What changed in this filing

/stocks — the workspaceLOADING

Item 8. Financial Statements and Supplementary Data

2022-02-25 compared with 2021-02-23 · 887 added, 1128 removed, 860 unchanged (70% of the section changed)

1 unchanged sentence

Index to Financial Statements

Report of Independent Registered Public Accounting Firm

Report of Independent Registered Public Accounting Firm (PCAOB ID 238 )

Consolidated Balance Sheets as of December 31, 2021 and December 31, 2020

35 unchanged sentences

The communication of critical audit matters does not alter in any way our opinion on the consolidated financial statements, taken as a whole, and we are not, by communicating the critical audit matter below, providing a separate opinion on the critical audit matter or on the accounts or disclosures to which it relates.

Fair Value of Investments in Certain Residential Mortgage Loans, Commercial Loans, and Non-QM Loans

As described in Notes 2 and 5 to the consolidated financial statements, the Company’s investments in residential mortgage loans, commercial loans, and non-qualified mortgage (Non-QM) loans are measured at fair value.

The Company’s consolidated balances as of December 31, 2020 for residential mortgage loans and commercial loans were $435.4 million and $125.5 million, respectively.

The Company’s consolidated balances in residential mortgage (referred to as Re/Non-Performing) loans and Non-QM loans held through their investment in debt and equity of affiliates were $41.5 million and $153.2 million, respectively, as of December 31, 2020.

When possible, management determines fair value using third-party data sources.

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

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

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, recovery rates, and, for commercial loans, loan-to-value ratios.

The principal considerations for our determination that performing procedures relating to the fair value of investments in certain residential mortgage loans, commercial loans, and Non-QM loans is a critical audit matter are (i) the significant judgment by management to develop the fair value measurements of residential mortgage loans, commercial loans, and Non-QM loans, which in turn led to (ii) a high degree of auditor judgment, subjectivity, and effort in performing procedures and evaluating the significant assumptions related to market-implied discount rates, projections of default rates, delinquency rates, prepayment rates, loss severity, and, for commercial loans, loan-to-value ratios, and (iii) the audit effort involved the use of professionals with specialized skill and knowledge.

Fair Value of Investments in Certain Residential Mortgage Loans

As described in Notes 2 and 5 to the consolidated financial statements, the Company’s investments in residential mortgage loans are measured at fair value.

The Company’s residential mortgage loans and securitized residential mortgage loans included in its consolidated balances and held through its investments in debt and equity of affiliates (referred to as Non-QM Loans and Re/Non-Performing Loans) were $1,477 million, $1,158 million and $55.1 million, respectively, as of December 31, 2021.

The valuation of the Company’s residential mortgage loans is determined by Management using third-party pricing services where available, valuation analyses from third-party pricing service providers, or model-based pricing.

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

Management uses loan level data and macro-economic inputs to generate loss adjusted cash flows and other information in determining the fair value.

The variables considered most significant to the determination of the fair value of the Company's residential mortgage loans include market-implied discount rates, projections of default rates, delinquency rates, prepayment rates, loss severity, recovery rates, reperformance rates, and timeline to liquidation.

The principal considerations for our determination that performing procedures relating to the fair value of investments in certain residential mortgage loans is a critical audit matter are (i) the significant judgment by management to develop the fair value measurements of residential mortgage loans, which in turn led to (ii) a high degree of auditor judgment, subjectivity, and effort in performing procedures and evaluating the significant assumptions related to market-implied discount rates, projections of default rates, delinquency rates, prepayment rates, and loss severity, and (iii) the audit effort involved the use of professionals with specialized skill and knowledge.

Addressing the matter involved performing procedures and evaluating audit evidence in connection with forming our overall opinion on the consolidated financial statements.

These procedures included testing the effectiveness of controls relating to the valuation of the residential mortgage loans, commercial loans, and Non-QM loans, including controls over the prices received from an independent third-party pricing service, data inputs, and significant assumptions.

These procedures also included, among others (i) developing an independent estimate of the value for certain investments by obtaining independent pricing from third party vendors and comparing those prices to prices used by management and (ii) the involvement of professionals with specialized skill and knowledge to assist in developing an independent range of prices for a sample of residential mortgage loans, commercial loans, and Non-QM loans and comparing the independent estimate to management’s estimate to evaluate the reasonableness of management’s estimate.

Developing the independent estimate involved (i) testing the data provided by management and (ii) independently developing the assumptions related to market-implied discount rates, projections of default rates, delinquency rates, prepayment rates, loss severity, and, for commercial loans, loan-to-value ratios by utilizing data obtained from market sources and observable transactions under a variety of macroeconomic scenarios.

These procedures included testing the effectiveness of controls relating to the valuation of the residential mortgage loans, including controls over the prices received from an independent third-party pricing service, data inputs, and significant assumptions.

These procedures also included, among others (i) developing an independent estimate of the value for certain investments by obtaining independent pricing from third party vendors and comparing those prices to prices used by management and (ii) the involvement of professionals with specialized skill and knowledge to assist in developing an independent range of prices for a sample of residential mortgage loans and comparing the independent estimate to management’s estimate to evaluate the reasonableness of management’s estimate.

Developing the independent estimate involved (i) testing the data provided by management and (ii) independently developing the assumptions related to market-implied discount rates, projections of default rates, delinquency rates, prepayment rates, and loss severity, by utilizing data obtained from market sources and observable transactions under a variety of macroeconomic scenarios.

/s/ PricewaterhouseCoopers LLP

7 unchanged sentences

December 31, 2021 December 31, 2020

Real estate securities, at fair value:

Agency - $ 460,949 and $ 2,234,921 pledged as collateral, respectively

$ 518,352 $ 2,315,439

Non-Agency - $ 28,653 and $ 682,828 pledged as collateral, respectively (1)

38,406 717,470

CMBS - $ 42,669 and $ 413,922 pledged as collateral, respectively

56,788 416,923

Residential mortgage loans, at fair value - $ 1,469,358 and $ 0 pledged as collateral, respectively

$ 1,476,972 $ 8,837

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

Securitized residential mortgage loans, at fair value - $ 119,947 and $ 46,571 pledged as collateral, respectively (1)

1,158,134 426,604

Real estate securities, at fair value - $ 444,481 and $ 532,271 pledged as collateral, respectively

514,470 613,546

Commercial loans, at fair value — 111,549

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

Investments in debt and equity of affiliates 92,023 150,667

Excess mortgage servicing rights, at fair value 3,158 17,775

Cash and cash equivalents 68,079 47,926

1 unchanged sentence

Other assets 20,900 12,565

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

Total Assets $ 3,362,728 $ 1,400,045

1 unchanged sentence

Securitized debt, at fair value (1) 999,215 355,159

Dividend payable 1,243 14,734

Payable on unsettled trades — 51,136

Dividend payable 5,021 1,243

Other liabilities 10,369 18,755

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

Total Liabilities 2,792,348 990,340

1 unchanged sentence

Stockholders' Equity

Preferred stock - $ 0.01 par value;

50,000 shares authorized:

8.25 % Series A Cumulative Redeemable Preferred Stock, 1,817 and 2,070 shares issued and outstanding at December 31, 2020 and December 31, 2019, respectively ($ 45,413 and $ 51,750 aggregate liquidation preference, respectively)

43,808 49,921

8.00 % Series B Cumulative Redeemable Preferred Stock, 4,165 and 4,600 shares issued and outstanding at December 31, 2020 and December 31, 2019, respectively ($ 104,118 and $ 115,000 aggregate liquidation preference, respectively)

100,762 111,293

8.000 % Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, 3,883 and 4,600 shares issued and outstanding at December 31, 2020 and December 31, 2019, respectively ($ 97,079 and $ 115,000 aggregate liquidation preference, respectively)

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

220,472 238,478

5 unchanged sentences

Total Liabilities & Stockholders' Equity $ 3,362,728 $ 1,400,045

(1) These balances relate to certain residential mortgage loans which were securitized resulting in the Company consolidating the variable interest entities that were created to facilitate these transactions as the Company was determined to be the primary beneficiary.

See Note 3 for additional details.

(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 consolidated financial statements.

(1) See Notes 3 and 4 for details related to variable interest entities.

AG Mortgage Investment Trust, Inc.

8 unchanged sentences

Other Income/(Loss)

Net realized gain/(loss) ( 256,522 ) ( 50,822 )

Net interest component of interest rate swaps ( 4,862 ) 731

Unrealized gain/(loss) on real estate securities and loans, net ( 159,466 ) 83,832

Unrealized gain/(loss) on derivative and other instruments, net ( 10,347 ) ( 312 )

Foreign currency gain/(loss), net 1,528 ( 2,512 )

Other income 6 1,182

Net realized gain/(loss) 1,698 ( 256,522 )

Net unrealized gain/(loss) 62,699 ( 169,813 )

Other income/(loss), net 37 1,534

Total Other Income/(Loss) 59,572 ( 424,070 )

1 unchanged sentence

Other operating expenses 13,357 15,911

Transaction related expenses 7,328 ( 1,235 )

Restructuring related expenses — 10,200

Equity based compensation to affiliate 163 349

Excise tax — ( 815 )

20 unchanged sentences

Diluted 16,234 11,730

(1) The year ended December 31, 2019 includes cumulative and undeclared dividends of $ 0.4 million on the Company's 8.000 % Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock as of December 31, 2019.

(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 consolidated financial statements.

3 unchanged sentences

(in thousands)

Common Stock 8.25% Series A

Preferred Stock 8.00% Series B

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

Preferred Stock Additional

Common Stock (1) Preferred Stock Additional

Paid-in Capital (1) Retained

3 unchanged sentences

Net proceeds from issuance of common stock 1,150 12 — 11,321 — 11,333

Net proceeds from issuance of preferred stock — — — — 111,243 — — 111,243

Grant of restricted stock and amortization of equity based compensation 49 — — 582 — 582

Common dividends declared — — — — ( 1,243 ) ( 1,243 )

Preferred Series A dividends declared — — — — — — ( 4,269 ) ( 4,269 )

Preferred Series B dividends declared — — — — — — ( 9,200 ) ( 9,200 )

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

Preferred dividends declared — — — — ( 20,549 ) ( 20,549 )

Exchange Offers (Note 11) 1,699 17 ( 33,979 ) 14,843 10,574 ( 8,545 )

Net Income/(Loss) — — — — ( 420,919 ) ( 420,919 )

2 unchanged sentences

Net proceeds from issuance of common stock 9,022 90 — 93,044 — 93,134

Grant of restricted stock and amortization of equity based compensation 147 1 — — — 581 — 582

Repurchase of common stock ( 320 ) ( 3 ) — ( 3,552 ) — ( 3,555 )

Grant of restricted stock 27 — — 320 — 320

Common dividends declared — — — — ( 14,560 ) ( 14,560 )

Preferred Series A dividends declared — — — — — — ( 3,877 ) ( 3,877 )

Preferred Series B dividends declared — — — — — — ( 8,547 ) ( 8,547 )

Preferred Series C dividends declared — — — — — — ( 8,125 ) ( 8,125 )

Preferred dividends declared — — — — ( 18,840 ) ( 18,840 )

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

1 unchanged sentence

Balance at December 31, 2021 23,908 $ 239 $ 220,472 $ 796,469 $ ( 446,800 ) $ 570,380

(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 consolidated financial statements.

11 unchanged sentences

Net realized (gain)/loss ( 1,698 ) 256,522

Unrealized (gain)/loss on real estate securities and loans, net 159,466 ( 83,832 )

Unrealized (gain)/loss on derivative and other instruments, net 10,347 312

Net unrealized gain/(loss) ( 62,699 ) 169,813

Foreign currency (loss) gain, net ( 14 ) ( 1,528 )

2 unchanged sentences

(Income) loss from equity method investments, net of distributions received

( 14,283 ) 11,057

Change in operating assets/liabilities:

5 unchanged sentences

Cash Flows from Investing Activities

Purchase of real estate securities ( 502,801 ) ( 2,090,705 )

Purchase of residential mortgage loans ( 2,472,393 ) ( 541,823 )

Purchase of real estate securities ( 924,663 ) ( 502,801 )

Purchase of commercial loans ( 1,881 ) ( 10,560 )

Origination of commercial loans ( 3,219 ) ( 22,694 )

Purchase of U.S.

treasury securities — ( 81,917 )

Investments in debt and equity of affiliates ( 6,914 ) ( 46,363 )

Proceeds from sale of real estate securities 2,731,163 1,240,701

Proceeds from sale of residential mortgage loans 139,908 393,950

Proceeds from sale of real estate securities 893,505 2,731,163

Proceeds from sale of commercial loans 74,579 36,935

Proceeds from sale of excess mortgage servicing rights 2,246 8,038

Proceeds from sales of U.S.

treasury securities — 82,048

Distributions received in excess of income from investments in debt and equity of affiliates 85,145 30,614

Principal repayments on real estate securities 111,703 385,865

Principal repayments on excess mortgage servicing rights 2,818 4,015

Principal repayments on residential mortgage loans 147,710 63,882

Principal repayments on real estate securities 67,848 111,703

Principal repayments on commercial loans 70,232 6,369

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

Net proceeds from (payment made on) sales of securities borrowed under reverse repurchase agreements 30 ( 11,479 )

Principal repayments on excess mortgage servicing rights 503 2,818

Net settlement of interest rate swaps and other instruments 22,323 ( 72,484 )

1 unchanged sentence

Cash flows provided by (used in) other investing activities 3,996 98

Net cash provided by (used in) continuing investing activities 2,193,455 ( 882,447 )

Net cash provided by (used in) discontinued investing activities — 135,484

Net cash provided by (used in) investing activities ( 1,899,691 ) 2,193,455

1 unchanged sentence

Net proceeds from issuance of common stock 93,134 7,018

Net proceeds from issuance of preferred stock — 111,243

Cash paid on Exchange Offers ( 8,007 ) —

Repurchase of common stock ( 3,555 ) —

Cash paid on Exchange Offers (Note 11) — ( 8,007 )

Borrowings under financing arrangements 19,693,957 14,689,972

Repayments of financing arrangements ( 18,480,261 ) ( 17,014,635 )

December 31, 2020 December 31, 2019

Deferred financing costs paid ( 977 ) —

Borrowings under secured debt — 20,000

1 unchanged sentence

Proceeds from issuance of securitized debt 812,540 166,487

December 31, 2021 December 31, 2020

Principal repayments on securitized debt ( 163,922 ) ( 29,312 )

Net collateral received from (paid to) derivative counterparty — ( 1,465 )

Net collateral received from (paid to) repurchase counterparty — ( 46,740 )

1 unchanged sentence

Dividends paid on preferred stock ( 18,840 ) ( 20,549 )

Net cash provided by continuing financing activities ( 2,260,500 ) 825,695

Net cash provided by discontinued financing activities — ( 103,000 )

Net cash provided by (used in) financing activities 1,911,294 ( 2,260,500 )

27 unchanged sentences

AG Mortgage Investment Trust, Inc.

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

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

Residential mortgage-backed securities ("RMBS") include mortgage pass-through certificates or collateralized mortgage obligations ("CMOs") representing interests in or obligations backed by pools of residential mortgage loans issued or guaranteed by a U.S.

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

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

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

government or a U.S.

government-sponsored entity.

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

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

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

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

government agencies or U.S.

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

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

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

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 multiple commercial loans and multiple borrowers.

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

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

mortgages and are therefore subject to credit risk.

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

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

Commercial loans are 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 refers to its residential and commercial mortgage loans as "mortgage loans" or "loans."

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

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

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

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

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

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

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

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

See Note 13 for further details.

(the "Company") is a residential mortgage REIT with a focus on investing in a diversified risk-adjusted portfolio of residential mortgage-related assets in the U.S.

mortgage market.

The Company’s investment activities primarily include acquiring and securitizing newly-originated residential mortgage loans within the growing non-agency segment of the housing market.

The Company obtains its assets through Arc Home, LLC ("Arc Home"), a residential mortgage loan originator in which it owns an approximate 44.6 % interest, and through other third-party origination partners.

The Company’s assets, excluding its ownership in Arc Home, include Residential Investments and Agency RMBS.

Currently, its Residential Investments primarily consist of Non-QM Loans and GSE Non-Owner Occupied Loans.

The Company may invest in other types of residential mortgage loans and other mortgage related assets.

The Company also invests in Residential Investments through its unconsolidated ownership interest in affiliates which are included in the "Investments in debt and equity of affiliates" line item on its consolidated balance sheets.

The Company's asset classes are primarily comprised of the following:

Asset Class Description

Residential Investments

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

◦ These investments are included in the "Residential mortgage loans, at fair value" and "Securitized residential mortgage loans, at fair value" line items on its consolidated balance sheets.

GSE Non-Owner Occupied Loans

• 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.

◦ These investments are included in the "Residential mortgage loans, at fair value" line item on its consolidated balance sheets.

Re- and Non-Performing Loans

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

◦ These investments are included in the "Residential mortgage loans, at fair value" and "Securitized residential mortgage loans, at fair value" line items on its consolidated balance sheets.

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.

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

◦ These investments are included in the "Real estate securities, at fair value" line item on its consolidated balance sheets.

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.

◦ These investments are included in the "Real estate securities, at fair value" line item on its consolidated balance sheets.

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.

The Company was incorporated in the state of Maryland on March 1, 2011 and commenced operations in July 2011.

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

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

The Manager, pursuant to a delegation agreement dated as of June 29, 2011, has

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

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.

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements

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

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

On March 13, 2020, the U.S.

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

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

and world economies.

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

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

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

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

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

Although many of the government restrictions were relaxed over the summer and early fall of 2020, these conditions, or some level thereof, are expected to continue over the near term and may continue throughout 2021, depending on state and local outbreaks and the success of availability of an effective vaccine.

Beginning in mid-March 2020, the global pandemic associated with COVID-19 and related economic conditions caused financial and mortgage-related asset markets to come under extreme duress, resulting in credit spread widening, a sharp decrease in interest rates and unprecedented illiquidity in repurchase agreement financing and MBS markets.

In March 2020, the global novel coronavirus ("COVID-19") pandemic and the related economic conditions caused financial and mortgage-related asset markets to come under extreme duress, resulting in credit spread widening, a sharp decrease in interest rates and unprecedented illiquidity in repurchase agreement financing and mortgage-backed securities ("MBS") markets.

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

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

The full impact of COVID-19 on the mortgage REIT industry, the credit markets and, consequently, our financial condition and results of operations for future periods is uncertain and cannot be predicted at the current time as it depends on several factors beyond our control including, but not limited to (i) the uncertainty around the severity, duration and spread of the outbreak, (ii) the effectiveness of the United States and global public health response, (iii) the pandemic’s impact on the U.S.

and global economies, (iv) the timing, scope and effectiveness of additional governmental responses to the pandemic, including the availability of a treatment or vaccination for COVID-19, (v) the impact of government interventions, and (vi) the negative impact on our borrowers, asset values and cost of capital.

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

As a result, the full impact of COVID-19 on the mortgage REIT industry, credit markets, and, consequently, on the Company’s financial condition and results of operations for future periods remains uncertain.

Summary of significant accounting policies

The accompanying 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").

Certain reclassifications have been made to the prior year's consolidated financial statements to conform to the current period presentation, primarily the inclusion of additional detail on certain asset classes within the real estate securities portfolio given the Company's reduction in portfolio size.

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 December 31, 2021 and 2020, the Company reclassified Residential mortgage loans with an aggregate fair value of $ 1.2 billion and $ 426.6 million, respectively, into the "Securitized residential mortgage loans, at fair value" line item on the consolidated balance sheets.

As of December 31, 2021 and 2020, the Company reclassified Agency RMBS, Non-Agency RMBS, and CMBS with an aggregate fair value of $ 514.5 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 $ 3.2 million as of December 31, 2020 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 for the annual period of the Company’s financial position, results of operations and cash flows have been included and are of a normal and recurring nature.

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 includes cash invested in money market funds.

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

As of December 31, 2020, the Company held $ 47.9 million of cash and cash equivalents, no ne of which were cash equivalents.

As of December 31, 2019, the Company held $ 81.7 million of cash and cash equivalents, of which $ 53.2 million were cash equivalents.

The Company places its cash with high credit quality institutions to 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

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements

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

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

Offering costs

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

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

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

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

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

Use of estimates

1 unchanged sentence

Actual results may differ from those estimates.

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

Earnings/(Loss) per share

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

Diluted income per share takes into account the effect of dilutive instruments, such as stock options, warrants, unvested restricted stock and unvested restricted stock units but uses the average share price for the period in determining the number of incremental shares that are to be added to the weighted-average number of shares outstanding.

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

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.

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 the provisions of Accounting Standards Codification ("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.

2 unchanged sentences

• 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.

These may include quoted prices for similar assets and liabilities in active markets.

• Level 3 – Prices determined using significant unobservable inputs.

5 unchanged sentences

Notes to Consolidated Financial Statements

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

Among the data collected and analyzed were:

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

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

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

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

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

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

Accounting for real estate securities

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

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

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

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

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

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

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

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

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

Prior to the adoption of ASU 2016-13, the Company accounted for its securities under ASC 310 and ASC 325 and evaluated securities for other-than-temporary impairment ("OTTI") on at least a quarterly basis.

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

When the fair value of a real estate security was less than its amortized cost at the balance sheet date, the security was considered impaired, and the impairment was designated as either "temporary" or "other-than-temporary."

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

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

Additionally, for securities accounted for under ASC 325-40 an OTTI was deemed to have

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements

occurred when there was an adverse change in the expected cash flows to be received and the fair value of the security was less than its carrying amount.

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

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

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

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

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

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

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

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

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

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

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

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

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

Accounting for 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.

Investments in loans are recorded in accordance with ASC 310-10, "Receivables" and are classified as held-for-investment when the Company has the intent and ability to hold such loans for the foreseeable future or to maturity/payoff.

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.

Mortgage loans held-for-sale are accounted for under ASC 948-310, "Financial services—mortgage banking." Loans meeting all criteria for reclassification are presented separately on the consolidated balance sheets.

Transfers between held-for-investment and held-for-sale occur once the Company's intent to sell the loans changes.

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) on real estate securities and loans, net." The Company recognizes certain upfront costs and fees relating to loans for which the fair value option has been elected in current period earnings as incurred and does not defer those costs, which is in accordance with ASC 825-10-25.

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 "Net unrealized gain/(loss)." 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.

1 unchanged sentence

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.

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements

Mortgage loans that are delinquent 60 or more days are considered non-performing for purposes of this determination.

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.

2 unchanged sentences

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.

Refer to the "Recent Accounting Pronouncements" section below for more information on impairment recognition prior to the adoption of ASU 2016-13.

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.

On at least a quarterly basis, the Company evaluates the collectability of both principal and interest on its loans to determine whether they are impaired.

When a loan's cost basis is impaired, the Company does not record an allowance for loan loss as it elected the fair value option on all of its loan investments.

The Company accrues interest income on its loan portfolio.

Loans are typically moved to non-accrual status and income recognition is suspended if the loan becomes 90 days or more delinquent.

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

Accounting for real estate securities

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

Real estate securities are recorded at fair value on the consolidated balance sheets and the periodic change in fair value is recorded in current period earnings on the consolidated statement of operations as a component of "Net unrealized gain/(loss)." Purchases and sales of real estate securities are recorded on the trade date.

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 Non-Agency RMBS and loans is limited to recognition of effective

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements

The Company measures its Non-Agency RMBS 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.

Investments in debt and equity of affiliates

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

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

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

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

The Company’s unconsolidated ownership interests in affiliates are accounted for using the equity method in accordance with ASC 323, "Investments – Equity Method and Joint Ventures." 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.

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.

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

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

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

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

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

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

Arc Home is led by an external management team.

2 unchanged sentences

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

From time to time, the Company acquires newly originated non-agency loans from Arc Home.

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 resulting in unrealized gains.

For the year ended December 31, 2021, the Company eliminated $ 5.3 million of intra-entity profits recognized by Arc Home and also decreased the cost basis of the underlying loans by the same amount in connection with loan sales to the Company.

The Company did not purchase any loans from Arc Home during the year ended December 31, 2020 and, as a result, it did no t eliminate any intra-entity profits during the year ended December 31, 2020.

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

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

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

The Company has an approximate 44.6 % interest in MATH.

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 December 31, 2021, MATT primarily holds retained tranches from past securitizations which continue to reduce in size due to ongoing principal repayments and the Company does not expect to acquire additional investments within this equity method investment.

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").

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

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

The LOTS investments continue to reduce in size due to ongoing principal repayments and the Company does not expect to originate new loans within this equity method investment.

Investment consolidation

In variable interest entities ("VIEs"), an entity is subject to consolidation under ASC 810-10, "Consolidation" 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

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements

The below table reconciles the fair value of investments to the "Investments in debt and equity of affiliates" line item on the Company's consolidated balance sheet and the net income/(loss) to the "Equity in earnings/(loss) from affiliates" line item on the Company's consolidated statement of operations (in thousands).

December 31, 2020 December 31, 2019

Assets Liabilities Equity Net Income/(Loss) Assets Liabilities Equity Net Income/(Loss)

Non-QM Loans (1) $ 153,200 $ ( 111,135 ) $ 42,065 $ ( 26,511 ) $ 254,276 $ ( 200,257 ) $ 54,019 $ 6,024

Land Related Financing 22,824 — 22,824 2,620 16,979 — 16,979 844

Other (2) 41,940 ( 5,588 ) 36,352 ( 998 ) 101,871 ( 56,811 ) 45,060 10,426

Real Estate Securities and Loans, at fair value $ 217,964 $ ( 116,723 ) $ 101,241 $ ( 24,889 ) $ 373,126 $ ( 257,068 ) $ 116,058 $ 17,294

AG Arc, at fair value 45,341 — 45,341 23,260 28,546 — 28,546 ( 9,650 )

Cash and Other assets/(liabilities) 5,279 ( 1,194 ) 4,085 — 12,953 ( 1,246 ) 11,707 —

Investments in debt and equity of affiliates $ 268,584 $ ( 117,917 ) $ 150,667 $ ( 1,629 ) $ 414,625 $ ( 258,314 ) $ 156,311 $ 7,644

(1) As of December 31, 2020, Non-QM Loans excluded loans with an unpaid principal balance of $ 17.3 million whereby an affiliate of MATT has the right, but not the obligation, to repurchase loans from a trust that are 90 days or more delinquent at its discretion.

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

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

The Company’s investments in debt and equity of affiliates are recorded at fair value on the consolidated balance sheets in the "Investments in debt and equity of affiliates" line item and periodic changes in fair value are recorded in current period earnings on the consolidated statement of operations as a component of "Equity in earnings/(loss) from affiliates." Capital contributions, distributions and profits and losses of such entities are allocated in accordance with the terms of the applicable agreements.

Investment consolidation and transfers of financial assets

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

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

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

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

4 unchanged sentences

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

See Note 3 and Note 4 for more detail.

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

3 unchanged sentences

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

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements

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

The transferred assets were recorded as a secured borrowing.

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

As of December 31, 2020, the Company did not hold any interest in the December 2014 VIE.

In connection with the deconsolidation that occurred during the current period, the Company recorded a realized gain of $ 2.1 million.

See Note 3 below for more detail.

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

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

As of December 31, 2020, the Company did not hold any interest in the August 2018 VIE.

In connection with the deconsolidation that occurred during the current period the Company recorded a loss of $ 8.3 million.

See Note 3 below as well as the "Investments in debt and equity of affiliates" section above for more detail.

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

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

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

The Company enters into securitization transactions of certain of its residential mortgage loans, which may result 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 may conclude that the VIEs should be consolidated and, as a result, transferred assets of these VIEs would be 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.

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

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

See Note 4 for more detail regarding these VIEs.

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

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 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 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.

Transfers of financial assets

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.

Pursuant to ASC 860-10, "Transfers and Servicing" 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.

2 unchanged sentences

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

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

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

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

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements

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.

2 unchanged sentences

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."

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements

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.

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

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

On at least a quarterly basis for securities accounted for under ASC 320-10 and ASC 310-20 (generally Agency RMBS, exclusive of interest-only securities), prepayments of the underlying collateral must be estimated, which directly affect the speed at which the Company amortizes premiums on its securities.

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

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

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.

Restricted cash

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

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

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

Financing arrangements

3 unchanged sentences

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

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

The Company pledges certain loans or securities 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.

In response to declines in fair value of assets pledged under repurchase agreements and revolving facilities, lenders may require the Company to post additional collateral or pay down borrowings to re-establish agreed upon collateral requirements, referred to as margin calls.

As of December 31, 2020 and December 31, 2019, the Company had met all margin call requirements.

On March 20, 2020, the Company notified its financing counterparties that it did not expect to be in a position to fund the anticipated volume of future margin calls under its financing arrangements in the near term as a result of market disruptions created by the COVID-19 pandemic.

During this period of market upheaval, the Company engaged in discussions with its

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 December 31, 2021 and 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

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements

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

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

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

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

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

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

events of default and any and all other defaults under the applicable financing arrangement (each, a “Bilateral Agreement”) for the period ending June 15, 2020.

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

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

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

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

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

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

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

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

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

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

Refer to Note 12 for more information on deficiencies, all of which have been settled.

Dividends on Preferred Stock

Holders of the Company’s Series A Preferred Stock, Series B Preferred Stock and Series C Preferred Stock are entitled to receive cumulative cash dividends at a rate of 8.25 %, 8.00 % and 8.000 % per annum, respectively, of the $ 25.00 per share liquidation preference for each series.

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

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

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.

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.

Accounting for derivative financial instruments

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

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 December 31, 2020 and December 31, 2019, the Company did not have any interest rate

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements

derivatives designated as hedges.

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

As of December 31, 2021 and 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 "Net unrealized gain/(loss)."

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.

In addition, the CCPs require market participants to deposit and maintain an "initial margin" amount which is determined by the

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements

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.

3 unchanged sentences

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

Non-exchange traded derivatives were not affected by these legal interpretations and continue to be reported at fair value including accrued interest.

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.

Earnings/(Loss) per share

In accordance with 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.

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.

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

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.

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

For loan and security 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.

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements

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 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 (the "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 (the "nonaccretable difference") not be recognized as an adjustment of yield.

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.

Realized gains and losses

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.

Manager compensation

The management agreement provides for payment to the Manager of a management fee.

The management fee is accrued and expensed during the period for which it is earned.

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.

5 unchanged sentences

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) and necessitate a distribution to stockholders.

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.

1 unchanged sentence

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

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.

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements

qualification, it does not generally expect to pay federal or state corporate income tax.

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

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

1 unchanged sentence

See Note 9 for further details.

Deal related performance fees

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

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

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

Stock-based compensation

The Company applies the provisions of ASC 718, "Compensation—Stock Compensation" with regard to its equity incentive plans.

ASC 718 covers a wide range of share-based compensation arrangements including stock options, restricted stock plans, performance-based awards, stock appreciation rights and employee stock purchase plans.

ASC 718 requires that compensation cost relating to stock-based payment transactions be recognized in the financial statements.

Compensation cost related to restricted common shares and restricted stock units issued to the Company’s directors and the Manager are measured at its estimated fair value at the grant date, and is amortized and expensed over the vesting period on a straight-line basis.

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.

Restricted stock units are measured at fair value reduced by the present value of the dividends expected to be paid on the underlying shares during the requisite service period, discounted at an assumed risk free rate.

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 consolidated financial statements have been adjusted on a retroactive basis to reflect the Company's reverse stock split.

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.

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.

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

Offering costs

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

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

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

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

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

Recent accounting pronouncements

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

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

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

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

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

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

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

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

See the "Accounting for real estate securities" and "Interest income recognition" sections above for more detail.

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

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

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

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements

to be discontinued.

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

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

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

1 unchanged sentence

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

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

While the Company is currently assessing the

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements

impact of this ASU, the Company does not expect the adoption to have a material impact on the Company's consolidated financial statements.

Residential mortgage loans

The table below details information regarding the Company’s residential mortgage loan portfolio as of December 31, 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

December 31, 2021

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

Residential mortgage loans, at fair value

Non-QM Loans $ 987,290 $ 35,647 $ 1,022,937 $ 9,336 $ ( 1,458 ) $ 1,030,815 4.75 % 3.76 % 5.01

GSE Non-Owner Occupied Loans 429,424 10,039 439,463 1,723 ( 349 ) 440,837 3.64 % 3.19 % 6.84

Re- and Non-Performing Loans 6,528 ( 3,536 ) 2,992 2,328 — 5,320 N/A 31.18 % 2.24

Total Residential mortgage loans, at fair value $ 1,423,242 $ 42,150 $ 1,465,392 $ 13,387 $ ( 1,807 ) $ 1,476,972 4.41 % 3.69 % 5.55

Securitized residential mortgage loans, at fair value (2)

Non-QM Loans $ 777,828 $ 30,739 $ 808,567 $ 5,821 $ ( 1,005 ) $ 813,383 5.13 % 3.96 % 4.50

Re- and Non-Performing Loans 377,923 ( 44,971 ) 332,952 14,914 ( 3,115 ) 344,751 3.55 % 5.90 % 7.17

Total Securitized residential mortgage loans, at fair value $ 1,155,751 $ ( 14,232 ) $ 1,141,519 $ 20,735 $ ( 4,120 ) $ 1,158,134 4.61 % 4.53 % 5.37

Total as of December 31, 2021

$ 2,578,993 $ 27,918 $ 2,606,911 $ 34,122 $ ( 5,927 ) $ 2,635,106 4.50 % 4.06 % 5.47

Unpaid Principal Balance Gross Unrealized Weighted Average

December 31, 2020

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

Residential mortgage loans, at fair value

Re- and Non-Performing Loans $ 19,634 $ ( 12,702 ) $ 6,932 $ 1,905 $ — $ 8,837 1.15 % 9.72 % 3.98

Securitized residential mortgage loans, at fair value (2)

Re- and Non-Performing Loans $ 481,346 $ ( 56,305 ) $ 425,041 $ 11,735 $ ( 10,172 ) $ 426,604 3.58 % 5.61 % 6.78

Total as of December 31, 2020

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

(1) This is based on projected life.

Typically, actual maturities are shorter than stated contractual maturities.

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

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

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements

The following tables present information regarding credit quality of the Company's Residential mortgage loans ($ in thousands).

December 31, 2021

Unpaid Principal Balance Weighted Average (1) Aging by Unpaid Principal Balance (1)(2)

Loan Count (1) Original LTV Ratio Current FICO (3) Current 30-59 Days 60-89 Days 90+ Days

Residential mortgage loans

Non-QM Loans $ 987,290 1,886 69.39 % 737 $ 967,910 $ 9,101 $ 1,630 $ 8,649

GSE Non-Owner Occupied Loans 429,424 1,339 65.44 % 754 425,594 3,830 — —

Re- and Non-Performing Loans 6,528 N/A N/A N/A N/A N/A N/A N/A

Securitized residential mortgage loans

Non-QM Loans 777,828 1,562 68.03 % 733 767,734 6,495 1,036 2,563

Re- and Non-Performing Loans 377,923 2,540 79.20 % 639 256,094 35,974 12,324 73,531

Total $ 2,578,993 7,327 69.76 % 723 $ 2,417,332 $ 55,400 $ 14,990 $ 84,743

(1) Loan count, weighted average, and aging data excludes the Re- and Non-Performing Loans subcategory of Residential mortgage loans above as there may be limited data available regarding the underlying collateral of these residual positions.

(2) As of December 31, 2021, the Company had residential mortgage loans that were 90+ days delinquent and loans in the process of foreclosure with a fair value of $ 47.4 million and $ 29.0 million, respectively.

(3) Weighted average current FICO excludes borrowers where FICO scores were not available.

December 31, 2020

Unpaid Principal Balance Weighted Average (1) Aging by Unpaid Principal Balance (1)(2)

Loan Count (1) Original LTV Ratio Current FICO (3) Current 30-59 Days 60-89 Days 90+ Days

Re- and Non-Performing Loans $ 19,634 1 62.24 % 583 $ 142 $ — $ — $ —

Securitized Re- and Non-Performing Loans 481,346 3,272 78.90 % 627 285,878 44,288 25,255 125,925

Total Residential loans $ 500,980 3,273 78.90 % 627 286,020 44,288 25,255 125,925

(1) Loan count, weighted average, and aging data excludes certain positions within the Re- and Non-Performing Loans subcategory of Residential mortgage loans above as there may be limited data available regarding the underlying collateral of these residual positions.

(2) As of December 31, 2020, the Company had residential mortgage loans that were 90+ days delinquent and loans in the process of foreclosure with a fair value of $ 70.2 million and $ 37.1 million, respectively.

(3) Weighted average current FICO excludes borrowers where FICO scores were not available.

During the year ended December 31, 2021, the Company purchased Non-QM Loans and GSE Non-Owner Occupied Loans, as detailed below ($ in thousands).

A portion of these loans were purchased from Arc Home.

See Note 10 for more detail.

Unpaid Principal Balance Fair Value

Non-QM Loans $ 1,935,657 $ 2,018,491

GSE Non-Owner Occupied Loans 436,678 448,335

During the years ended December 31, 2021 and December 31, 2020, the Company sold Non-QM Loans and Re- and Non-Performing Loans, as detailed below ($ in thousands).

Number of Loans Proceeds Realized Gains Realized Losses

Year Ended December 31, 2021

Non-QM Loans (1) 150 $ 91,952 $ — $ ( 1,304 )

Re- and Non-Performing Loans 1 1,604 626 —

Securitized Re- and Non-Performing Loans 380 46,352 7,601 ( 769 )

Year Ended December 31, 2020

Re- and Non-Performing Loans 2,412 397,902 1,928 ( 59,273 )

(1) These Non-QM Loans were sold into an unconsolidated securitization trust.

Certain senior tranches in the securitization were sold to third-parties with the Company retaining the subordinate tranches, which are included within the "Real estate securities, at fair value" line item on its consolidated balance sheets.

The Company participated in this securitization alongside a private fund under the management of Angelo Gordon.

See Note 10 for more detail.

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements

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 as of December 31, 2021 and 2020 and includes states where the exposure is greater than 5% of the fair value the Company's residential mortgage loan portfolio:

Geographic Concentration of Credit Risk (1) December 31, 2021 December 31, 2020

California 35 % 17 %

New York 15 % 10 %

Florida 11 % 11 %

New Jersey 6 % 6 %

(1) 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.

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

The following is a summary of the changes in the accretable portion of the discount for the Company’s securitized re-performing and non-performing loan portfolios for the years ended December 31, 2021 and 2020, which is determined by the Company’s estimate of undiscounted principal expected to be collected in excess of the amortized cost of the mortgage loan (in thousands).

December 31, 2021 December 31, 2020

Beginning Balance $ 56,907 $ 41,472

Additions — 28,110

Accretion ( 5,106 ) ( 5,546 )

Reclassifications from/(to) non-accretable difference 1,044 7,659

Disposals ( 6,324 ) ( 14,788 )

Ending Balance $ 46,521 $ 56,907

Variable interest entities

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

December 31, 2021

December 31, 2020

Carrying Value Weighted Average Carrying Value Weighted Average

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

Non-QM Loan VIEs $ 813,383 3.96 % 4.50 $ — — % —

RPL/NPL VIEs 344,751 5.90 % 7.17 426,604 5.61 % 6.78

Securitized residential mortgage loans, at fair value $ 1,158,134 $ 426,604

Restricted cash 1,467 2,110

Other assets 6,457 3,705

Total Assets $ 1,166,058 $ 432,419

Non-QM Loan VIEs - Securitized debt $ 746,970 1.63 % 2.36 $ — — % —

RPL/NPL VIEs - Securitized debt 252,245 3.06 % 3.75 355,159 3.00 % 3.85

Securitized debt, at fair value (2) $ 999,215 $ 355,159

Financing arrangements (3) 71,308 25,590

Other liabilities 1,543 519

Total Liabilities $ 1,072,066 $ 381,268

Total Equity $ 93,992 $ 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.

(2) 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.

(3) Includes financing arrangements on certain of the Company's retained interests in securitizations.

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements

Commercial loans

During the year ended December 31, 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.

The Company also sold Loan G and Loan I for total proceeds of $ 74.3 million, recording realized losses of $ 2.9 million during the year ended December 31, 2021.

As of December 31, 2021, the Company did not hold any commercial loans.

For the year ended December 31, 2020, the Company sold two commercial loans, for total proceeds of $ 36.9 million, recording realized losses of $ 6.5 million.

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

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

Gross Unrealized Losses Weighted Average Extended

Loan Current Face Premium

(Discount) Amortized Cost 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

Real Estate Securities

The following tables detail the Company’s real estate securities portfolio as of December 31, 2020 and December 31, 2019 ($ in thousands).

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

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

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

December 31, 2021 Gross Unrealized Weighted Average

3 unchanged sentences

30 Year Fixed Rate $ 490,435 $ 11,927 $ 502,362 $ — $ ( 6,649 ) $ 495,713 2.18 % 1.78 %

Credit Investments:

Residential Investments

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

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

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

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

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

Credit - Residential Investments:

Non-QM Securities 14,894 ( 236 ) 14,658 — ( 58 ) 14,600 4.36 % 4.74 %

Non-Agency RMBS Interest Only (2) 160,154 ( 156,647 ) 3,507 — ( 112 ) 3,395 0.38 % 10.12 %

Re/Non-Performing Securities 696 ( 24 ) 672 90 — 762 5.25 % 29.69 %

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:

Total Credit - Residential Investments:

175,744 ( 156,907 ) 18,837 90 ( 170 ) 18,757 1.02 % 6.73 %

Total $ 666,179 $ ( 144,980 ) $ 521,199 $ 90 $ ( 6,819 ) $ 514,470 1.99 % 1.96 %

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

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

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

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

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

(2) Comprised of Non-QM interest-only bonds.

AG Mortgage Investment Trust Inc.

6 unchanged sentences

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

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

Total Agency RMBS:

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

Credit Investments:

4 unchanged sentences

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

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

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

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

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

Total Residential Investments:

11 unchanged sentences

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

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

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

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

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

For the year ended December 31, 2019, the Company recognized an OTTI charge of $ 14.6 million on its securities, which is included in the "Net realized gain/(loss)" line item on the consolidated statement of operations.

None of this amount was recognized on securities in which the Company demonstrated an intent to sell.

The Company recorded $ 14.6 million of OTTI due to an adverse change in cash flows on certain securities, where the fair values of the securities were less than their carrying amounts.

Of the $ 14.6 million of OTTI recorded, $ 3.4 million related to securities where OTTI was not recognized in a prior year.

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

December 31, 2020 Agency RMBS Credit Investments

The following tables summarize the Company's real estate securities according to their projected weighted average life classifications as of December 31, 2021 and 2020 ($ in thousands):

December 31, 2021 Agency RMBS Credit - Residential Investments

Weighted Average Life (1) Fair Value Amortized

2 unchanged sentences

Cost Weighted

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

Less than or equal to one year $ — $ — — % $ 543 $ 511 5.25 %

Greater than one year and less than or equal to five years — — — % 18,214 18,326 1.00 %

2 unchanged sentences

Total $ 495,713 $ 502,362 2.18 % $ 18,757 $ 18,837 1.02 %

(1) This is based on projected life.

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

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

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

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements

December 31, 2020 Agency RMBS Credit Investments

1 unchanged sentence

Coupon Fair Value Amortized Cost Weighted

Less than or equal to 1 year $ — $ — — % $ 82,474 $ 82,273 0.56 %

Less than or equal to one 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 %

3 unchanged sentences

(1) This is based on projected life.

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

Typically, actual maturities are shorter than stated contractual maturities.

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

2 unchanged sentences

For the year ended December 31, 2020, the Company sold 343 securities for total proceeds of $ 2.7 billion, recording realized gains of $ 54.5 million and realized losses of $ 180.4 million.

Variable interest entities

The following table details certain information related to the December 2014 VIE and August 2018 VIE as further described in Note 2 as of December 31, 2019 (in thousands).

As of December 31, 2020, the Company did not hold any interest in these VIEs.

December 31, 2019

Real estate securities, at fair value:

Non-Agency $ 13,838

Other assets 808

Total assets $ 109,146

Financing arrangements $ 70,712

Securitized debt, at fair value 7,230

Other liabilities 3,553

Total liabilities $ 81,495

The holders of the consolidated tranche of the December 2014 VIE, shown within the Non-Agency line item above, had no recourse to the general credit of the Company and the Company had no obligation to provide any other explicit or implicit support to the December 2014 VIE.

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

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

As the Company does not hold any interest in the August 2018 VIE as of December 31, 2020, the liabilities of the August 2018 VIE are no longer recourse to the Company.

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements

The following table details certain information related to the December 2014 VIE as of December 31, 2019 ($ in thousands):

Weighted Average

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

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

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

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

(1) This is based on projected life.

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

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

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

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

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

Residential mortgage loans

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

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

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

For the year ended December 31, 2020, the Company sold 2,412 loans for total proceeds of $ 397.9 million, recording realized gains of $ 1.9 million and realized losses of $ 59.3 million.

For the year ended December 31, 2019, the Company sold 79 loans for total proceeds of $ 12.8 million, recording realized gains of $ 1.0 million and realized losses of $ 0.2 million.

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

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

Gross Unrealized Weighted Average

As of Unpaid Principal

Balance Premium

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

December 31, 2020 (2) $ 500,980 $ ( 69,007 ) $ 431,973 $ 13,640 $ ( 10,172 ) $ 435,441 3.58 % 5.69 % 6.67

December 31, 2019 (3) 464,041 ( 55,219 ) 408,822 9,065 ( 102 ) 417,785 4.09 % 5.72 % 7.36

(1) This is based on projected life.

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

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

(2) 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.

(3) As of December 31, 2019, the Company’s residential mortgage loan portfolio was comprised of 3,413 conventional loans with original loan balances between $ 3.8 thousand and $ 3.4 million.

Additionally, the Company had residential mortgage loans that were in the process of foreclosure with a fair value of $ 35.6 million.

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements

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

December 31, 2020 December 31, 2019

Fair Value Unpaid Principal

Balance Fair Value Unpaid Principal

Re-Performing $ 312,733 $ 347,359 $ 330,234 $ 357,678

Non-Performing 113,976 134,129 87,551 106,363

Other (1) 8,732 19,492 — —

$ 435,441 $ 500,980 $ 417,785 $ 464,041

(1) Represents residual positions where the Company consolidates a 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.

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

Please refer to Note 2 for the Company's treatment of OTTI.

For the year ended December 31, 2019, the Company recognized $ 0.2 million of OTTI on certain loan pools, which is included in the "Net realized gain/(loss)" line item on the consolidated statement of operations.

The Company recorded the $ 0.2 million of OTTI where the fair values of the loan pools were less than their carrying amounts.

The $ 0.2 million related to a loan pool with an unpaid principal balance of $ 153.2 million, a fair value of $ 144.8 million and an average fair value of $ 74.8 million for the year ended December 31, 2019.

The Company recognized $ 1.5 million of interest income on the loan pools where OTTI was taken during the year ended December 31, 2019.

The Company’s mortgage loan portfolio consisted of mortgage loans on residential real estate located throughout the United States.

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

Geographic Concentration of Credit Risk December 31, 2020 December 31, 2019

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

California 17 % 19 %

Florida 11 % 11 %

New York 10 % 9 %

New Jersey 6 % 6 %

The Company records interest income on an effective interest basis.

The accretable discount is determined by the excess of the Company’s estimate of undiscounted principal, interest, and other cash flows expected to be collected over its initial investment in the mortgage loan.

The following is a summary of the changes in the accretable portion of discounts for the years ended December 31, 2020 and December 31, 2019 (in thousands):

December 31, 2020 December 31, 2019

Beginning Balance $ 168,877 $ 79,610

Additions 160,132 108,275

Accretion ( 27,683 ) ( 16,169 )

Reclassifications from/(to) non-accretable difference ( 10,295 ) 2,411

Disposals ( 120,740 ) ( 5,250 )

Ending Balance $ 170,291 $ 168,877

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements

Variable interest entities

The following table details certain information related to the assets and liabilities of the August 2019 VIE and September 2020 VIE, as further described in Note 2, as of December 31, 2020 and December 31, 2019 (in thousands):

December 31, 2020 December 31, 2019

Residential mortgage loans, at fair value $ 426,604 $ 255,171

Restricted cash 2,110 —

Other assets 3,705 898

Total assets $ 432,419 $ 256,069

Financing arrangements $ 25,590 $ 24,584

Securitized debt, at fair value 355,159 217,118

Other liabilities 519 596

Total liabilities $ 381,268 $ 242,298

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

Weighted Average

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

December 31, 2020

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

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

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

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

December 31, 2019

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

Securitized debt 217,455 217,118 2.92 % 2.86 % 5.00

(1) This is based on projected life.

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

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

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

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

Commercial loans

For the year ended December 31, 2020, the Company sold two commercial loans, for total proceeds of $ 36.9 million, recording realized losses of $ 6.5 million.

For the year ended December 31, 2019, the Company did no t sell any commercial loans.

Refer to Note 16 for more information on sales subsequent to year end.

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

The loan was placed on non-accrual status upon modification.

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

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements

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

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

December 31, 2020 Weighted Average

Loan (1)(2) Current Face Premium

(Discount) Amortized Cost Gross Unrealized Losses Fair Value (3) Coupon (4) Yield (5) Life

Date (7) Location Collateral Type

Commercial Loans, at fair value

Loan G (8)(9) $ 59,451 $ — $ 59,451 $ ( 3,940 ) $ 55,511 5.27 % 5.27 % 1.54 July 9, 2022 CA Condo, Retail, Hotel

Loan K (10) 15,787 — 15,787 ( 1,100 ) 14,687 10.00 % 10.83 % 1.27 February 9, 2024 NY Hotel, Retail

Loan L (10) 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 (11)(12) 15,929 ( 175 ) 15,754 ( 1,795 ) 13,959 11.50 % 12.23 % 2.22 February 9, 2023 MN Office, Retail

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

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

(2) Refer to Note 12 "Commitments and Contingencies" for details on the Company's commitments on its Commercial Loans as of December 31, 2020.

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

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

(5) Yield includes any exit fees.

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

Maturities are affected by prepayments of principal.

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

(8) Loan G is a first mortgage loan.

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

Subsequent to year end, the Company sold Loan G.

Refer to Note 16 for more information.

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

(11) Loan I is a mezzanine loan.

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

This loan was classified as held for sale during the fourth quarter in accordance with the Company's accounting policy as detailed in Note 2.

Subsequent to year end, the Company sold Loan I.

Refer to Note 16 for more information.

December 31, 2019 Weighted Average

Loan (1) Current Face Premium

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

(Years) (4) Extended

Date (5) Location Collateral Type

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

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

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

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

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

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

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

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

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

(3) Yield includes any exit fees.

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

Maturities are affected by prepayments of principal.

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

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

(7) Loan I is a mezzanine loan.

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

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements

Fair value measurements

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

Values for the Company’s securities, Excess MSRs, securitized debt of the December 2014 VIE and derivatives are based upon prices obtained from third-party pricing services, which are indicative of market activity.

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

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

maturity date;

collateral type;

periodic and life cap;

and prepayment speeds.

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

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

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

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

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

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

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

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

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

The carrying amount of centrally cleared interest rate swaps and futures reflected in the Company’s consolidated balance sheets is equal to the unsettled fair value of such instruments.

See Note 7 for more information.

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

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

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

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

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

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

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

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

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements

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

Treasury and Agency securities.

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

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

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

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

Fair Value at December 31, 2021

Level 1 Level 2 Level 3 Total

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

Credit Investments:

Residential mortgage loans $ — $ 915 $ 1,476,057 $ 1,476,972

Securitized residential mortgage loans — — 1,158,134 1,158,134

30 Year Fixed Rate Agency RMBS — 495,713 — 495,713

Non-Agency RMBS (1) — — 15,362 15,362

Non-Agency RMBS Interest Only — — 3,395 3,395

CMBS (2) — 52,485 — 52,485

CMBS Interest Only — 4,303 — 4,303

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

Commercial loans — — 125,508 125,508

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

Derivative assets (2) — 19,781 — 19,781

AG Arc (3) — — 53,435 53,435

3 unchanged sentences

Total Liabilities Measured at Fair Value $ — $ ( 897 ) $ ( 999,294 ) $ ( 1,000,191 )

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

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

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

(2) As of December 31, 2021, the Company applied a reduction in fair value of $ 19.6 million and $ 0.9 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.

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

3 unchanged sentences

Notes to Consolidated Financial Statements

The following table presents the Company’s financial instruments measured at fair value on a recurring basis as of December 31, 2019 (in thousands):

Fair Value at December 31, 2020

Level 1 Level 2 Level 3 Total

30 Year Fixed Rate $ — $ 2,241,298 $ — $ 2,241,298

Interest Only — 74,141 — 74,141

Credit Investments:

Residential mortgage loans $ — $ 2,134 $ 6,703 $ 8,837

Securitized residential mortgage loans — — 426,604 426,604

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

Non-Agency RMBS (1) — 35,070 3,100 38,170

2 unchanged sentences

CMBS Interest Only — 4,303 — 4,303

Residential mortgage loans — — 417,785 417,785

Commercial loans — — 125,508 125,508

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

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

Derivative assets (4) — 1,356 — 1,356

4 unchanged sentences

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

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

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

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

(3) 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.

The Company did not have any transfers of assets or liabilities between Levels 1 and 2 of the fair value hierarchy during the years ended December 31, 2020 and December 31, 2019.

The valuation of the Company’s residential mortgage loans and securitized debt relating to the Residential Mortgage Loan VIEs is determined by the Manager using third-party pricing services where available, valuation analyses from third-party pricing service providers, or model-based pricing.

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 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 Company also considers 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 residential mortgage loans and securitized debt include market-implied discount rates, projections of default rates, delinquency rates, prepayment rates, loss severity, recovery rates, reperformance rates, and timeline to liquidation.

The Company and third-party pricing service providers use loan level data and macro-economic inputs to generate loss adjusted cash flows and other information in determining the fair value.

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

Fair values for the Company’s securities and derivatives are based upon prices obtained from third-party pricing services, which are indicative of market activity, and broker quotations may also be used.

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,

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements

when available.

The Company's investment in Arc Home is evaluated on a periodic basis using a market approach.

In applying the market approach, fair value is determined by multiplying Arc Home's book value by a relevant valuation multiple observed based on a range of comparable public entities or transactions, adjusted by management as appropriate for differences between the investment and the referenced comparables.

The evaluation also considers the underlying financial performance of Arc Home, general economic conditions, and relevant trends within the mortgage banking industry.

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

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

The significant unobservable inputs used in the fair value measurement of the Company’s loans and 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.

The significant unobservable input used in the fair value measurement of the Company’s investment in Arc Home is the book value multiple.

Significant increases (decreases) in the multiple applied would result in a significantly higher (lower) fair value measurement.

The Company did not have any transfers of assets or liabilities between Levels 1 and 2 of the fair value hierarchy during the years ended December 31, 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, which are detailed in Note 2.

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.

5 unchanged sentences

Year Ended December 31, 2021 (in thousands)

Loans Non-Agency

RMBS Non-Agency

RMBS Interest Only CMBS CMBS

Only Residential

Loans Commercial

RMBS IO Commercial

Rights AG Arc Securitized

debt Derivative Liabilities

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

Transfers (1):

Transfers into level 3 — — — — — — — — ( 151,933 )

Transfers out of level 3 — ( 1,499 ) — — — — — —

8 unchanged sentences

Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held as of December 31, 2021 (3)

$ 18,437 $ 3 $ ( 383 ) $ — $ — $ 8,987 $ 3,477 $ ( 79 )

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

For the year ended December 31, 2020, the Company transferred 50 Non-Agency RMBS securities, 2 Non-Agency Interest Only securities, 32 CMBS securities, 15 CMBS Interest Only securities and 1 Securitized Debt security into the Level 2 category from the Level 3 category under the fair value hierarchy of ASC 820.

For the year ended December 31, 2020, the Company transferred 1 securitized debt security into the Level 3 category from the Level 2 category under the fair value hierarchy of ASC 820.

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

For the year ended December 31, 2021, the Company transferred one Non-Agency RMBS into the Level 2 category from the Level 3 category under the fair value hierarchy of ASC 820.

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

Unrealized gain/(loss) on real estate securities and loans, net $ ( 59,812 )

Unrealized gain/(loss) on derivative and other instruments, net ( 3,254 )

Net unrealized gain/(loss) $ 38,606

Net realized gain/(loss) 797

2 unchanged sentences

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

Unrealized gain/(loss) on real estate securities and loans, net $ ( 23,368 )

Unrealized gain/(loss) on derivative and other instruments, net ( 3,430 )

Net unrealized gain/(loss) $ 21,455

Equity in earnings/(loss) from affiliates 8,987

4 unchanged sentences

Year Ended December 31, 2020 (in thousands)

Loans Non-Agency

RMBS Non-Agency

RMBS Interest Only ABS CMBS CMBS Interest

Only Residential

Loans Commercial

RMBS Interest Only CMBS CMBS Interest

Only Commercial

Rights AG Arc Securitized

5 unchanged sentences

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

Capital contributions — — — — — — — — 17,836 —

Capital distributions — — — — — — — ( 6,466 ) —

Proceeds from sales/redemptions ( 393,876 ) ( 362,199 ) — ( 148,111 ) ( 21,995 ) ( 36,924 ) ( 8,460 ) — —

4 unchanged sentences

Change in unrealized appreciation/(depreciation) for level 3 assets still held as of December 31, 2020 (3)

$ ( 6,593 ) $ ( 106 ) $ — $ — $ — $ ( 16,669 ) $ ( 2,564 ) $ 23,261 $ ( 866 )

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

For the year ended December 31, 2019, the Company transferred 14 Non-Agency RMBS securities into the Level 3 category from the Level 2 category and 6 Non-Agency RMBS securities and 2 CMBS security into the Level 2 category from the Level 3 category under the fair value hierarchy of ASC 820.

For the year ended December 31, 2020, the Company transferred 50 Non-Agency RMBS securities, two Non-Agency 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.

For the year ended December 31, 2020, the Company transferred one securitized debt security into the Level 3 category from the Level 2 category under the fair value hierarchy of ASC 820.

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

Unrealized gain/(loss) on real estate securities and loans, net $ 33,256

Unrealized gain/(loss) on derivative and other instruments, net ( 8,879 )

Net unrealized gain/(loss) $ ( 63,066 )

Net realized gain/(loss) ( 119,330 )

2 unchanged sentences

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

Unrealized gain/(loss) on real estate securities and loans, net $ 30,580

Unrealized gain/(loss) on derivative and other instruments, net ( 6,244 )

Net unrealized gain/(loss) $ ( 26,798 )

Equity in earnings/(loss) from affiliates 23,261

7 unchanged sentences

Yield 2.77 % - 7.50 % ( 3.37 %)

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

Residential Mortgage Loans $ 1,465,523 Discounted Cash Flow Projected Collateral Prepayments — % - 25.89 % ( 15.28 %)

Projected Collateral Losses — % - 15.37 % ( 0.30 %)

Projected Collateral Severities -14.86% - 10.00% (9.97%)

$ 1,499 Consensus Pricing Offered Quotes 91.59 - 91.59 ( 91.59 )

$ 4,405 Consensus Pricing Broker Quotes 88.57 - 112.89 ( 102.59 )

$ 6,129 Recent Transaction Cost N/A

Yield 2.26 % - 13.00 % ( 3.12 %)

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

Securitized Residential Mortgage Loans $ 1,158,134 Discounted Cash Flows Projected Collateral Prepayments 4.75 % - 11.05 % ( 9.51 %)

Projected Collateral Losses 0.38 % - 4.40 % ( 0.83 %)

Projected Collateral Severities -18.08% - 29.11 % ( 10.10 %)

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

Yield 3.42 % - 15.00 % ( 5.32 %)

Commercial Loans $ 125,508 Discounted Cash Flow Credit Spread 1001 bps - 3304 bps ( 1279 bps)

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

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

Non-Agency RMBS $ 15,362 Discounted Cash Flow Projected Collateral Prepayments 5.70 % - 12.99 % ( 12.63 %)

Projected Collateral Losses 0.23 % - 2.66 % ( 0.35 %)

Projected Collateral Severities -43.98% - 10.00% (7.32%)

Yield 10.00 % - 12.50 % ( 12.10 %)

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 )

Non-Agency RMBS Interest Only $ 3,395 Discounted Cash Flow Projected Collateral Prepayments 12.99 % - 12.99 % ( 12.99 %)

Projected Collateral Losses 0.23 % - 0.23 % ( 0.23 %)

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

AG Arc $ 53,435 Comparable Multiple Book Value Multiple 1.06 x - 1.06 x ( 1.06 x)

5 unchanged sentences

Projected Collateral Severities 6.36 % - 12.89 % ( 10.15 %)

(1) Amounts are weighted based on fair values.

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

Yield 3.02 % - 3.11 % ( 3.03 %)

Derivative Liabilities $ ( 79 ) Discounted Cash Flow Projected Collateral Prepayments 14.08 % - 15.14 % ( 14.23 %)

Projected Collateral Losses 0.15 % - 0.20 % ( 0.15 %)

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

Pull Through Percentages 90.00 % - 95.00 % ( 90.69 %)

(1) Amounts are weighted based on fair value.

AG Mortgage Investment Trust Inc.

4 unchanged sentences

Yield 10.00 % - 10.00 % ( 10.00 %)

Non-Agency RMBS $ 625,537 Discounted Cash Flow Projected Collateral Prepayments 0.00 % - 100.00 % ( 14.60 %)

Projected Collateral Losses 0.00 % - 100.00 % ( 2.93 %)

Projected Collateral Severities 0.00 % - 100.00 % ( 21.37 %)

$ 4,578 Consensus Pricing Offered Quotes 100.00 - 100.00 ( 100.00 )

Yield 27.50 % - 27.50 % ( 27.50 %)

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

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

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

Yield 0.00 % - 13.89 % ( 6.33 %)

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

Residential Mortgage Loans $ 105 Discounted Cash Flow Projected Collateral Prepayments 4.30 % - 4.30 % ( 4.30 %)

Projected Collateral Losses 2.98 % - 2.98 % ( 2.98 %)

Projected Collateral Severities 3.74 % - 3.74 % ( 3.74 %)

Yield ' -2.57% - 9.86% ( 4.19 %)

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

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

Securitized Residential Mortgage Loans Yield 4.50 % - 10.00 % ( 5.01 %)

$ 426,604 Discounted Cash Flow Projected Collateral Prepayments 4.30 % - 9.31 % ( 7.29 %)

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

1 unchanged sentence

Yield 8.05 % - 8.05 % ( 8.05 %)

Residential Mortgage Loans $ 364,107 Discounted Cash Flow Projected Collateral Prepayments 4.81 % - 9.04 % ( 7.78 %)

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%)

$ 53,678 Recent Transaction Cost N/A

$ 1,499 Consensus Pricing Broker Quotes 91.59 - 91.59 ( 91.59 )

Yield 10.95 % - 39.54 % ( 14.09 %)

1 unchanged sentence

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

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

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

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

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

$ 142 Consensus Pricing Offered Quotes 0.01 - 0.40 ( 0.40 )

$ 85 Consensus Pricing Broker 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)

5 unchanged sentences

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

(1) Amounts are weighted based on fair values.

(1) Amounts are weighted based on fair value.

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

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

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.

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

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements

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.

Financing arrangements

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

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

December 31, 2021 December 31, 2020

2 unchanged sentences

Repurchase Agreements

Agency RMBS $ 435,893 Jan 2021 0.21 % 0.04 $ 459,684 $ 460,949 $ 2,109,278

Non-Agency RMBS 14,550 Jan 2021 - Apr 2021 2.34 % 0.08 24,009 28,653 565,450

CMBS 24,881 Jan 2021 - Feb 2021 2.66 % 0.04 51,961 42,669 312,627

Residential Mortgage Loans 25,590 Mar 2021 2.38 % 0.21 44,520 46,571 131,594

Commercial Loans — N/A — — — — 3,017

Residential Mortgage Loans (3)(4)(5) $ 1,286,287 Jan 2022 - Dec 2022 2.25 % 0.40 $ 1,459,876 $ 1,469,358 $ —

Securitized Residential Mortgage Loans (6) 71,308 Jan 2022 - Mar 2022 1.90 % 0.14 102,292 119,947 25,590

Agency RMBS 409,935 Jan 2022 - Feb 2022 0.15 % 0.13 432,652 426,486 435,893

Non-Agency RMBS 10,213 Feb 2022 1.85 % 0.12 18,165 17,995 14,550

CMBS — N/A — % — — — 24,881

Total Repurchase Agreements $ 1,777,743 1.75 % 0.33 $ 2,012,985 $ 2,033,786 $ 500,914

Revolving Facilities

Commercial Loans (5)(6)(7) $ 63,133 Aug 2023 2.79 % 2.60 $ 110,114 $ 96,862 $ 89,956

Residential Mortgage Loans (8) — N/A — — — — 21,546

Total Revolving Facilities $ 63,133 2.79 % 2.60 $ 110,114 $ 96,862 111,502

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

Total Financing Arrangements $ 1,777,743 1.75 % 0.33 $ 2,012,985 $ 2,033,786 $ 564,047

(1) The Company also had $ 5.0 million of cash pledged under repurchase agreements as of December 31, 2021.

(2) The amounts pledged as collateral under Residential Mortgage Loans represent certain of the Company's retained interests in securitizations.

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

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

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

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

(6) The funding cost on this facility is inclusive of the impact of deferred financing costs.

The stated rate was 2.30 % as of December 31, 2020.

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

(8) During the second quarter of 2020, this facility was paid off.

The following table presents contractual maturity information about the Company's borrowings under repurchase agreements and revolving facilities at December 31, 2020 (in thousands).

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

(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) The Company's Residential Mortgage Loan financing arrangements include a maximum uncommitted borrowing capacity of $ 1.3 billion on facilities used to finance Non-QM Loans and $ 1.0 billion on facilities used to finance GSE Non-Owner Occupied Loans or other qualified mortgage loans.

(4) Subsequent to year end, the Residential Mortgage Loan repurchase agreement maturing in January 2022 was extended through January 2023.

(5) The funding cost includes deferred financing costs.

The weighted average stated rate on the Residential Mortgage Loans repurchase agreements was 2.18 % as of December 31, 2021.

(6) Amounts pledged as collateral under Securitized 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.

The following table presents contractual maturity information about the Company's borrowings under repurchase agreements as of December 31, 2021 (in thousands).

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

Repurchase Agreements

Residential Mortgage Loans (1) $ 345,012 $ — $ 941,275 $ 1,286,287

Securitized Residential Mortgage Loans 17,957 53,351 — 71,308

Agency RMBS 51,238 358,697 — 409,935

Non-Agency RMBS — 10,213 — 10,213

CMBS 18,534 6,347 — — 24,881

Residential Mortgage Loans — 25,590 — — 25,590

Total Repurchase Agreements $ 414,207 $ 422,261 $ 941,275 $ 1,777,743

Revolving Facilities

Commercial Loans $ — $ — $ — $ 63,133 $ 63,133

Total Financing Arrangements $ 463,593 $ 36,277 $ 1,044 $ 63,133 $ 564,047

(1) Subsequent to year end, the Residential Mortgage Loan repurchase agreement maturing within 30 days of December 31, 2021 was extended through January 2023.

Counterparties

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

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements

Repurchase agreements

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

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

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

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

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

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

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

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

Interest rates on these borrowings are fixed based on prevailing rates corresponding to the terms of the borrowings, and interest is paid at the termination of the borrowing at which time the Company may enter into a new borrowing arrangement at prevailing market rates with the same counterparty or repay that counterparty and negotiate financing with a different counterparty.

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

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

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

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

Counterparties

The Company has reduced its exposure to various counterparties, bringing the total number of counterparties with debt outstanding down from 30 as of December 31, 2019 to 5 as of December 31, 2020.

The following tables present information at December 31, 2020 and December 31, 2019 with respect to each counterparty that provides the Company with financing for which the Company had greater than 5% of its stockholders’ equity at risk, excluding stockholders’ equity at risk under financing through affiliated entities ($ in thousands).

December 31, 2020

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

December 31, 2021 December 31, 2020

Counterparty Stockholders' Equity

1 unchanged sentence

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 %

December 31, 2019

Counterparty Stockholders' Equity

Stockholders' Equity Stockholders' Equity

at Risk Weighted Average

1 unchanged sentence

Stockholders' Equity

Credit Suisse AG, Cayman Islands Branch

$ 129,526 101 22.7 % $ 26,305 35 6.4 %

Barclays Capital Inc.

Citigroup Global Markets Inc.

89,230 23 15.6 % 24,890 15 6.1 %

BofA Securities, Inc.

33,153 317 5.8 % 28,091 19 6.9 %

Financial Covenants

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

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

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

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements

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

December 31, 2021 December 31, 2020

1 unchanged sentence

Derivative assets, at fair value 231 —

Other assets 5,538 4,378

Due from broker 1,887 907

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

Other assets 4,519 5,538

Total Other assets $ 20,900 $ 12,565

Other liabilities

Due to affiliates (1) $ 4,106 $ 14,041

Interest payable 2,925 853

Derivative liabilities, at fair value 92 68

Due to affiliates (1) 14,041 5,226

Accrued expenses 2,521 6,175

Taxes payable — 815

Purchase Price Payable on GSE Non-Owner Occupied Loans (2) 87 —

Due to broker 990 1,272

Accrued expenses 2,169 2,521

Total Other liabilities $ 10,369 $ 18,755

(1) Refer to Note 10 for more information related to the secured debt and other outstanding payables to affiliates.

Derivative assets and liabilities

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

They may also include Eurodollar Futures, U.S.

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

Derivatives have not been designated as hedging instruments.

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

Treasury securities.

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

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

Derivatives and Other Instruments Designation Balance Sheet Location December 31, 2020 December 31, 2019

Pay Fix/Receive Float Interest Rate Swap Agreements (1) Non-Hedge Other assets $ — $ 199

Pay Fix/Receive Float Interest Rate Swap Agreements (1) Non-Hedge Other liabilities ( 68 ) ( 411 )

Payer Swaptions Non-Hedge Other assets — 2,083

(1) 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.

As of December 31, 2019, the Company applied a reduction in fair value of $ 10.8 million and $ 2.2 million to its interest rate swap assets and liabilities, respectively, related to variation margin with a corresponding increase or decrease in restricted cash, respectively.

(1) Refer to Note 10 for more information.

(2) Represents the portion of the purchase price on GSE Non-Owner Occupied Loans that has not yet settled as of December 31, 2021.

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements

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

Derivatives and Other Instruments (1) Balance Sheet Location December 31, 2021 December 31, 2020

Pay Fix/Receive Float Interest Rate Swap Agreements (2) Other assets $ 231 $ —

Pay Fix/Receive Float Interest Rate Swap Agreements (2) Other liabilities — ( 68 )

Short TBAs Other liabilities ( 13 ) —

Forward Purchase Commitments Other liabilities ( 79 ) —

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

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

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

2 unchanged sentences

Pay Fix/Receive Float Interest Rate Swap Agreements (1) USD $ 888,500 $ 417,000

Payer Swaptions USD — 650,000

Short TBAs USD 385,963 —

Forward Purchase Commitments USD 25,292 —

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

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

(1) As of December 31, 2021, the Company's pay fix/receive float interest rate swaps had a weighted average pay-fixed rate of 0.85 %, a weighted average receive-variable rate of 0.15 %, and a weighted average years to maturity of 5.51 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.

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

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

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

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

2 unchanged sentences

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

As of December 31, 2020, the Company pledged cash of $ 10.8 million as collateral against certain derivatives.

Of the $ 10.8 million of cash pledged as collateral against certain derivatives, $ 1.1 million represents amounts related to variation margin.

As of December 31, 2019, the Company pledged real estate securities with a fair value of $ 3.0 million and cash of $ 32.1 million as collateral against certain derivatives.

Of the $ 32.1 million of cash pledged as collateral against certain derivatives, $ 8.5 million represents amounts related to variation margin.

The Company’s counterparties posted a de minimis amount of cash as collateral against certain derivatives as of December 31, 2019.

Interest rate swaps

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

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

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

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

Maturity Notional Amount Weighted Average

Pay-Fixed Rate Weighted Average

Receive-Variable Rate Weighted Average

Years to Maturity

2025 $ 296,000 0.39 % 0.23 % 4.76

2026 20,000 0.45 % 0.24 % 5.01

2030 86,000 0.76 % 0.23 % 9.77

2031 15,000 0.95 % 0.24 % 10.01

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

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements

As of December 31, 2019, the Company’s interest rate swap positions consisted of pay-fixed interest rate swaps.

The following table presents information about the Company’s interest rate swaps as of December 31, 2019 ($ in thousands):

Maturity Notional Amount Weighted Average

Pay-Fixed Rate Weighted Average

Receive-Variable Rate Weighted Average

Years to Maturity

2020 $ 105,000 1.54 % 1.91 % 0.20

2022 743,000 1.64 % 1.91 % 2.68

2023 5,750 3.19 % 1.91 % 3.85

2024 650,000 1.52 % 1.90 % 4.80

2026 180,000 1.50 % 1.89 % 6.70

2029 165,000 1.77 % 1.94 % 9.85

Total/Wtd Avg $ 1,848,750 1.60 % 1.91 % 4.32

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.

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

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

The following tables present information about the Company’s TBAs for the years ended December 31, 2020 and December 31, 2019 (in thousands):

For the Year Ended December 31, 2020

Amount Buys or Covers Sales or Shorts Ending Net

Amount Net Fair Value

as of Year End Net Receivable/(Payable)

from/to Broker Derivative

Asset Derivative

TBAs - Long $ — $ 728,000 $ ( 728,000 ) $ — $ — $ — $ — $ —

For the Year Ended December 31, 2019

Amount Buys or Covers Sales or Shorts Ending Net

Amount Net Fair Value

as of Year End Net Receivable/(Payable)

from/to Broker Derivative

Asset Derivative

TBAs - Long $ — $ 1,994,500 $ ( 1,994,500 ) $ — $ — $ — $ — $ —

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

As of December 31, 2021, the Company's restricted cash balance included $ 25.7 million of collateral related to certain derivatives, of which $ 7.0 million represents cash collateral posted by the Company and $ 18.7 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.

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements

Gains/(losses) related to derivatives and other instruments

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

December 31, 2021 December 31, 2020

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

Included within Net unrealized gain/(loss)

Interest Rate Swaps $ 19,165 $ ( 10,276 )

Eurodollar Futures — 1,001

TBAs ( 13 ) —

Forward Purchase Commitments ( 79 ) —

Swaptions — 354

Treasury Futures — ( 145 )

British Pound Futures 64 38

Euro Futures — 20

Treasuries — 82

19,137 ( 9,864 )

1 unchanged sentence

Interest Rate Swaps 4,888 ( 65,368 )

Eurodollar Futures — ( 1,122 )

TBAs 1,383 4,610

Swaptions — ( 2,437 )

Treasury Futures — ( 31 )

British Pound Futures ( 165 ) 259

Euro Futures — 68

TBAs (1) 4,610 1,262

Treasuries — 31

1 unchanged sentence

Total income/(loss) $ 25,243 $ ( 72,701 )

(1) For the year ended December 31, 2020, gains and losses from purchases and sales of TBAs consisted of $ 0.3 million of net TBA dollar roll net interest income and net gains of $ 4.3 million due to price changes.

For the year ended December 31, 2019, gains and losses from purchases and sales of TBAs consisted of $ 1.0 million of net TBA dollar roll net interest income and net gains of $ 0.3 million due to price changes.

The following tables present information about the Company’s TBAs for the years ended December 31, 2021 and 2020 (in thousands):

For the Year Ended December 31, 2021

Amount Buys or Covers Sales or Shorts Ending Net

Amount Net Fair Value

as of Period End Net Receivable/(Payable)

from/to Broker Derivative

Short TBAs $ — $ 1,390,550 $ ( 1,776,513 ) $ ( 385,963 ) $ ( 394,225 ) $ 394,212 $ ( 13 )

For the Year Ended December 31, 2020

Amount Buys or Covers Sales or Shorts Ending Net

Amount Net Fair Value

as of Year End Net Receivable/(Payable)

from/to Broker Derivative

Long TBAs $ — $ 728,000 $ ( 728,000 ) $ — $ — $ — $ —

Earnings per share

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

Diluted EPS takes into account the effect of dilutive instruments, such as stock options, warrants, unvested restricted stock and unvested restricted stock units but uses the average share price for the period in determining the number of incremental shares that are to be added to the weighted-average number of shares outstanding.

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

Refer to Note 2 and Note 11 for additional information.

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements

The following table presents a reconciliation of the earnings and shares used in calculating basic and diluted EPS for the years ended December 31, 2020 and December 31, 2019 (in thousands, except per share data):

Year Ended December 31, 2020 Year Ended December 31, 2019

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

December 31, 2021

December 31, 2020

Net Income/(Loss) from Continuing Operations $ 104,186 $ ( 421,585 )

5 unchanged sentences

Basic weighted average common shares outstanding 16,234 11,730

Dilutive effect of restricted stock units — 11

Diluted weighted average common shares outstanding 16,234 11,730

9 unchanged sentences

$ 5.29 $ ( 36.73 )

The Company had no unvested restricted stock units as of December 31, 2020 and 20 thousand unvested restricted outstanding stock units as of December 31, 2019.

1 unchanged sentence

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

The following tables detail the Company's common stock dividends during the years ended December 31, 2020 and December 31, 2019:

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

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

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

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

On December 22, 2020, the Company's Board of Directors declared a dividend of $ 0.09 per common share for the fourth quarter 2020 which was paid on January 29, 2021 to shareholders of record at the close of business on December 31, 2020.

During 2021, the Company declared its preferred and common dividends in ordinary course.

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements

The following tables detail the Company's common stock dividends declared during the years ended December 31, 2021 and 2020:

Declaration Date Record Date Payment Date Dividend Per Share

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

Declaration Date Record Date Payment Date Dividend Per Share

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

1 unchanged sentence

12/15/2021 12/31/2021 1/31/2022 0.21

Declaration Date Record Date Payment Date Dividend Per Share

12/22/2020 12/31/2020 1/29/2021 $ 0.09

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements

The following tables detail our preferred stock dividends during the years ended December 31, 2020 and December 31, 2019:

The following tables detail the Company's preferred stock dividends during the years ended December 31, 2021 and 2020:

2021 Cash Dividend Per Share

4 unchanged sentences

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

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

11/5/2021 11/30/2021 12/17/2021 0.51563 0.50 0.50

Total $ 2.06252 $ 2.00 $ 2.00

5 unchanged sentences

11/6/2020 11/30/2020 12/17/2020 1.54689 1.50 1.50

8/16/2019 8/30/2019 9/17/2019 0.51563 0.50 —

11/15/2019 11/29/2019 12/17/2019 0.51563 0.50 0.50

Total $ 2.06252 $ 2.00 $ 2.00

2 unchanged sentences

federal income tax treatment of REITs.

For the year ended December 31, 2019, the Company elected to satisfy the REIT distribution requirements in part with a dividend paid in 2020.

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 years ended December 31, 2020 and December 31, 2019, the Company recorded excise tax expense of $( 0.8 ) million and $ 0.5 million, respectively.

The reversal of the previously accrued excise tax expense during the current year is a result of losses resulting from market conditions associated with the COVID-19 pandemic.

In conjunction with the payment due as of December 31, 2019, the Company accrued an excise tax payable of $ 0.8 million, which as included in the "Other liabilities" line item on the consolidated balance sheet.

For the year ended December 31, 2021, the Company did no t record any excise tax.

For the year ended December 31, 2020, the Company recorded excise tax expense of $( 0.8 ) million.

The reversal of the previously accrued excise tax expense during 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.

2 unchanged sentences

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

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

For the year ended December 31, 2020, all distributions were in the form of preferred dividends and were characterized as return of capital.

For the year ended December 31, 2019, all income distributed was in the form of common and preferred dividends and was characterized as ordinary income.

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 December 31, 2020 and December 31, 2019.

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.

Related party transactions

The Company has entered into a management agreement with the Manager, which provided for an initial term and will be deemed renewed automatically each year for an additional one-year period, subject to certain termination rights.

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

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

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements

team, including its officers, along with appropriate support personnel.

Related party transactions

The Company is externally managed and advised by the Manager.

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.

The Manager 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

2 unchanged sentences

Stockholders’ Equity, for purposes of calculating the management fee, could be greater or less than the amount of stockholders’ equity shown on the Company’s financial statements.

For the years ended December 31, 2020 and December 31, 2019, the Company incurred management fees of $ 7.2 million and $ 9.8 million, respectively.

For the years ended December 31, 2021 and 2020, the Company incurred management fees of approximately $ 6.8 million and $ 7.2 million, respectively.

As of December 31, 2021 and 2020, the Company recorded management fees payable of $ 1.8 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 accrued base management fee owed to it in shares of common stock.

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

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 owed 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.

Incentive fee

In connection with the common stock offering in November 2021, including the Manager's purchase of 700,000 shares in the offering, on November 22, 2021, the Company and the Manager executed an amendment (the "Third Management Agreement Amendment") to the management agreement, pursuant to which the Company will pay the Manager an annual incentive fee in addition to the base management fee.

Pursuant to the Third Amendment, the Manager waived the annual incentive fee with respect to the fiscal years ending December 31, 2021 and December 31, 2022, and the annual incentive fee will first be payable with respect to the fiscal year ending December 31, 2023.

The annual incentive fee with respect to each applicable fiscal year will be equal to 15 % of the amount by which the Company's cumulative adjusted net income from the date of the Third Amendment exceeds the cumulative hurdle amount, which represents an 8 % return (cumulative, but not compounding) on an equity hurdle base consisting of the sum of (i) the Company's

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements

adjusted book value (calculated in the manner described in the Company's public filings) as of October 31, 2021, (ii) $ 80.0 million, and (iii) the gross proceeds of any subsequent public or private common stock offerings by the Company.

The annual incentive fee will be payable in cash, or, at the option of the Company's Board of Directors, shares of common stock or a combination of cash and shares.

In addition, pursuant to the Third Amendment, the term of the management agreement was extended until June 30, 2023, unless earlier terminated in accordance with its terms.

Thereafter, the management agreement will continue to renew automatically each year for an additional one-year period, unless the Company or the Manager exercise its respective termination rights.

All other terms and conditions of the management agreement continued without change.

Termination fee

The termination fee, payable upon the occurrence of (i) the Company’s termination of the management agreement without cause or (ii) the Manager’s termination of the management agreement upon a breach by the Company of any material term of the management agreement, will be equal to three times the average annual management fee during the 24-month period prior to such termination, calculated as of the end of the most recently completed fiscal quarter.

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

Upon the occurrence of (i) the Company’s termination of the management agreement without cause or (ii) the Manager’s termination of the management agreement upon a breach by the Company of any material term of the management agreement, the Manager will be entitled to a termination fee equal to three times the average annual management fee during the 24-month period prior to such termination, calculated as of the end of the most recently completed fiscal quarter.

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

Expense reimbursement

2 unchanged sentences

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

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements

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 $ 14.5 million and $ 18.6 million of Other operating expenses for years ended December 31, 2020 and December 31, 2019, the Company has incurred $ 7.4 million and $ 7.5 million, respectively, representing a reimbursement of expenses.

The Manager did no t waive any expense reimbursements for the years ended December 31, 2020 and December 31, 2019.

For years ended December 31, 2021 and 2020, the Company has incurred $ 6.3 million and $ 7.4 million, respectively, representing a reimbursement of expenses which are recorded within the "Other operating expenses" and "Transaction related expenses" line items on the consolidated statements of operations.

As of December 31, 2021 and 2020, the Company recorded a reimbursement payable to the Manager of $ 2.1 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 December 31, 2020.

On April 10, 2020, in connection with the first Forbearance Agreement, the Company issued a secured promissory note (the "Note") to the Manager evidencing a $ 10 million loan made by the Manager to the Company.

Additionally, on April 27, 2020, in connection with the second Forbearance Agreement, the Company and the Manager entered into an amendment to the Note to reflect an additional $ 10 million loan by the Manager to the Company.

The $ 10 million loan made by the Manager on April 10, 2020 is payable on March 31, 2021, and the $ 10 million loan made on April 27, 2020 was repaid in full with interest when it matured on July 27, 2020.

The unpaid balance of the Note accrues interest at a rate of 6.0 % per annum.

Interest on the Note is 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 are included within the due to affiliates amount, which is included within the "Other Liabilities" line item in the consolidated balance sheets.

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.

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements

Restricted stock grants

Effective on April 15, 2020 upon the approval of the Company's stockholders at its Annual Meeting, the 2020 Equity Incentive Plan provides for 2,000,000 shares of common stock to be issued.

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 December 31, 2021, 599,312 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 226,114 and 120,320 shares of restricted common stock to its independent directors under its equity incentive plans, dated July 6, 2011 (the "2011 Equity Incentive Plans") and its 2020 Equity Incentive Plan, respectively.

As of December 31, 2020, all the shares of restricted common stock granted to its independent directors have vested.

Further, since its IPO, the Company has issued 40,250 shares of restricted common stock and 120,000 restricted stock units to its Manager under its 2011 equity incentive plans.

The following table presents information with respect to the Company’s restricted stock and restricted stock units for the years ended December 31, 2020 and December 31, 2019:

Since its IPO, the Company has granted an aggregate of 35,264 and 67,354 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 December 31, 2021, all shares of restricted common stock granted to its independent directors have vested.

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 that may be subject to awards thereunder to the Manager.

As of December 31, 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.

Restricted Stock Awards and Restricted Stock Units

The following table presents information with respect to the Company’s restricted stock and restricted stock units for the years ended December 31, 2021 and 2020:

Year Ended December 31, 2021 Year Ended December 31, 2020

8 unchanged sentences

The grant date fair value of restricted stock units is based on the closing market price of the Company's common stock at the grant date.

During the years ended December 31, 2020 and December 31, 2019, 146,794 and 45,028 shares of total restricted stock and restricted stock units vested, respectively.

During the years ended December 31, 2021 and 2020, 27,247 and 48,930 shares of total restricted stock and restricted stock units vested, respectively.

On December 31, 2021, the Company had no unrecognized compensation expense related to restricted stock units.

The total fair value of restricted shares and units vested was approximately $ 0.8 million for the years ended December 31, 2020 and December 31, 2019 based on the closing price of the stock on the vesting date and grant date, respectively.

The total fair value of restricted shares and units vested was approximately $ 0.3 million and $ 0.8 million for the years ended December 31, 2021 and December 31, 2020, respectively, based on the closing price of the stock on the vesting date and grant date, respectively.

Equity based compensation of $ 0.3 million and $ 0.6 million was expensed during the years ended December 31, 2021 and 2020, respectively, associated with the amortization of restricted stock and restricted stock units.

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements

Equity based compensation expense of $ 0.6 million and $ 0.7 million was capitalized during the years ended December 31, 2020 and December 31, 2019, respectively, associated with the amortization of restricted stock and restricted stock units.

Director compensation

The Company pays a $ 160,000 annual base director’s fee to each independent director.

Base director’s fees are paid 50 % in cash and 50 % in restricted common stock.

Beginning January 1, 2021, the annual base director's fee for each independent director decreased 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.

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.

1 unchanged sentence

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

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

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

On March 25, 2020 and June 19, 2020, the Company's Board of Directors decreased from 5 independent directors to 4 independent directors and from 4 independent directors to 3 independent directors, respectively.

On December 1, 2020, the Company's Board of Directors increased from 3 independent directors to 4 independent directors.

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

As of December 31, 2021, the Company's Board of Directors consisted of four independent directors.

Pursuant to the Forbearance Agreement previously discussed, the Company, among other things, agreed to compensate its independent directors solely with common stock for the quarter ended March 31, 2020.

Investments in debt and equity of affiliates

The Company invests in credit sensitive residential and commercial real estate assets through affiliated entities which hold an ownership interest in the assets.

The Company invests in credit sensitive residential assets through affiliated entities which hold an ownership interest in the assets.

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

See Note 2 for the gross fair value of the Company's share of these investments as of December 31, 2020 and December 31, 2019.

The Company’s investment in AG Arc is reflected on the "Investments in debt and equity of affiliates" line item on its consolidated balance sheets.

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

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

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

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

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

As of December 31, 2020 and December 31, 2019, these Excess MSRs had fair value of approximately $ 3.5 million and $ 18.2 million, respectively.

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

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

Arc Home sold $ 57.4 million of unpaid principal balance of Non-QM Loans to this affiliate of the Manager during 2020.

On August 29, 2017, the Company, alongside private funds under the management of Angelo Gordon, entered into the MATH LLC Agreement, which requires that MATH fund a capital commitment of $ 75.0 million to MATT.

This commitment was increased by $ 25.0 million to $ 100.0 million on March 28, 2019 and by $ 5.0 million to $ 105.0 million on August 23, 2019 with amendments to the MATH LLC Agreement.

On April 3, 2020, the financing arrangements within MATT were restructured as described below and the previously mentioned commitment was removed.

The Company has an approximate 44.6 % interest in MATH.

The below table reconciles the fair value of investments to the "Investments in debt and equity of affiliates" line item on the Company's consolidated balance sheets as of December 31, 2021 and December 31, 2020 and the net income/(loss) to the "Equity in earnings/(loss) from affiliates" line item on the Company's consolidated statements of operations for the years ended December 31, 2021 and December 31, 2020 (in thousands).

December 31, 2021

December 31, 2020

Assets Liabilities Equity Net Income/(Loss) Assets Liabilities Equity Net Income/(Loss)

Non-QM Loans $ 45,837 $ ( 30,471 ) $ 15,366 $ 12,594 $ 153,200 $ ( 111,135 ) $ 42,065 $ ( 26,511 )

Land Related Financing 16,891 — 16,891 2,455 22,824 — 22,824 2,620

Re/Non-Performing Loans (1) 9,298 ( 5,538 ) 3,760 13,191 41,523 ( 5,588 ) 35,935 2,483

Other — — — ( 32 ) 417 — 417 ( 3,481 )

Residential investments - Fair value / Net income /(loss) $ 72,026 $ ( 36,009 ) $ 36,017 $ 28,208 $ 217,964 $ ( 116,723 ) $ 101,241 $ ( 24,889 )

AG Arc - Fair value / Net income/(loss) (2) 53,435 — 53,435 3,681 45,341 — 45,341 23,260

Cash and Other assets/(liabilities) 3,698 ( 1,127 ) 2,571 — 5,279 ( 1,194 ) 4,085 —

Investments in debt and equity of affiliates / Equity in earnings/(loss) from affiliates $ 129,159 $ ( 37,136 ) $ 92,023 $ 31,889 $ 268,584 $ ( 117,917 ) $ 150,667 $ ( 1,629 )

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

(2) The earnings/(loss) at AG Arc during the year ended December 31, 2021 were primarily the result of $ 5.4 million of net income related to Arc Home's lending and servicing operations, offset by $( 2.3 ) million 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 Co mpany.

MATT Restructured Financing Arrangement

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

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

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

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

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

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

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements

of the remaining equity in the assets.

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

The Restructured Financing Arrangement was amended subsequent to quarter end.

Refer to Note 16 for further details.

The Company's investment in LOTS require it to fund various commitments in connection with the origination of Land Related Financing.

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

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

The amendment serves to convert the existing financing to a mark-to-market facility that is recourse to the Company and the private funds managed by Angelo Gordon that invest in MATT up to the below mentioned commitment from MATH to MATT.

Upon amending the agreement, the Company settled the premium recapture fee with the financing counterparty.

On January 29, 2021, the Company alongside private funds under the management of Angelo Gordon, entered into an amendment to the MATH LLC Agreement, which requires MATH to fund a capital commitment of $ 50.0 million to MATT.

The Company, through its investment in MATH, is responsible for its pro-rata share of the capital commitment.

Subsequent to year end, this agreement was amended and the capital commitment to MATT was reduced to $ 35.0 million.

Refer to Note 12 for additional information.

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

Transactions with affiliates

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

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

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

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

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

The Company also utilized the third-party valuation firm to establish the fee level for Non-QM Loans in the third quarter of 2019.

For the years ended December 31, 2020 and December 31, 2019, the fees paid by the Company to the Asset Manager totaled $ 2.7 million and $ 0.9 million, respectively.

In connection with the Company’s investments in Excess MSRs purchased through Arc Home, the Company pays an administrative fee to Arc Home.

For years ended December 31, 2020 and December 31, 2019, the administrative fees paid by the Company to Arc Home totaled $ 0.2 million and $ 0.3 million, respectively.

In March 2019, in accordance with the Company’s Affiliated Transactions Policy, the Company executed one trade whereby the Company acquired a real estate security from an affiliate of the Manager (the "March 2019 Selling Affiliate").

As of the date of the trade, the security acquired from the March 2019 Selling Affiliate had a total fair value of $0.9 million.

The March 2019 Selling Affiliate sold the real estate security through a BWIC (Bids Wanted in Competition).

Prior to the submission of the BWIC by the March 2019 Selling Affiliate, the Company submitted its bid for the real estate security to the March 2019 Selling Affiliate.

The pre-submission of the Company's bid allowed the Company to confirm third-party market pricing and best execution.

In June 2019, the Company, alongside private funds under the management of Angelo Gordon, participated, through its unconsolidated ownership interest in MATT, in a rated Non-QM Loan securitization, in which Non-QM Loans with a fair value of $ 408.0 million were securitized.

Certain senior tranches in the securitization were sold to third-parties with the Company and private funds under the management of Angelo Gordon retaining the subordinate tranches, which had a fair value of $ 42.9 million as of June 30, 2019.

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

In July 2019, in accordance with the Company’s Affiliated Transactions Policy, the Company acquired certain real estate securities from an affiliate of the Manager (the "July 2019 Selling Affiliate").

As of the date of the trade, the real estate securities acquired from the July 2019 Selling Affiliate had a total fair value of $ 2.0 million.

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

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

In September 2019, the Company, alongside private funds under the management of Angelo Gordon, participated, through its unconsolidated ownership interest in MATT, in a rated Non-QM Loan securitization, in which Non-QM Loans with a fair market value of $ 415.1 million were securitized.

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

In October 2019, in accordance with the Company’s Affiliated Transactions Policy, the Company acquired certain real estate securities from an affiliate of the Manager (the "October 2019 Selling Affiliate").

As of the date of the trade, the real estate securities acquired from the October 2019 Selling Affiliate had a total fair value of $ 2.2 million.

The October 2019 Selling

Transactions with Red Creek Asset Management LLC

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.

The fees paid by the Company to the Asset Manager totaled $ 2.2 million and $ 2.7 million for the years ended December 31, 2021 and 2020, respectively.

Transactions with Arc Home

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

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 December 31, 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.

During 2021, Arc Home began selling loans to the Company.

Arc Home sold Non-QM Loans and GSE Non-Owner Occupied Loans with an unpaid principal balance of $ 613.7 million and $ 198.9 million to the Company, respectively, during the year ended December 31, 2021.

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

Arc Home sold Non-QM Loans with an unpaid principal balance of $ 613.3 million and $ 57.4 million to this affiliate of the Manager during the years ended December 31, 2021 and 2020, respectively.

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

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

The 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 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.

Securitization Transactions

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

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements

Affiliate sold the real estate securities through a BWIC.

Prior to the submission of the BWIC by the October 2019 Selling Affiliate, the Company submitted its bid for real estate securities to the October 2019 Selling Affiliate.

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

In November 2019, the Company, alongside private funds under the management of Angelo Gordon, participated through its unconsolidated ownership interest in MATT in a rated Non-QM Loan securitization, in which Non-QM Loans with a fair value of $ 322.1 million were securitized.

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

of $ 348.2 million were securitized.

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

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

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

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

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

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

In August 2020, the Company, alongside private funds under the management of Angelo Gordon, participated through its unconsolidated ownership interest in MATT in a rated Non-QM Loan securitization, in which Non-QM Loans with a fair value of $ 226.0 million were securitized.

1 unchanged sentence

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

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

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

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

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

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

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

In 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.

In November 2021, the Company, alongside a private fund under the management of Angelo Gordon, participated in a rated Non-QM Loan securitization, in which Non-QM Loans with a fair value of $ 225.9 million were securitized.

Upon evaluating its investment in the VIE, the Company determined it was not the primary beneficiary and, as a result, did not consolidate the securitization trust.

In addition, the Company determined the sale of the residential mortgage loans into the securitization qualified for sale accounting and derecognized the loans from its consolidated balance sheets.

Certain senior tranches in the securitization were sold to third-parties with the Company and the private fund under the management of Angelo Gordon retaining the subordinate tranches, which had a fair value of $ 44.0 million as of December 31, 2021.

The Company has a 40.9 % interest in the retained subordinate tranches which represents its continuing involvement in the securitization trust.

These retained subordinate tranches are included within the "Real estate securities, at fair value" line item on its consolidated balance sheets.

Transactions under the Company's Affiliated Transaction Policy

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 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.

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

Stock repurchase program

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 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.

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements

In October 2021, in accordance with the Company's Affiliated Transactions Policy, the Company purchased through one of its unconsolidated affiliated entities certain real estate securities from affiliates of the Manager.

As of the date of the transaction, these real estate securities had a total fair value of $ 3.5 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 November 2021, MATT exercised its call rights on two securitization trusts in which it held interests in the subordinate tranches.

Upon exercising its call rights and acquiring the remaining residential mortgage loans within the trusts, MATT sold the loans to the Company and a private fund under the management of Angelo Gordon in accordance with the Company’s Affiliated Transactions Policy.

As of the date of the transaction, the residential mortgage loans sold to the Company and the private fund had a total fair value of $ 181.8 million and $ 183.6 million, respectively.

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.

Reverse stock split

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

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

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

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

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

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

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.

5 unchanged sentences

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

No shares were repurchased under the Repurchase Program during the year ended

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements

cost applied against retained earnings.

No shares were repurchased under the Repurchase Program during the years ended December 31, 2020 and December 31, 2019 and approximately $ 14.6 million of common stock remained authorized for future share repurchases under the Repurchase Program.

December 31, 2020.

The following table presents information related to the Company's purchases of its common stock during the year ended December 31, 2021:

Period (1) Total Number of Shares Purchased Weighted Average Price Paid per Share (2) Total Number of Shares Purchased as Part of Publicly Announced Program (3) Maximum Approximate Dollar Value that May Yet Be Purchased Under the Program (4)

August 1, 2021 to August 31, 2021 150,870 $ 10.72 398,006 $ 12,980,553

September 1, 2021 to September 30, 2021 107,885 11.39 505,891 11,751,409

October 1, 2021 to October 31, 2021 61,104 11.59 566,995 11,043,506

Total 319,859 $ 11.11 566,995 $ 11,043,506

(1) Based on trade date.

The Repurchase Program was announced on November 4, 2015 and does not have an expiration date.

(2) Includes brokerage commissions and clearing fees.

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

(4) The maximum dollar amount authorized was $ 25.0 million.

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, Series B Preferred Stock, and 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 year ended December 31, 2021.

Equity distribution agreements

On May 5, 2017, the Company entered into an equity distribution agreement with each of Credit Suisse Securities (USA) LLC and JMP Securities LLC (collectively, the "Sales Agents"), which the Company refers to as the "Equity Distribution Agreements," pursuant to which the Company may sell up to $ 100.0 million aggregate offering price of shares of its common stock from time to time through the Sales Agents under the Securities Act of 1933.

The Equity Distribution Agreements were amended on May 22, 2018 in conjunction with the filing of the Company’s 2018 Registration Statement, described below.

For the year ended December 31, 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 year ended December 31, 2019, the Company sold 503.7 thousand shares of common stock under the Equity Distribution Agreements for net proceeds of approximately $ 8.6 million.

Since inception of the program, the Company has sold approximately 3.6 million shares of common stock under the Equity Distribution Agreements for gross proceeds of $ 34.7 million.

For the year ended December 31, 2020, the Company sold 0.7 million shares of common stock under the Equity Distribution Agreements for net proceeds of approximately $ 7.1 million.

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

Shelf registration statement

On May 2, 2018, the Company filed a shelf registration statement, registering up to $ 750.0 million of its securities, including capital stock (the "2018 Registration Statement").

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

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

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

Common stock offering

On February 14, 2019, the Company completed a public offering of 3,000,000 shares of its common stock and subsequently issued an additional 450,000 shares pursuant to the underwriters' exercise of their over-allotment option at a price of $ 16.70 per share.

On November 22, 2021, the Company completed a public offering of 7.0 million shares of its common stock and subsequently issued an additional 1.1 million shares pursuant to the underwriters' exercise of their over-allotment option at a price of $ 9.98 per share.

Net proceeds to the Company from the offering were approximately $ 80.0 million, after deducting estimated offering expenses.

Preferred stock

The Company completed a public offering of 4,000,000 shares of 8.000 % Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock with a liquidation preference of $ 25.00 per share (the "Series C Preferred Stock") on September 17, 2019.

The Company subsequently issued 600,000 shares of Series C Preferred Stock pursuant to the underwriters' exercise of their over-allotment option.

The Company received total gross proceeds of $ 115.0 million and net proceeds of approximately $ 111.2 million, net of underwriting discounts, commissions and expenses.

The Company’s Series A Preferred Stock, Series B Preferred Stock, and Series C Preferred Stock have no stated maturity and are not subject to any sinking fund or mandatory redemption.

Under certain circumstances upon a change of control, the Company’s Series A Preferred Stock, Series B Preferred Stock, and Series C Preferred Stock are convertible to shares of the Company’s common stock.

Holders of the Company’s Series A Preferred Stock, Series B Preferred Stock, and Series C Preferred Stock have no voting rights, except under limited conditions, and holders are entitled to receive cumulative cash dividends at the respective stated rate per annum before holders of the common stock are entitled to receive any cash dividends.

The dividend rate of the Series A Preferred Stock and Series B Preferred Stock is 8.25 % and 8.00 % per annum, respectively, of the $ 25.00 per share liquidation preference.

The initial dividend rate for the Series C Preferred Stock, from and including the date of original issue to, but not including, September 17, 2024, is 8.000 % per annum of the $ 25.00 per share liquidation preference.

Shares of the Company’s Series A Preferred Stock and Series B Preferred Stock are currently redeemable at $ 25.00 per share plus accumulated and unpaid dividends (whether or not declared) exclusively at the Company’s option.

Shares of the Company's Series C Preferred Stock are redeemable at $ 25.00 per share plus accumulated and unpaid dividends (whether or not declared) exclusively at the Company’s option commencing on September 17, 2024, or earlier under certain circumstances intended to preserve its qualification as a REIT for Federal income tax purposes.

Dividends are payable quarterly in arrears on the 17th day of each March, June, September and December.

The Company's Series A 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

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 December 31, 2021, there were 1.7 million, 3.7 million, and 3.7 million of Series A Preferred Stock, Series B Preferred Stock, and Series C Preferred Stock, respectively, issued and outstanding.

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

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements

apart for payment.

The following table includes a summary of preferred stock issued and outstanding as of December 31, 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.

(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.

In addition, certain material and adverse changes to the terms of any series of the Company's Series A Preferred Stock, Series B Preferred Stock, and Series C Preferred Stock cannot be made without the affirmative vote of holders of at least two-thirds of the outstanding shares of the series of the Company's Series A Preferred Stock, Series B Preferred Stock, and Series C Preferred Stock whose terms are being changed.

On March 27, 2020, the Company announced that its Board of Directors approved a suspension of the Company's quarterly dividends on its 8.25 % Series A Cumulative Redeemable Preferred Stock, 8.00 % Series B Cumulative Redeemable Preferred Stock and 8.000 % Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, beginning with the preferred dividend that would have been declared in May 2020, in order to conserve capital and improve its liquidity position during the market volatility due to the COVID-19 pandemic as well as a suspension of the quarterly dividend on the common stock, beginning with the dividend that normally would have been declared in March 2020.

On December 22, 2020, the Company's Board of Directors declared a dividend of $ 0.03 per common share for the fourth quarter 2020.

The dividend is payable on January 29, 2021 to shareholders of record at the close of business on December 31, 2020.

Refer to Note 8 for more information on dividends paid during the period.

Exchange offers

3 unchanged sentences

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.

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

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

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

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

After the settlement of all three exchanges, the Company had outstanding 1,816,518 shares of Series A Preferred Stock, 4,164,728 shares of Series B Preferred Stock and 3,883,178 shares of Series C Preferred Stock.

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements

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 —

Common stock issuance to the Manager

3 unchanged sentences

Refer to Note 10 for more information on this transaction.

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements

Commitments and Contingencies

9 unchanged sentences

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

The Company has recognized this settlement in the "Net realized gain/(loss)" line item on the consolidated statement of operations.

As a result, as of December 31, 2020, the Company has satisfied all of its payment obligations to RBC under the settlement agreement and promissory note, and, as previously reported, the federal lawsuit has been voluntarily dismissed with prejudice.

As of December 31, 2020, the Company has also recorded a loss of $ 11.6 million related to deficiencies asserted by other counterparties.

The Company has recognized these losses in the "Net realized gain/(loss)" line item on the consolidated statement of operations.

The Company recognized this settlement in the "Net realized gain/(loss)" line item on the consolidated statement of operations in the second quarter of 2020.

As a result, the Company has satisfied all of its payment obligations to RBC under the settlement agreement and promissory note, and, as previously reported, the federal lawsuit has been voluntarily dismissed with prejudice.

For the year ended December 31, 2020, the Company recorded a loss of $ 11.6 million related to deficiencies asserted by other counterparties.

The Company recognized these losses in the "Net realized gain/(loss)" line item on the consolidated statement of operations.

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

The below table details the Company's outstanding commitments as of December 31, 2020 (in thousands):

Commitment type Date of Commitment Total Commitment Funded Commitment Remaining Commitment

Commercial loan G (a)(b) July 26, 2018 $ 78,806 $ 60,111 $ 18,695

Commercial loan I (a)(c) January 23, 2019 26,000 15,929 10,071

Commercial loan K (a) February 22, 2019 20,000 15,787 4,213

LOTS (d) Various 34,153 21,247 12,906

Total $ 158,959 $ 113,074 $ 45,885

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

See Note 4 for further details.

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

Subsequent to year end, the Company sold Commercial loan G to an unrelated third-party.

See Note 16 for additional information.

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

Subsequent to year end, the Company sold Commercial loan I to an unrelated third-party.

See Note 16 for additional information.

(d) Refer to Note 10 "Related Party Transactions" for more information regarding LOTS.

Discontinued Operations and Assets and Liabilities Held for Sale

In November 2019, the Company signed a purchase and sale agreement whereby it agreed to sell its portfolio of single-family rental properties to a third-party at a price of approximately $ 137 million as the portfolio was under-performing.

The Company recognized a gain of $ 0.2 million as a result of the transaction.

The Company reclassified the operating results of its single-family rental properties segment as discontinued operations and excluded it from continuing operations for all periods presented.

The Company held assets of $ 0.2 million and liabilities of $ 1.5 million related to discontinued operations as of December 31, 2019.

The Company did no t hold any assets or liabilities related to discontinued operations as of December 31, 2020.

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements

The table below presents the Company's results of operations for the years ended December 31, 2020 and December 31, 2019, respectively, for the single-family rental properties segment's discontinued operations as reported separately as net income (loss) from discontinued operations, net of tax (in thousands).

In 2020, the Company reversed certain previously accrued expenses related to discontinued operations.

December 31, 2020 December 31, 2019

Interest expense $ — $ 5,187

Other Income/(Loss)

Rental income — 11,209

Net realized gain/(loss) — 150

Other income — 258

Total Other Income/(Loss) — 11,617

Other operating expenses ( 80 ) 180

Property depreciation and amortization — 4,110

Property operating expenses ( 586 ) 6,556

Total Expenses ( 666 ) 10,846

Net Income/(Loss) from Discontinued Operations $ 666 $ ( 4,416 )

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements

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

Commitment type Date of Commitment Total Commitment Funded Commitment Remaining Commitment

GSE Non-Owner Occupied Loans (a) Various $ 63,947 $ 38,087 $ 25,860

LOTS (b) Various 21,390 16,891 4,499

MATH (b)(c) January 29, 2021 22,295 — 22,295

Total $ 107,632 $ 54,978 $ 52,654

(a) The Company entered into commitments to purchase certain pools of GSE Non-Owner Occupied Loans which have not yet settled as of December 31, 2021.

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

(c) Subsequent to year end, the Company's total commitment to MATH decreased to $ 15.6 million and remained fully unfunded.

Investments in unconsolidated equity method affiliates

The Company has determined that AG Arc and MATH are significant subsidiaries as a result of having met certain thresholds on an individual basis during the year ended December 31, 2020.

The Company has provided a summary of financial information on its unconsolidated equity method affiliates, including separate financial information related to these significant subsidiaries, as detailed below.

The following table details the summarized balance sheets for the Company’s unconsolidated ownership interests in affiliates accounted for using the equity method as of December 31, 2020 and December 31, 2019 (in thousands):

December 31, 2021 December 31, 2020

Arc Home (1) MATH (2) Other Total

Real estate securities and loans, at fair value $ 293,710 $ 343,576 $ 294,357 $ 931,643 $ 1,539,217

Mortgage servicing rights and excess mortgage servicing rights, at fair value 56,481 — 933 57,414 113,155

Arc Home (1) Non-QM Loans (2) Land Related Financing (3) Other Total

Loans and real estate securities, at fair value $ 382,378 $ 102,798 $ 34,356 $ 39,865 $ 559,397 $ 931,643

Mortgage servicing rights, at fair value 67,859 — — — 67,859 57,414

Cash and cash equivalents 26,095 5,056 64 3,579 34,794 53,713

Restricted cash 800 — — 1,170 1,970 260

Other assets (4) 66,116 1,729 426 8,405 76,676 93,637

10 unchanged sentences

The Company's Investments in debt and equity of affiliates $ 53,435 $ 17,708 $ 16,448 $ 4,432 $ 92,023 $ 150,667

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

Arc Home is a wholly owned subsidiary of AG Arc.

The Company's investment in AG Arc of $ 45.3 million includes its pro-rata allocation of Members' equity disclosed in the table above and additional net assets held at AG Arc of $ 3.7 million.

(1) The Company has an approximate 44.6 % interest in Arc Home.

(2) The Company has an approximate 44.6 % interest in MATH.

(3) The Company has an approximate 47.5 % and 50 % interest in LOT SP I LLC and LOT SP II LLC, respectively.

(4) Arc Home, as an issuer, has the unilateral right to repurchase Ginnie Mae pool loans it has previously sold or loans in pools it acquired in an MSR purchase (generally loans that are more than 90 days past due).

When Arc Home determines there is more than a trivial benefit to repurchase the loans, it records the loans on its consolidated balance sheets as an asset and a corresponding liability.

As of December 31, 2020, $ 58.7 million of loans eligible to be repurchased are recorded with Other assets and Other liabilities.

As of December 31, 2021 and December 31, 2020, Other assets and Other liabilities included loans eligible to be repurchased in the amount of $ 49.8 million and $ 58.7 million, respectively

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements

The following table details the summarized statements of operations for the Company’s unconsolidated ownership interests in affiliates accounted for using the equity method as of December 31, 2020 and December 31, 2019 (in thousands):

December 31, 2021 December 31, 2020

Arc Home (1) MATH (2) Other Total

Arc Home (1) Non-QM Loans (2) Land Related Financing (3) Other Total

Net Interest Income

2 unchanged sentences

Total Net Interest Income ( 956 ) 10,125 5,826 43,502 58,497 23,977

Other Income/(Loss)

Net realized gain/(loss) 67,849 ( 34,054 ) — 10,255 44,050 95,268

Net interest component of interest rate swaps — 101 — 101 ( 872 )

Unrealized gain (loss) on real estate securities and loans, net ( 13,171 ) ( 15,959 ) ( 73,003 ) ( 102,133 ) 30,645

Unrealized gain/(loss) on derivative and other instruments, net ( 26,003 ) ( 25,326 ) 1,948 ( 49,381 ) 264

Other income 40,022 1 12,042 52,065 40,928

Net unrealized gain/(loss) 1,808 54,474 — ( 15,144 ) 41,138 ( 151,514 )

Other income/(loss), net 26,598 — 98 1,487 28,183 52,166

Total Other Income 96,255 20,420 98 ( 3,402 ) 113,371 ( 4,080 )

Other operating expenses 61,494 2,118 15,804 79,416 66,705

Expenses 73,115 2,320 815 9,353 85,603 79,416

Net Income/(Loss) 22,184 28,225 5,109 30,747 86,265 ( 59,519 )

2 unchanged sentences

The Company's Equity in earnings/(loss) from affiliates $ 3,681 $ 12,594 $ 2,455 $ 13,159 $ 31,889 $ ( 1,629 )

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

Arc Home is a wholly owned subsidiary of AG Arc.

The Company's equity in earnings/(loss) from AG Arc includes its pro-rata share of Net Income/(Loss) disclosed in the table above and additional net income recorded at AG Arc of $ 3.0 million.

(1) The Company has an approximate 44.6 % interest in Arc Home.

(2) The Company has an approximate 44.6 % interest in MATH.

Refer to Note 2 for more detail on the Company’s investments in unconsolidated equity method affiliates.

(3) The Company has an approximate 47.5 % and 50 % interest in LOT SP I LLC and LOT SP II LLC, respectively.

Refer to Note 2 and Note 10 for more detail on the Company’s investments in unconsolidated equity method affiliates.

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements

Quarterly results (Unaudited)

Quarterly financial information (Unaudited)

Summarized quarterly results of operations were as follows (in thousands, except for per share data):

1 unchanged sentence

March 31, June 30, September 30, December 31,

2021 2021 2021 2021

Statement of Operations Data:

4 unchanged sentences

Other Income/(Loss)

Net realized gain/(loss) ( 151,143 ) ( 91,609 ) ( 14,431 ) 661

Net interest component of interest rate swaps ( 741 ) ( 1,573 ) ( 1,184 ) ( 1,364 )

Unrealized gain/(loss) on real estate securities and loans, net ( 313,897 ) 109,632 19,495 25,304

Unrealized gain/(loss) on derivative and other instruments, net 5,686 ( 9,453 ) 1,970 ( 8,550 )

Foreign currency gain/(loss), net 1,649 ( 156 ) ( 10 ) 45

Other income 3 1 — 2

Net realized gain/(loss) ( 4,038 ) 4,374 ( 5,460 ) 6,822

Net unrealized gain/(loss) 19,849 9,685 29,461 3,704

Other income/(loss), net 37 — — —

Total Other Income/(Loss) 15,107 12,486 22,817 9,162

1 unchanged sentence

Other operating expenses 4,150 2,981 2,997 3,229

Restructuring Related Expenses 1,500 7,104 1,345 251

Equity based compensation to affiliate 88 75 — —

Excise tax ( 815 ) — — —

Transaction related expenses ( 167 ) 1,885 2,013 3,597

Servicing fees 615 672 849 1,052

2 unchanged sentences

Equity in earnings/(loss) from affiliates 26,336 1,278 6,882 ( 2,607 )

Net Income/(Loss) from Continuing Operations ( 485,017 ) 2,700 20,046 40,686

Net Income/(Loss) from Discontinued Operations — 361 — 305

Net Income/(Loss) 43,249 15,493 34,579 10,865

3 unchanged sentences

Earnings/(Loss) Per Share - Basic (1)

Continuing Operations $ ( 14.98 ) $ ( 0.09 ) $ 0.44 $ 1.15

Discontinued Operations — 0.01 — 0.01

Total Earnings/(Loss) Per Share of Common Stock $ 2.74 $ 0.70 $ 1.87 $ 0.33

Earnings/(Loss) Per Share - Diluted (1)

Continuing Operations $ ( 14.98 ) $ ( 0.09 ) $ 0.44 $ 1.15

Discontinued Operations — 0.01 — 0.01

Total Earnings/(Loss) Per Share of Common Stock $ 2.74 $ 0.70 $ 1.87 $ 0.33

(1) The three months ended September 30, 2020 and June 30, 2020 include cumulative and undeclared dividends of $ 5.6 million and $ 5.7 million on the Company's preferred stock as of September 30, 2020 and June 30, 2020, respectively.

(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.

AG Mortgage Investment Trust Inc.

3 unchanged sentences

March 31, June 30, September 30, December 31,

2020 2020 2020 2020

Statement of Operations Data:

4 unchanged sentences

Other Income/(Loss)

Net realized gain/(loss) ( 20,583 ) ( 27,510 ) ( 16,132 ) 13,403

Net interest component of interest rate swaps 923 — ( 13 ) ( 179 )

Unrealized gain/(loss) on real estate securities and loans, net 46,753 43,165 11,726 ( 17,812 )

Unrealized gain/(loss) on derivative and other instruments, net ( 10,086 ) ( 10,839 ) 3,258 17,355

Foreign currency gain/(loss), net — — 667 ( 3,179 )

Other income 414 216 210 342

Net realized gain/(loss) ( 151,143 ) ( 91,609 ) ( 14,431 ) 661

Net unrealized gain/(loss) ( 308,211 ) 100,179 21,465 16,754

Other income/(loss), net 1,652 ( 155 ) ( 10 ) 47

Total Other Income/(Loss) ( 456,779 ) 8,415 7,011 17,283

1 unchanged sentence

Other operating expenses 4,149 4,184 4,340 3,238

Equity based compensation to affiliate 126 73 76 74

Transaction related expenses ( 3,219 ) 373 1,589 22

Restructuring related expenses 1,500 7,104 1,345 251

Excise tax ( 815 ) — — —

6 unchanged sentences

Net Income/(loss) ( 485,017 ) 3,061 20,046 40,991

Gain on Exchange Offers, net (Note 11) — — 539 10,035

Dividends on preferred stock (1) ( 5,667 ) ( 5,667 ) ( 5,563 ) ( 3,652 )

8 unchanged sentences

Total Earnings/(Loss) Per Share - Diluted $ ( 44.98 ) $ ( 0.24 ) $ 1.31 $ 3.49

(1) The three months ended September 30, 2019 and December 31, 2019 include cumulative and undeclared dividends of $ 0.4 million on the Company's 8.000 % Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock as of September 30, 2019 and December 31, 2019, respectively.

(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.

AG Mortgage Investment Trust Inc.

2 unchanged sentences

Subsequent Events

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.

Upon amending the agreement, the Company settled the premium recapture fee with the financing counterparty.

On February 4, 2021, the Company sold Commercial Loan G for proceeds of $ 58.8 million, eliminating future funding commitments of $ 18.7 million outstanding as of December 31, 2020.

On February 12, 2021, the Company sold Commercial Loan I for proceeds of $ 15.7 million, eliminating future funding commitments of $ 10.1 million outstanding as of December 31, 2020.

Subsequent to quarter end, the Company purchased or, subject to certain conditions, agreed to purchase Non-QM Loans of $ 73.4 million, of which $ 27.8 million was sourced from Arc Home.

The Company expects to finance these purchases under an existing financing arrangement at an advance rate of approximately 85 %.

The Company purchased $ 519.0 million of non-agency mortgage loans, inclusive Non-QM Loans, GSE Non-Owner Occupied Loans, and other qualifying mortgage loans.

$ 233.0 million of these non-agency mortgage loans were purchased from Arc Home.

The Company participated in its first rated securitization of GSE Non-Owner Occupied Loans, in which loans with a fair value of $ 474.9 million were securitized.

Additionally, the Company participated in a rated securitization in which Non-QM Loans with a fair value of $ 301.7 million were securitized.

Both securitizations converted financing from recourse financing with mark-to-market margin calls to non-recourse financing without mark-to-market margin calls.

The Company announced that on February 18, 2022 its Board of Directors declared first quarter 2022 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 March 17, 2022 to holders of record on February 28, 2022.

CHANGES IN AND DISAGREEMENTS WITH ACCOUNTANTS ON ACCOUNTING AND FINANCIAL DISCLOSURE

Compared sentence by sentence after normalising whitespace, quotation marks, case and digits, so re-formatting and restated figures do not read as changed language. Wording changes appear as one removal and one addition. The current filing and the prior one are authoritative.

What changed 10-K

Item 8. Financial Statements and Supplementary Data