funds. Cash and cash equivalents are carried at cost, which approximates fair value. The Company places its cash with high credit quality institutions to minimize credit risk exposure. Cash pledged to the Company as collateral is unrestricted in use and, accordingly, is included as a component of "Cash and cash equivalents" on the consolidated balance sheets. Any cash held by the Company as collateral is included in the "Other liabilities" line item on the consolidated balance sheets and in cash flows from financing activities on the consolidated statement of cash flows. Any cash due to the Company in the form of principal payments is included in the "Other assets" line item on the consolidated balance sheets and in cash flows from operating activities on the consolidated statement of cash flows. Restricted cash Restricted cash includes cash pledged as collateral for clearing and executing trades, derivatives, and financing arrangements, as well as restricted cash deposited into accounts held at certain consolidated trusts. Restricted cash is not available to the Company for general corporate purposes. Restricted cash may be returned to the Company when the related collateral 9 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. Use of estimates The preparation of consolidated financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the amounts reported in the consolidated financial statements and accompanying notes. Actual results may differ from those estimates. Earnings/(Loss) per share In accordance with the provisions of Accounting Standards Codification ("ASC") 260, "Earnings per Share," the Company calculates basic income/(loss) per share by dividing net income/(loss) available to common stockholders for the period by weighted average shares of the Company’s common stock outstanding for that period. Diluted income per share takes into account the effect of dilutive instruments, such as stock options, warrants, unvested restricted stock, and unvested restricted stock units, using the average share price for the period in determining the number of incremental shares that are to be added to the weighted average number of shares outstanding. Potential dilutive shares are excluded from the calculation if they have an anti-dilutive effect in the period. Reverse stock split On July 12, 2021, the Company announced that its board of directors approved a one-for-three reverse stock split of the Company's outstanding shares of common stock. The reverse stock split was effected following the close of business on July 22, 2021 (the "Effective Time"). At the Effective Time, every three issued and outstanding shares of the Company’s common stock were combined into one share of the Company’s common stock. No fractional shares were issued in connection with the reverse stock split. Instead, each stockholder holding fractional shares was entitled to receive, in lieu of such fractional shares, cash in an amount determined based on the closing price of the Company's common stock on the date of the Effective Time. The reverse stock split applied to all of the Company's outstanding shares of common stock and did not affect any stockholder’s ownership percentage of shares of the Company's common stock, except for immaterial changes resulting from the payment of cash for fractional shares. There was no change in the Company's authorized capital stock or par value of each share of common stock as a result of the reverse stock split. All per share amounts and common shares outstanding for all periods presented in the unaudited consolidated financial statements have been adjusted on a retroactive basis to reflect the Company's reverse stock split. Valuation of financial instruments The fair value of the financial instruments that the Company records at fair value is determined by the Manager, subject to oversight of the Company’s Board of Directors, and in accordance with ASC 820, "Fair Value Measurements and Disclosures." When possible, the Company determines fair value using third-party data sources. ASC 820 establishes a hierarchy that prioritizes the inputs to valuation techniques giving the highest priority to readily available unadjusted quoted prices in active markets for identical assets (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements) when market prices are not readily available or reliable. The three levels of the hierarchy under ASC 820 are described below: • Level 1 – Quoted prices in active markets for identical assets or liabilities. • Level 2 – Prices determined using other significant observable inputs. These may include quoted prices for similar securities, interest rates, prepayment speeds, credit risk, and others. • Level 3 – Prices determined using significant unobservable inputs. In situations where quoted prices or observable inputs are unavailable (for example, when there is little or no market activity for an investment at the end of the period), unobservable inputs may be used. Unobservable inputs reflect the Company’s assumptions about the factors that market participants would use in pricing an asset or liability, and would be based on the best information available. Transfers between levels are assumed to occur at the beginning of the reporting period. 10 AG Mortgage Investment Trust Inc. and Subsidiaries Notes to Consolidated Financial Statements (Unaudited) September 30, 2021 Accounting for loans Investments in loans are recorded in accordance with ASC 310-10, "Receivables." The Company has chosen to make a fair value election pursuant to ASC 825 for its loan portfolio. Electing the fair value option allows the Company to record changes in fair value in the consolidated statement of operations, which, in management's view, more appropriately reflects the results of operations for a particular reporting period as all loan activities will be recorded in a similar manner. As such, loans are recorded at fair value on the consolidated balance sheets and any periodic change in fair value is recorded in current period earnings on the consolidated statement of operations as a component of "Unrealized gain/(loss), net." The Company recognizes certain upfront costs and fees relating to loans for which the fair value option has been elected in current period earnings as incurred and does not defer those costs, which is in accordance with ASC 825-10-25. Purchases and sales of loans are recorded on the settlement date, concurrent with the completion of due diligence and the removal of any contingencies. 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. On at least a quarterly basis, the Company evaluates the collectability of both interest and principal on its loans to determine whether they are impaired. A loan or pool of loans is impaired when, based on current information and events, it is probable that the Company will be unable to collect all amounts due according to the existing contractual terms. Income recognition is suspended for loans at the earlier of the date at which payments become 90-days past due or when, in the opinion of the Manager, a full recovery of income and principal becomes doubtful. When the ultimate collectability of the principal of an impaired loan or pool of loans is in doubt, all payments are applied to principal under the cost recovery method. When the ultimate collectability of the principal of an impaired loan is not in doubt, contractual interest is recorded as interest income when received under the cash basis method until an accrual is resumed when the loan becomes contractually current and performance is demonstrated to be resumed. A loan is written off when it is no longer realizable and/or legally discharged. Residential Mortgage Loans At purchase, the Company may aggregate its residential mortgage loans into pools based on common risk characteristics. Once a pool of loans is assembled, its composition is maintained. When the Company purchases mortgage loans with evidence of credit deterioration since origination and it determines that it is probable it will not collect all contractual cash flows on those loans, it will apply the guidance found in ASC 310-30. Mortgage loans that are delinquent 60 or more days are considered non-performing. The Company updates its estimate of the cash flows expected to be collected on at least a quarterly basis for loans accounted for under ASC 310-30. In estimating these cash flows, there are a number of assumptions that will be subject to uncertainties and contingencies including both the rate and timing of principal and interest receipts, and assumptions of prepayments, repurchases, defaults and liquidations. If based on the most current information and events it is probable that there is a significant increase in cash flows previously expected to be collected or if actual cash flows are significantly greater than cash flows previously expected, the Company will recognize these changes prospectively through an adjustment of the loan’s yield over its remaining life. The Company will adjust the amount of accretable yield by reclassification from the nonaccretable difference. The adjustment is accounted for as a change in estimate in conformity with ASC 250, "Accounting Changes and Error Corrections" with the amount of periodic accretion adjusted over the remaining life of the loan. Commercial Loans Commercial loans are classified as held for sale upon the Company determining that it intends to sell or liquidate the loan in the short-term and certain criteria have been met. Commercial loans meeting all criteria for reclassification are presented separately on the consolidated balance sheets in the "Commercial loans held for sale" line item. Estimated costs incurred to sell a loan are included within the fair value of the loan. Accounting for real estate securities 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 11 AG Mortgage Investment Trust Inc. and Subsidiaries Notes to Consolidated Financial Statements (Unaudited) 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. 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. On January 1, 2020, the Company adopted ASU 2016-13, "Financial Instruments – Credit Losses" ("ASU 2016-13"). The impact of the guidance on accounting for the Company's debt securities and loans is limited to recognition of effective yield. The Company measures its debt securities and loans at fair value with any changes recognized through net income and it updates its estimate of the cash flows expected to be collected on these asset classes on at least a quarterly basis recognizing changes in cash flows in interest income prospectively through an adjustment of an asset’s yield over its remaining life. Realized gains or losses on sales of securities, loans and derivatives are included in the "Net realized gain/(loss)" line item on the consolidated statement of operations. The cost of positions sold is calculated using a first in, first out ("FIFO") basis. Realized gains and losses are recorded in earnings at the time of disposition. Investments in debt and equity of affiliates The Company’s unconsolidated ownership interests in affiliates are accounted for using the equity method. Substantially all of the Company’s investments held through affiliated entities are comprised of real estate securities, loans, and its interest in AG Arc LLC. These types of investments may also be held directly by the Company. Certain entities have chosen to make a fair value election on their financial instruments and certain financing arrangements pursuant to ASC 825; as such, the Company will treat these financial instruments and financing arrangements consistently with this election. Arc Home 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 residential mortgage loans and retains the mortgage servicing rights associated with the loans it originates. Arc Home is led by an external management team. The Company has chosen to make a fair value election with respect to its investment in AG Arc pursuant to ASC 825. The Company elected to treat its investment in AG Arc as a taxable REIT subsidiary. As a result, income or losses recognized by the Company from its investment in AG Arc are recorded in "Equity in earnings/(loss) from affiliates" line item on the Company's consolidated statement of operations net of income taxes. From time to time, the Company acquires newly originated non-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 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. MATH On August 29, 2017, the Company, alongside private funds managed by Angelo Gordon, formed Mortgage Acquisition Holding I LLC ("MATH") to conduct a residential mortgage investment strategy. MATH in turn sponsored the formation of an entity called Mortgage Acquisition Trust I LLC ("MATT") to purchase predominantly Non-QM Loans. MATT made an election to be treated as a real estate investment trust beginning with the 2018 tax year. As of September 30, 2021, MATT primarily holds retained tranches from securitizations. 12 AG Mortgage Investment Trust Inc. and Subsidiaries Notes to Consolidated Financial Statements (Unaudited) September 30, 2021 LOTS 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). September 30, 2021 December 31, 2020 Assets Liabilities Equity Assets Liabilities Equity Non-QM Loans (1) $ 73,182 $ ( 45,686 ) $ 27,496 $ 153,200 $ ( 111,135 ) $ 42,065 Land Related Financing 17,660 — 17,660 22,824 — 22,824 Other (2) 12,107 ( 5,185 ) 6,922 41,940 ( 5,588 ) 36,352 Real Estate Securities and Loans, at fair value $ 102,949 $ ( 50,871 ) $ 52,078 $ 217,964 $ ( 116,723 ) $ 101,241 AG Arc, at fair value 51,949 — 51,949 45,341 — 45,341 Cash and Other assets/(liabilities) 5,899 ( 803 ) 5,096 5,279 ( 1,194 ) 4,085 Investments in debt and equity of affiliates $ 160,797 $ ( 51,674 ) $ 109,123 $ 268,584 $ ( 117,917 ) $ 150,667 (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. (2) Certain loans held in securitized form are presented net of non-recourse securitized debt. The below table reconciles the net income/(loss) to the "Equity in earnings/(loss) from affiliates" line item on the Company's consolidated statements of operations (in thousands). Three Months Ended 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 ) AG Arc (1) 399 13,407 4,033 12,891 Land Related Financing 598 728 1,848 1,865 Other 6,529 1,224 13,338 ( 5,311 ) Equity in earnings/(loss) from affiliates $ 6,882 $ 17,187 $ 34,496 $ ( 23,571 ) (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 13 AG Mortgage Investment Trust Inc. and Subsidiaries Notes to Consolidated Financial Statements (Unaudited) 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." In variable interest entities ("VIEs"), an entity is subject to consolidation under ASC 810-10 if the equity investors (i) do not have sufficient equity at risk for the entity to finance its activities without additional subordinated financial support, (ii) are unable to direct the entity’s activities, or (iii) are not exposed to the entity’s losses or entitled to its residual returns. VIEs within the scope of ASC 810-10 are required to be consolidated by their primary beneficiary. The primary beneficiary of a VIE is determined to be the party that has both the power to direct the activities of a VIE that most significantly impact the VIE’s economic performance and the obligation to absorb losses of the VIE that could potentially be significant to the VIE or the right to receive benefits from the VIE that could potentially be significant to the VIE. This determination can sometimes involve complex and subjective analyses. Further, ASC 810-10 also requires ongoing assessments of whether an enterprise is the primary beneficiary of a VIE. In accordance with ASC 810-10, all transferees, including variable interest entities, must be evaluated for consolidation. If the Company determines that consolidation is not required, it will then assess whether the transfer of the underlying assets would qualify as a sale, should be accounted for as secured financings under GAAP, or should be accounted for as an equity method investment, depending on the circumstances. See Note 3 for more detail. A Special Purpose Entity ("SPE") is an entity designed to fulfill a specific limited need of the company that organized it. SPEs are often used to facilitate transactions that involve securitizing financial assets or resecuritizing previously securitized financial assets. The objective of such transactions may include obtaining non-recourse financing, obtaining liquidity, or refinancing the underlying securitized financial assets on improved terms. Securitization involves transferring assets to an SPE to convert all or a portion of those assets into cash before they would have been realized in the normal course of business through the SPE’s issuance of debt or equity instruments. Investors in an SPE usually have recourse only to the assets in the SPE and depending on the overall structure of the transaction, may benefit from various forms of credit enhancement, such as over-collateralization in the form of excess assets in the SPE, priority with respect to receipt of cash flows relative to holders of other debt or equity instruments issued by the SPE, or a line of credit or other form of liquidity agreement that is designed with the objective of ensuring that investors receive principal and/or interest cash flow on the investment in accordance with the terms of their investment agreement. The Company enters into securitization transactions of certain of its residential mortgage loans, which results in the Company consolidating the respective VIEs that are created to facilitate these transactions and to which the underlying assets in connection with these securitizations are transferred ("Residential Mortgage Loan VIEs"). The Company has entered into securitization transactions on certain of its Non-QM Loans ("Non-QM VIEs"), as well as certain of its re- and non-performing loans ("RPL/NPL VIEs"). Based on the evaluations of each VIE, the Company concluded that the VIEs should be consolidated and, as a result, transferred assets of these VIEs were determined to be secured borrowings. Upon consolidation, the Company elected the fair value option pursuant to ASC 825 for the assets and liabilities of the Residential Mortgage Loan VIEs. Electing the fair value option allows the Company to record changes in fair value in the consolidated statement of operations, which, in management's view, more appropriately reflects the results of operations for a particular reporting period as all activities will be recorded in a similar manner. The Company applied the guidance under ASU 2014-13, "Measuring the Financial Assets and the Financial Liabilities of a Consolidated Collateralized Financing Entity," whereby the Company determines whether the fair value of the assets or liabilities of the Residential Mortgage Loan VIEs are more observable as a basis for measuring the less observable financial instruments. The Company has determined that the fair value of the liabilities of the Residential Mortgage Loan VIEs are more observable since the prices for these liabilities are more easily determined as similar instruments trade more frequently on a relative basis than the individual assets of the VIEs. See Note 3 for more detail regarding the Residential Mortgage Loan VIEs and Note 5 for more detail related to the Company's determination of fair value for the assets and liabilities included within these VIEs. From time to time the Company purchases residual positions where it consolidates the securitization and the positions are recorded on the Company's books as residential mortgage loans. There may be limited data available regarding the underlying collateral of such securitizations. The Company may periodically enter into transactions in which it transfers assets to a third party. Upon a transfer of financial assets, the Company will sometimes retain or acquire senior or subordinated interests in the related assets. Pursuant to ASC 860-10, a determination must be made as to whether a transferor has surrendered control over transferred financial assets. 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 14 AG Mortgage Investment Trust Inc. and Subsidiaries Notes to Consolidated Financial Statements (Unaudited) 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. Under ASC 860-10, after a transfer of financial assets that meets the criteria for treatment as a sale—legal isolation, ability of transferee to pledge or exchange the transferred assets without constraint and transferred control—an entity recognizes the financial and servicing assets it acquired or retained and the liabilities it has incurred, derecognizes financial assets it has sold and derecognizes liabilities when extinguished. The transferor would then determine the gain or loss on sale of financial assets by allocating the carrying value of the underlying mortgage between securities or loans sold and the interests retained based on their fair value. The gain or loss on sale is the difference between the cash proceeds from the sale and the amount allocated to the securities or loans sold. When a transfer of financial assets does not qualify for sale accounting, ASC 860-10 requires the transfer to be accounted for as a secured borrowing with a pledge of collateral. From time to time, the Company may securitize mortgage loans it holds if such financing is available. These transactions will be recorded in accordance with ASC 860-10 and will be accounted for as either a "sale" and the loans will be removed from the consolidated balance sheets or as a "financing" and will be classified as "residential mortgage loans" on the consolidated balance sheets, depending upon the structure of the securitization transaction. ASC 860-10 is a standard that may require the Company to exercise significant judgment in determining whether a transaction should be recorded as a "sale" or a "financing." Interest income recognition Interest income on the Company’s real estate securities portfolio and loan portfolio is accrued based on the actual coupon rate and the outstanding principal balance of such securities or loans. The Company has elected to record interest in accordance with ASC 835-30-35-2, "Imputation of Interest," using the effective interest method for all securities and loans accounted for under the fair value option in accordance with ASC 825, "Financial Instruments." As such, premiums and discounts are amortized or accreted into interest income over the lives of the securities or loans in accordance with ASC 310-20, "Nonrefundable Fees and Other Costs," ASC 320-10 or ASC 325-40, as applicable. Total interest income is recorded in the "Interest income" line item on the consolidated statement of operations. For Agency RMBS, exclusive of interest-only securities, prepayments of the underlying collateral are estimated on a quarterly basis, which directly affect the speed at which the Company amortizes premiums on its securities. If actual and anticipated cash flows differ from previous estimates, the Company records an adjustment in the current period to the amortization of premiums for the impact of the cumulative change in the effective yield retrospectively through the reporting date. Similarly, the Company also reassesses the cash flows on at least a quarterly basis for securities 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. These include the rate and timing of principal and interest receipts (including assumptions of prepayments, repurchases, defaults, and liquidations), the pass-through or coupon rate and interest rate fluctuations. In addition, interest payment shortfalls due to delinquencies on the underlying mortgage loans have to be estimated. Differences between previously estimated cash flows and current actual and anticipated cash flows are recognized prospectively through an adjustment of the yield over the remaining life of the security based on the current amortized cost of the investment. For security and loan investments purchased with evidence of deterioration of credit quality for which it is probable, at acquisition, that the Company will be unable to collect all contractually required payments receivable, the Company will apply the provisions of ASC 310-30. For purposes of income recognition, the Company aggregates loans that have common risk characteristics into pools and uses a composite interest rate and expectation of cash flows expected to be collected for the pool. ASC 310-30 addresses accounting for differences between contractual cash flows and cash flows expected to be collected from an investor’s initial investment in loans or debt securities (loans) acquired in a transfer if those differences are attributable, at least in part, to credit quality. ASC 310-30 limits the yield that may be accreted (accretable yield) to the excess of the investor’s estimate of undiscounted expected principal, interest and other cash flows (cash flows expected at acquisition to be collected) over the investor’s initial investment in the loan. ASC 310-30 requires that the excess of contractual cash flows over cash flows expected to be collected (nonaccretable difference) not be recognized as an adjustment of yield, loss accrual or valuation allowance. Subsequent 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. 15 AG Mortgage Investment Trust Inc. and Subsidiaries Notes to Consolidated Financial Statements (Unaudited) September 30, 2021 Financing arrangements The Company finances the acquisition of certain assets within its portfolio through the use of financing arrangements. Financing arrangements include repurchase agreements and revolving facilities. Repurchase agreements and revolving facilities are treated as collateralized financing transactions and carried at their contractual amounts, including accrued interest, as specified in the respective agreements. The carrying amount of the Company’s repurchase agreements and revolving facilities approximates fair value. The Company pledges certain securities, loans, or properties as collateral under financing arrangements with financial institutions, the terms and conditions of which are negotiated on a transaction-by-transaction basis. The amounts available to be borrowed under repurchase agreements and revolving facilities are dependent upon the fair value of the securities or loans pledged as collateral, which can fluctuate with changes in interest rates, type of security and liquidity conditions within the banking, mortgage finance, and real estate industries. If the fair value of pledged assets declines due to changes in market conditions, lenders typically would require the Company to post additional securities as collateral, pay down borrowings or establish cash margin accounts with the counterparties in order to re-establish the agreed-upon collateral requirements, referred to as margin calls. The fair value of financial instruments pledged as collateral on the Company’s financing arrangements represents the Company’s fair value of such instruments which may differ from the fair value assigned to the collateral by its counterparties. The Company maintains a level of liquidity in order to meet these obligations. If the fair value of pledged assets increases due to changes in market conditions, counterparties may be required to return collateral to us in the form of securities or cash or post additional collateral to us. Financings pursuant to repurchase agreements and revolving facilities are generally recourse to the Company. As of September 30, 2021 and December 31, 2020, the Company had met all margin call requirements. Forbearance and Reinstatement Agreements In connection with the market disruption created by the COVID-19 pandemic, in March 2020, the Company received notifications of alleged events of default and deficiency notices from several of its financing counterparties. The Company engaged in discussions with its financing counterparties and, as a result, entered into a series of forbearance agreements (collectively, the "Forbearance Agreement") with certain of its financing counterparties (the "Participating Counterparties") pursuant to which each Participating Counterparty agreed to forbear from exercising its rights and remedies with respect to events of default and any and all other defaults under the applicable financing arrangement (each, a “Bilateral Agreement”) for the period ending June 15, 2020. On June 10, 2020, the Company and the Participating Counterparties entered into a reinstatement agreement (the “Reinstatement Agreement”), pursuant to which the Forbearance Agreement was terminated and each Participating Counterparty permanently waived all existing and prior events of default under the applicable Bilateral Agreements. Pursuant to the Reinstatement Agreement, the Bilateral Agreements were reinstated with certain amendments to reflect current market terms (i.e., increased haircuts and higher coupons), updated financial covenants and various reporting requirements from the Company to the Participating Counterparties, releases, certain netting obligations and cross-default provisions. As a result of the Reinstatement Agreement, default interest on the Company’s outstanding borrowings under the Bilateral Agreements ceased to accrue as of June 10, 2020, all cash margin was applied to outstanding balances owed by the Company, and principal and interest payments on the underlying collateral were permitted to flow to and be used by the Company, just as it was prior to the Forbearance Agreements. In addition, pursuant to the terms of the Reinstatement Agreement, the security interests granted to Participating Counterparties as additional collateral under the Forbearance Agreement have been terminated and released. The Company also agreed to pay the reasonable fees and out-of-pocket expenses of counsel and other professional advisors for the Participating Counterparties and the collateral agent. Concurrently, on June 10, 2020, the Company entered a separate reinstatement agreement with one of its financing counterparties on substantially the same terms as those set forth in the Reinstatement Agreement. Dividends on Preferred Stock Holders of the Company’s 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 16 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. However, undeclared preferred stock dividends are reflected in earnings per share as discussed in ASC 260-10-45-11. Preferred stock dividends that are not declared accumulate and are added to the liquidation preference as of the scheduled payment date for the respective series of the preferred stock. The undeclared and unpaid dividends on the Company’s preferred stock accrue without interest, and if dividends on the Company's preferred stock are in arrears, the Company cannot pay cash dividends with respect to its common stock. See Note 11 for further detail on the Company’s Preferred Stock. Accounting for derivative financial instruments Derivative contracts The Company enters into derivative contracts as a means of mitigating interest rate risk 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 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. During the period in which the Company unwinds a derivative, it records a realized gain/(loss) in the "Net realized gain/(loss)" line item in the consolidated statement of operations. To-be-announced securities A to-be-announced security ("TBA") is a forward contract for the purchase or sale of Agency RMBS at a predetermined price, face amount, issuer, coupon and stated maturity on an agreed-upon future date. The specific Agency RMBS delivered into or received from the contract upon the settlement date, published each month by the Securities Industry and Financial Markets Association, are not known at the time of the transaction. The Company may also choose, prior to settlement, to move the settlement of these securities out to a later date by entering into an offsetting short or long position (referred to as a pair off), net settling the paired off positions for cash, simultaneously purchasing or selling a similar TBA contract for a later settlement date. This transaction is commonly referred to as a dollar roll. The Agency RMBS purchased or sold for a forward settlement date are typically priced at a discount to Agency RMBS for settlement in the current month. This difference, or discount, is referred to as the price drop. The price drop is the economic equivalent of net interest carry income on the underlying Agency RMBS over the roll period (interest income less implied financing cost) and is commonly referred to as dollar roll income/(loss). Consequently, forward purchases of Agency RMBS and dollar roll transactions represent a form of off-balance sheet financing. Dollar roll income is recognized in the consolidated statement of operations in the line item "Unrealized gain/(loss), net." Variation margin The Company may exchange cash "variation margin" with the counterparties to its derivative instruments on a daily basis based upon changes in the fair value of such derivative instruments as measured by the Chicago Mercantile Exchange ("CME") and the London Clearing House ("LCH"), the central clearinghouses ("CCPs") through which those derivatives are cleared. In addition, the CCPs require market participants to deposit and maintain an "initial margin" amount which is determined by the CCPs and is generally intended to be set at a level sufficient to protect the CCPs from the maximum estimated single-day price movement in that market participant’s contracts. Receivables recognized for the right to reclaim cash initial margin posted in respect of derivative instruments are included in the "Restricted cash" line item in the consolidated balance sheets. The daily exchange of variation margin associated with a CCP instrument is legally characterized as the daily settlement of the derivative instrument itself, as opposed to a pledge of collateral. Accordingly, the Company accounts for the daily receipt or payment of variation margin associated with its centrally cleared derivative instruments as a direct reduction to the carrying value of the derivative asset or liability, respectively. The carrying amount of centrally cleared derivative instruments reflected in the Company’s consolidated balance sheets approximates the unsettled fair value of such instruments. As variation margin is exchanged on a one-day lag, the unsettled fair value of such instruments represents the change in fair value that occurred on the last day of the reporting period. 17 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 The management agreement provides for payment to the Manager of a management fee as well as a reimbursement of certain expenses incurred by the Manager or its affiliates on behalf of the Company. The management fee and reimbursement are accrued and expensed during the period for which they are earned or for which the expenses are incurred, respectively. The management fee and reimbursement are included in the "Management fee" and "Other operating expenses" line items, respectively, on the consolidated statement of operations. For a more detailed discussion on the fees payable under the management agreement, see Note 10. Income taxes The Company conducts its operations to qualify and be taxed as a REIT. Accordingly, the Company will generally not be subject to federal or state corporate income tax to the extent that the Company makes qualifying distributions to its stockholders, and provided that it satisfies on a continuing basis, through actual investment and operating results, the REIT requirements including certain asset, income, distribution and stock ownership tests. If the Company fails to qualify as a REIT, and does not qualify for certain statutory relief provisions, it will be subject to U.S. federal, state and local income taxes and may be precluded from qualifying as a REIT for the four taxable years following the year in which the Company fails to qualify as a REIT. The dividends paid deduction of a REIT for qualifying dividends to its stockholders is computed using the Company’s taxable income/(loss) as opposed to net income/(loss) reported on the Company’s GAAP financial statements. Taxable income/(loss), generally, will differ from net income/(loss) reported on the financial statements because the determination of taxable income/(loss) is based on tax principles and not financial accounting principles. Cash distributions declared by the Company that do not exceed its current or accumulated earnings and profits will be considered ordinary income to stockholders for income tax purposes unless all or a portion of a distribution is designated by the Company as a capital gain dividend. Distributions in excess of the Company’s current and accumulated earnings and profits will be characterized as return of capital or capital gains. The Company elected to treat certain domestic subsidiaries as taxable REIT subsidiaries ("TRSs") and may elect to treat other subsidiaries as TRSs. In general, a TRS may hold assets and engage in activities that the Company cannot hold or engage in directly and generally may engage in any real estate or non-real estate-related business. A domestic TRS may declare dividends to the Company which will be included in the Company’s taxable income/(loss) which may necessitate a distribution to stockholders. Conversely, if the Company retains earnings at the domestic TRS level, no distribution is required and the Company can increase book equity of the consolidated entity. A domestic TRS is subject to U.S. federal, state and local corporate income taxes. The Company elected to treat one of its foreign subsidiaries as a TRS and, accordingly, taxable income generated by this foreign TRS may not be subject to local income taxation, but generally will be included in the Company’s taxable income on a current basis as Subpart F income, whether or not distributed. The Company’s financial results are generally not expected to reflect provisions for current or deferred income taxes, except for any activities conducted through one or more TRSs that are subject to corporate income taxation. The Company believes that it will operate in a manner that will allow it to qualify for taxation as a REIT. As a result of the Company’s expected REIT qualification, it does not generally expect to pay federal or state corporate income tax. Many of the REIT requirements, however, are highly technical and complex. 18 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. The Company evaluates uncertain income tax positions, if any, in accordance with ASC 740, "Income Taxes." The Company classifies interest and penalties, if any, related to unrecognized tax benefits as a component of provision for income taxes. See Note 9 for further details. Deal related performance fees The Company may incur deal related performance fees, payable to Arc Home and third-party operators, on certain of its CMBS and Land Related Financing. The deal related performance fees are based on these investments meeting certain performance hurdles. The fees are accrued and expensed during the period for which they are incurred and are included in the "Other operating expenses" and "Equity in earnings/(loss) from affiliates" line items on the consolidated statement of operations. Offering costs The Company has incurred offering costs in connection with common stock offerings, registration statements, preferred stock offerings, and exchanges. Where applicable, the offering costs were paid out of the proceeds of the respective offerings. Offering costs in connection with common stock offerings and costs in connection with registration statements have been accounted for as a reduction of additional paid-in capital. Offering costs in connection with preferred stock offerings have been accounted for as a reduction of their respective gross proceeds. Exchange costs in connection with the Company's preferred stock exchanges have been accounted for as a reduction to the Company's retained earnings. Recent accounting pronouncements In March 2020, FASB issued ASU 2020-04, "Reference Rate Reform (Topic 848): Facilitation of the Effects of Reference Rate Reform on Financial Reporting." This ASU provides temporary optional guidance intended to ease the burden of reference rate reform on financial reporting. This ASU 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. With certain exceptions, this ASU also cannot be applied to hedging relationships entered into or evaluated after that date. The guidance provides optional expedients and exceptions for applying existing guidance to contract modifications, hedging relationships and other transactions that are expected to be affected by reference rate reform and meet certain scope guidance. 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 3. Loans Residential mortgage loans 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 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 19 AG Mortgage Investment Trust Inc. and Subsidiaries Notes to Consolidated Financial Statements (Unaudited) 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 Premium (Discount) Amortized Cost Gains Losses Fair Value (1) Coupon Yield Life (Years) (2) 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 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. Typically, actual maturities are shorter than stated contractual maturities. Maturities are affected by the lives of the underlying mortgages, periodic payments of principal, and prepayments of principal. (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. (4) As of December 31, 2020, the Company’s residential mortgage loan portfolio was comprised of 3,273 conventional loans with original loan balances between $ 5.6 thousand and $ 3.4 million. Additionally, the Company had residential mortgage loans that were in the process of foreclosure with a fair value of $ 37.1 million. The table below details information regarding the Company’s residential mortgage loans as of 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 $ — $ — 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 $ 1,607,066 $ 1,583,030 $ 435,441 $ 500,980 (1) Represents residual positions where the Company consolidates a securitization and the positions are recorded in the Company's consolidated balance sheets as residential mortgage loans. There may be limited data available regarding the underlying collateral of such securitizations. 20 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 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 % New York 14 % 10 % Florida 12 % 11 % New Jersey 7 % 6 % 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 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 Additions — 12,860 — 28,110 Accretion ( 1,318 ) ( 767 ) ( 3,669 ) ( 4,057 ) Reclassifications from/(to) non-accretable difference ( 3,548 ) 642 ( 871 ) ( 1,208 ) Disposals ( 42 ) ( 56 ) ( 5,603 ) ( 14,351 ) Ending Balance $ 46,764 $ 49,966 $ 46,764 $ 49,966 21 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 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) Assets Non-QM Loan VIEs $ 484,427 3.60 % 4.01 $ — — % — RPL/NPL VIEs 356,657 5.81 % 7.14 426,604 5.61 % 6.78 Residential mortgage loans, at fair value $ 841,084 $ 426,604 Restricted cash 1,503 2,110 Other assets 3,591 3,705 Total Assets $ 846,178 $ 432,419 Liabilities 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 % 3.85 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 Total Equity $ 80,269 $ 51,151 (1) This is based on projected life. Typically, actual maturities are shorter than stated contractual maturities. Maturities are affected by the contractual lives of the underlying mortgages, periodic payments of principal, and prepayments of principal. 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 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. 22 AG Mortgage Investment Trust Inc. and Subsidiaries Notes to Consolidated Financial Statements (Unaudited) 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 Maturity Date Loan Current Face Premium (Discount) Amortized Cost Fair Value Coupon Yield Life (Years) Location Collateral Type Commercial Loans, at fair value Loan G $ 59,451 $ — $ 59,451 $ ( 3,940 ) $ 55,511 5.27 % 5.27 % 1.54 July 9, 2022 CA Condo, Retail, Hotel Loan K 15,787 — 15,787 ( 1,100 ) 14,687 10.00 % 10.83 % 1.27 February 22, 2024 NY Hotel, Retail Loan L 51,000 ( 337 ) 50,663 ( 9,312 ) 41,351 N/A N/A 3.61 July 22, 2024 IL Hotel, Retail 126,238 ( 337 ) 125,901 ( 14,352 ) 111,549 3.73 % 4.05 % 2.34 Commercial Loans Held for Sale, at fair value Loan I 15,929 ( 175 ) 15,754 ( 1,795 ) 13,959 11.50 % 12.23 % 2.22 February 9, 2023 MN Office, Retail Total $ 142,167 $ ( 512 ) $ 141,655 $ ( 16,147 ) $ 125,508 4.60 % 4.96 % 2.33 4. Real Estate Securities 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 / (Discount) Amortized Cost Gross Unrealized Weighted Average Gains Losses Fair Value Coupon (1) Yield Agency RMBS: 30 Year Fixed Rate $ 497,214 $ 12,797 $ 510,011 $ 695 $ ( 4,180 ) $ 506,526 2.19 % 1.77 % 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 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 Current Face Premium / (Discount) Amortized Cost Gross Unrealized Weighted Average Gains Losses Fair Value Coupon (1) Yield Agency RMBS: 30 Year Fixed Rate $ 494,307 $ 22,368 $ 516,675 $ 1,794 $ ( 117 ) $ 518,352 2.10 % 1.17 % Credit Investments: Residential Investments Prime 15,093 ( 7,081 ) 8,012 663 ( 10 ) 8,665 3.68 % 8.97 % Alt-A/Subprime 16,287 ( 9,377 ) 6,910 4,586 — 11,496 4.25 % 12.52 % Credit Risk Transfer 13,880 — 13,880 15 ( 587 ) 13,308 4.71 % 4.70 % Non-U.S. RMBS 2,435 706 3,141 51 ( 92 ) 3,100 6.45 % 6.41 % Non-Agency RMBS Interest Only (2) 157,590 ( 157,513 ) 77 207 ( 48 ) 236 0.53 % NM Re/Non-Performing Securities 1,690 ( 238 ) 1,452 149 — 1,601 5.25 % 14.05 % Total Residential Investments: 206,975 ( 173,503 ) 33,472 5,671 ( 737 ) 38,406 2.01 % 8.50 % Commercial Investments Conduit 4,925 ( 1,024 ) 3,901 — ( 606 ) 3,295 4.62 % 11.89 % Single-Asset/Single-Borrower 50,480 ( 1,494 ) 48,986 668 ( 9,464 ) 40,190 4.15 % 4.81 % Freddie Mac K-Series CMBS 22,572 ( 12,062 ) 10,510 47 ( 1,557 ) 9,000 3.83 % 9.00 % CMBS Interest Only (3) 687,077 ( 682,961 ) 4,116 256 ( 69 ) 4,303 0.10 % 6.93 % Total Commercial Investments: 765,054 ( 697,541 ) 67,513 971 ( 11,696 ) 56,788 0.44 % 6.04 % Total Credit Investments: 972,029 ( 871,044 ) 100,985 6,642 ( 12,433 ) 95,194 0.65 % 7.04 % Total $ 1,466,336 $ ( 848,676 ) $ 617,660 $ 8,436 $ ( 12,550 ) $ 613,546 1.18 % 2.08 % (1) Equity residual investments and principal only securities with a zero coupon rate are excluded from this calculation. 23 AG Mortgage Investment Trust Inc. and Subsidiaries Notes to Consolidated Financial Statements (Unaudited) 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 Coupon (2) 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 % Greater than ten years 27,368 27,912 2.00 % 409 165 — % Total $ 506,526 $ 510,011 2.19 % $ 3,454 $ 2,926 3.78 % December 31, 2020 Agency RMBS Credit Investments Weighted Average Life (1) Fair Value Amortized Cost Weighted Average Coupon Fair Value Amortized Cost Weighted Average Coupon (2) Less than or equal to 1 year $ — $ — — % $ 31,166 $ 39,588 1.81 % Greater than one year and less than or equal to five years 181,947 181,209 2.29 % 20,131 21,634 0.33 % Greater than five years and less than or equal to ten years 336,405 335,466 2.00 % 20,310 20,808 0.36 % Greater than ten years — — — 23,587 18,955 4.18 % Total $ 518,352 $ 516,675 2.10 % $ 95,194 $ 100,985 0.65 % (1) This is based on projected life. Typically, actual maturities are shorter than stated contractual maturities. Maturities are affected by the contractual lives of the underlying mortgages, periodic payments of principal, and prepayments of principal. (2) Equity residual investments and principal only securities with a zero coupon rate are excluded from this calculation. For the three months ended 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. 24 AG Mortgage Investment Trust Inc. and Subsidiaries Notes to Consolidated Financial Statements (Unaudited) September 30, 2021 5. Fair value measurements 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 Assets: Residential mortgage loans $ — $ 875 $ 1,606,191 $ 1,607,066 30 Year Fixed Rate Agency RMBS — 506,526 — 506,526 Non-Agency RMBS (1) — 2,694 760 3,454 Excess mortgage servicing rights (2) — — 70 70 Derivative assets (3) — 14,800 841 15,641 AG Arc (4) — — 51,949 51,949 Total Assets Measured at Fair Value $ — $ 524,895 $ 1,659,811 $ 2,184,706 Liabilities: Securitized debt $ — $ — $ ( 708,421 ) $ ( 708,421 ) Derivative liabilities (3) — ( 676 ) ( 46 ) ( 722 ) Total Liabilities Measured at Fair Value $ — $ ( 676 ) $ ( 708,467 ) $ ( 709,143 ) (1) Non-Agency RMBS is comprised of Prime and Re/Non-Performing Securities. (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) Refer to Note 2 for more information on the Company's accounting policies with regard to cash equivalents, if applicable, and AG Arc. The table above includes the Company's investment in AG Arc, which is included in its "Investments in debt and equity of affiliates" line item on the consolidated balance sheets, as the Company has chosen to elect the fair value option with respect to its investment pursuant to ASC 825. 25 AG Mortgage Investment Trust Inc. and Subsidiaries Notes to Consolidated Financial Statements (Unaudited) September 30, 2021 Fair value at December 31, 2020 Level 1 Level 2 Level 3 Total Assets: Residential mortgage loans $ — $ 2,134 $ 433,307 $ 435,441 Agency RMBS: 30 Year Fixed Rate — 518,352 — 518,352 Credit Investments: Non-Agency RMBS (1) — 35,070 3,100 38,170 Non-Agency RMBS Interest Only — 236 — 236 CMBS (2) — 52,485 — 52,485 CMBS Interest Only — 4,303 — 4,303 Commercial loans — — 125,508 125,508 Excess mortgage servicing rights (3) — — 3,158 3,158 Derivative assets (4) — 1,356 — 1,356 AG Arc (5) — — 45,341 45,341 Total Assets Measured at Fair Value $ — $ 613,936 $ 610,414 $ 1,224,350 Liabilities: Securitized debt $ — $ — $ ( 355,159 ) $ ( 355,159 ) Derivative liabilities (4) — ( 294 ) — ( 294 ) Total Liabilities Measured at Fair Value $ — $ ( 294 ) $ ( 355,159 ) $ ( 355,453 ) (1) Non-Agency RMBS is comprised of Prime, Alt-A/Subprime, Credit Risk Transfer, Non-US RMBS, and Re/Non-Performing Securities. (2) CMBS is comprised of Conduit, Single-Asset/Single-Borrower, and Freddie Mac K-Series CMBS. (3) 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. (5) Refer to Note 2 for more information on the Company's accounting policies with regard to cash equivalents, if applicable, and AG Arc. The table above includes the Company's investment in AG Arc, which is included in its "Investments in debt and equity of affiliates" line item on the consolidated balance sheets, as the Company has chosen to elect the fair value option with respect to its investment pursuant to ASC 825. Values for the Company’s securities, Excess MSRs, and derivatives are based upon prices obtained from third-party pricing services, which are indicative of market activity. The evaluation methodology of the Company’s third-party pricing services incorporates commonly used market pricing methods, including a spread measurement to various indices such as the one-year constant maturity treasury and LIBOR, which are observable inputs. The evaluation also considers the underlying characteristics of each investment, which are also observable inputs, including: coupon; maturity date; loan age; reset date; collateral type; periodic and life cap; geography; and prepayment speeds. The Company collects and considers current market intelligence on all major markets, including benchmark security evaluations and bid-lists from various sources, when available. As part of the Company’s risk management process, the Company reviews and analyzes all prices obtained by comparing prices to recently completed transactions involving the same or similar investments on or near the reporting date. If, in the opinion of the Manager, one or more prices reported to the Company are not reliable or unavailable, the Manager reviews the fair value based on characteristics of the investment it receives from the issuer and available market information. In determining the fair value of the Company's mortgage loans and securitized debt relating to the 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 26 AG Mortgage Investment Trust Inc. and Subsidiaries Notes to Consolidated Financial Statements (Unaudited) 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. Management may also base its valuation on prices obtained from a third-party pricing service provider to assess and corroborate the valuation of a selection of investments in the Company’s loan and securitized debt portfolio and the Company's investment in Arc Home on a periodic basis. These third-party pricing service providers conduct independent valuation analyses based on a review of source documents, available market data, and comparable investments. The analyses provided by valuation service providers are reviewed and considered by the Manager. The Company did not have any transfers of assets or liabilities between Levels 1 and 2 of the fair value hierarchy during the three and 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. Transfers into the Level 3 category of the fair value hierarchy occur due to instruments exhibiting indications of reduced levels of market transparency. Transfers out of the Level 3 category of the fair value hierarchy occur due to instruments exhibiting indications of increased levels of market transparency and updates to the Company's leveling policy, which are detailed in Note 2. Indications of increases or decreases in levels of market transparency include a change in observable transactions or executable quotes involving these instruments or similar instruments. Changes in these indications could impact price transparency, and thereby cause a change in level designations in future periods. The following tables present additional information about the Company’s assets and liabilities which are measured at fair value on a recurring basis for which the Company has utilized Level 3 inputs to determine fair value: Three Months Ended September 30, 2021 (in thousands) Residential Mortgage Loans Non-Agency RMBS Commercial Loans Excess Mortgage 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 ) $ — Purchases/Transfers 608,771 — — — — — — — Issuances of Securitized Debt — — — — — — ( 260,086 ) — Capital distributions — — — — — ( 893 ) — — Proceeds from sales of assets — — — ( 2,364 ) — — Proceeds from settlement ( 42,095 ) ( 396 ) ( 70,195 ) — — — 34,407 — Total net gains/(losses) (1) Included in net income 11,137 ( 27 ) 7,916 ( 174 ) 841 1,980 ( 209 ) ( 46 ) 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 September 30, 2021 (2) $ 10,880 $ ( 27 ) $ — $ 523 $ 841 $ 1,980 $ ( 209 ) $ ( 46 ) (1) Gains/(losses) are recorded in the following line items in the consolidated statement of operations: Unrealized gain/(loss), net $ 20,389 Net realized gain/(loss) ( 951 ) Equity in earnings/(loss) from affiliates 1,980 Total $ 21,418 (2) Unrealized gains/(losses) are recorded in the following line items in the consolidated statement of operations: Unrealized gain/(loss), net $ 11,962 Equity in earnings/(loss) from affiliates 1,980 Total $ 13,942 27 AG Mortgage Investment Trust Inc. and Subsidiaries Notes to Consolidated Financial Statements (Unaudited) September 30, 2021 Three Months Ended September 30, 2020 (in thousands) Residential Mortgage Loans Non-Agency RMBS Commercial Loans Excess Mortgage Servicing Rights AG Arc Securitized debt 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 — — — Issuances of Securitized Debt — — — — — ( 163,487 ) Proceeds from sales of assets ( 6,151 ) — ( 2,724 ) ( 8,460 ) — — Proceeds from settlement ( 11,436 ) ( 954 ) ( 5,710 ) — — 6,798 Total net gains/(losses) (2) Included in net income 7,263 148 ( 4,679 ) ( 308 ) 13,406 ( 3,323 ) 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 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: Unrealized gain/(loss), net $ 9,575 Net realized gain/(loss) ( 8,377 ) Equity in earnings/(loss) from affiliates 13,406 Total $ 14,604 (2) Unrealized gains/(losses) are recorded in the following line items in the consolidated statement of operations: Unrealized gain/(loss), net $ 9,974 Equity in earnings/(loss) from affiliates 13,406 Total $ 23,380 Nine months ended September 30, 2021 (in thousands) Residential Mortgage Loans Non-Agency RMBS Commercial Loans Excess Mortgage Servicing Rights Derivative Assets AG Arc Securitized debt Derivative Liabilities Beginning balance $ 433,307 $ 3,100 $ 125,508 $ 3,158 $ — $ 45,341 $ ( 355,159 ) $ — Transfers (1): Transfers out of level 3 — ( 1,499 ) — — — — — — Purchases/Transfers 1,261,568 — 5,100 — — — — — Issuances of Securitized Debt — — — — — — ( 463,478 ) — Capital distributions — — — — — ( 893 ) — — Proceeds from sales of assets ( 45,615 ) — ( 74,342 ) ( 2,364 ) — — Proceeds from settlement ( 75,746 ) ( 897 ) ( 70,232 ) — — — 113,338 — Total net gains/(losses) (2) Included in net income 32,677 56 13,966 ( 724 ) 841 7,501 ( 3,122 ) ( 46 ) 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 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 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: Unrealized gain/(loss), net $ 40,472 Net realized gain/(loss) 3,176 Equity in earnings/(loss) from affiliates 7,501 Total $ 51,149 (3) Unrealized gains/(losses) are recorded in the following line items in the consolidated statement of operations: Unrealized gain/(loss), net $ 23,183 Equity in earnings/(loss) from affiliates 7,501 Total $ 30,684 28 AG Mortgage Investment Trust Inc. and Subsidiaries Notes to Consolidated Financial Statements (Unaudited) September 30, 2021 Nine months ended September 30, 2020 Residential Mortgage Loans Non-Agency RMBS Non-Agency RMBS Interest Only CMBS CMBS Interest Only Commercial Loans Excess Mortgage Servicing Rights AG Arc Securitized debt Beginning balance $ 417,785 $ 630,115 $ 1,074 $ 366,566 $ 47,992 $ 158,686 $ 17,775 $ 28,546 $ ( 72,415 ) Transfers (1): Transfers into level 3 — — — — — — — — ( 151,933 ) Transfers out of level 3 — ( 210,709 ) ( 1,074 ) ( 170,816 ) ( 22,055 ) — — — 7,230 Purchases/Transfers 536,710 1,559 — 3,540 — 27,508 — — — Issuances of Securitized Debt — — — — — — — — ( 166,487 ) Proceeds from sales of assets and seizures of assets ( 393,559 ) ( 362,199 ) — ( 148,111 ) ( 21,995 ) ( 36,924 ) ( 8,460 ) — — Proceeds from settlement ( 50,563 ) ( 11,823 ) — ( 9,367 ) — ( 5,710 ) — — 16,021 Total net gains/(losses) (2) Included in net income ( 83,000 ) ( 43,253 ) — ( 41,812 ) ( 3,942 ) ( 20,680 ) ( 5,789 ) 12,890 8,598 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 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 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: Unrealized gain/(loss), net $ ( 71,500 ) Net realized gain/(loss) ( 118,378 ) Equity in earnings/(loss) from affiliates 12,890 Total $ ( 176,988 ) (3) Unrealized gains/(losses) are recorded in the following line items in the consolidated statement of operations: Unrealized gain/(loss), net $ ( 33,567 ) Equity in earnings/(loss) from affiliates 12,890 Total $ ( 20,677 ) 29 AG Mortgage Investment Trust Inc. and Subsidiaries Notes to Consolidated Financial Statements (Unaudited) 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 September 30, 2021 (in thousands) Valuation Technique Unobservable Input Range (Weighted Average) (1) Yield 1.69 % - 15.00 % ( 3.01 %) Residential Mortgage Loans $ 1,565,296 Discounted Cash Flow Projected Collateral Prepayments 3.32 % - 33.71 % ( 13.72 %) Projected Collateral Losses 0.02 % - 4.03 % ( 0.60 %) Projected Collateral Severities -16.78% - 27.52 % ( 10.90 %) $ 4,902 Consensus Pricing Offered Quotes 87.48 - 114.43 ( 102.44 ) $ 35,993 Recent Transaction Cost N/A Yield 15.00 % - 15.00 % ( 15.00 %) Non-Agency RMBS $ 760 Discounted Cash Flow Projected Collateral Prepayments 6.06 % - 6.06 % ( 6.06 %) Projected Collateral Losses 2.46 % - 2.46 % ( 2.46 %) 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 %) 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 September 30, 2021 (in thousands) Valuation Technique Unobservable Input Range (Weighted Average) Yield 1.10 % - 4.38 % ( 1.80 %) Securitized debt $ ( 708,421 ) Discounted Cash Flow Projected Collateral Prepayments 5.81 % - 11.02 % ( 9.51 %) Projected Collateral Losses 0.35 % - 3.06 % ( 1.01 %) Projected Collateral Severities 8.42 % - 16.50 % ( 11.38 %) 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 %) 30 AG Mortgage Investment Trust Inc. and Subsidiaries Notes to Consolidated Financial Statements (Unaudited) September 30, 2021 Asset Class Fair Value at December 31, 2020 (in thousands) Valuation Technique Unobservable Input Range (Weighted Average) (1) Yield 4.50 % - 10.00 % ( 5.01 %) Residential Mortgage Loans $ 426,709 Discounted Cash Flow Projected Collateral Prepayments 4.30 % - 9.31 % ( 7.28 %) Projected Collateral Losses 1.66 % - 5.75 % ( 2.58 %) Projected Collateral Severities -9.29% - 49.43% (15.68%) $ 6,598 Consensus Pricing Offered Quotes 82.03 - 106.29 ( 99.96 ) Yield 8.05 % - 8.05 % ( 8.05 %) Non-Agency RMBS $ 1,601 Discounted Cash Flow Projected Collateral Prepayments 5.46 % - 5.46 % ( 5.46 %) Projected Collateral Losses 5.37 % - 5.37 % ( 5.37 %) Projected Collateral Severities -20.89% - -20.89% (-20.89%) $ 1,499 Consensus Pricing Offered Quotes 91.59 - 91.59 ( 91.59 ) Yield 10.95 % - 39.54 % ( 14.09 %) Commercial Loans $ 125,508 Discounted Cash Flow Credit Spread 1,001 bps - 3,304 bps ( 1,279 bps) Recovery Percentage (2) 100.00 % - 100.00 % ( 100.00 %) Loan-to-Value 43.60 % - 97.50 % ( 62.04 %) 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 ) AG Arc $ 45,341 Comparable Multiple Book Value Multiple 1.05 x - 1.05 x ( 1.05 x) Liability Class Fair Value at December 31, 2020 (in thousands) Valuation Technique Unobservable Input Range (Weighted Average) Yield 2.45 % - 5.50 % ( 2.98 %) Securitized debt $ ( 355,159 ) Discounted Cash Flow Projected Collateral Prepayments 5.90 % - 8.20 % ( 7.17 %) Projected Collateral Losses 1.94 % - 3.46 % ( 2.62 %) Projected Collateral Severities 12.70 % - 20.03 % ( 16.75 %) (1) Amounts are weighted based on fair value. (2) Represents the proportion of the principal expected to be collected relative to the loan balances as of December 31, 2020. As further described above, fair value for the Company’s securities portfolio are based upon prices obtained from third-party pricing services. Broker quotations may also be used. The significant unobservable inputs used in the fair value measurement of the Company’s securities are yields, prepayment rates, probability of default, and loss severity in the event of default. Significant increases (decreases) in any of those inputs in isolation would result in a significantly lower (higher) fair value measurement. Generally, a change in the assumption used for the probability of default is accompanied by a directionally similar change in the assumption used for the loss severity and a directionally opposite change in the assumption used for prepayment rates. Also, as described above, valuation of the Company’s loan portfolio is determined by the Manager using third-party pricing services where available, valuation analyses from third-party pricing service providers, or model-based pricing. The evaluation considers the underlying characteristics of each loan, which are observable inputs, including: coupon, maturity date, loan age, reset date, collateral type, periodic and life cap, geography, and prepayment speeds. The valuations of commercial loans also require significant judgments, which include assumptions regarding capitalization rates, re-performance rates, leasing, creditworthiness of major tenants, occupancy rates, availability of financing, exit plan, loan sponsorship, actions of other lenders, and other factors deemed necessary by management. Changes in the market environment and other events that may occur over the life of our investments may cause the gains or losses ultimately realized on these investments to be different than the valuations currently estimated. If applicable, analyses provided by valuation service providers are reviewed and considered by the Manager. 31 AG Mortgage Investment Trust Inc. and Subsidiaries Notes to Consolidated Financial Statements (Unaudited) September 30, 2021 6. Financing arrangements 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 Weighted Average Collateral (1)(2)(3) Carrying Value Stated Maturity Funding Cost Life (Years) Amortized Cost Basis Fair Value Carrying Value Repurchase Agreements 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 $ — 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 $ 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 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 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 Residential Mortgage Loans $ 12,599 $ 44,408 $ 656,042 $ 713,049 Agency RMBS 445,836 — — 445,836 Non-Agency RMBS 1,634 — — 1,634 Total Repurchase Agreements $ 460,069 $ 44,408 $ 656,042 $ 1,160,519 Counterparties The Company had exposure to five counterparties as of September 30, 2021 and December 31, 2020. 32 AG Mortgage Investment Trust Inc. and Subsidiaries Notes to Consolidated Financial Statements (Unaudited) 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 at Risk Weighted Average Maturity (days) Percentage of Stockholders’ Equity Barclays Capital Inc. $ 84,947 71 17.3 % Credit Suisse AG, Cayman Islands Branch 56,517 169 11.5 % December 31, 2020 Counterparty Stockholders’ Equity at Risk Weighted Average Maturity (days) Percentage of Stockholders’ Equity BofA Securities, Inc. $ 28,091 19 6.9 % Credit Suisse AG, Cayman Islands Branch 26,305 35 6.4 % Barclays Capital Inc. 24,890 15 6.1 % Financial Covenants The Company’s financing arrangements generally include customary representations, warranties, and covenants, but may also contain more restrictive supplemental terms and conditions. Although specific to each financing arrangement, typical supplemental terms include requirements of minimum equity and liquidity, leverage ratios, and performance triggers. In addition, some of the financing arrangements contain cross default features, whereby default under an agreement with one lender simultaneously causes default under agreements with other lenders. To the extent that the Company fails to comply with the covenants contained in these financing arrangements or is otherwise found to be in default under the terms of such agreements, the counterparty has the right to accelerate amounts due under the associated agreement. Financings pursuant to repurchase agreements and revolving facilities are generally recourse to the Company. As of September 30, 2021, the Company is in compliance with all of its financial covenants. 7. Other assets and liabilities The following table details certain information related to the Company's "Other assets" and "Other liabilities" line items on its consolidated balance sheet as of September 30, 2021 and December 31, 2020 (in thousands): September 30, 2021 December 31, 2020 Other assets Interest receivable $ 8,483 $ 2,962 Derivative assets, at fair value 2,199 — Other assets 4,105 5,538 Due from broker 3,217 907 Excess mortgage servicing rights, at fair value 70 3,158 Total Other assets $ 18,074 $ 12,565 Other liabilities Interest payable $ 1,178 $ 853 Derivative liabilities, at fair value 110 68 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 Due to broker 989 1,272 Total Other liabilities $ 11,036 $ 18,755 (1) Refer to Note 10 for more information. 33 AG Mortgage Investment Trust Inc. and Subsidiaries Notes to Consolidated Financial Statements (Unaudited) 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. Derivatives 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 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. 34 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 Nine Months Ended September 30, 2021 September 30, 2020 September 30, 2021 September 30, 2020 Included within Unrealized gain/(loss), net Interest Rate Swaps $ 10 $ 170 $ 12,565 $ ( 11,418 ) Swaptions — 1,051 — 354 British Pound Futures — ( 57 ) 64 129 Euro Futures — — — 20 TBAs 1,290 — 1,357 — Forward Purchase Commitments 795 — 795 — 2,095 1,164 14,781 ( 10,915 ) Included within Net realized gain/(loss) Interest Rate Swaps 1,657 — 2,554 ( 65,368 ) Swaptions — ( 1,051 ) — ( 2,437 ) British Pound Futures — ( 108 ) ( 165 ) 406 Euro Futures — — — 68 TBAs ( 1,087 ) — ( 1,087 ) 4,610 570 ( 1,159 ) 1,302 ( 62,721 ) 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 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 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 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. TBAs 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: Beginning Notional Amount Buys or Covers Sales or Shorts Ending Net Notional Amount Net Fair Value as of Period End Net Receivable/(Payable) from/to Broker Derivative Asset September 30, 2021 TBAs - Short $ ( 130,000 ) $ 338,000 $ ( 515,500 ) $ ( 307,500 ) $ ( 316,937 ) $ 318,295 $ 1,358 For the Nine Months Ended: Beginning Notional Amount Buys or Covers Sales or Shorts Ending Net Notional Amount Net Fair Value as of Period End Net Receivable/(Payable) from/to Broker Derivative Asset 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 ) — — — — 35 AG Mortgage Investment Trust Inc. and Subsidiaries Notes to Consolidated Financial Statements (Unaudited) September 30, 2021 8. Earnings per share Following the close of business on July 22, 2021, the Company effected a one-for-three reverse stock split of its outstanding shares of common stock. All per share amounts and common shares outstanding for all periods presented in the unaudited consolidated financial statements have been adjusted on a retroactive basis to reflect the Company’s one-for-three reverse stock split. 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 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 Numerator: Net Income/(Loss) from Continuing Operations $ 34,579 $ 20,046 $ 93,321 $ ( 462,271 ) Gain on Exchange Offers, net (Note 11) — 539 472 539 Dividends on preferred stock ( 4,586 ) ( 5,563 ) ( 14,199 ) ( 16,897 ) Net income/(loss) from continuing operations available to common stockholders $ 29,993 $ 15,022 $ 79,594 $ ( 478,629 ) Net Income/(Loss) from Discontinued Operations — — — 361 Net income/(loss) available to common stockholders $ 29,993 $ 15,022 $ 79,594 $ ( 478,268 ) Denominator: Basic weighted average common shares outstanding 16,077 11,474 15,270 11,116 Diluted weighted average common shares outstanding 16,077 11,474 15,270 11,116 Earnings/(Loss) Per Share - Basic Continuing Operations $ 1.87 $ 1.31 $ 5.21 $ ( 43.06 ) Discontinued Operations — — — 0.03 Total Earnings/(Loss) Per Share of Common Stock $ 1.87 $ 1.31 $ 5.21 $ ( 43.03 ) Earnings/(Loss) Per Share - Diluted Continuing Operations $ 1.87 $ 1.31 $ 5.21 $ ( 43.06 ) Discontinued Operations — — — 0.03 Total Earnings/(Loss) Per Share of Common Stock $ 1.87 $ 1.31 $ 5.21 $ ( 43.03 ) Restricted stock units issued to the Manager do not entitle the participant the rights of a shareholder of the Company’s common stock, such as dividend and voting rights, until shares are issued in settlement of the vested units. The restricted stock units are not considered to be participating shares. The dilutive effects of the restricted stock units are only included in diluted weighted average common shares outstanding. The Company had no unvested restricted stock units as of September 30, 2021 and December 31, 2020. Dividends 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 36 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 3/22/2021 4/1/2021 4/30/2021 $ 0.18 6/15/2021 6/30/2021 7/30/2021 0.21 9/15/2021 9/30/2021 10/29/2021 0.21 Total $ 0.60 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 Declaration Date Record Date Payment Date 8.25 % Series A 8.00 % Series B 8.000 % Series C 2/16/2021 2/26/2021 3/17/2021 $ 0.51563 $ 0.50 $ 0.50 5/17/2021 5/28/2021 6/17/2021 0.51563 0.50 0.50 7/30/2021 8/31/2021 9/17/2021 0.51563 0.50 0.50 Total $ 1.54689 $ 1.50 $ 1.50 2020 Cash Dividend Per Share Declaration Date Record Date Payment Date 8.25 % Series A 8.00 % Series B 8.000 % Series C 2/14/2020 2/28/2020 3/17/2020 $ 0.51563 $ 0.50 $ 0.50 9. Income taxes As a REIT, the Company is not subject to federal income tax to the extent that it makes qualifying distributions to its stockholders, and provided it satisfies on a continuing basis, through actual investment and operating results, the REIT requirements including certain asset, income, distribution and stock ownership tests. Most states follow U.S. federal income tax treatment of REITs. Excise tax represents a four percent tax on the required amount of the Company’s ordinary income and net capital gains not distributed during the year. The expense is calculated in accordance with applicable tax regulations. For the three 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. There are no ongoing U.S. 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 September 30, 2021. The Company’s federal income tax returns for the last three tax years are open to examination by the Internal Revenue Service. In the event that the Company incurs income tax related interest and penalties, its policy is to classify them as a component of provision for income taxes. 37 AG Mortgage Investment Trust Inc. and Subsidiaries Notes to Consolidated Financial Statements (Unaudited) September 30, 2021 10. Related party transactions Manager The Company has entered into a management agreement with the Manager, which provided for an initial term and will be deemed renewed automatically each year for an additional one-year period, subject to certain termination rights. The Company is externally managed and advised by the Manager. Pursuant to the terms of the management agreement, which became effective July 6, 2011 (upon the consummation of the Company’s initial public offering (the "IPO")), the Manager provides the Company with its management team, including its officers, along with appropriate support personnel. Each of the Company’s officers is an employee of Angelo Gordon. The Company does not have any employees. The Manager, pursuant to a delegation agreement dated as of June 29, 2011, has delegated to Angelo Gordon the overall responsibility of its day-to-day duties and obligations arising under the Company’s management agreement. Below is a description of the fees and reimbursements provided in the management agreements. Management fee The Manager is entitled to a management fee equal to 1.50 % per annum, calculated and paid quarterly, of the Company’s Stockholders’ Equity. For purposes of calculating the management fee, "Stockholders’ Equity" means the sum of the net proceeds from any issuances of equity securities (including preferred securities) since inception (allocated on a pro rata daily basis for such issuances during the fiscal quarter of any such issuance, and excluding any future equity issuance to the Manager), plus the Company’s retained earnings at the end of such quarter (without taking into account any non-cash equity compensation expense or other non-cash items described below incurred in current or prior periods), less any amount that the Company pays for repurchases of its common stock, excluding any unrealized gains, losses or other non-cash items that have impacted stockholders’ equity as reported in the Company’s financial statements prepared in accordance with GAAP, regardless of whether such items are included in other comprehensive income or loss, or in net income, and excluding one-time events pursuant to changes in GAAP, and certain other non-cash charges after discussions between the Manager and the Company’s independent directors and after approval by a majority of the Company’s independent directors. Stockholders’ Equity, for purposes of calculating the management fee, could be greater or less than the amount of stockholders’ equity shown on the Company’s financial statements. For the three and nine months ended September 30, 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. On September 24, 2020, the Company and the Manager executed another amendment (the "Second Management Agreement Amendment") to the management agreement, pursuant to which the Manager agreed to receive a portion of the deferred base management fee in shares of common stock. Pursuant to the Second Management Agreement Amendment, the Manager agreed to purchase (i) 405,123 shares of common stock in full satisfaction of the deferred base management fee of $ 3.8 million payable by the Company in respect to the first and second quarters of 2020 and (ii) 51,500 shares of common stock in satisfaction of $ 0.5 million of the base management fee payable by the Company in respect to the third quarter of 2020. The shares of common stock issued to the Manager were valued at $ 9.45 per share based on the midpoint of the estimated range of the Company’s book value per share as of August 31, 2020. The remaining third quarter 2020 management fee was paid in the normal course of business. Termination fee 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 September 30, 2021 and December 31, 2020, no event of termination of the management agreement had occurred. 38 AG Mortgage Investment Trust Inc. and Subsidiaries Notes to Consolidated Financial Statements (Unaudited) September 30, 2021 Expense reimbursement The Company is required to reimburse the Manager or its affiliates for operating expenses which are incurred by the Manager or its affiliates on behalf of the Company, including expenses relating to legal, accounting, due diligence and other services. The Company’s reimbursement obligation is not subject to any dollar limitation; however, the reimbursement is subject to an annual budget process which combines guidelines from the Management Agreement with oversight by the Company’s Board of Directors. The Company reimburses the Manager or its affiliates for the Company’s allocable share of the compensation, including, without limitation, annual base salary, bonus, any related withholding taxes and employee benefits paid to (i) the Company’s chief financial officer based on the percentage of time spent on Company affairs, (ii) the Company’s general counsel based on the percentage of time spent on the Company’s affairs, and (iii) other corporate finance, tax, accounting, internal audit, legal, risk management, operations, compliance and other non-investment personnel of the Manager and its affiliates who spend all or a portion of their time managing the Company’s affairs based upon the percentage of time devoted by such personnel to the Company’s affairs. In their capacities as officers or personnel of the Manager or its affiliates, they devote such portion of their time to the Company’s affairs as is necessary to enable the Company to operate its business. Of the $ 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. On April 6, 2020, the Company executed an amendment to the management agreement pursuant to which the Manager agreed to defer the reimbursement of expenses, effective the first quarter of 2020 through September 30, 2020. All deferred expense reimbursements were paid as of September 30, 2020. Secured debt On April 10, 2020, in connection with the first Forbearance Agreement, the Company issued a secured promissory note (the "Note") to the Manager evidencing a $ 10 million loan made by the Manager to the Company. Additionally, on April 27, 2020, in connection with the second Forbearance Agreement, the Company and the Manager entered into an amendment to the Note to reflect an additional $ 10 million loan by the Manager to the Company. The $ 10 million loan made by the Manager on April 10, 2020 was repaid in full with interest when it matured on March 31, 2021 and the $ 10 million loan made on April 27, 2020 was repaid in full with interest when it matured on July 27, 2020. The unpaid balance of the Note accrued interest at a rate of 6.0 % per annum. Interest on the Note was payable monthly in kind through the addition of such accrued monthly interest to the outstanding principal balance of the Note. The Note and accrued interest on the Note, when outstanding, were included within the due to affiliates amount, which is included within the "Other Liabilities" line item in the consolidated balance sheets. See Note 7 for a breakout of the "Other liabilities" line item. Restricted stock grants Equity Incentive Plans Effective on April 15, 2020 upon the approval of the Company's stockholders at its 2020 annual meeting of stockholders, the 2020 Equity Incentive Plan provides for a maximum of 666,666 shares of common stock to be issued. The maximum number of shares of common stock granted during a single fiscal year to any non-employee director, taken together with any cash fees paid to such non-employee director during any fiscal year, shall not exceed $ 300,000 in total value (calculating the value of any such awards based on the grant date fair value). As of 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 September 30, 2021, all shares of restricted common stock granted to its independent directors have vested. 39 AG Mortgage Investment Trust Inc. and Subsidiaries Notes to Consolidated Financial Statements (Unaudited) September 30, 2021 Manager Equity Incentive Plans Following approval of the Company's stockholders at its 2021 annual meeting of stockholders, the AG Mortgage Investment Trust, Inc. 2021 Manager Equity Incentive Plan (the "2021 Manager Plan") became effective on April 7, 2021 and provides for a maximum of 573,425 shares of common stock to be issued to the Manager. As of September 30, 2021, there were no shares or awards issued under the 2021 Manager Plan. The AG Mortgage Investment Trust, Inc. Manager Equity Incentive Plan became effective on July 6, 2011 (the "2011 Manager Plan"). Since its IPO, the Company has issued 13,416 shares of restricted common stock and 40,000 restricted stock units to its Manager under the 2011 Manager Plan. Upon the adoption of the 2020 Equity Incentive Plan on April 15, 2020, the Company was no longer permitted to issue any shares of our common stock under the 2011 Manager Plan. As of July 1, 2020, all shares of restricted common stock and restricted stock units granted to its Manager under the 2011 Manager Plan fully vested. Director compensation Beginning January 1, 2021, the annual base director's fee for each independent director decreased from $ 160,000 to $ 150,000 , $ 70,000 of which is payable on a quarterly basis in cash and $ 80,000 of which is payable on a quarterly basis in shares of restricted common stock. The number of shares of restricted common stock to be issued each quarter to each independent director is determined based on the average of the high and low prices of the Company’s common stock on the New York Stock Exchange on the last trading day of each fiscal quarter. To the extent that any fractional shares would otherwise be issuable and payable to each independent director, a cash payment is made to each independent director in lieu of any fractional shares. All directors’ fees are paid pro rata (and restricted stock grants determined) on a quarterly basis in arrears, and shares issued are fully vested and non-forfeitable. 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. Investments in debt and equity of affiliates The Company invests in credit sensitive residential assets through affiliated entities which hold an ownership interest in the assets. The Company is one investor, amongst other investors managed by affiliates of Angelo Gordon, in such entities and has applied the equity method of accounting for such investments. See Note 2 for the gross fair value of the Company's share of these investments as of September 30, 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 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, 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"). The Restructured Financing Arrangement required all principal and interest on the underlying assets in MATT to be used to pay down principal and interest on the outstanding financing arrangement. As of April 3, 2020, the Restructured Financing Arrangement did not have mark-to-market margin calls and was non-recourse to the Company. The Restructured Financing Arrangement provided for a termination date of October 1, 2021. At the earlier of the termination date or the securitization or sale by the Company of the remaining assets subject to the Restructured Financing Arrangement, the financing counterparty (which is a non-affiliate) was entitled to 35 % of the remaining equity in the assets. The Company evaluated this restructuring and concluded it was an extinguishment of debt. MATT chose to 40 AG Mortgage Investment Trust Inc. and Subsidiaries Notes to Consolidated Financial Statements (Unaudited) 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. The amendment serves to convert the existing financing to a mark-to-market facility that is recourse to the Company and the private funds managed by Angelo Gordon that invest in MATT up to the below mentioned commitment from MATH to MATT. Upon amending the agreement, the Company settled the premium recapture fee with the financing counterparty. On January 29, 2021, the Company alongside private funds under the management of Angelo Gordon, entered into an amendment to the MATH LLC Agreement, which requires MATH to fund a capital commitment of $ 50.0 million to MATT. The Company, through its investment in MATH, is responsible for its pro-rata share of the capital commitment. Refer to Note 12 for additional information. The Company's investment in LOTS require it to fund various commitments in connection with the origination of Land Related Financing. Refer to Note 12 for additional information. The Company has an approximate 47.5 % and 50 % interest in LOTS I and LOTS II, respectively. Transactions with affiliates In connection with the Company’s investments in residential mortgage loans, 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 $ 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. Certain senior tranches in the securitization were sold to third parties with the Company and private funds under the management of Angelo Gordon retaining the subordinate tranches, which had a fair value of $ 26.6 million as of March 31, 2020. 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. 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 of $ 226.0 million were securitized. Certain senior tranches in the securitization were sold to third parties with the Company and private funds under the management of Angelo Gordon retaining the subordinate tranches, which had a fair value of $ 24.3 million as of September 30, 2020. The Company has a 44.6 % interest in the retained subordinate tranches. 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 41 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. 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. 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. 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. The third-party pricing vendors allowed the Company to confirm third-party market pricing and best execution. In May 2021, the Company, alongside private funds under the management of Angelo Gordon, participated through its unconsolidated ownership interest in MATT in a rated Non-QM Loan securitization, in which Non-QM Loans with a fair value of $ 171.4 million were securitized. 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 $ 25.7 million as of June 30, 2021. Subsequent to this transaction, MATT had securitized a majority of Non-QM Loans previously acquired and its remaining portfolio consisted primarily of the subordinate tranches retained from this securitization and past securitizations. During the current year, the Company has begun acquiring Non-QM Loans directly which are recorded in the "Residential mortgage loans, at fair value" line item on the consolidated balance sheets. 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. 11. Equity Reverse stock split On July 12, 2021, the Company announced that its board of directors approved a one-for-three reverse stock split of its outstanding shares of common stock. The reverse stock split was effected following the close of business on July 22, 2021. At the Effective Time, every three issued and outstanding shares of the Company’s common stock were converted into one share of the Company’s common stock. No fractional shares were issued in connection with the reverse stock split. Instead, each stockholder holding fractional shares was entitled to receive, in lieu of such fractional shares, cash in an amount determined based on the closing price of the Company's common stock on the date of the Effective Time. As a result, the number of common shares outstanding was reduced from 48,510,978 immediately prior to the Effective Time to 16,170,312 . The reverse stock split applied to all of the Company's outstanding shares of common stock and did not affect any stockholder’s ownership percentage of shares of the Company's common stock, except for immaterial changes resulting from the payment of cash for fractional shares. There was no change in the Company's authorized capital stock or par value of each share of common stock as a result of the reverse stock split. All per share amounts and common shares outstanding for all periods presented in the unaudited consolidated financial statements have been adjusted on a retroactive basis to reflect the Company's one-for-three reverse stock split. 42 AG Mortgage Investment Trust Inc. and Subsidiaries Notes to Consolidated Financial Statements (Unaudited) September 30, 2021 Stock repurchase programs On November 3, 2015, the Company’s Board of Directors authorized a stock repurchase program ("Repurchase Program") to repurchase up to $ 25.0 million of the Company's outstanding common stock. Such authorization does not have an expiration date. As part of the Repurchase Program, shares may be purchased in open market transactions, including through block purchases, through privately negotiated transactions, or pursuant to any trading plan that may be adopted in accordance with Rule 10b5-1 of the Exchange Act. Open market repurchases will be made in accordance with Exchange Act Rule 10b-18, which sets certain restrictions on the method, timing, price and volume of open market stock repurchases. Subject to applicable securities laws, the timing, manner, price and amount of any repurchases of common stock under the Repurchase Program may be determined by the Company in its discretion, using available cash resources. Shares of common stock repurchased by the Company under the Repurchase Program, if any, will be cancelled and, until reissued by the Company, will be deemed to be authorized but unissued shares of its common stock as required by Maryland law. The Repurchase Program may be suspended or discontinued by the Company at any time and without prior notice and the authorization does not obligate the Company to acquire any particular amount of common stock. The cost of the acquisition by the Company of shares of its own stock in excess of the aggregate par value of the shares first reduces additional paid-in capital, to the extent available, with any residual cost applied against retained earnings. 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 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 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. Shelf registration statement On May 7, 2021, the Company filed a new shelf registration statement, registering up to $ 1.0 billion of its securities, including capital stock (the "2021 Registration Statement"). The 2021 Registration Statement became effective on May 26, 2021 and will expire on May 28, 2024. Upon effectiveness of the 2021 Registration Statement, the Company's previous registration statement filed in 2018 was terminated. Preferred stock The Company 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 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. 43 AG Mortgage Investment Trust Inc. and Subsidiaries Notes to Consolidated Financial Statements (Unaudited) 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 Date (2) Rate (3)(4) Series A Preferred Stock August 3, 2012 1,663 $ 40,110 $ 41,580 August 3, 2017 8.25 % Series B Preferred Stock September 27, 2012 3,728 90,187 93,191 September 17, 2017 8.00 % Series C Preferred Stock September 17, 2019 3,729 90,175 93,220 September 17, 2024 8.000 % Total 9,120 $ 220,472 $ 227,991 (1) The Company's Preferred Stock has a liquidation preference of $ 25.00 per share. (2) Shares have no stated maturity and are not subject to any sinking fund or mandatory redemption. Shares of the Company’s Preferred Stock are redeemable at $ 25.00 per share plus accumulated and unpaid dividends (whether or not declared) exclusively at the Company’s option. Shares of the Company's Series C Preferred Stock may be redeemable earlier than the optional redemption date under certain circumstances intended to preserve its qualification as a REIT for Federal income tax purposes. (3) The initial dividend rate for the Series C Preferred Stock, from and including the date of original issue to, but not including, September 17, 2024, is 8.000 % per annum of the $ 25.00 per share liquidation preference. On and after September 17, 2024, dividends on the Series C Preferred Stock will accumulate at a percentage of the $ 25.00 liquidation preference equal to an annual floating rate of the then three-month LIBOR plus a spread of 6.476 % per annum. (4) Dividends are payable quarterly in arrears on the 17th day of each March, June, September and December and holders are entitled to receive cumulative cash dividends at the respective state rate per annum before holders of common stock are entitled to receive any cash dividends. The Company's Series A Preferred Stock, Series B Preferred Stock, and Series C Preferred Stock generally do not have any voting rights, subject to an exception in the event the Company fails to pay dividends on such stock for six or more quarterly periods (whether or not consecutive). Under such circumstances, holders of the Company's Series A Preferred Stock, Series B Preferred Stock, and Series C Preferred Stock voting together as a single class with the holders of all other classes or series of its preferred stock upon which like voting rights have been conferred and are exercisable and which are entitled to vote as a class with the Company's Series A Preferred Stock, Series B Preferred Stock, and Series C Preferred Stock will be entitled to vote to elect two additional directors to the Company’s Board of Directors until all unpaid dividends have been paid or declared and set apart for payment. In addition, certain material and adverse changes to the terms of any series of the Company's Series A Preferred Stock, Series B Preferred Stock, and Series C Preferred Stock cannot be made without the affirmative vote of holders of at least two-thirds of the outstanding shares of the series of the Company's Series A Preferred Stock, Series B Preferred Stock, and Series C Preferred Stock whose terms are being changed. Exchange offers On August 14, 2020, the Company announced the commencement of an offer to exchange newly issued shares of common stock for up to 250,470 shares of its Series A Preferred Stock, up to 556,600 shares of its Series B Preferred Stock, and up to 556,600 shares of its Series C Preferred Stock. This offer had an expiration date of September 11, 2020. 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. 44 AG Mortgage Investment Trust Inc. and Subsidiaries 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 — 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 On September 24, 2020, the Company issued (i) 405,123 shares of common stock to the Manager in full satisfaction of the deferred base management fee of $ 3.8 million payable by the Company in respect to the first and second quarters of 2020 and (ii) 51,500 shares of common stock in satisfaction of $ 0.5 million of the base management fee payable by the Company in respect to the third quarter of 2020. The shares of Common Stock issued to the Manager were valued at $ 9.45 per share based on the midpoint of the estimated range of the Company’s book value per share as of August 31, 2020. The remaining third quarter management fee was paid in the normal course of business. Refer to Note 10 for more information on this transaction. 12. Commitments and Contingencies From time to time, the Company may become involved in various claims and legal actions arising in the ordinary course of business. As of September 30, 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. v. RBC (Barbados) Trading Corp. et al . , 20-cv-2547, U.S. District Court, Southern District of New York) . On March 31, 2020, the Company withdrew, as moot, its request for injunctive relief in the complaint based on the court's ruling on March 25, 2020 relating to the sale at issue. As previously disclosed in a Form 8-K filed with the SEC on June 2, 2020, the Company entered into a settlement agreement with RBC on May 28, 2020, pursuant to which the Company and RBC mutually released each other from further claims related to the repurchase agreements at issue. As part of the settlement, and to resolve all claims by either party under the repurchase agreements, the Company paid RBC $ 5.0 million in cash and issued to RBC a secured promissory note in the principal amount of $ 2.0 million. On June 11, 2020, the Company repaid the secured promissory note due to RBC in full. The Company recognized this settlement in the "Net realized gain/(loss)" line item on the consolidated statement of operations in the second quarter of 2020. As a result, the Company has satisfied all of its payment obligations to RBC under the settlement agreement and promissory note, and, as previously reported, the federal lawsuit has been voluntarily dismissed with prejudice. For the year ended December 31, 2020, the Company recorded a loss of $ 11.6 million related to deficiencies asserted by other counterparties. The Company recognized these losses in the "Net realized gain/(loss)" line item on the consolidated statement of operations. As of August 2020, MITT resolved and settled all deficiency claims with lenders. 45 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 GSE Non-Owner Occupied Loans (a) Various $ 150,088 $ 26,147 $ 123,941 LOTS (b) Various 23,644 16,623 7,021 MATH (b) January 29, 2021 22,295 — 22,295 Total $ 196,027 $ 42,770 $ 153,257 (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. 13. Subsequent Events 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. 46