What changed in this filing

/stocks — the workspaceLOADING

Item 1. Financial Statements

2022-05-06 compared with 2021-11-05 · 646 added, 931 removed, 691 unchanged (70% of the section changed)

4 unchanged sentences

(in thousands, except per share data)

September 30, 2021 December 31, 2020

March 31, 2022 December 31, 2021

Securitized residential mortgage loans, at fair value - $ 208,312 and $ 119,947 pledged as collateral, respectively (1)

$ 2,105,572 $ 1,158,134

Residential mortgage loans, at fair value - $ 1,160,870 and $ 1,469,358 pledged as collateral, respectively

2 unchanged sentences

246,004 514,470

Commercial loans, at fair value — 111,549

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

Investments in debt and equity of affiliates 87,086 92,023

1 unchanged sentence

Restricted cash 45,630 32,150

Receivable on unsettled trades - $ 68,747 and $ 0 pledged as collateral, respectively

Other assets 29,274 20,900

Total Assets $ 3,838,956 $ 3,362,728

Financing arrangements $ 1,160,519 $ 564,047

Securitized debt, at fair value (1) $ 1,859,917 $ 999,215

Payable on unsettled trades — 51,136

Financing arrangements 1,411,493 1,777,743

Dividend payable 5,022 5,021

3 unchanged sentences

Stockholders’ Equity

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

Preferred stock - $ 227,991 aggregate liquidation preference

220,472 220,472

Common stock, par value $ 0.01 per share;

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

450,000 shares of common stock authorized and 23,915 and 23,908 shares issued and outstanding at March 31, 2022 and December 31, 2021, respectively

Additional paid-in capital 796,549 796,469

2 unchanged sentences

Total Liabilities & Stockholders’ Equity $ 3,838,956 $ 3,362,728

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

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

See Note 2 and Note 11 for additional details.

(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.

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

3 unchanged sentences

(in thousands, except per share data)

Three Months Ended Nine Months Ended

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

Three Months Ended

March 31, 2022 March 31, 2021

Net Interest Income

3 unchanged sentences

Other Income/(Loss)

Net realized gain/(loss) ( 5,460 ) ( 14,431 ) ( 5,124 ) ( 257,183 )

Net interest component of interest rate swaps ( 2,270 ) ( 741 )

Unrealized gain/(loss), net 29,461 21,465 58,995 ( 186,567 )

Net realized gain/(loss) 8,783 ( 4,038 )

Net unrealized gain/(loss) ( 22,420 ) 19,849

Other income/(loss), net — 37

2 unchanged sentences

Other operating expenses 3,688 4,150

Restructuring related expenses — 1,345 — 9,949

Excise tax — — — ( 815 )

Transaction related expenses 5,879 ( 167 )

Servicing fees 1,007 615

2 unchanged sentences

Equity in earnings/(loss) from affiliates ( 2,054 ) 26,336

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

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

Net Income/(Loss) ( 13,202 ) 43,249

2 unchanged sentences

Net Income/(Loss) Available to Common Stockholders $ ( 17,788 ) $ 38,683

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

Continuing Operations $ 1.87 $ 1.31 $ 5.21 $ ( 43.06 )

Discontinued Operations — — — 0.03

Total Earnings/(Loss) Per Share of Common Stock (2) $ 1.87 $ 1.31 $ 5.21 $ ( 43.03 )

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

Continuing Operations $ 1.87 $ 1.31 $ 5.21 $ ( 43.06 )

Discontinued Operations — — — 0.03

Total Earnings/(Loss) Per Share of Common Stock (2) $ 1.87 $ 1.31 $ 5.21 $ ( 43.03 )

Earnings/(Loss) Per Share of Common Stock (1)

Basic $ ( 0.74 ) $ 2.74

Diluted $ ( 0.74 ) $ 2.74

Weighted Average Number of Shares of Common Stock Outstanding (1)

1 unchanged sentence

Diluted 23,915 14,116

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

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

5 unchanged sentences

(in thousands)

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

For the Three Months Ended March 31, 2022

Common Stock Preferred Stock Additional

2 unchanged sentences

Shares Amount Total

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

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

Balance at January 1, 2022 23,908 $ 239 $ 220,472 $ 796,469 $ ( 446,800 ) $ 570,380

Grant of restricted stock 7 — — 80 — 80

2 unchanged sentences

Net Income/(Loss) — — — — ( 13,202 ) ( 13,202 )

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

Common Stock (1) Preferred Stock Additional

Paid-in Capital (1) Retained

Earnings/(Deficit)

Shares Amount Total

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

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

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

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

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

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

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

Balance at March 31, 2022 23,915 $ 239 $ 220,472 $ 796,549 $ ( 469,610 ) $ 547,650

For the Three Months Ended March 31, 2021

Common Stock (1) Preferred Stock Additional

4 unchanged sentences

Net proceeds from issuance of common stock 745 8 — 10,025 — 10,033

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

Grant of restricted stock 7 — — 80 — 80

3 unchanged sentences

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

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

Common Stock (1) Preferred Stock Additional

Paid-in Capital (1) Retained

Earnings/(Deficit)

Shares Amount Total

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

Net proceeds from issuance of common stock 912 10 — 8,974 — 8,984

Grant of restricted stock and amortization of equity based compensation 42 — — 516 — 516

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

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

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

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

Balance at March 31, 2021 15,500 $ 156 $ 226,297 $ 711,055 $ ( 482,203 ) $ 455,305

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

5 unchanged sentences

(in thousands)

Nine Months Ended

September 30, 2021 September 30, 2020

Three Months Ended

March 31, 2022 March 31, 2021

Cash Flows from Operating Activities

Net income/(loss) $ ( 13,202 ) $ 43,249

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

Net income/(loss) from continuing operations 93,321 ( 462,271 )

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

1 unchanged sentence

Net realized (gain)/loss ( 8,783 ) 4,038

Unrealized (gain)/loss, net ( 58,995 ) 186,567

Foreign currency (gain)/loss, net ( 14 ) ( 1,483 )

Equity based compensation to affiliate — 163

Net unrealized (gain)/loss 22,420 ( 19,849 )

Equity based compensation expense 80 80

3 unchanged sentences

Other liabilities 1,726 ( 157 )

Net cash provided by (used in) continuing operating activities 19,765 ( 1,558 )

Net cash provided by (used in) discontinued operating activities — ( 726 )

Net cash provided by (used in) operating activities 4,528 6,477

Cash Flows from Investing Activities

Purchase of real estate securities ( 768,794 ) ( 174,845 )

Purchase of residential mortgage loans ( 948,966 ) ( 208,927 )

Purchase of real estate securities ( 79,564 ) ( 566,731 )

Origination of commercial loans — ( 1,881 )

1 unchanged sentence

Investments in debt and equity of affiliates ( 417 ) ( 1,122 )

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

Proceeds from sales of real estate securities 197,232 111,954

Proceeds from sales of residential mortgage loans 47,219 393,633

Proceeds from sales of commercial loans — 74,579

Principal repayments on residential mortgage loans 146,388 12,294

Principal repayments on real estate securities 14,596 14,337

Principal repayments on excess MSRs 497 2,579

Principal repayments on commercial loans — 195

Principal repayments on residential mortgage loans 75,746 50,563

Distributions received in excess of income from investments in debt and equity of affiliates 5,318 12,325

5 unchanged sentences

Net proceeds from issuance of common stock — 10,033

Repurchase of common stock ( 2,847 ) —

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

Repayments of financing arrangements ( 11,770,861 ) ( 16,037,399 )

Net borrowings under (repayments of) financing arrangements ( 366,250 ) 568,153

Deferred financing costs paid ( 17 ) —

Borrowing under secured debt — 20,000

Repayments of secured debt — ( 10,000 )

1 unchanged sentence

Principal repayments on securitized debt ( 116,866 ) ( 12,777 )

Net collateral received from (paid to) repurchase counterparty — ( 46,613 )

Net collateral received from (paid to) derivative counterparty 30,162 —

Dividends paid on common stock ( 5,021 ) ( 1,243 )

Nine Months Ended

September 30, 2021 September 30, 2020

Dividends paid on preferred stock ( 4,586 ) ( 4,961 )

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

Net cash provided by (used in) financing activities 615,611 549,205

Three Months Ended

March 31, 2022 March 31, 2021

Net change in cash and cash equivalents and restricted cash ( 4,058 ) 29,228

6 unchanged sentences

Supplemental disclosure of non-cash financing and investing activities:

Payable on unsettled trades $ — $ 105,016

Receivable on unsettled trades $ 107,788 $ —

Common stock dividends declared but not paid $ 5,022 $ 2,791

Exchange Offers (Note 11) $ — $ 12,181

Holdback on sale of excess MSRs $ 134 $ 725

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

Decrease in securitized debt $ — $ 7,091

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

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

Transfer from residential mortgage loans to other assets $ 707 $ 571

Transfer from investments in debt and equity of affiliates to CMBS $ — $ 11,769

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

September 30, 2021 September 30, 2020

March 31, 2022 March 31, 2021

Cash and cash equivalents $ 50,541 $ 51,637

5 unchanged sentences

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2021

March 31, 2022

AG Mortgage Investment Trust, Inc.

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

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

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

Investment Groups Description

Credit - Residential

Residential mortgage loans

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

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

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

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

(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-Agency Loans and Agency-Eligible 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-Agency Loans • Non-Agency Loans are loans that do not conform to the underwriting guidelines of a government-sponsored enterprise ("GSE").

Non-Agency Loans consist of Qualified mortgage loans ("QM Loans") and Non-Qualified mortgage loans ("Non-QM Loans").

QM Loans are residential mortgage loans that comply with the Ability-To-Repay rules and related guidelines of the Consumer Finance Protection Bureau ("CFPB").

Non-QM Loans are residential mortgage loans that do not satisfy the requirements for QM Loans and are therefore not deemed to be a "qualified mortgage" under the rules of the CFPB.

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

Agency-Eligible Loans

• Agency-Eligible Loans are loans that are underwritten in accordance with GSE guidelines and are primarily secured by investment properties.

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

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

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

◦ These investments are included in the "Residential mortgage loans, at fair value" and "Securitized residential mortgage loans, at fair value" line items on the 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 for Non-Agency RMBS consists of residential mortgage loans that do not generally conform to underwriting guidelines issued by a GSE or agency of the U.S.

Credit - Commercial

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

Single-Asset/Single-Borrower securities are CMBS which securitize a single loan that is backed by a single asset (usually a large commercial property) or by a pool of cross collateralized mortgage obligations to a single borrower or related borrowers.

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

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

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

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

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

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 the 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.

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

government ("Agency Excess MSR").

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

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

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

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

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

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

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

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

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

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2021

March 31, 2022

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.

1 unchanged sentence

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

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

The consolidated financial statements include the accounts of the Company and its wholly-owned subsidiaries.

3 unchanged sentences

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

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

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

Although market conditions have improved since 2020, the COVID-19 pandemic is ongoing with new variants emerging despite growing vaccination rates.

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

2 unchanged sentences

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

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

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

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

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

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

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

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

Cash and cash equivalents

Cash is comprised of cash on deposit with financial institutions.

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

Cash equivalents may include cash invested in money market funds.

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

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

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

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

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

Restricted cash

Restricted cash includes cash pledged as collateral for clearing and executing trades, derivatives, and financing arrangements, as well as restricted cash deposited into accounts held at certain consolidated trusts.

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

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

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2021

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

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

Use of estimates

1 unchanged sentence

Actual results may differ from those estimates.

Earnings/(Loss) per share

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

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

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

Reverse stock split

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

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

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

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

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

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

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

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

Valuation of financial instruments

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

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 (Unaudited)

September 30, 2021

March 31, 2022

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.

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), 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.

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.

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," 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

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.

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.

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.

AG Mortgage Investment Trust Inc.

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Notes to Consolidated Financial Statements (Unaudited)

September 30, 2021

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

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

When the Company purchases securities with evidence of credit deterioration since origination, it will analyze the securities to determine if the guidance found in ASC 310-30 is applicable.

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

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

The Company measures its debt securities and loans at fair value with any changes recognized through net income and it updates its estimate of the cash flows expected to be collected on these asset classes on at least a quarterly basis recognizing changes in cash flows in interest income prospectively through an adjustment of an asset’s yield over its remaining life.

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

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

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

March 31, 2022

Investments in debt and equity of affiliates

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

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

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

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").

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.

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.

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

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

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 accordingly.

For the three and nine months ended September 30, 2021, the Company eliminated $ 1.6 million and $ 3.5 million of intra-entity profits recognized by Arc Home, respectively, and also decreased the cost basis of the underlying loans by the same amount in connection with loan sales to the Company.

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

For the three months ended March 31, 2022 and 2021, the Company eliminated $ 2.4 million and $ 0.5 million of intra-entity profits recognized by Arc Home, respectively, and also decreased the cost basis of the underlying loans by the same amount in connection with loan sales to the Company.

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.

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

AG Mortgage Investment Trust Inc.

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Notes to Consolidated Financial Statements (Unaudited)

September 30, 2021

As of March 31, 2022, 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").

Summary of investments in debt and equity of affiliates

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

September 30, 2021

December 31, 2020

Assets Liabilities Equity Assets Liabilities Equity

Non-QM Loans (1) $ 73,182 $ ( 45,686 ) $ 27,496 $ 153,200 $ ( 111,135 ) $ 42,065

Land Related Financing 17,660 — 17,660 22,824 — 22,824

Other (2) 12,107 ( 5,185 ) 6,922 41,940 ( 5,588 ) 36,352

Real Estate Securities and Loans, at fair value $ 102,949 $ ( 50,871 ) $ 52,078 $ 217,964 $ ( 116,723 ) $ 101,241

AG Arc, at fair value 51,949 — 51,949 45,341 — 45,341

Cash and Other assets/(liabilities) 5,899 ( 803 ) 5,096 5,279 ( 1,194 ) 4,085

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

(1) As of September 30, 2021 and December 31, 2020, Non-QM Loans excluded loans with an unpaid principal balance of $ 8.2 million and $ 17.3 million, respectively, whereby an affiliate of MATT has the right, but not the obligation, to repurchase loans from a trust that are 90 days or more delinquent at its discretion.

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

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

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

Three Months Ended Nine Months Ended

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

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

AG Arc (1) 399 13,407 4,033 12,891

Land Related Financing 598 728 1,848 1,865

Other 6,529 1,224 13,338 ( 5,311 )

Equity in earnings/(loss) from affiliates

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

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

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

For the three and nine months ended September 30, 2021, the Company eliminated $ 1.6 million and $ 3.5 million, respectively, of intra-entity profits recognized by Arc Home and also decreased the cost basis of the underlying loans the Company purchased by the same amount, as described above.

Investment consolidation and transfers of financial assets

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

In performing the analysis, the Company refers to guidance in

AG Mortgage Investment Trust Inc.

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Notes to Consolidated Financial Statements (Unaudited)

September 30, 2021

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

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

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 returns.

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

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Further, ASC 810-10 also requires ongoing assessments of whether an enterprise is the primary beneficiary of a VIE.

In accordance with ASC 810-10, all transferees, including variable interest entities, must be evaluated for consolidation.

In accordance with ASC 810-10, all transferees, including variable interest

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Notes to Consolidated Financial Statements (Unaudited)

March 31, 2022

entities, must be evaluated for consolidation.

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

See Note 3 for more detail.

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

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

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

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

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

The Company enters into securitization transactions collateralized by its Non-Agency Loans ("Non-Agency VIEs"), Agency-Eligible Loans ("Agency-Eligible VIEs"), and re- and non-performing loans ("RPL/NPL VIEs") (collectively, "Residential Mortgage Loan VIEs"), 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.

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 Residential Mortgage Loan VIEs are more observable as a basis for measuring the less observable financial instruments.

The Company applied the guidance under ASC 810-10 (Measuring the Financial Assets and the Financial Liabilities of a Consolidated Collateralized Financing Entity) whereby the Company determines whether the fair value of the assets or liabilities of the Residential Mortgage Loan VIEs are more observable as a basis for measuring the less observable financial instruments.

The Company has determined that the fair value of the liabilities of the Residential Mortgage Loan VIEs are more observable since the prices for these liabilities are more easily determined as similar instruments trade more frequently on a relative basis than the individual assets of the VIEs.

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

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

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

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.

AG Mortgage Investment Trust Inc.

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Notes to Consolidated Financial Statements (Unaudited)

September 30, 2021

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

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

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

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

From time to time, the Company may securitize mortgage loans it holds if such financing is available.

These transactions will be recorded in accordance with ASC 860-10 and will be accounted for as either a "sale" and the loans will be removed from the consolidated balance sheets or as a "financing" and will be classified as "residential mortgage loans" on the consolidated balance sheets, depending upon the structure of the securitization transaction.

ASC 860-10 is a standard that may require the Company to exercise significant judgment in determining whether a transaction should be recorded as a "sale" or a "financing."

Interest income recognition

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

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

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

For Agency RMBS, exclusive of interest-only securities, prepayments of the underlying collateral are estimated on a quarterly basis, which directly affect the speed at which the Company amortizes premiums on its securities.

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

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

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

These include the rate and timing of principal and interest receipts (including assumptions of prepayments, repurchases, defaults, and liquidations), the pass-through or coupon rate and interest rate fluctuations.

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

Differences between previously estimated cash flows and current actual and anticipated cash flows are recognized prospectively through an adjustment of the yield over the remaining life of the security based on the current amortized cost of the investment.

For security and loan investments purchased with evidence of deterioration of credit quality for which it is probable, at acquisition, that the Company will be unable to collect all contractually required payments receivable, the Company will apply the provisions of ASC 310-30.

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

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

ASC 310-30 limits the yield that may be accreted (accretable yield) to the excess of the investor’s estimate of undiscounted expected principal, interest and other cash flows (cash flows expected at acquisition to be collected) over the investor’s initial investment in the loan.

ASC 310-30 requires that the excess of contractual cash flows over cash flows expected to be collected (nonaccretable difference) not be recognized as an adjustment of yield, loss accrual or valuation allowance.

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

AG Mortgage Investment Trust Inc.

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Notes to Consolidated Financial Statements (Unaudited)

September 30, 2021

March 31, 2022

From time to time, the Company may securitize mortgage loans it holds if such financing is available.

These transactions will be recorded in accordance with ASC 860-10 and will be accounted for as either a "sale" and the loans will be removed from the consolidated balance sheets or as a "financing" and will be classified as "Securitized residential mortgage loans" on the consolidated balance sheets, depending upon the structure of the securitization transaction.

ASC 860-10 is a standard that may require the Company to exercise significant judgment in determining whether a transaction should be recorded as a "sale" or a "financing."

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.

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.

Restricted cash also includes variation margin pledged on centrally cleared derivatives.

Refer to the "Accounting for derivative financial instruments" policy below for additional detail.

Financing arrangements

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

Financing arrangements include repurchase agreements and revolving facilities.

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

Financing arrangements primarily include repurchase agreements, but may also include revolving facilities.

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

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

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

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

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 loans or securities pledged as collateral, which can fluctuate with changes in interest rates, type of security and liquidity conditions within the banking, mortgage finance, and real estate industries.

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

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

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

Forbearance and Reinstatement Agreements

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

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

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

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

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

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

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

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

Dividends on Preferred Stock

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

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

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Notes to Consolidated Financial Statements (Unaudited)

September 30, 2021

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

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

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

Preferred stock dividends that are not declared accumulate and are added to the liquidation preference as of the scheduled payment date for the respective series of the preferred stock.

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

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

As of March 31, 2022 and December 31, 2021, the Company had met all margin call requirements.

Accounting for derivative financial instruments

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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.

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Notes to Consolidated Financial Statements (Unaudited)

March 31, 2022

instruments at fair value.

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

As of September 30, 2021 and December 31, 2020, the Company did not have any interest rate derivatives designated as hedges.

As of March 31, 2022 and December 31, 2021, 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.

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

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

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.

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, 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.

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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.

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Notes to Consolidated Financial Statements (Unaudited)

September 30, 2021

Forward purchase commitments

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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

AG Mortgage Investment Trust Inc.

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Notes to Consolidated Financial Statements (Unaudited)

March 31, 2022

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

The Company has elected to record interest in accordance with ASC 835-30-35-2, "Imputation of Interest," using the effective interest method for all loans and securities 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 loans or securities 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.

Similarly, the Company also reassesses the cash flows on at least a quarterly basis for loans and securities, including Non-Agency Loans, Agency-Eligible 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.

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.

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.

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 loans, securities, 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

1 unchanged sentence

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.

The management fee and reimbursement are included in the "Management fee to affiliate" line item and in the "Other operating expenses" and "Transaction related 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.

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

March 31, 2022

Transaction related expenses

The Company incurs transaction related expenses associated with purchasing and securitizing residential mortgage loans.

In accordance with ASC 825 "Financial Instruments," nonrefundable fees and costs associated with originating or acquiring loans that are carried at fair value shall be recognized in earnings as incurred.

Transaction related expenses are accrued and expensed during the period in which they are incurred and are included in the "Transaction related expenses" line item on the consolidated statement of operations.

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

12 unchanged sentences

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.

2 unchanged sentences

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.

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

See Note 9 for further details.

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

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2021

March 31, 2022

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.

See Note 11 for further details.

Deal related performance fees

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

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

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

Dividends on Preferred Stock

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 (or as replaced by the existing LIBOR cessation fallback language) 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.

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

Offering costs

12 unchanged sentences

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

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

Residential mortgage loans

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

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

A portion of these loans were purchased from Arc Home.

See Note 10 for more detail.

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

A portion of these loans were purchased from Arc Home.

See Note 10 for more detail.

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

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

The Manager has an established cross-functional team that focuses on evaluating exposure to LIBOR and monitoring regulatory updates to assess the potential impact to the portfolios under management from the cessation set to occur in 2023 and has established a LIBOR transition plan to facilitate an orderly transition to alternative reference rates.

As of March 31, 2022, the Company is continuing to assess the impact of the LIBOR transition and does not expect the transition or the adoption of ASU 2020-04 to have a material impact on the consolidated financial statements.

The Company's primary exposure to LIBOR includes certain financing arrangements, interest rate swaps, and the Series C Preferred Stock.

The Company's financing arrangements either have provisions in place that provide for an alternative to LIBOR upon its phase-out or contain maturities of one year or less and therefore would mature prior to the phase out of LIBOR in June 2023.

In addition, the Company has begun amending terms of certain financing arrangements, where necessary, to transition or direct the transition to an alternative benchmark.

Interest rate swaps will experience an orderly market transition upon the cessation of LIBOR, although the

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2021

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

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

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

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

March 31, 2022

Company has begun transitioning its interest rate swap portfolio away from LIBOR benchmarks.

The Company does not currently intend to amend the Series C Preferred Stock to change the existing LIBOR cessation fallback language.

Residential mortgage loans

The table below details information regarding the Company’s residential mortgage loan portfolio as of March 31, 2022 and December 31, 2021 ($ in thousands).

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

Unpaid Principal Balance Gross Unrealized Weighted Average

March 31, 2022

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

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

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

Securitized residential mortgage loans, at fair value (2)

Non-Agency Loans $ 1,368,470 $ 53,404 $ 1,421,874 $ — $ ( 67,538 ) $ 1,354,336 4.85 % 4.07 % 6.36

Agency-Eligible Loans 452,213 10,134 462,347 — ( 31,330 ) 431,017 3.59 % 3.24 % 8.43

Re- and Non-Performing Loans 364,103 ( 43,164 ) 320,939 7,776 ( 8,496 ) 320,219 3.31 % 5.92 % 7.76

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

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

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

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

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

Total Securitized residential mortgage loans, at fair value $ 2,184,786 $ 20,374 $ 2,205,160 $ 7,776 $ ( 107,364 ) $ 2,105,572 4.33 % 4.18 % 7.02

Residential mortgage loans, at fair value

Non-Agency Loans $ 878,438 $ 17,153 $ 895,591 $ 1,387 $ ( 18,725 ) $ 878,253 4.67 % 4.18 % 5.87

Agency-Eligible Loans 293,765 6,158 299,923 2 ( 15,862 ) 284,063 3.65 % 3.32 % 8.69

Re- and Non-Performing Loans 5,977 ( 3,408 ) 2,569 2,176 — 4,745 N/A 44.49 % 2.11

Total Residential mortgage loans, at fair value $ 1,178,180 $ 19,903 $ 1,198,083 $ 3,565 $ ( 34,587 ) $ 1,167,061 4.42 % 4.14 % 6.56

Total as of March 31, 2022

$ 3,362,966 $ 40,277 $ 3,403,243 $ 11,341 $ ( 141,951 ) $ 3,272,633 4.36 % 4.17 % 6.86

Unpaid Principal Balance Gross Unrealized Weighted Average

December 31, 2021

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

Securitized residential mortgage loans, at fair value (2)

Non-Agency 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

Residential mortgage loans, at fair value

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

Agency-Eligible 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

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

(1) This is based on projected life.

1 unchanged sentence

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

(3) As of September 30, 2021, the Company’s residential mortgage loan portfolio was comprised of 5,099 loans with original loan balances between $ 5.6 thousand and $ 3.7 million.

Additionally, the Company had residential mortgage loans that were in the process of foreclosure with a fair value of $ 30.8 million.

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

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

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

September 30, 2021 December 31, 2020

Fair Value Unpaid Principal Balance Fair Value Unpaid Principal Balance

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

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

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

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

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

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

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

March 31, 2022

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

March 31, 2022

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

Securitized residential mortgage loans

Non-Agency Loans $ 1,368,470 2,741 68.67 % 732 $ 1,338,123 $ 22,057 $ 2,458 $ 5,832

Agency-Eligible Loans 452,213 1,570 65.25 % 757 449,506 1,972 539 196

Re- and Non-Performing Loans 364,103 2,459 79.31 % 639 243,340 30,564 15,681 74,518

Total Securitized residential mortgage loans 2,184,786 6,770 69.73 % 720 2,030,969 54,593 18,678 80,546

Residential mortgage loans

Non-Agency Loans 878,438 1,658 70.34 % 734 861,420 7,396 1,276 8,346

Agency-Eligible Loans 293,765 705 63.93 % 757 288,710 3,868 — 1,187

Re- and Non-Performing Loans (1) 5,977 N/A N/A N/A N/A N/A N/A N/A

Total Residential mortgage loans 1,178,180 2,363 68.74 % 740 1,150,130 11,264 1,276 9,533

Total as of March 31, 2022

$ 3,362,966 9,133 69.39 % 728 $ 3,181,099 $ 65,857 $ 19,954 $ 90,079

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

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

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

Securitized residential mortgage loans

Non-Agency 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 Securitized residential mortgage loans 1,155,751 4,102 71.68 % 697 1,023,828 42,469 13,360 76,094

Residential mortgage loans

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

Agency-Eligible Loans 429,424 1,339 65.44 % 754 425,594 3,830 — —

Re- and Non-Performing Loans (1) 6,528 N/A N/A N/A N/A N/A N/A N/A

Total Residential mortgage loans 1,423,242 3,225 68.19 % 742 1,393,504 12,931 1,630 8,649

Total as of December 31, 2021

$ 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 March 31, 2022, the Company had residential mortgage loans that were 90+ days delinquent and loans in the process of foreclosure with a fair value of $ 51.4 million and $ 28.3 million, respectively.

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.

During the three months ended March 31, 2022, the Company purchased Non-Agency Loans and Agency-Eligible 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-Agency Loans $ 595,288 $ 604,562

Agency-Eligible Loans 336,277 343,342

The Company did not sell any residential mortgage loans during the three months ended March 31, 2022 and 2021.

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2021

March 31, 2022

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

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

Geographic Concentration of Credit Risk September 30, 2021 December 31, 2020

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

The following is a summary of the geographic concentration of credit risk as of March 31, 2022 and December 31, 2021 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) March 31, 2022 December 31, 2021

California 34 % 35 %

2 unchanged sentences

New Jersey 6 % 6 %

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

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

Three Months Ended Nine Months Ended

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

(1) 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.

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 three months ended March 31, 2022 and 2021, 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).

Three Months Ended

March 31, 2022 March 31, 2021

Beginning Balance $ 46,521 $ 56,907

Additions — 12,860 — 28,110

Accretion ( 1,650 ) ( 1,562 )

5 unchanged sentences

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2021

March 31, 2022

Variable interest entities

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

September 30, 2021 December 31, 2020

The following table details certain information related to the assets and liabilities of the Residential Mortgage Loan VIEs as of March 31, 2022 and December 31, 2021 ($ in thousands).

March 31, 2022 December 31, 2021

Carrying Value Weighted Average Carrying Value Weighted Average

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

Non-QM Loan VIEs $ 484,427 3.60 %

4.01 $ — — % —

Non-Agency VIEs $ 1,354,336 4.07 % 6.36 $ 813,383 3.96 % 4.50

Agency-Eligible VIEs 431,017 3.24 % 8.43 — — % —

RPL/NPL VIEs 320,219 5.92 % 7.76 344,751 5.90 % 7.17

7.14 426,604 5.61 %

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

Securitized residential mortgage loans, at fair value $ 2,105,572 $ 1,158,134

Restricted cash 1,450 1,467

1 unchanged sentence

Total Assets $ 2,116,918 $ 1,166,058

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

2.20 $ — — % —

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

3.90 355,159 3.00 %

Non-Agency VIEs $ 1,228,382 2.49 % 3.69 $ 746,970 1.63 % 2.36

Agency-Eligible VIEs 399,128 2.81 % 8.10 — — % —

RPL/NPL VIEs 232,407 3.09 % 2.65 252,245 3.06 % 3.75

Securitized debt, at fair value (2) $ 1,859,917 $ 999,215

8 unchanged sentences

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.

Commercial loans

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

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

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

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

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

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

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

As of March 31, 2022 and December 31, 2021, the Company did not hold any commercial loans.

During the first quarter of 2021, the Company sold two commercial loans for total proceeds of $ 74.3 million, recording realized losses of $ 2.9 million.

During the third quarter of 2021, the Company's two remaining commercial loans were repaid in full for total proceeds of $ 74.1 million, recording realized gains of $ 0.4 million.

In connection with the repayment of one of these loans, 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.

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2021

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

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

Gross Unrealized Losses Weighted Average Extended

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

March 31, 2022

Real Estate Securities

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

The following tables detail the Company’s real estate securities portfolio as of March 31, 2022 and December 31, 2021 ($ in thousands).

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

September 30, 2021 Current Face Premium /

March 31, 2022 Current Face Premium /

Amortized Cost Gross Unrealized Weighted Average

1 unchanged sentence

30 Year Fixed Rate $ 223,604 $ 6,304 $ 229,908 $ — $ ( 18,059 ) $ 211,849 2.50 % 2.08 %

Credit - Residential Investments:

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

Interest Only 103,290 ( 87,635 ) 15,655 — ( 281 ) 15,374 3.00 % 6.46 %

Total Agency RMBS 326,894 ( 81,331 ) 245,563 — ( 18,340 ) 227,223 2.66 % 2.38 %

Residential Securities

Non-Agency Securities (2) 14,892 ( 226 ) 14,666 — ( 1,335 ) 13,331 4.35 % 4.64 %

Non-Agency RMBS Interest Only (2) 139,080 ( 135,779 ) 3,301 1,564 — 4,865 0.38 % 31.33 %

Re/Non-Performing Securities 616 15 631 42 ( 88 ) 585 5.25 % 23.85 %

Total Credit - Residential Investments:

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

Total Residential Securities 154,588 ( 135,990 ) 18,598 1,606 ( 1,423 ) 18,781 1.10 % 12.15 %

Total $ 481,482 $ ( 217,321 ) $ 264,161 $ 1,606 $ ( 19,763 ) $ 246,004 2.34 % 3.12 %

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

Residential Securities

Non-Agency Securities (2) 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:

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

Total Residential Securities 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.

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

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

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2021

(2) Non-Agency RMBS Interest Only includes only two investments as of December 31, 2020.

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

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

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

September 30, 2021 Agency RMBS Credit - Residential Investments

March 31, 2022

The following tables summarize the Company's real estate securities according to their projected weighted average life classifications as of March 31, 2022 and December 31, 2021 ($ in thousands).

March 31, 2022 Agency RMBS Residential Securities

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

2 unchanged sentences

Greater than five years and less than or equal to ten years 227,223 245,563 2.66 % 13,331 14,666 4.35 %

Greater than ten years 27,368 27,912 2.00 % 409 165 — %

Total $ 227,223 $ 245,563 2.66 % $ 18,781 $ 18,598 1.10 %

December 31, 2020 Agency RMBS Credit Investments

December 31, 2021 Agency RMBS Residential Securities

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

8 unchanged sentences

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

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

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

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

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

During the three months ended March 31, 2022 and 2021, the Company sold real estate securities, as summarized below ($ in thousands).

Three months ended Number of Securities Proceeds Realized Gains Realized Losses

March 31, 2022 (1) 13 $ 304,665 $ 568 $ ( 17,408 )

March 31, 2021 27 111,824 2,458 ( 2,958 )

(1) Includes $ 107.7 million of proceeds on six security sales which were unsettled as of March 31, 2022.

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2021

March 31, 2022

Fair value measurements

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

Fair Value at September 30, 2021

The following tables present the Company’s financial instruments measured at fair value on a recurring basis as of March 31, 2022 and December 31, 2021 (in thousands).

Fair Value at March 31, 2022

Level 1 Level 2 Level 3 Total

Securitized residential mortgage loans $ — $ — $ 2,105,572 $ 2,105,572

Residential mortgage loans — 847 1,166,214 1,167,061

30 Year Fixed Rate Agency RMBS — 211,849 — 211,849

Agency Interest Only — 15,374 — 15,374

Non-Agency RMBS (1) — — 13,916 13,916

Excess mortgage servicing rights (2) — — 70 70

Non-Agency RMBS Interest Only — — 4,865 4,865

Derivative assets (2) — 71,767 — 71,767

4 unchanged sentences

Total Liabilities Measured at Fair Value $ — $ ( 3,313 ) $ ( 1,859,917 ) $ ( 1,863,230 )

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

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

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

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

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

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

The table above includes the Company's investment in AG Arc, which is included in its "Investments in debt and equity of affiliates" line item on the consolidated balance sheets, as the Company has chosen to elect the fair value option with respect to its investment pursuant to ASC 825.

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2021

Fair value at December 31, 2021

Level 1 Level 2 Level 3 Total

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

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

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

Credit Investments:

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

Commercial loans — — 125,508 125,508

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

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

4 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, 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.

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

(2) As of March 31, 2022, the Company applied a reduction in fair value of $ 63.6 million to its interest rate swap assets related to variation margin with a corresponding increase in restricted cash, net of collateral posted by the Company's derivative counterparties.

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.

1 unchanged sentence

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.

(3) Refer to Note 2 for more information on the Company's accounting policies with regard to AG Arc.

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

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

March 31, 2022

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 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.

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

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

1 unchanged sentence

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

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

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

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

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

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2021

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

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

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

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

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

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

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 three months ended March 31, 2022 and 2021.

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

Transfers into the Level 3 category of the fair value hierarchy occur due to instruments exhibiting indications of reduced levels of market transparency.

Transfers out of the Level 3 category of the fair value hierarchy occur due to instruments exhibiting indications of increased levels of market transparency and updates to the Company's leveling policy, which are detailed in Note 2.

Transfers out of the Level 3 category of the fair value hierarchy occur due to instruments exhibiting indications of increased levels of market transparency.

Indications of increases or decreases in levels of market transparency include a change in observable transactions or executable quotes involving these instruments or similar instruments.

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

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

Three Months Ended September 30, 2021 (in thousands)

Mortgage Loans Non-Agency

RMBS Commercial

Loans Excess Mortgage

Servicing Rights Derivative Assets AG Arc Securitized

debt Derivative Liabilities

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

Purchases/Transfers 608,771 — — — — — — —

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

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

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

Proceeds from settlement ( 42,095 ) ( 396 ) ( 70,195 ) — — — 34,407 —

Total net gains/(losses) (1)

Included in net income 11,137 ( 27 ) 7,916 ( 174 ) 841 1,980 ( 209 ) ( 46 )

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

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

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

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

Unrealized gain/(loss), net $ 20,389

Net realized gain/(loss) ( 951 )

Equity in earnings/(loss) from affiliates 1,980

Total $ 21,418

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

Unrealized gain/(loss), net $ 11,962

Equity in earnings/(loss) from affiliates 1,980

Total $ 13,942

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2021

Three Months Ended September 30, 2020 (in thousands)

March 31, 2022

Three Months Ended March 31, 2022 (in thousands)

Mortgage Loans (1) Non-Agency

RMBS Commercial

Loans Excess Mortgage

Servicing Rights AG Arc Securitized

RMBS Non-Agency

RMBS Interest Only AG Arc Securitized

debt Derivative liabilities

Beginning balance $ 2,634,191 $ 15,362 $ 3,395 $ 53,435 $ ( 999,215 ) $ ( 79 )

Transfers (1):

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

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

Purchases 944,630 — — — — —

Issuances of Securitized Debt — — — — ( 1,074,852 ) —

Proceeds from sales of assets ( 6,151 ) — ( 2,724 ) ( 8,460 ) — —

Proceeds from settlement ( 146,388 ) ( 78 ) — — 116,866 —

2 unchanged sentences

Ending Balance $ 3,271,786 $ 13,916 $ 4,865 $ 54,121 $ ( 1,859,917 ) $ —

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

Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held as of March 31, 2022 (3)

$ ( 161,896 ) $ ( 1,368 ) $ 1,470 $ 686 $ 97,284 $ —

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

During the three months ended September 30, 2020, the Company transferred two Residential Mortgage Loan investments into the Level 2 category from the Level 3 category under the fair value hierarchy of ASC 820.

(1) Includes Securitized residential mortgage loans.

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

Unrealized gain/(loss), net $ 9,575

Net unrealized gain/(loss) $ ( 63,095 )

Net realized gain/(loss) ( 87 )

2 unchanged sentences

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

Unrealized gain/(loss), net $ 9,974

Net unrealized gain/(loss) $ ( 64,510 )

Equity in earnings/(loss) from affiliates 686

Total $ ( 63,824 )

Nine months ended September 30, 2021 (in thousands)

Three Months Ended March 31, 2021 (in thousands)

Mortgage Loans (1) Non-Agency

1 unchanged sentence

Loans Excess Mortgage

Servicing Rights Derivative Assets AG Arc Securitized

debt Derivative Liabilities

Servicing Rights AG Arc Securitized

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

1 unchanged sentence

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

Purchases/Transfers 1,261,568 — 5,100 — — — — —

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

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

Purchases 208,060 — 3,669 — — —

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

3 unchanged sentences

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

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

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

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

During the nine months ended September 30, 2021, the Company transferred one Non-Agency RMBS into the Level 2 category from the Level 3 category under the fair value hierarchy of ASC 820.

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

Unrealized gain/(loss), net $ 40,472

Net realized gain/(loss) 3,176

Equity in earnings/(loss) from affiliates 7,501

Total $ 51,149

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

Unrealized gain/(loss), net $ 23,183

Equity in earnings/(loss) from affiliates 7,501

Total $ 30,684

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2021

Nine months ended September 30, 2020

Loans Non-Agency

RMBS Non-Agency

RMBS Interest Only CMBS CMBS Interest

Only Commercial

Rights AG Arc Securitized

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

Transfers (1):

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

Transfers out of level 3 — ( 210,709 ) ( 1,074 ) ( 170,816 ) ( 22,055 ) — — — 7,230

Purchases/Transfers 536,710 1,559 — 3,540 — 27,508 — — —

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

Proceeds from sales of assets and seizures of assets ( 393,559 ) ( 362,199 ) — ( 148,111 ) ( 21,995 ) ( 36,924 ) ( 8,460 ) — —

Proceeds from settlement ( 50,563 ) ( 11,823 ) — ( 9,367 ) — ( 5,710 ) — — 16,021

Total net gains/(losses) (2)

Included in net income ( 83,000 ) ( 43,253 ) — ( 41,812 ) ( 3,942 ) ( 20,680 ) ( 5,789 ) 12,890 8,598

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

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

Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held as of March 31, 2021 (4)

$ 11,761 $ 72 $ 738 $ ( 158 ) $ 6,797 $ ( 2,047 )

(1) Includes Securitized residential mortgage loans.

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

During the nine months ended September 30, 2020, the Company transferred 50 Non-Agency RMBS securities, two Non-Agency RMBS Interest Only securities, 32 CMBS securities, 15 CMBS Interest Only securities, and one securitized debt security into the Level 2 category from the Level 3 category under the fair value hierarchy of ASC 820.

During the nine months ended September 30, 2020, the Company transferred one securitized debt security into the Level 3 category from the Level 2 category under the fair value hierarchy of ASC 820.

During the three months ended March 31, 2021, the Company transferred one Non-Agency RMBS into the Level 2 category from the Level 3 category under the fair value hierarchy of ASC 820.

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

Unrealized gain/(loss), net $ ( 71,500 )

Net unrealized gain/(loss) $ 16,101

Net realized gain/(loss) ( 2,999 )

2 unchanged sentences

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

Unrealized gain/(loss), net $ ( 33,567 )

Net unrealized gain/(loss) $ 10,366

Equity in earnings/(loss) from affiliates 6,797

3 unchanged sentences

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2021

March 31, 2022

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

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

Asset Class Fair Value at March 31, 2022

(in thousands) Valuation Technique Unobservable Input Range

(Weighted Average) (1)

Yield 4.17 % - 13.00 % ( 4.75 %)

Securitized residential mortgage loans $ 2,105,572 Discounted Cash Flow Projected Collateral Prepayments 4.02 % - 8.64 % ( 7.87 %)

Projected Collateral Losses 0.07 % - 4.35 % ( 0.43 %)

Projected Collateral Severities -19.96% - 26.35 % ( 12.28 %)

Yield 3.93 % - 7.50 % ( 4.51 %)

Residential mortgage loans $ 1,162,316 Discounted Cash Flow Projected Collateral Prepayments 0.00 % - 21.97 % ( 12.81 %)

2 unchanged sentences

$ 3,898 Consensus Pricing Offered Quotes 91.82 - 112.22 ( 102.04 )

$ 35,993 Recent Transaction Cost N/A

Yield 4.83 % - 8.68 % ( 6.44 %)

2 unchanged sentences

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

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

Yield 10.00 % - 12.50 % ( 12.11 %)

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

Non-Agency RMBS Interest Only $ 4,865 Discounted Cash Flow Projected Collateral Prepayments 10.59 % - 10.59 % ( 10.59 %)

Projected Collateral Losses 0.24 % - 0.24 % ( 0.24 %)

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

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

AG Arc $ 54,121 Comparable Multiple Book Value Multiple 1.01 x - 1.01 x ( 1.01 x)

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

Liability Class Fair Value at March 31, 2022

(in thousands) Valuation Technique Unobservable Input Range

(Weighted Average) (1)

3 unchanged sentences

Projected Collateral Severities 3.73 % - 15.00 % ( 12.44 %)

Yield 3.04 % - 3.04 % ( 3.04 %)

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

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

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

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

(1) Amounts are weighted based on fair value.

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2021

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

March 31, 2022

Asset Class Fair Value at December 31, 2021

(in thousands) Valuation Technique Unobservable Input Range

(Weighted Average) (1)

Yield 2.26 % - 13.00 % ( 3.12 %)

Securitized residential mortgage loans $ 1,158,134 Discounted Cash Flow 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%)

Yield 2.77 % - 7.50 % ( 3.37 %)

Residential mortgage loans $ 1,465,523 Discounted Cash Flow Projected Collateral Prepayments 0.00 % - 25.89 % ( 15.28 %)

1 unchanged sentence

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

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

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

$ 6,129 Recent Transaction Cost N/A

Yield 3.42 % - 15.00 % ( 5.32 %)

2 unchanged sentences

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

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

Yield 10.00 % - 12.50 % ( 12.10 %)

Commercial Loans $ 125,508 Discounted Cash Flow Credit Spread 1,001 bps - 3,304 bps ( 1,279 bps)

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

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

Yield 9.00 % - 9.70 % ( 9.08 %)

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

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

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)

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

Liability Class Fair Value at December 31, 2021

(in thousands) Valuation Technique Unobservable Input Range

(Weighted Average) (1)

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

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.

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

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

Broker quotations may also be used.

The significant unobservable inputs used in the fair value measurement of the Company’s securities are yields, prepayment rates, probability of default, and loss severity in the event of default.

Significant increases (decreases) in any of those inputs in isolation would result in a significantly lower (higher) fair value measurement.

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

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

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

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

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

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

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2021

March 31, 2022

Financing arrangements

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

September 30, 2021

The following table presents a summary of the Company's financing arrangements as of March 31, 2022 and December 31, 2021 ($ in thousands).

March 31, 2022

December 31, 2021

Weighted Average Collateral (1)(2)

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

Repurchase Agreements

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

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

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

CMBS — N/A — % — — — 24,881

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

Revolving Facilities

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

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

Securitized residential mortgage loans (3) $ 125,533 Apr 2022 to June 2022 1.94 % 0.10 $ 207,014 $ 208,312 $ 71,308

Residential mortgage loans (4)(5) 1,035,248 July 2022 to Mar 2023 2.21 % 0.83 1,193,987 1,160,870 1,286,287

Agency RMBS (6) 240,653 Apr 2022 0.39 % 0.03 268,540 247,462 409,935

Non-Agency RMBS 10,059 Apr 2022 1.87 % 0.04 17,967 18,196 10,213

Total Financing Arrangements $ 1,411,493 1.87 % 0.62 $ 1,687,508 $ 1,634,840 $ 1,777,743

(1) The Company also had $ 4.6 million of cash pledged under repurchase agreements as of September 30, 2021.

(1) The Company also had $ 5.4 million and $ 5.0 million of cash pledged under repurchase agreements as of March 31, 2022 and December 31, 2021, respectively.

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

(3) Amounts pledged as collateral under Residential Mortgage Loans include certain of the Company's retained interests in securitizations.

(3) 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.

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

(4) The Company's Residential mortgage loan financing arrangements include a maximum uncommitted borrowing capacity of $ 2.3 billion on facilities used to finance Non-Agency and Agency-Eligible Loans.

(5) The funding cost includes deferred financing costs.

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

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

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

Repurchase Agreements

The weighted average stated rate on the Residential mortgage loans repurchase agreements was 2.14 % as of March 31, 2022.

(6) As of March 31, 2022, financing arrangements on Agency RMBS included $ 66.4 million of repurchase agreements on unsettled sales that subsequently settled in April 2022.

The following table presents contractual maturity information about the Company's borrowings under financing arrangements as of March 31, 2022 ($ in thousands).

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

Securitized residential mortgage loans $ 79,123 $ 46,410 $ — $ 125,533

Residential mortgage loans — — 1,035,248 1,035,248

1 unchanged sentence

Non-Agency RMBS 10,059 — — 10,059

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

Total Financing Arrangements $ 329,835 $ 46,410 $ 1,035,248 $ 1,411,493

Counterparties

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

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2021

The following tables present information as of September 30, 2021 and December 31, 2020 with respect to each counterparty that provides the Company with financing for which the Company had greater than 5% of its stockholders’ equity at risk, excluding stockholders’ equity at risk under financing through affiliated entities ($ in thousands).

September 30, 2021

The Company had exposure to five counterparties as of March 31, 2022 and December 31, 2021.

The following tables present information as of March 31, 2022 and December 31, 2021 with respect to each counterparty that provides the Company with financing for which the Company had greater than 5% of its stockholders’ equity at risk, excluding stockholders’ equity at risk under financing through affiliated entities ($ in thousands).

March 31, 2022

December 31, 2021

Counterparty Stockholders' Equity

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Maturity (days) Percentage of

Stockholders’ Equity

Barclays Capital Inc.

$ 84,947 71 17.3 %

Credit Suisse AG, Cayman Islands Branch

56,517 169 11.5 %

December 31, 2020

Counterparty Stockholders’ Equity

Stockholders' Equity Stockholders' Equity

at Risk Weighted Average

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Stockholders' Equity

BofA Securities, Inc.

$ 28,091 19 6.9 %

Credit Suisse AG, Cayman Islands Branch

$ 116,031 307 21.2 % $ 129,526 101 22.7 %

Barclays Capital Inc.

70,032 253 12.8 % 89,230 23 15.6 %

BofA Securities, Inc.

34,279 170 6.3 % 33,153 317 5.8 %

Financial Covenants

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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.

In addition, some of the financing arrangements contain cross default features, whereby default under an agreement with one

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

March 31, 2022

lender simultaneously causes default under agreements with other lenders.

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

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

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

As of March 31, 2022, the Company is in compliance with all of its financial covenants.

Other assets and liabilities

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

September 30, 2021 December 31, 2020

The following table details certain information related to the Company's "Other assets" and "Other liabilities" line items on its consolidated balance sheet as of March 31, 2022 and December 31, 2021 (in thousands).

March 31, 2022 December 31, 2021

Interest receivable $ 15,523 $ 14,263

2 unchanged sentences

Due from broker 1,755 1,887

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

Total Other assets $ 29,274 $ 20,900

Other liabilities

Due to affiliates (1) $ 4,051 $ 4,106

Interest payable 5,292 2,925

Derivative liabilities, at fair value 3,313 92

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

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

Purchase price payable on Agency-Eligible Loans (2) — 87

Accrued expenses 2,216 2,169

2 unchanged sentences

(1) Refer to Note 10 for more information.

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2021

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

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

(2) Represents the portion of the purchase price on Agency-Eligible Loans that had not yet settled as of December 31, 2021.

The following table presents the fair value of the Company's derivatives and other instruments and their balance sheet location as of March 31, 2022 and December 31, 2021 (in thousands).

Derivatives and Other Instruments (1) Balance Sheet

Location September 30, 2021 December 31, 2020

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

TBAs Other assets 1,358 —

Forward Purchase Commitments

Other assets 841 —

Location March 31, 2022 December 31, 2021

Pay Fix/Receive Float Interest Rate Swap Agreements (2) Other assets $ 1,438 $ 231

Long TBAs Other liabilities ( 211 ) —

Short TBAs Other assets 6,733 —

Short TBAs Other liabilities ( 3,102 ) ( 13 )

Forward Purchase Commitments

Other liabilities — ( 79 )

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

(1) As of March 31, 2022 and December 31, 2021, all derivatives held by the Company are not designated as hedges.

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

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

March 31, 2022

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

Notional amount of non-hedge derivatives and other instruments:

Notional Currency September 30, 2021 December 31, 2020

Notional Currency March 31, 2022 December 31, 2021

Pay Fix/Receive Float Interest Rate Swap Agreements (1) USD $ 1,419,000 $ 888,500

Long TBAs USD 150,000 —

Short TBAs USD — 385,963

Forward Purchase Commitments USD — 25,292

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

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

(1) As of March 31, 2022, the Company's pay fix/receive float interest rate swaps had a weighted average pay-fixed rate of 1.27 %, a weighted average receive-variable rate of 0.30 %, and a weighted average years to maturity of 5.33 years.

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.

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

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2021

Derivative and other instruments eligible for offset are presented gross on the consolidated balance sheets as of March 31, 2022 and December 31, 2021, if applicable.

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

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

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

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

As of March 31, 2022, the Company's restricted cash balance included $ 38.8 million of collateral related to certain derivatives, of which $ 5.4 million represents cash collateral posted by the Company and $ 33.4 million represents amounts related to variation margin.

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.

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

Three Months Ended Nine Months Ended

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

Included within Unrealized gain/(loss), net

Three Months Ended

March 31, 2022 March 31, 2021

Included within Net unrealized gain/(loss)

Interest Rate Swaps $ 46,404 $ 28,420

Swaptions — 1,051 — 354

British Pound Futures — ( 57 ) 64 129

Euro Futures — — — 20

TBAs 1,290 — 1,357 —

Long TBAs ( 211 ) —

Short TBAs 3,645 —

Forward Purchase Commitments

British Pound Futures — 64

49,917 28,484

1 unchanged sentence

Interest Rate Swaps 15,707 —

Swaptions — ( 1,051 ) — ( 2,437 )

Short TBAs 9,946 —

British Pound Futures — ( 165 )

Euro Futures — — — 68

TBAs ( 1,087 ) — ( 1,087 ) 4,610

25,653 ( 165 )

Total income/(loss) $ 75,570 $ 28,319

Derivative and other instruments eligible for offset are presented gross on the consolidated balance sheets as of September 30, 2021 and December 31, 2020, if applicable.

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

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

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

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

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

As of December 31, 2020, the Company's restricted cash balance included $ 10.8 million of collateral related to certain derivatives, of which $ 9.7 million represents cash collateral posted by the Company and $ 1.1 million represents amounts related to variation margin.

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

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

For the Three Months Ended:

Buys or Covers Sales or Shorts Ending Net Notional

Net Fair Value as of

Net Receivable/(Payable)

from/to Broker

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

For the Nine Months Ended:

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

March 31, 2022

The following table presents information about the Company’s TBAs for the three months ended March 31, 2022 (in thousands).

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

Buys or Covers Sales or Shorts Ending Net Notional

2 unchanged sentences

from/to Broker

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

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

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2021

Asset Derivative

Long TBAs $ — $ 150,000 $ — $ 150,000 $ 150,270 $ ( 150,481 ) $ — $ ( 211 )

Short TBAs ( 385,963 ) 1,320,852 ( 934,889 ) — — 3,631 6,733 ( 3,102 )

Earnings per share

2 unchanged sentences

Refer to Note 2 and Note 11 for additional information.

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

Three Months Ended Nine Months Ended

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

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

The following table presents a reconciliation of the earnings and shares used in calculating basic and diluted earnings per share for the three months ended March 31, 2022 and 2021 (in thousands, except per share data).

Three Months Ended

March 31, 2022 March 31, 2021

Net Income/(Loss) $ ( 13,202 ) $ 43,249

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

Dividends on preferred stock ( 4,586 ) ( 4,924 )

Net income/(loss) from continuing operations available to common stockholders $ 29,993 $ 15,022 $ 79,594 $ ( 478,629 )

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

Net income/(loss) available to common stockholders $ ( 17,788 ) $ 38,683

1 unchanged sentence

Diluted weighted average common shares outstanding 23,915 14,116

Earnings/(Loss) Per Share - Basic

Continuing Operations $ 1.87 $ 1.31 $ 5.21 $ ( 43.06 )

Discontinued Operations — — — 0.03

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

Earnings/(Loss) Per Share - Diluted

Continuing Operations $ 1.87 $ 1.31 $ 5.21 $ ( 43.06 )

Discontinued Operations — — — 0.03

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

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

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

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

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

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

Under the terms of the Company's charter governing its series of preferred stock, the Company cannot pay cash dividends with respect to its common stock if dividends on its preferred stock are in arrears.

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

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

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2021

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

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

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

Earnings/(Loss) Per Share of Common Stock

Basic $ ( 0.74 ) $ 2.74

Diluted $ ( 0.74 ) $ 2.74

The following tables detail the Company's common stock dividends declared during the three months ended March 31, 2022 and 2021.

Declaration Date Record Date Payment Date Cash Dividend Per Share

3/18/2022 3/31/2022 4/29/2022 $ 0.21

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

Declaration Date Record Date Payment Date Cash Dividend Per Share

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

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

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

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

March 31, 2022

The following tables detail the Company's preferred stock dividends declared and paid during the three months ended March 31, 2022 and 2021.

2022 Cash Dividend Per Share

3 unchanged sentences

2/18/2022 2/28/2022 3/17/2022 $ 0.51563 $ 0.50 $ 0.50

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

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

Total $ 1.54689 $ 1.50 $ 1.50

2021 Cash Dividend Per Share

8 unchanged sentences

The expense is calculated in accordance with applicable tax regulations.

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

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

The reversal of the previously accrued excise tax expense during the nine months ended September 30, 2020 was a result of losses resulting from market conditions associated with the COVID-19 pandemic.

The Company files tax returns in several U.S jurisdictions.

For the three months ended March 31, 2022 and 2021, the Company did no t record any excise tax expense.

The Company files tax returns in several U.S.

jurisdictions.

There are no ongoing U.S.

federal, state or local tax examinations related to the Company.

Based on its analysis of any potential uncertain income tax positions, the Company concluded it did not have any uncertain tax positions that meet the recognition or measurement criteria of ASC 740 as of September 30, 2021.

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

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

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2021

Related party transactions

4 unchanged sentences

The Company does not have any employees.

The Manager, pursuant to a delegation agreement dated as of June 29, 2011, has delegated to Angelo Gordon the overall responsibility of its day-to-day duties and obligations arising under the Company’s management agreement.

Below is a description of the fees and reimbursements provided in the management agreements.

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 agreement.

Management fee

The Manager is entitled to a management fee equal to 1.50 % per annum, calculated and paid quarterly, of the Company’s Stockholders’ Equity.

For purposes of calculating the management fee, "Stockholders’ Equity" means the sum of the net proceeds from any issuances of equity securities (including preferred securities) since inception (allocated on a pro rata daily basis for such issuances during the fiscal quarter of any such issuance, and excluding any future equity issuance to the Manager), plus the Company’s retained earnings at the end of such quarter (without taking into account any non-cash equity compensation expense or other non-cash items described below incurred in current or prior periods), less any amount that the Company pays for repurchases of its common stock, excluding any unrealized gains, losses or other non-cash items that have impacted stockholders’ equity as reported in the Company’s financial statements prepared in accordance with GAAP, regardless of whether such items are included in other comprehensive income or loss, or in net income, and excluding one-time events pursuant to changes in GAAP, and certain other non-cash charges after discussions between the Manager and the Company’s independent directors and after approval by a majority of the Company’s independent directors.

Stockholders’ Equity, for purposes of calculating the management fee, could be greater or less than the amount of stockholders’ equity shown on the Company’s financial statements.

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

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

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

On April 6, 2020, the Company and the Manager executed an amendment to the management agreement pursuant to which the Manager agreed to defer the Company's payment of the management fee effective the first quarter of 2020 through September 30, 2020.

On September 24, 2020, the Company and the Manager executed another amendment (the "Second Management Agreement Amendment") to the management agreement, pursuant to which the Manager agreed to receive a portion of the deferred base management fee in shares of common stock.

Pursuant to the Second Management Agreement Amendment, the Manager agreed to purchase (i) 405,123 shares of common stock in full satisfaction of the deferred base management fee of $ 3.8 million payable by the Company in respect to the first and second quarters of 2020 and (ii) 51,500 shares of common stock in satisfaction of $ 0.5 million of the base management fee payable by the Company in respect to the third quarter of 2020.

The shares of common stock issued to the Manager were valued at $ 9.45 per share based on the midpoint of the estimated range of the Company’s book value per share as of August 31, 2020.

The remaining third quarter 2020 management fee was paid in the normal course of business.

Termination fee

Upon the occurrence of (i) the Company’s termination of the management agreement without cause or (ii) the Manager’s termination of the management agreement upon a breach by the Company of any material term of the management agreement, the Manager will be entitled to a termination fee equal to three times the average annual management fee during the 24-month period prior to such termination, calculated as of the end of the most recently completed fiscal quarter.

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

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2021

March 31, 2022

Company’s independent directors and after approval by a majority of the Company’s independent directors.

Stockholders’ Equity, for purposes of calculating the management fee, could be greater or less than the amount of stockholders’ equity shown on the Company’s financial statements.

For the three months ended March 31, 2022 and 2021, the Company incurred management fees of approximately $ 2.0 million and $ 1.7 million, respectively.

As of March 31, 2022 and December 31, 2021, the Company recorded management fees payable of $ 2.0 million and $ 1.8 million, respectively.

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 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

As of March 31, 2022 and December 31, 2021, no event of termination of the management agreement had occurred.

Expense reimbursement

4 unchanged sentences

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

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

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

As of September 30, 2021 and December 31, 2020, the Company recorded a reimbursement payable to the Manager of $ 1.6 million and $ 1.8 million, respectively.

For the three months ended March 31, 2022 and 2021, the Company has incurred $ 2.5 million and $ 1.5 million, respectively, representing a reimbursement of expenses which are recorded within the "Other operating expenses" and "Transaction related

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

March 31, 2022

expenses" line items on the consolidated statements of operations.

As of March 31, 2022 and December 31, 2021, the Company recorded a reimbursement payable to the Manager of $ 1.9 million and $ 2.1 million, respectively.

For the year ended December 31, 2021, the Manager agreed to waive its right to receive expense reimbursements of $ 0.8 million.

On April 6, 2020, the Company executed an amendment to the management agreement pursuant to which the Manager agreed to defer the reimbursement of expenses, effective the first quarter of 2020 through September 30, 2020.

All deferred expense reimbursements were paid as of September 30, 2020.

On April 10, 2020, in connection with the first Forbearance Agreement, the Company issued a secured promissory note (the "Note") to the Manager evidencing a $ 10 million loan made by the Manager to the Company.

Additionally, on April 27, 2020, in connection with the second Forbearance Agreement, the Company and the Manager entered into an amendment to the Note to reflect an additional $ 10 million loan by the Manager to the Company.

The $ 10 million loan made by the Manager on April 10, 2020 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.

For the three months ended March 31, 2021, the Company reduced its expense reimbursement amount by $ 0.2 million.

Restricted stock grants

2 unchanged sentences

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

As of September 30, 2021, 606,372 shares of common stock were available to be awarded under the 2020 Equity Incentive Plan.

Since its IPO, the Company has granted an aggregate of 35,264 and 60,294 shares of restricted common stock to its independent directors under its equity incentive plan dated July 6, 2011 and its 2020 Equity Incentive Plan, respectively.

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

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2021

As of March 31, 2022, 591,532 shares of common stock were available to be awarded under the 2020 Equity Incentive Plan.

As of March 31, 2022, the Company has granted an aggregate of 75,134 shares of restricted common stock to its independent directors under its 2020 Equity Incentive Plan, all of which 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 to be issued to the Manager.

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

The AG Mortgage Investment Trust, Inc.

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

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

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

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

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 March 31, 2022, there were no shares or awards issued under the 2021 Manager Plan.

Director compensation

Beginning January 1, 2021, the annual base director's fee for each independent director decreased from $ 160,000 to $ 150,000 , $ 70,000 of which is payable on a quarterly basis in cash and $ 80,000 of which is payable on a quarterly basis in shares of restricted common stock.

The annual base director's fee for each independent director is $ 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.

2 unchanged sentences

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

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

Pursuant to the Forbearance Agreement previously discussed, the Company, among other things, agreed to compensate its independent directors solely with common stock for the quarter ended March 31, 2020.

As of March 31, 2022, the Company's Board of Directors consisted of four independent directors.

Investments in debt and equity of affiliates

1 unchanged sentence

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

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

The Company’s investment in AG Arc is reflected within the "Investments in debt and equity of affiliates" line item on its consolidated balance sheets.

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

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

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

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

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

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

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

See below "Transactions with affiliates" for details regarding the sale of the Company's Excess MSRs during the third quarters of 2020 and 2021.

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

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

As of April 3, 2020, the Restructured Financing Arrangement did not have mark-to-market margin calls and was non-recourse to the Company.

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

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

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

MATT chose to

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2021

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

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

The amendment serves to convert the existing financing to a mark-to-market facility that is recourse to the Company and the private funds managed by Angelo Gordon that invest in MATT up to the below mentioned commitment from MATH to MATT.

Upon amending the agreement, the Company settled the premium recapture fee with the financing counterparty.

On January 29, 2021, the Company alongside private funds under the management of Angelo Gordon, entered into an amendment to the MATH LLC Agreement, which requires MATH to fund a capital commitment of $ 50.0 million to MATT.

The Company, through its investment in MATH, is responsible for its pro-rata share of the capital commitment.

Refer to Note 12 for additional information.

The Company's investment in LOTS require it to fund various commitments in connection with the origination of Land Related Financing.

Refer to Note 12 for additional information.

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

March 31, 2022

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 March 31, 2022 and December 31, 2021 (in thousands).

March 31, 2022 December 31, 2021

Assets Liabilities Equity Assets Liabilities Equity

MATT Non-QM Loans $ 41,270 $ ( 28,086 ) $ 13,184 $ 45,837 $ ( 30,471 ) $ 15,366

Land Related Financing 13,569 — 13,569 16,891 — 16,891

Re/Non-Performing Loans 8,045 ( 5,408 ) 2,637 9,298 ( 5,538 ) 3,760

Total Residential Investments 62,884 ( 33,494 ) 29,390 72,026 ( 36,009 ) 36,017

AG Arc, at fair value 54,121 — 54,121 53,435 — 53,435

Cash and Other assets/(liabilities) 4,340 ( 765 ) 3,575 3,698 ( 1,127 ) 2,571

Investments in debt and equity of affiliates $ 121,345 $ ( 34,259 ) $ 87,086 $ 129,159 $ ( 37,136 ) $ 92,023

The below table reconciles the net income/(loss) to the "Equity in earnings/(loss) from affiliates" line item on the Company's consolidated statements of operations for the three months ended March 31, 2022 and 2021 (in thousands).

Three Months Ended

March 31, 2022 March 31, 2021

MATT Non-QM Loans $ ( 889 ) $ 14,646

Land Related Financing 502 710

Re/Non-Performing Loans 3 4,623

AG Arc (1) ( 1,670 ) 6,340

Equity in earnings/(loss) from affiliates

$ ( 2,054 ) $ 26,336

(1) The earnings/(loss) at AG Arc during the three months ended March 31, 2022 were primarily the result of $ 3.1 million related to changes in the fair value of the MSR portfolio held by Arc Home, offset by $( 2.4 ) million of losses related to Arc Home's lending and servicing operations.

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.

For the three months ended March 31, 2022 and 2021 , we eliminated $ 2.4 million and $ 0.5 million of intra-entity profits recognized by Arc Home, respectively, and also decreased the cost basis of the underlying loans the Company purchased by the same amount, respectively.

Refer to Note 2 for more information on this accounting policy.

Transactions with affiliates

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.

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

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

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

During 2020, Arc Home began selling Non-QM Loans to a private fund under the management of Angelo Gordon.

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

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

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

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

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

Certain senior tranches in the securitization were sold to third parties with the Company and private funds under the management of Angelo Gordon retaining the subordinate tranches, which had a fair value of $ 26.6 million as of March 31, 2020.

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

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

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

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

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

In August 2020, the Company, alongside private funds under the management of Angelo Gordon, participated through its unconsolidated ownership interest in MATT in a rated Non-QM Loan securitization, in which Non-QM Loans with a fair value of $ 226.0 million were securitized.

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

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

The fees paid by the Company to the Asset Manager totaled $ 0.6 million for the three months ended March 31, 2022 and 2021.

As of March 31, 2022 and December 31, 2021, the Company recorded asset management fees payable of $ 0.2 million and $ 0.2 million, respectively.

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2021

$ 3.5 billion.

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

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

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

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

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

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

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

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

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

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

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

As of the date of the transaction, the CMBS sold to the buyer had a total fair value of $ 16.8 million.

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

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

In May 2021, the Company, alongside private funds under the management of Angelo Gordon, participated through its unconsolidated ownership interest in MATT in a rated Non-QM Loan securitization, in which Non-QM Loans with a fair value of $ 171.4 million were securitized.

Subsequent to this transaction, MATT had securitized a majority of Non-QM Loans previously acquired and its remaining portfolio consisted primarily of the subordinate tranches retained from this securitization and past securitizations.

During the current year, the Company has begun acquiring Non-QM Loans directly which are recorded in the "Residential mortgage loans, at fair value" line item on the consolidated balance sheets.

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

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

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

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

March 31, 2022

Transactions with Arc Home

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

The below table details the unpaid principal balance of Non-Agency Loans and Agency-Eligible Loans sold to the Company and a private fund under the management of Angelo Gordon during the three months ended March 31, 2022 and 2021 (in thousands).

Three Months Ended

March 31, 2022 March 31, 2021

Residential mortgage loans sold to the Company $ 377,832 $ 57,665

Residential mortgage loans sold to private funds under the management of Angelo Gordon 125,702 76,829

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, previously entered into agreements with Arc Home to purchase rights to receive the excess servicing spread related to certain of Arc Home's MSRs, all of which were sold during 2021 as detailed below.

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.

1 unchanged sentence

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

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

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

Securitization Transactions

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.

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

March 31, 2022

Transactions under the Company's Affiliated Transaction Policy

The below table details transactions where the Company purchased or sold assets from or to an affiliate of the Manager, respectively ($ in millions).

The transactions were executed in accordance with the Company's Affiliated Transaction Policy.

Date Transaction Fair value (1) Pricing methodology

March 2021 Sale of real estate securities $ 6.9 Competitive bidding process (2)

April 2021 Sale of real estate securities 16.8 Third party pricing vendors (3)

July 2021 Sale of real estate securities 17.6 Competitive bidding process (2)

October 2021 Purchase of real estate securities (4) 3.5 Third party pricing vendors (3)

November 2021 Purchase of residential mortgage loans (5) 181.8 Third party pricing vendors (3)

(1) As of the transaction date.

(2) The affiliate submitted an offer to purchase the securities from the Company in a competitive bidding process, which allowed the Company to confirm third-party market pricing and best execution.

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

(4) The Company purchased the real estate securities through one of its unconsolidated affiliated entities.

(5) 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 private fund had a total fair value of $ 183.6 million.

Reverse stock split

6 unchanged sentences

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

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2021

Stock repurchase programs

7 unchanged sentences

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

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

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

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

On February 22, 2021, the Company's Board of Directors authorized a stock repurchase program (the "Preferred Repurchase Program") pursuant to which the Company's Board of Directors granted a repurchase authorization to acquire shares of its Series A Preferred Stock, its Series B Preferred Stock, and its Series C Preferred Stock having an aggregate value of up to $ 20.0 million.

No shares were repurchased under the Preferred Repurchase Program during the three and nine months ended September 30, 2021.

No shares were repurchased under the Repurchase Program during the three months ended March 31, 2022 and 2021.

Approximately $ 11.0 million of common stock remained authorized for future share repurchases under the Repurchase Program as of March 31, 2022.

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

March 31, 2022

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 share repurchases under the Preferred Repurchase Program have been made since its authorization.

Equity distribution agreements

On May 5, 2017, the Company entered into an equity distribution agreement with each of Credit Suisse Securities (USA) LLC and JMP Securities LLC (collectively, the "Sales Agents"), which the Company refers to as the "Equity Distribution Agreements," pursuant to which the Company may sell up to $ 100.0 million aggregate offering price of shares of its common stock from time to time through the Sales Agents under the Securities Act of 1933.

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

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

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

For the three months ended March 31, 2022, the Company did no t issue any shares of common stock under the Equity Distribution Agreements.

For the three months ended March 31, 2021, the Company sold 0.7 million shares of common stock under the Equity Distribution Agreements for net proceeds of approximately $ 10.0 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.

3 unchanged sentences

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

Common stock offering

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 offering expenses.

Preferred stock

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

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

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

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2021

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

As of March 31, 2022 and 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.

The following table includes a summary of preferred stock issued and outstanding as of March 31, 2022 ($ and shares in thousands).

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

9 unchanged sentences

(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.

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

March 31, 2022

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).

2 unchanged sentences

Exchange offers

On August 14, 2020, the Company announced the commencement of an offer to exchange newly issued shares of common stock for up to 250,470 shares of its Series A Preferred Stock, up to 556,600 shares of its Series B Preferred Stock, and up to 556,600 shares of its Series C Preferred Stock.

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

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

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

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2021

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

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

The below details privately negotiated exchange agreements with existing holders of the Company's preferred shares exchanged for common shares during 2021.

The Company did not complete any exchange offers during the three months ended March 31, 2022.

Subsequent to each transaction, 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

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

March 17, 2021

1 unchanged sentence

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

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

Common stock issuance to the Manager

On September 24, 2020, the Company issued (i) 405,123 shares of common stock to the Manager in full satisfaction of the deferred base management fee of $ 3.8 million payable by the Company in respect to the first and second quarters of 2020 and (ii) 51,500 shares of common stock in satisfaction of $ 0.5 million of the base management fee payable by the Company in respect to the third quarter of 2020.

The shares of Common Stock issued to the Manager were valued at $ 9.45 per share based on the midpoint of the estimated range of the Company’s book value per share as of August 31, 2020.

The remaining third quarter management fee was paid in the normal course of business.

Refer to Note 10 for more information on this transaction.

Commitments and Contingencies

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

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

On March 25, 2020, certain of the Company's subsidiaries filed a suit in federal district court in New York seeking to enjoin Royal Bank of Canada and one of its affiliates ("RBC") from selling certain assets that the Company had on repo with RBC and seeking damages ( AG MIT CMO et al.

RBC (Barbados) Trading Corp.

, 20-cv-2547, U.S.

District Court, Southern District of New York) .

On March 31, 2020, the Company withdrew, as moot, its request for injunctive relief in the complaint based on the court's ruling on March 25, 2020 relating to the sale at issue.

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

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

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

The Company recognized this settlement in the "Net realized gain/(loss)" line item on the consolidated statement of operations in the second quarter of 2020.

As a result, the Company has satisfied all of its payment obligations to RBC under the settlement agreement and promissory note, and, as previously reported, the federal lawsuit has been voluntarily dismissed with prejudice.

For the year ended December 31, 2020, the Company recorded a loss of $ 11.6 million related to deficiencies asserted by other counterparties.

The Company recognized these losses in the "Net realized gain/(loss)" line item on the consolidated statement of operations.

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

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2021

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

As of March 31, 2022, the Company was not involved in any material legal proceedings.

The below table details the Company's outstanding commitments as of March 31, 2022 (in thousands).

Commitment type Date of Commitment Total Commitment Funded Commitment Remaining Commitment

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

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

MATH (b) January 29, 2021 22,295 — 22,295

Land Related Financing (1) Various $ 17,640 $ 13,569 $ 4,071

MATT Non-QM Loans (1) January 28, 2022 15,607 — 15,607

Total $ 33,247 $ 13,569 $ 19,678

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

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

(1) Refer to Note 2 and Note 10 "Investments in debt and equity of affiliates" for more information regarding LOTS and MATH.

Subsequent Events

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

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

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

On November 5, 2021, the Company announced that its Board of Directors has declared fourth quarter 2021 preferred stock dividends on its Series A Preferred Stock, Series B Preferred Stock, and Series C Preferred Stock in the amount of $ 0.51563 , $ 0.50 and $ 0.50 per share, respectively.

The dividends will be paid on December 17, 2021 to holders of record on November 30, 2021.

The Company executed a rated Agency-Eligible securitization, in which loans with a fair value of $ 398.7 million were securitized.

The securitization 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 May 2, 2022 its Board of Directors declared second 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 June 17, 2022 to holders of record on May 31, 2022.

Compared sentence by sentence after normalising whitespace, quotation marks, case and digits, so re-formatting and restated figures do not read as changed language. Wording changes appear as one removal and one addition. The current filing and the prior one are authoritative.

What changed 10-Q

Item 1. Financial Statements