What changed in this filing

/stocks — the workspaceLOADING

Item 1. Financial Statements

2022-08-05 compared with 2022-05-06 · 468 added, 304 removed, 1033 unchanged (43% of the section changed)

4 unchanged sentences

(in thousands, except per share data)

March 31, 2022 December 31, 2021

June 30, 2022 December 31, 2021

Securitized residential mortgage loans, at fair value - $ 293,441 and $ 119,947 pledged as collateral, respectively (1)

7 unchanged sentences

Restricted cash 52,075 32,150

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

Other assets 25,206 20,900

10 unchanged sentences

Common stock, par value $ 0.01 per share;

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

450,000 shares of common stock authorized and 22,490 and 23,908 shares issued and outstanding at June 30, 2022 and December 31, 2021, respectively

Additional paid-in capital 785,610 796,469

2 unchanged sentences

Total Liabilities & Stockholders’ Equity $ 3,879,637 $ 3,362,728

(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.

(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 securitizations as the Company was determined to be the primary beneficiary.

See Note 3 for additional details.

(2) Refer to Note 7 and Note 10 for additional details on amounts payable to affiliates.

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

March 31, 2022 March 31, 2021

Three Months Ended Six Months Ended

June 30, 2022 June 30, 2021 June 30, 2022 June 30, 2021

Net Interest Income

25 unchanged sentences

Diluted 23,457 15,595 23,685 14,860

(1) Refer to Note 10 for additional details on related party transactions.

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

5 unchanged sentences

(in thousands)

For the Three Months Ended March 31, 2022

Common Stock Preferred Stock Additional

For the Three Months Ended June 30, 2022 and June 30, 2021

Common Stock Preferred

Stock Additional

Paid-in Capital Retained

1 unchanged sentence

Shares Amount Total

Balance at April 1, 2022 23,915 $ 239 $ 220,472 $ 796,549 $ ( 469,610 ) $ 547,650

Repurchase of common stock ( 1,434 ) ( 14 ) — ( 11,019 ) — ( 11,033 )

Grant of restricted stock 9 — — 80 — 80

Common dividends declared — — — — ( 4,723 ) ( 4,723 )

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

Net Income/(Loss) — — — — ( 48,723 ) ( 48,723 )

Balance at June 30, 2022 22,490 $ 225 $ 220,472 $ 785,610 $ ( 527,642 ) $ 478,665

Common Stock (1) Preferred

Stock Additional

Paid-in Capital (1) Retained

Earnings/(Deficit)

Shares Amount Total

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

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

Grant of restricted stock 6 — — 80 — 80

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

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

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

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

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

For the Six Months Ended June 30, 2022 and June 30, 2021

Common Stock Preferred

Stock Additional

Paid-in Capital Retained

Earnings/(Deficit)

Shares Amount Total

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

Repurchase of common stock ( 1,434 ) ( 14 ) — ( 11,019 ) — ( 11,033 )

Grant of restricted stock 16 — — 160 — 160

2 unchanged sentences

Net Income/(Loss) — — — — ( 61,925 ) ( 61,925 )

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

Balance at June 30, 2022 22,490 $ 225 $ 220,472 $ 785,610 $ ( 527,642 ) $ 478,665

Common Stock (1) Preferred

Stock Additional

Paid-in Capital (1) Retained

8 unchanged sentences

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

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

Balance at June 30, 2021

16,164 $ 162 $ 220,472 $ 719,940 $ ( 474,697 ) $ 465,877

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

5 unchanged sentences

(in thousands)

Three Months Ended

March 31, 2022 March 31, 2021

Six Months Ended

June 30, 2022 June 30, 2021

Cash Flows from Operating Activities

16 unchanged sentences

Investments in debt and equity of affiliates ( 1,698 ) ( 3,029 )

Proceeds from sales of residential mortgage loans — 45,615

Proceeds from sales of real estate securities 513,780 453,863

10 unchanged sentences

Net proceeds from issuance of common stock — 13,133

Repurchase of common stock ( 11,033 ) —

Net borrowings under (repayments of) financing arrangements ( 875,572 ) 643,422

4 unchanged sentences

Net collateral received from (paid to) derivative counterparty 39,322 —

Net collateral received from (paid to) repurchase counterparty — 800

Dividends paid on common stock ( 10,043 ) ( 4,034 )

1 unchanged sentence

Net cash provided by (used in) financing activities 789,400 758,147

Three Months Ended

March 31, 2022 March 31, 2021

Six Months Ended

June 30, 2022 June 30, 2021

Net change in cash and cash equivalents and restricted cash 40,421 25,387

9 unchanged sentences

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

Purchase price payable on loans $ 794 $ —

Transfer from residential mortgage loans to other assets $ 1,087 $ 923

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

March 31, 2022 March 31, 2021

June 30, 2022 June 30, 2021

Cash and cash equivalents $ 88,575 $ 64,007

Restricted cash 52,075 23,708

Total cash and cash equivalents and restricted cash shown in the consolidated statements of cash flows $ 96,171 $ 91,555

Total cash and cash equivalents and restricted cash $ 140,650 $ 87,715

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

2 unchanged sentences

Notes to Consolidated Financial Statements (Unaudited)

March 31, 2022

June 30, 2022

AG Mortgage Investment Trust, Inc.

1 unchanged sentence

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’s investment activities primarily include acquiring and securitizing newly-originated residential mortgage loans within the 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.

2 unchanged sentences

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 also invests in Residential Investments through its unconsolidated ownership interests 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:

1 unchanged sentence

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 (1)

• 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 (1)

• 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 (1)

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

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

Non-Agency Residential Mortgage-Backed Securities ("RMBS") (2)

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

GSEs or agencies of the U.S.

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

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

The mortgage loan collateral consists of either Non-Agency Loans or Agency-Eligible Loans.

Agency RMBS (2)

• 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.

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

(2) 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.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

March 31, 2022

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

5 unchanged sentences

All intercompany balances and transactions have been eliminated in consolidation.

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2022

COVID-19 Impact

22 unchanged sentences

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

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

March 31, 2022

Accounting for loans

3 unchanged sentences

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

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2022

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

10 unchanged sentences

The Company will adjust the amount of accretable yield by reclassification from the nonaccretable difference.

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.

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.

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.

5 unchanged sentences

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.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

March 31, 2022

Investments in debt and equity of affiliates

4 unchanged sentences

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

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

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

Arc Home is led by an external management team.

2 unchanged sentences

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

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

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2022

From time to time, the Company acquires newly originated residential mortgage loans from Arc Home.

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

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

For the 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.

During the three and six months ended June 30, 2022 and 2021, the Company eliminated intra-entity profits recognized by Arc Home and also decreased the cost basis of the underlying loans by the same amount in connection with loan sales to the Company, as detailed below (in thousands).

Three Months Ended Six Months Ended

June 30, 2022

June 30, 2021

June 30, 2022

June 30, 2021

Intra-Entity Profits Eliminated $ 1,758 $ 1,430 $ 4,114 $ 1,887

Additionally, the Company enters into forward purchase commitments with Arc Home whereby the Company commits to purchase residential mortgage loans from Arc Home at a particular price on a best-efforts basis.

See the "Accounting for derivative financial instruments - Forward purchase commitments" policy below and Note 10 for additional detail.

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.

2 unchanged sentences

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

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.

As of June 30, 2022, MATT primarily holds retained tranches from past securitizations which continue to pay down 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").

1 unchanged sentence

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

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

The LOTS investments continue to pay down 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.

An entity is a variable interest entity ("VIE") 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, "Consolidation," are required to be consolidated by their primary beneficiary.

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

1 unchanged sentence

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

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

March 31, 2022

entities, must be evaluated for consolidation.

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

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

2 unchanged sentences

The objective of such transactions may include obtaining non-recourse financing, obtaining liquidity, or refinancing the underlying securitized financial assets on improved terms.

Securitization involves transferring assets to an SPE to convert all or a portion of those assets into cash before they would have been realized in the normal course of business through the SPE’s issuance of debt or equity instruments.

Securitization involves transferring assets to an SPE to convert all or a portion of those assets into cash before they would have been realized in the normal course of business through the SPE’s

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2022

issuance of debt or equity instruments.

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

The Company enters into securitization transactions 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.

15 unchanged sentences

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.

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

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.

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, at fair value" 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."

2 unchanged sentences

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

Cash equivalents may include cash invested in money market funds.

Cash equivalents may include cash invested in

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2022

money market funds.

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

2 unchanged sentences

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.

"Other liabilities" does not include variation margin received on centrally cleared derivatives.

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

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.

18 unchanged sentences

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

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

As of June 30, 2022 and December 31, 2021, the Company had met all margin call requirements.

Accounting for derivative financial instruments

1 unchanged sentence

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

AG Mortgage Investment Trust Inc.

and Subsidiaries

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 March 31, 2022 and December 31, 2021, the Company did not have any interest rate derivatives designated as hedges.

As of June 30, 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.

1 unchanged sentence

During the period in which the Company unwinds a derivative, it records a realized gain/(loss) in the "Net realized gain/(loss)" line item in the consolidated statement of operations.

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2022

To-be-announced securities

19 unchanged sentences

Actual loan purchases are contingent upon successful loan closings.

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

The counterparties deliver the committed loans on either a mandatory basis or best-efforts basis.

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

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

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

Earnings/(Loss) per share

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

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

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

Interest income recognition

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

AG Mortgage Investment Trust Inc.

1 unchanged sentence

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.

June 30, 2022

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.

14 unchanged sentences

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.

The cost of loans, securities, and derivatives sold is calculated using a first in, first out ("FIFO") basis.

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

Manager compensation

The management agreement provides for payment to the Manager of a management fee as well as a reimbursement of certain expenses incurred by the Manager or its affiliates on behalf of the Company.

The management fee and reimbursement are accrued and expensed during the period for which they are earned or for which the expenses are incurred, respectively.

The management fee and reimbursement are included in the "Management fee to affiliate" line item and in the "Other operating expenses" and "Transaction related expenses" line items, respectively, on the consolidated statement of operations.

The management agreement, as amended, provides for payment to the Manager of a management fee, an incentive fee, and reimbursements of certain expenses incurred by the Manager or its affiliates on behalf of the Company.

The management fee, incentive fee, and reimbursements are accrued and expensed during the period for which they are earned or for which the expenses are incurred, respectively.

These expenses 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

2 unchanged sentences

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.

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2022

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

21 unchanged sentences

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.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

March 31, 2022

22, 2021 (the "Effective Time").

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.

2 unchanged sentences

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.

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.

All per share amounts and common shares outstanding for all periods presented in the unaudited

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2022

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

See Note 11 for further details.

22 unchanged sentences

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.

As of June 30, 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.

1 unchanged sentence

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

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

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements (Unaudited)

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.

June 30, 2022

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 table below details information regarding the Company’s residential mortgage loan portfolio as of June 30, 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

June 30, 2022

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

9 unchanged sentences

Total Residential mortgage loans, at fair value $ 797,809 $ 3,208 $ 801,017 $ 2,337 $ ( 35,180 ) $ 768,174 5.14 % 5.03 % 5.56

Total as of March 31, 2022

Total as of June 30, 2022

$ 3,811,428 $ 28,371 $ 3,839,799 $ 8,260 $ ( 277,658 ) $ 3,570,401 4.47 % 4.43 % 7.20

15 unchanged sentences

Typically, actual maturities are shorter than stated contractual maturities.

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

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

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

2 unchanged sentences

Notes to Consolidated Financial Statements (Unaudited)

March 31, 2022

June 30, 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)

June 30, 2022

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

9 unchanged sentences

Total Residential mortgage loans 797,809 1,550 68.98 % 740 780,399 3,192 405 9,545

Total as of March 31, 2022

Total as of June 30, 2022

$ 3,811,428 10,228 69.03 % 730 $ 3,676,434 $ 38,923 $ 14,201 $ 77,602

December 31, 2021

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

December 31, 2021

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

11 unchanged sentences

(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.

(2) As of June 30, 2022, the Company had residential mortgage loans that were 90+ days delinquent and loans in the process of foreclosure with a fair value of $ 34.0 million and $ 37.2 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).

During the three and six months ended June 30, 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

Three Months Ended June 30, 2022

Six Months Ended June 30, 2022

Unpaid Principal Balance Fair Value Unpaid Principal Balance Fair Value

Non-Agency Loans $ 330,412 $ 336,002 $ 925,700 $ 940,564

Agency-Eligible Loans 270,846 262,136 607,123 605,478

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

The Company did no t sell any residential mortgage loans during the three and six months ended June 30, 2022.

For the three and six months ended June 30, 2021, the Company sold residential mortgage loans as detailed below ($ in thousands).

Number of Loans Proceeds Realized Gains Realized Losses

Three and six months ended June 30, 2021 (1)

368 $ 47,219 $ 8,166 $ ( 350 )

(1) Includes $ 1.6 million of proceeds on one residual position where the Company previously consolidated the securitization which was unsettled as of June 30, 2021.

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements (Unaudited)

March 31, 2022

June 30, 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 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

The following is a summary of the geographic concentration of credit risk as of June 30, 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) June 30, 2022 December 31, 2021

California 34 % 35 %

3 unchanged sentences

(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

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 and six months ended June 30, 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 Six Months Ended

June 30, 2022 June 30, 2021 June 30, 2022 June 30, 2021

Beginning Balance $ 46,257 $ 55,003 $ 46,521 $ 56,907

6 unchanged sentences

Notes to Consolidated Financial Statements (Unaudited)

March 31, 2022

June 30, 2022

Variable interest entities

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

The following table details certain information related to the assets and liabilities of the Residential Mortgage Loan VIEs as of June 30, 2022 and December 31, 2021 ($ in thousands).

June 30, 2022 December 31, 2021

Carrying Value Weighted Average Carrying Value Weighted Average

22 unchanged sentences

Commercial loans

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

As of June 30, 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.

4 unchanged sentences

Notes to Consolidated Financial Statements (Unaudited)

March 31, 2022

June 30, 2022

Real Estate Securities

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

The following tables detail the Company’s real estate securities portfolio as of June 30, 2022 and December 31, 2021 ($ in thousands).

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

March 31, 2022 Current Face Premium /

Current Face Premium /

Amortized Cost Gross Unrealized Weighted Average

Gains Losses Fair Value Coupon (1) Yield

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

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 %

June 30, 2022 Gains Losses Fair Value Coupon (1) Yield

Residential Securities

Agency-Eligible Securities $ 33,325 $ ( 10,320 ) $ 23,005 $ 1,079 $ — $ 24,084 3.25 % 7.29 %

Non-Agency Securities (2) 14,894 ( 218 ) 14,676 — ( 3,459 ) 11,217 4.35 % 4.58 %

Non-Agency RMBS Interest Only (2) 119,493 ( 116,391 ) 3,102 1,212 — 4,314 0.38 % 25.42 %

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

Re/Non-Performing Securities (3) 33 38 71 — ( 23 ) 48 — % NM

Total Residential Securities 167,745 ( 126,891 ) 40,854 2,291 ( 3,482 ) 39,663 1.81 % 8.30 %

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

December 31, 2021 Current Face Premium /

Interest Only 134,766 ( 113,843 ) 20,923 721 ( 170 ) 21,474 3.06 % 8.00 %

Total as of June 30, 2022

$ 302,511 $ ( 240,734 ) $ 61,777 $ 3,012 $ ( 3,652 ) $ 61,137 2.51 % 8.20 %

Current Face Premium /

Amortized Cost Gross Unrealized Weighted Average

Gains Losses Fair Value Coupon (1) Yield

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

December 31, 2021 Gains Losses Fair Value Coupon (1) Yield

Residential Securities

3 unchanged sentences

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 %

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

Total as of December 31, 2021

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

(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.

(3) Represents one investment.

The overall impact of the investment's yield on the Company's portfolio is not meaningful.

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements (Unaudited)

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

June 30, 2022

The following tables summarize the Company's real estate securities according to their projected weighted average life classifications as of June 30, 2022 and December 31, 2021 ($ in thousands).

Residential Securities Agency RMBS

June 30, 2022

Weighted Average Life (1)

Fair Value Amortized Cost Weighted Average

Fair Value Amortized Cost Weighted Average Coupon

Less than or equal to 1 year $ 48 $ 71 — % $ — $ — — %

1 unchanged sentence

Greater than five years and less than or equal to ten years 11,217 14,676 4.35 % 21,474 20,923 3.06 %

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

December 31, 2021 Agency RMBS Residential Securities

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

Greater than ten years 24,084 23,005 3.25 % — — — %

Total as of June 30, 2022

$ 39,663 $ 40,854 1.81 % $ 21,474 $ 20,923 3.06 %

Residential Securities Agency RMBS

December 31, 2021

Weighted Average Life (1)

Fair Value Amortized Cost Weighted Average

Fair Value Amortized Cost Weighted Average Coupon

Less than or equal to 1 year $ 543 $ 511 5.25 % $ — $ — — %

2 unchanged sentences

Greater than ten years — — — % 21,609 22,158 2.00 %

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

Total as of December 31, 2021

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

(1) This is based on projected life.

1 unchanged sentence

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

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

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.

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

During the three and six months ended June 30, 2022 and 2021, the Company sold real estate securities, as summarized below ($ in thousands).

Three Months Ended Six Months Ended

Number of Securities Proceeds Realized Gains Realized Losses Number of Securities Proceeds Realized Gains Realized Losses

June 30, 2022

3 $ 208,576 $ — $ ( 17,832 ) 16 $ 513,241 $ 568 $ ( 35,240 )

June 30, 2021 (1)

42 446,046 9,897 ( 14,279 ) 69 557,870 12,355 ( 17,237 )

(1) Includes $ 104.6 million of proceeds on three security sales which were unsettled as of June 30, 2021.

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements (Unaudited)

March 31, 2022

June 30, 2022

Fair value measurements

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

The following tables present the Company’s financial instruments measured at fair value on a recurring basis as of June 30, 2022 and December 31, 2021 (in thousands).

Fair Value at June 30, 2022

Level 1 Level 2 Level 3 Total

1 unchanged sentence

Residential mortgage loans — 844 767,330 768,174

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

Agency Interest Only — 15,374 — 15,374

Non-Agency RMBS (1) — 24,084 11,265 35,349

Non-Agency RMBS Interest Only — — 4,314 4,314

Agency Interest Only — 21,474 — 21,474

Derivative assets (2) — 68,821 2,211 71,032

8 unchanged sentences

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

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

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

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 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.

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

(2) As of June 30, 2022, the Company applied a reduction in fair value of $ 67.1 million and $ 2.0 million to its interest rate swap assets and liabilities, respectively, related to variation margin with a corresponding increase or decrease 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.

6 unchanged sentences

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.

June 30, 2022

The valuation of the Company’s residential mortgage loans, securitized debt relating to the Residential Mortgage Loan VIEs, and forward purchase commitments 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.

3 unchanged sentences

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 variables considered most significant to the determination of the fair value of the Company's residential mortgage loans, securitized debt, and forward purchase commitments include market-implied discount rates, projections of default rates, delinquency rates, prepayment rates, loss severity, recovery rates, reperformance rates, timeline to liquidation, and, for forward purchase commitments, pull-through rates.

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.

Because of the inherent uncertainty of such valuation, the fair value established for mortgage loans, securitized debt, and forward purchase commitments 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 may be based upon prices obtained from third-party pricing services, which are indicative of market activity, or 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.

14 unchanged sentences

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.

The Company did not have any transfers of assets or liabilities between Levels 1 and 2 of the fair value hierarchy during the three and six months ended June 30, 2022 and 2021.

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

6 unchanged sentences

Notes to Consolidated Financial Statements (Unaudited)

March 31, 2022

June 30, 2022

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 March 31, 2022 (in thousands)

Three Months Ended June 30, 2022 (in thousands)

Mortgage Loans (1) Non-Agency

RMBS Non-Agency

RMBS Interest Only AG Arc Securitized

RMBS Interest Only Derivative assets AG Arc Securitized

debt Derivative liabilities

6 unchanged sentences

Ending Balance $ 3,569,557 $ 11,265 $ 4,314 $ 2,211 $ 50,170 $ ( 2,467,766 ) $ ( 7,058 )

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

Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held as of June 30, 2022 (3)

$ ( 139,710 ) $ ( 2,128 ) $ ( 551 ) $ 2,211 $ ( 3,951 ) $ 83,811 $ ( 7,058 )

9 unchanged sentences

Total $ ( 67,376 )

Three Months Ended March 31, 2021 (in thousands)

Three Months Ended June 30, 2021 (in thousands)

Mortgage Loans (1) Non-Agency

3 unchanged sentences

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

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

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

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

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

Total net gains/(losses) (2)

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

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

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

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

(1) Includes Securitized residential mortgage loans.

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

Net unrealized gain/(loss) $ 3,982

Net realized gain/(loss) 7,126

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

Total $ 9,832

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

Net unrealized gain/(loss) $ 4,074

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

Total $ 2,798

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2022

Six Months Ended June 30, 2022 (in thousands)

Mortgage Loans (1) Non-Agency

RMBS Non-Agency

RMBS Interest Only Derivative assets AG Arc Securitized

debt Derivative liabilities

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

Purchases 1,532,965 — — — — — —

Issuances of Securitized Debt — — — — — ( 1,887,322 ) —

Proceeds from settlement ( 297,275 ) ( 621 ) — ( 416 ) — 237,676 7,805

Total net gains/(losses) (2)

Included in net income ( 300,324 ) ( 3,476 ) 919 2,627 ( 3,265 ) 181,095 ( 14,784 )

Ending Balance $ 3,569,557 $ 11,265 $ 4,314 $ 2,211 $ 50,170 $ ( 2,467,766 ) $ ( 7,058 )

Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held as of June 30, 2022 (3)

$ ( 301,606 ) $ ( 3,496 ) $ 919 $ 2,211 $ ( 3,265 ) $ 181,095 $ ( 7,058 )

(1) Includes Securitized residential mortgage loans.

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

Net unrealized gain/(loss) $ ( 126,498 )

Net realized gain/(loss) ( 7,445 )

Equity in earnings/(loss) from affiliates ( 3,265 )

Total $ ( 137,208 )

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

Net unrealized gain/(loss) $ ( 127,935 )

Equity in earnings/(loss) from affiliates ( 3,265 )

Total $ ( 131,200 )

Six Months Ended June 30, 2021 (in thousands)

Mortgage Loans (1) Non-Agency

RMBS Commercial

Loans Excess Mortgage

Servicing Rights AG Arc Securitized

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

Transfers (2):

1 unchanged sentence

Purchases 652,797 — 5,258 — — —

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

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

3 unchanged sentences

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

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

Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held as of June 30, 2021 (4)

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

1 unchanged sentence

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

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

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

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

10 unchanged sentences

Notes to Consolidated Financial Statements (Unaudited)

March 31, 2022

June 30, 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 March 31, 2022

Asset Class Fair Value at June 30, 2022

(in thousands) Valuation Technique Unobservable Input Range

9 unchanged sentences

$ 3,491 Consensus Pricing Offered Quotes 92.41 - 111.29 ( 103.11 )

$ 80,206 Recent Transaction Cost N/A

Yield 6.15 % - 11.55 % ( 8.63 %)

6 unchanged sentences

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

Yield 5.50 % - 6.01 % ( 5.64 %)

Derivative assets $ 2,211 Discounted Cash Flow Projected Collateral Prepayments 13.13 % - 39.26 % ( 24.87 %)

Projected Collateral Losses 0.00 % - 1.75 % ( 0.34 %)

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

Pull Through Percentages 45.00 % - 100.00 % ( 82.25 %)

AG Arc $ 50,170 Comparable Multiple Book Value Multiple 0.96 x - 0.96 x ( 0.96 x)

Liability Class Fair Value at March 31, 2022

Liability Class Fair Value at June 30, 2022

(in thousands) Valuation Technique Unobservable Input Range

4 unchanged sentences

Projected Collateral Severities 1.51 % - 20.00 % ( 14.11 %)

Yield 5.47 % - 5.86 % ( 5.67 %)

Derivative liabilities $ ( 7,058 ) Discounted Cash Flow Projected Collateral Prepayments 5.26 % - 38.81 % ( 14.97 %)

Projected Collateral Losses 0.00 % - 0.94 % ( 0.04 %)

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

Pull Through Percentages 45.00 % - 100.00 % ( 96.23 %)

(1) Amounts are weighted based on fair value.

2 unchanged sentences

Notes to Consolidated Financial Statements (Unaudited)

March 31, 2022

June 30, 2022

Asset Class Fair Value at December 31, 2021

36 unchanged sentences

Notes to Consolidated Financial Statements (Unaudited)

March 31, 2022

June 30, 2022

Financing arrangements

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

The following table presents a summary of the Company's financing arrangements as of June 30, 2022 and December 31, 2021 ($ in thousands).

June 30, 2022

December 31, 2021

1 unchanged sentence

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

Securitized residential mortgage loans (3) $ 177,599 July 2022 to Sept 2022 2.96 % 0.08 $ 334,730 $ 293,441 $ 71,308

Residential mortgage loans (4)(5) 685,527 July 2022 to June 2023 3.37 % 0.67 796,628 761,937 1,286,287

Non-Agency RMBS 25,989 July 2022 2.75 % 0.04 40,783 39,615 10,213

Agency RMBS 13,056 July 2022 2.21 % 0.04 15,217 15,880 409,935

Total Financing Arrangements $ 902,171 3.26 % 0.53 $ 1,187,358 $ 1,110,873 $ 1,777,743

(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.

(1) The Company also had $ 8.2 million and $ 5.0 million of cash pledged under repurchase agreements as of June 30, 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 unchanged sentences

(5) The funding cost includes deferred financing costs.

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).

The weighted average stated rate on the Residential mortgage loans repurchase agreements was 3.34 % as of June 30, 2022.

The following table presents contractual maturity information about the Company's borrowings under financing arrangements as of June 30, 2022 ($ in thousands).

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

1 unchanged sentence

Residential mortgage loans 324 841 684,362 685,527

Agency RMBS 240,653 — — 240,653

Non-Agency RMBS 25,989 — — 25,989

Agency RMBS 13,056 — — 13,056

Total Financing Arrangements $ 165,239 $ 52,570 $ 684,362 $ 902,171

Counterparties

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

The Company had outstanding financing arrangements with six and five counterparties as of June 30, 2022 and December 31, 2021, respectively.

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

June 30, 2022

December 31, 2021

15 unchanged sentences

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

In addition, some of the financing arrangements contain cross default features, whereby default under an agreement with one lender simultaneously causes default under agreements with other lenders.

To the extent that the Company fails to comply with

AG Mortgage Investment Trust Inc.

1 unchanged sentence

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.

June 30, 2022

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

As of June 30, 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 March 31, 2022 and December 31, 2021 (in thousands).

March 31, 2022 December 31, 2021

The following table details certain information related to the Company's "Other assets" and "Other liabilities" line items on its consolidated balance sheet as of June 30, 2022 and December 31, 2021 (in thousands).

June 30, 2022 December 31, 2021

Interest receivable $ 16,651 $ 14,263

7 unchanged sentences

Derivative liabilities, at fair value 10,396 92

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

Purchase price payable on loans (2) 794 87

Accrued expenses 2,322 2,169

2 unchanged sentences

(1) Refer to Note 10 for more information.

(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).

(2) Represents the portion of the purchase price on certain Non-Agency and Agency-Eligible Loans that had not yet settled as of June 30, 2022 and 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 June 30, 2022 and December 31, 2021 (in thousands).

Derivatives and Other Instruments (1) Balance Sheet

Location March 31, 2022 December 31, 2021

Location June 30, 2022 December 31, 2021

Pay Fix/Receive Float Interest Rate Swap Agreements (2) Other assets $ 1,378 $ 231

Long TBAs Other assets 379 —

Long TBAs Other liabilities ( 3,338 ) —

Short TBAs Other assets 6,733 —

Short TBAs Other liabilities — ( 13 )

Forward Purchase Commitments

Other assets 2,211 —

Forward Purchase Commitments

Other liabilities ( 7,058 ) ( 79 )

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

(1) As of June 30, 2022 and December 31, 2021, all derivatives held by the Company are not designated as hedges for accounting purposes.

2 unchanged sentences

Notes to Consolidated Financial Statements (Unaudited)

March 31, 2022

June 30, 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 March 31, 2022 December 31, 2021

Notional Currency June 30, 2022 December 31, 2021

Pay Fix/Receive Float Interest Rate Swap Agreements (1) USD $ 1,414,000 $ 888,500

2 unchanged sentences

Forward Purchase Commitments USD 463,480 25,292

(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.

(1) As of June 30, 2022, the Company's pay fix/receive float interest rate swaps had a weighted average pay-fixed rate of 1.84 %, a weighted average receive-variable rate of 1.42 %, and a weighted average years to maturity of 5.15 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.

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.

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

2 unchanged sentences

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

As of 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 June 30, 2022, the Company's restricted cash balance included $ 42.5 million of collateral related to certain derivatives, of which $ 16.8 million represents cash collateral posted by the Company and $ 25.7 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

March 31, 2022 March 31, 2021

Three Months Ended Six Months Ended

June 30, 2022 June 30, 2021 June 30, 2022 June 30, 2021

Included within Net unrealized gain/(loss)

3 unchanged sentences

Forward Purchase Commitments

( 4,847 ) — ( 4,768 ) —

British Pound Futures — — — 64

2 unchanged sentences

Interest Rate Swaps 29,509 897 45,216 897

Long TBAs ( 7,635 ) — ( 7,635 ) —

Short TBAs 3,632 — 13,578 —

Forward Purchase Commitments

( 7,389 ) — ( 7,389 ) —

British Pound Futures — — — ( 165 )

4 unchanged sentences

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

Net Fair Value as of

Net Receivable/(Payable)

from/to Broker

June 30, 2022

The following table presents information about the Company’s TBAs for the three and six months ended June 30, 2022 and 2021 (in thousands).

Three Months Ended

Buys or Covers Sales or Shorts Ending Notional

Amount Fair Value as of

Period End Receivable/(Payable)

from/to Broker Derivative

Asset Derivative

June 30, 2022

Long TBAs $ 150,000 $ 1,500,000 $ ( 1,250,000 ) $ 400,000 $ 399,459 $ ( 402,418 ) $ 379 $ ( 3,338 )

June 30, 2021

Short TBAs — — ( 130,000 ) ( 130,000 ) ( 134,171 ) 134,239 89 ( 21 )

Six Months Ended

Buys or Covers Sales or Shorts Ending Notional

Amount Fair Value as of

Period End Receivable/(Payable)

from/to Broker Derivative

Asset Derivative

June 30, 2022

Long TBAs $ — $ 1,650,000 $ ( 1,250,000 ) $ 400,000 $ 399,459 $ ( 402,418 ) $ 379 $ ( 3,338 )

June 30, 2022

Short TBAs ( 385,963 ) 1,320,852 ( 934,889 ) — — — — —

June 30, 2021

Short TBAs — — ( 130,000 ) ( 130,000 ) ( 134,171 ) 134,239 89 ( 21 )

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 months ended March 31, 2022 and 2021 (in thousands, except per share data).

Three Months Ended

March 31, 2022 March 31, 2021

The following table presents a reconciliation of the earnings and shares used in calculating basic and diluted earnings per share for the three and six months ended June 30, 2022 and 2021 (in thousands, except per share data).

Three Months Ended Six Months Ended

June 30, 2022 June 30, 2021 June 30, 2022 June 30, 2021

Net Income/(Loss) $ ( 48,723 ) $ 15,493 $ ( 61,925 ) $ 58,742

7 unchanged sentences

Diluted $ ( 2.27 ) $ 0.70 $ ( 3.00 ) $ 3.34

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

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2022

The following tables detail the Company's common stock dividends declared during the six months ended June 30, 2022 and 2021.

Declaration Date Record Date Payment Date Cash Dividend Per Share

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

6/15/2022 6/30/2022 7/29/2022 0.21

Declaration Date Record Date Payment Date Cash Dividend Per Share

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

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.

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

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

5/2/2022 5/31/2022 6/17/2022 0.51563 0.50 0.50

Total $ 1.03126 $ 1.00 $ 1.00

2021 Cash Dividend Per Share

3 unchanged sentences

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

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

Total $ 1.03126 $ 1.00 $ 1.00

As a REIT, the Company is not subject to federal income tax to the extent that it makes qualifying distributions to its stockholders, and provided it satisfies on a continuing basis, through actual investment and operating results, the REIT requirements including certain asset, income, distribution and stock ownership tests.

3 unchanged sentences

The expense is calculated in accordance with applicable tax regulations.

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

For the three and six months ended June 30, 2022 and 2021, the Company did no t record any excise tax expense.

The Company files tax returns in several U.S.

2 unchanged sentences

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

Based on its analysis of any potential uncertain income tax positions, the Company concluded it did not have any uncertain tax positions that meet the recognition or measurement criteria of ASC 740 as of March 31, 2022.

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

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

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2022

Related party transactions

8 unchanged sentences

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

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

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.

For the three and six months ended June 30, 2022, the Company incurred management fees of $ 2.0 million and $ 3.9 million, respectively.

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

As of June 30, 2022 and December 31, 2021, the Company recorded management fees payable of $ 2.0 million and $ 1.8 million, respectively.

Incentive fee

6 unchanged sentences

All other terms and conditions of the management agreement continued without change.

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2022

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

As of June 30, 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.

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 three and six months ended June 30, 2022, the Company incurred $ 2.4 million and $ 4.9 million, respectively, representing reimbursements of expenses which are recorded within the "Other operating expenses" and "Transaction related expenses" line items on the consolidated statements of operations.

For the three and six months ended June 30, 2021, the Company incurred $ 1.1 million and $ 2.7 million, respectively, representing reimbursements of expenses which are recorded within the "Other operating expenses" and "Transaction related expenses" line items on the consolidated statements of operations.

As of June 30, 2022 and December 31, 2021, the Company recorded a reimbursement payable to the Manager or its affiliates of $ 2.0 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.

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

For the three and six months ended June 30, 2021, the Company reduced its expense reimbursement amount by $ 0.2 million and $ 0.4 million, respectively.

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 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.

As of June 30, 2022, 582,820 shares of common stock were available to be awarded under the 2020 Equity Incentive Plan.

Since inception of the 2020 Equity Incentive Plan and through June 30, 2022, the Company has granted an aggregate of 83,846 shares of restricted common stock to its independent directors under its 2020 Equity Incentive Plan, all of which have vested.

Manager Equity Incentive Plans

1 unchanged sentence

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.

As of June 30, 2022, there were no shares or awards issued under the 2021 Manager Plan.

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2022

Director compensation

4 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 March 31, 2022, the Company's Board of Directors consisted of four independent directors.

As of June 30, 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.

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

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

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 June 30, 2022 and December 31, 2021 (in thousands).

June 30, 2022 December 31, 2021

Assets Liabilities Equity Assets Liabilities Equity

6 unchanged sentences

Investments in debt and equity of affiliates $ 114,539 $ ( 32,296 ) $ 82,243 $ 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

(1) As of June 30, 2022 and December 31, 2021, MATT primarily holds retained tranches from past securitizations which continue to pay down and the Company does not expect to acquire additional investments within this equity method investment.

(2) Land Related Financing continues to pay down and the Company does not expect to originate new loans within this equity method investment.

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 and six months ended June 30, 2022 and 2021 (in thousands).

Three Months Ended Six Months Ended

June 30, 2022 June 30, 2021 June 30, 2022 June 30, 2021

MATT Non-QM Loans $ ( 370 ) $ 1,275 $ ( 1,259 ) $ 15,921

2 unchanged sentences

AG Arc (1) ( 5,710 ) ( 2,706 ) ( 7,380 ) 3,634

Other — ( 25 ) — ( 8 )

Equity in earnings/(loss) from affiliates

$ ( 5,806 ) $ 1,278 $ ( 7,860 ) $ 27,614

(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.

(1) 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.

Refer to Note 2 for more information on this accounting policy.

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2022

Transactions with affiliates

3 unchanged sentences

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.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

March 31, 2022

The fees paid by the Company to the Asset Manager totaled $ 0.6 million and $ 1.2 million for the three and six months ended June 30, 2022, respectively.

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

As of June 30, 2022 and December 31, 2021, the Company recorded asset management fees payable of $ 0.3 million and $ 0.2 million, respectively.

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

The below table details the unpaid principal balance of Non-Agency Loans and Agency-Eligible Loans sold to the Company and private funds under the management of Angelo Gordon during the three and six months ended June 30, 2022 and 2021 (in thousands).

Three Months Ended Six Months Ended

June 30, 2022 June 30, 2021 June 30, 2022 June 30, 2021

Residential mortgage loans sold by Arc Home to the Company $ 300,250 $ 192,770 $ 678,082 $ 250,435

Residential mortgage loans sold by Arc Home to private funds under the management of Angelo Gordon 6,089 191,739 131,791 268,568

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.

4 unchanged sentences

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

During the second quarter of 2022, the Company entered into forward purchase commitments with Arc Home whereby the Company commits to purchase residential mortgage loans from Arc Home at a particular price on a best-efforts basis.

Actual loan purchases are contingent upon successful loan closings.

These commitments to purchase mortgage loans are classified as derivatives.

See Note 7 and Note 12 for more detail.

Securitization Transactions

6 unchanged sentences

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.

1 unchanged sentence

Notes to Consolidated Financial Statements (Unaudited)

March 31, 2022

June 30, 2022

retained subordinate tranches are included within the "Real estate securities, at fair value" line item on its consolidated balance sheets.

Transactions under the Company's Affiliated Transaction Policy

24 unchanged sentences

Stock repurchase programs

On November 3, 2015, the Company’s Board of Directors authorized a stock repurchase program ("Repurchase Program") to repurchase up to $ 25.0 million of the Company's outstanding common stock.

Such authorization does not have an expiration date.

As part of the Repurchase Program, shares may be purchased in open market transactions, including through block purchases, through privately negotiated transactions, or pursuant to any trading plan that may be adopted in accordance with Rule 10b5-1 of the Exchange Act.

Open market repurchases will be made in accordance with Exchange Act Rule 10b-18, which sets certain restrictions on the method, timing, price and volume of open market stock repurchases.

Subject to applicable securities laws, the timing, manner, price and amount of any repurchases of common stock under the Repurchase Program may be determined by the Company in its discretion, using available cash resources.

Shares of common stock repurchased by the Company under the Repurchase Program, if any, will be cancelled and, until reissued by the Company, will be deemed to be authorized but unissued shares of its common stock as required by Maryland law.

The Repurchase Program may be suspended or discontinued by the Company at any time and without prior notice and the authorization does not obligate the Company to acquire any particular amount of common stock.

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

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.

During the three and six months ended June 30, 2022, the Company repurchased 1.4 million shares for $ 11.0 million under the common stock repurchase program authorized by the Company's Board of Directors on November 3, 2015 (the "2015 Repurchase Program").

No shares were repurchased under the 2015 Repurchase Program during the three and six months ended June 30, 2021.

As of June 30, 2022, the $ 25.0 million maximum repurchase amount authorized under the 2015 Repurchase Program was fully utilized.

On August 3, 2022, the Company's Board of Directors authorized a stock repurchase program (the "2022 Repurchase Program") to repurchase up to $ 15 million of the Company’s outstanding common stock on substantially the same terms as the 2015 Repurchase Program.

The 2022 Repurchase Program does not have an expiration date and permits the Company to repurchase its shares through various methods, including open market repurchases, privately negotiated block transactions and Rule 10b5-1 plans.

The Company may repurchase shares of its common stock from time to time in compliance with SEC regulations and other legal requirements.

The extent to which the Company repurchases its shares, and the timing, manner, price, and amount of any such repurchases, will depend upon a variety of factors including market conditions and other corporate considerations as determined by the Company’s management, as well as the limits of the 2022 Repurchase Program

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements (Unaudited)

March 31, 2022

June 30, 2022

and the Company's liquidity and business strategy.

The 2022 Repurchase Program does not obligate the Company to acquire any particular amount of shares and may be modified or discontinued at any time.

As of the date of this report, the full $ 15 million authorized amount remains available for repurchase under the 2022 Repurchase Program.

On February 22, 2021, the Company's Board of Directors authorized a stock repurchase program (the "Preferred Repurchase Program") pursuant to which the Company's Board of Directors granted a repurchase authorization to acquire shares of its Series A Preferred Stock, 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.

Shares of stock repurchased by the Company under any repurchase program, if any, will be cancelled and, until reissued by the Company, will be deemed to be authorized but unissued shares of its stock as required by Maryland law.

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 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.

For the three and six months ended June 30, 2022, the Company did no t issue any shares of common stock under the Equity Distribution Agreements.

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

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

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

8 unchanged sentences

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

As of 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).

As of June 30, 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.

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2022

The following table includes a summary of preferred stock issued and outstanding as of June 30, 2022 ($ and shares in thousands).

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

10 unchanged sentences

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.

(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

(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 stated rate per annum before holders of common stock are entitled to receive any cash dividends.

The Company's Series A Preferred Stock, Series B Preferred Stock, and Series C Preferred Stock generally do not have any voting rights, subject to an exception in the event the Company fails to pay dividends on such stock for six or more quarterly periods (whether or not consecutive).

3 unchanged sentences

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.

The Company did not complete any exchange offers during the six months ended June 30, 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).

6 unchanged sentences

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

As of 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).

As of June 30, 2022, the Company was not involved in any material legal proceedings.

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2022

The below table details the Company's outstanding commitments as of June 30, 2022 (in thousands).

Commitment type Date of Commitment Total Commitment Funded Commitment Remaining Commitment

Non-Agency and Agency-Eligible Loans (1) Various $ 471,675 $ — $ 471,675

Land Related Financing (2) Various 16,374 12,901 3,473

1 unchanged sentence

Total $ 503,656 $ 12,901 $ 490,755

(1) The Company entered into forward purchase commitments to acquire certain Non-Agency and Agency-Eligible Loans from Arc Home which have not yet settled as of June 30, 2022.

Refer to Note 10 "Transactions with affiliates" for more information.

(2) 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 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.

The Company announced that on August 3, 2022 its Board of Directors declared third 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 September 19, 2022 to holders of record on August 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