What changed in this filing

/stocks — the workspaceLOADING

Item 1. Financial Statements

2022-11-08 compared with 2022-08-05 · 305 added, 277 removed, 1224 unchanged (32% of the section changed)

4 unchanged sentences

(in thousands, except per share data)

June 30, 2022 December 31, 2021

September 30, 2022 December 31, 2021

Securitized residential mortgage loans, at fair value - $ 371,094 and $ 119,947 pledged as collateral, respectively (1)

19 unchanged sentences

Common stock, par value $ 0.01 per share;

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

450,000 shares of common stock authorized and 22,117 and 23,908 shares issued and outstanding at September 30, 2022 and December 31, 2021, respectively

Additional paid-in capital 783,355 796,469

10 unchanged sentences

(in thousands, except per share data)

Three Months Ended Six Months Ended

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

Three Months Ended Nine Months Ended

September 30, 2022 September 30, 2021 September 30, 2022 September 30, 2021

Net Interest Income

33 unchanged sentences

(in thousands)

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

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

Common Stock Preferred

3 unchanged sentences

Shares Amount Total

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

Balance at July 1, 2022 22,490 $ 225 $ 220,472 $ 785,610 $ ( 527,642 ) $ 478,665

Repurchase of common stock ( 385 ) ( 4 ) — ( 2,335 ) — ( 2,339 )

3 unchanged sentences

Net Income/(Loss) — — — — ( 2,869 ) ( 2,869 )

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

Balance at September 30, 2022 22,117 $ 221 $ 220,472 $ 783,355 $ ( 539,752 ) $ 464,296

Common Stock (1) Preferred

3 unchanged sentences

Shares Amount Total

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

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

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

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

Grant of restricted stock 6 — — 80 — 80

1 unchanged sentence

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

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

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

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

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

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

For the Nine Months Ended September 30, 2022 and September 30, 2021

Common Stock Preferred

9 unchanged sentences

Net Income/(Loss) — — — — ( 64,794 ) ( 64,794 )

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

Balance at September 30, 2022 22,117 $ 221 $ 220,472 $ 783,355 $ ( 539,752 ) $ 464,296

Common Stock (1) Preferred

5 unchanged sentences

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

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

Grant of restricted stock 19 — — 240 — 240

3 unchanged sentences

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

Balance at June 30, 2021

Balance at September 30, 2021

15,912 $ 159 $ 220,472 $ 717,176 $ ( 448,058 ) $ 489,749

6 unchanged sentences

(in thousands)

Six Months Ended

June 30, 2022 June 30, 2021

Nine Months Ended

September 30, 2022 September 30, 2021

Cash Flows from Operating Activities

36 unchanged sentences

Net collateral received from (paid to) derivative counterparty 19,444 —

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

Dividends paid on common stock ( 14,766 ) ( 7,428 )

1 unchanged sentence

Net cash provided by (used in) financing activities 1,474,041 925,449

Six Months Ended

June 30, 2022 June 30, 2021

Nine Months Ended

September 30, 2022 September 30, 2021

Net change in cash and cash equivalents and restricted cash ( 793 ) 66,508

6 unchanged sentences

Supplemental disclosure of non-cash financing and investing activities:

Receivable on unsettled trades $ — $ 106,247

Common stock dividends declared but not paid $ 4,655 $ 3,354

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

Holdback on sale of excess MSRs $ — $ 134

Purchase price payable on loans $ 794 $ —

1 unchanged sentence

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

June 30, 2022 June 30, 2021

September 30, 2022 September 30, 2021

Cash and cash equivalents $ 77,638 $ 101,749

5 unchanged sentences

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2022

September 30, 2022

AG Mortgage Investment Trust, Inc.

31 unchanged sentences

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

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

("Angelo Gordon"), a privately-held, SEC-registered investment adviser.

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

4 unchanged sentences

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2022

September 30, 2022

COVID-19 Impact

30 unchanged sentences

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2022

September 30, 2022

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

31 unchanged sentences

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2022

September 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.

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

During the three and nine months ended September 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 Nine Months Ended

September 30, 2022

September 30, 2021

September 30, 2022

September 30, 2021

Intra-Entity Profits Eliminated $ 1,755 $ 1,580 $ 5,869 $ 3,467

5 unchanged sentences

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

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.

As of September 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").

5 unchanged sentences

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.

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 or the right to receive benefits from the VIE that could potentially be significant to the VIE.

This determination can sometimes involve complex and subjective analyses.

5 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

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

Investors in an SPE usually have recourse only to the assets in the SPE and depending

AG Mortgage Investment Trust Inc.

1 unchanged sentence

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.

September 30, 2022

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 securitizations.

22 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

Cash equivalents may include cash invested in money market funds.

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

The Company places its

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2022

money market funds.

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

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

September 30, 2022

cash with high credit quality institutions to minimize credit risk exposure.

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

20 unchanged sentences

The Company maintains a level of liquidity in order to meet these obligations.

If the fair value of pledged assets increases due to changes in market conditions, counterparties may be required to return collateral to us in the form of securities or cash or post additional collateral to us.

If the fair value of pledged assets increases due to changes in market conditions, counterparties may be required to return collateral to the Company in the form of securities or cash or post additional collateral to the Company.

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

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

As of September 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 instruments at fair value.

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

As of June 30, 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.

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

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

As of September 30, 2022 and December 31, 2021, the Company did not have any interest rate derivatives designated as hedges for accounting purposes.

To-be-announced securities

A to-be-announced security ("TBA") is a forward contract for the purchase or sale of Agency RMBS at a predetermined price,

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2022

To-be-announced securities

A to-be-announced security ("TBA") is a forward contract for the purchase or sale of Agency RMBS at a predetermined price, face amount, issuer, coupon and stated maturity on an agreed-upon future date.

September 30, 2022

face amount, issuer, coupon and stated maturity on an agreed-upon future date.

The specific Agency RMBS delivered into or received from the contract upon the settlement date, published each month by the Securities Industry and Financial Markets Association, are not known at the time of the transaction.

12 unchanged sentences

Accordingly, the Company accounts for the daily receipt or payment of variation margin associated with its centrally cleared derivative instruments as a direct reduction to the carrying value of the derivative asset or liability, respectively.

The daily receipt or payment is included as a settlement of the derivative in cash flows from investing activities on the consolidated statement of cash flows.

The carrying amount of centrally cleared derivative instruments reflected in the Company’s consolidated balance sheets approximates the unsettled fair value of such instruments.

12 unchanged sentences

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.

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

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements (Unaudited)

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.

September 30, 2022

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.

28 unchanged sentences

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2022

September 30, 2022

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

30 unchanged sentences

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.

September 30, 2022

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

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 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.

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

Interest rate swaps will experience an orderly market transition prior to 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.

2 unchanged sentences

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2022

September 30, 2022

Residential mortgage loans

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 table below details information regarding the Company’s residential mortgage loan portfolio as of September 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

June 30, 2022

September 30, 2022

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

9 unchanged sentences

Total Residential mortgage loans, at fair value $ 845,137 $ ( 8,512 ) $ 836,625 $ 5,795 $ ( 58,649 ) $ 783,771 5.43 % 5.69 % 6.42

Total as of June 30, 2022

Total as of September 30, 2022

$ 4,616,008 $ 11,135 $ 4,627,143 $ 7,848 $ ( 431,812 ) $ 4,203,179 4.70 % 4.87 % 8.98

16 unchanged sentences

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) Refer to the "Variable interest entities" section below for additional details related to the assets and liabilities of VIEs consolidated on the Company's consolidated balance sheets.

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2022

September 30, 2022

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

Unpaid Principal Balance Weighted Average (1)(2) Aging by Unpaid Principal Balance (1)(3)

June 30, 2022

September 30, 2022

Loan Count (1) Original LTV Ratio Current FICO (4) Current 30-59 Days 60-89 Days 90+ Days

9 unchanged sentences

Total Residential mortgage loans 845,137 1,538 69.06 % 739 825,412 3,872 5,041 6,929

Total as of June 30, 2022

Total as of September 30, 2022

$ 4,616,008 12,092 69.20 % 734 $ 4,450,254 $ 70,808 $ 20,433 $ 70,630

14 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 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.

(2) Amounts are weighted based on unpaid principal balance.

(3) As of September 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 $ 23.2 million and $ 39.0 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.

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

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).

During the three and nine months ended September 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.

Three Months Ended June 30, 2022

Six Months Ended June 30, 2022

Three Months Ended September 30, 2022

Nine Months Ended September 30, 2022

Unpaid Principal Balance Fair Value Unpaid Principal Balance Fair Value

1 unchanged sentence

Agency-Eligible Loans 386,003 381,256 993,126 986,734

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).

Total $ 901,595 $ 891,584 $ 2,434,418 $ 2,437,626

The Company did no t sell any residential mortgage loans during the three and nine months ended September 30, 2022 or the three months ended September 30, 2021.

For the nine months ended September 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)

Nine months ended September 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.

(1) Includes $ 1.6 million of proceeds on one residual position where the Company previously consolidated the securitization.

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2022

September 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 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

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

California 33 % 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 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

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 nine months ended September 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 Nine Months Ended

September 30, 2022 September 30, 2021 September 30, 2022 September 30, 2021

Beginning Balance $ 43,901 $ 51,672 $ 46,521 $ 56,907

6 unchanged sentences

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2022

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

June 30, 2022 December 31, 2021

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

September 30, 2022 December 31, 2021

Carrying Value Weighted Average Carrying Value Weighted Average

11 unchanged sentences

Securitized debt, at fair value (2) $ 3,025,128 3.75 % 7.20 $ 999,215 2.00 % 2.71

Financing arrangements (3) 177,599 71,308

Other liabilities 9,586 1,482

6 unchanged sentences

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

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

(3) As of September 30, 2022 and December 31, 2021, the Company had outstanding financing arrangements of $ 211.5 million and $ 71.3 million, respectively, collateralized by certain of the Company's retained interests in the Residential Mortgage Loan VIEs.

See Note 6 for more detail regarding the Company's financing arrangements.

Commercial loans

As of June 30, 2022 and December 31, 2021, the Company did not hold any commercial loans.

As of September 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)

June 30, 2022

September 30, 2022

Real Estate Securities

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

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

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

1 unchanged sentence

Amortized Cost Gross Unrealized Weighted Average

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

Residential Securities

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

Non-Agency RMBS

Agency-Eligible Securities $ 16,897 $ ( 6,762 ) $ 10,135 $ 169 $ ( 110 ) $ 10,194 2.99 % 8.50 %

1 unchanged sentence

Non-Agency RMBS Interest Only (2) 111,990 ( 109,080 ) 2,910 2,011 — 4,921 0.38 % 33.04 %

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 Non-Agency RMBS 143,781 ( 116,052 ) 27,729 2,180 ( 4,596 ) 25,313 1.55 % 11.69 %

Interest Only 130,457 ( 110,124 ) 20,333 29 ( 819 ) 19,543 2.97 % 7.48 %

Total as of June 30, 2022

Total as of September 30, 2022

$ 274,238 $ ( 226,176 ) $ 48,062 $ 2,209 $ ( 5,415 ) $ 44,856 2.40 % 9.86 %

2 unchanged sentences

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

Residential Securities

Non-Agency RMBS

Non-Agency Securities (2) $ 14,894 $ ( 236 ) $ 14,658 $ — $ ( 58 ) $ 14,600 4.36 % 4.74 %

1 unchanged sentence

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

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

Total Non-Agency RMBS 175,744 ( 156,907 ) 18,837 90 ( 170 ) 18,757 1.02 % 6.73 %

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

3 unchanged sentences

(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.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

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

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

Non-Agency RMBS Agency RMBS

September 30, 2022

Weighted Average Life (1)

1 unchanged sentence

Fair Value Amortized Cost Weighted Average Coupon

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

Greater than one year and less than or equal to five years $ 4,921 $ 2,910 0.38 % $ — $ — — %

1 unchanged sentence

Greater than ten years 20,392 24,819 3.62 % — — — %

Total as of June 30, 2022

Total as of September 30, 2022

$ 25,313 $ 27,729 1.55 % $ 19,543 $ 20,333 2.97 %

Residential Securities Agency RMBS

Non-Agency RMBS Agency RMBS

December 31, 2021

12 unchanged sentences

(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)

June 30, 2022

September 30, 2022

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

Three Months Ended Nine Months Ended

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

September 30, 2022

2 $ 13,017 $ 168 — 18 $ 526,258 $ 736 $ ( 35,240 )

September 30, 2021

4 202,819 — ( 4,795 ) 73 760,689 12,355 ( 22,032 )

Fair value measurements

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

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

Fair Value at September 30, 2022

Level 1 Level 2 Level 3 Total

24 unchanged sentences

(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.

(2) As of September 30, 2022, the Company applied a reduction in fair value of $ 38.3 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.

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2022

restricted cash, respectively.

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

2 unchanged sentences

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

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

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.

The valuation of the Company’s residential mortgage loans, securitized debt relating to the Residential Mortgage Loan VIEs, certain securities, 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.

6 unchanged sentences

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.

Fair values for the Company’s securities and derivatives may be based upon prices obtained from third-party pricing services or broker quotations.

The valuation methodology of the Company’s third-party pricing services incorporates commonly used market pricing methods, including a spread measurement to various indices, which are observable inputs.

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

13 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 and six months ended June 30, 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 nine months ended September 30, 2022 and 2021.

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2022

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

3 unchanged sentences

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

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

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 June 30, 2022 (in thousands)

Three Months Ended September 30, 2022 (in thousands)

Mortgage Loans (1) Non-Agency

5 unchanged sentences

Issuances of Securitized Debt — — — — — ( 763,294 ) —

Capital distributions — — — — ( 1,070 ) — —

Proceeds from settlement ( 95,895 ) ( 43 ) — ( 1,792 ) — 82,826 6,709

2 unchanged sentences

Ending Balance $ 4,202,365 $ 10,198 $ 4,921 $ 340 $ 46,588 $ ( 3,025,128 ) $ ( 1,543 )

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

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

$ ( 153,687 ) $ ( 1,019 ) $ 607 $ 340 $ ( 2,512 ) $ 123,106 $ ( 1,543 )

9 unchanged sentences

Total $ ( 34,594 )

Three Months Ended June 30, 2021 (in thousands)

Three Months Ended September 30, 2021 (in thousands)

Mortgage Loans (1) Non-Agency

1 unchanged sentence

Loans Excess Mortgage

Servicing Rights AG Arc Securitized

Servicing Rights Derivative Assets AG Arc Securitized

debt Derivative Liabilities

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

1 unchanged sentence

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

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

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

3 unchanged sentences

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

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

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

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

1 unchanged sentence

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

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2022

Net unrealized gain/(loss) $ 20,389

6 unchanged sentences

Total $ 13,942

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2022

Six Months Ended June 30, 2022 (in thousands)

Nine Months Ended September 30, 2022 (in thousands)

Mortgage Loans (1) Non-Agency

5 unchanged sentences

Issuances of Securitized Debt — — — — — ( 2,650,616 ) —

Capital distributions — — — — ( 1,070 ) — —

Proceeds from settlement ( 393,170 ) ( 664 ) — ( 2,208 ) — 320,502 14,514

2 unchanged sentences

Ending Balance $ 4,202,365 $ 10,198 $ 4,921 $ 340 $ 46,588 $ ( 3,025,128 ) $ ( 1,543 )

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

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

$ ( 455,293 ) $ ( 4,401 ) $ 1,526 $ 340 $ ( 5,777 ) $ 304,201 $ ( 1,543 )

9 unchanged sentences

Total $ ( 160,947 )

Six Months Ended June 30, 2021 (in thousands)

Nine Months Ended September 30, 2021 (in thousands)

Mortgage Loans (1) Non-Agency

1 unchanged sentence

Loans Excess Mortgage

Servicing Rights AG Arc Securitized

Servicing Rights Derivative assets AG Arc Securitized

debt Derivative liabilities

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

3 unchanged sentences

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

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

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

3 unchanged sentences

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

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

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

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

1 unchanged sentence

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

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

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

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

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2022

Net unrealized gain/(loss) $ 40,472

6 unchanged sentences

Total $ 30,684

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

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 June 30, 2022

Asset Class Fair Value at September 30, 2022

(in thousands) Valuation Technique Unobservable Input Range

9 unchanged sentences

$ 3,081 Consensus Pricing Offered Quotes 93.98 - 109.03 ( 102.53 )

$ 80,206 Recent Transaction Cost N/A

Yield 6.45 % - 11.85 % ( 8.92 %)

12 unchanged sentences

AG Arc $ 46,588 Comparable Multiple Book Value Multiple 0.94 x - 0.94 x ( 0.94 x)

Liability Class Fair Value at June 30, 2022

Liability Class Fair Value at September 30, 2022

(in thousands) Valuation Technique Unobservable Input Range

13 unchanged sentences

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2022

September 30, 2022

Asset Class Fair Value at December 31, 2021

36 unchanged sentences

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2022

September 30, 2022

Financing arrangements

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

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

September 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) $ 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

Securitized residential mortgage loans (3) $ 211,483 Oct 2022 to Dec 2022 4.57 % 0.08 $ 419,389 $ 371,094 $ 71,308

Residential mortgage loans (4)(5) 693,835 Oct 2022 to Sept 2023 4.83 % 0.60 834,777 779,876 1,286,287

Non-Agency RMBS 15,891 Oct 2022 4.40 % 0.05 27,729 25,313 10,213

Agency RMBS 14,556 Oct 2022 3.41 % 0.02 18,247 17,428 409,935

Total Financing Arrangements $ 935,765 4.74 % 0.46 $ 1,300,142 $ 1,193,711 $ 1,777,743

(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.

(1) The Company also had $ 1.4 million and $ 5.0 million of cash pledged under repurchase agreements as of September 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 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).

The weighted average stated rate on the Residential mortgage loans repurchase agreements was 4.82 % as of September 30, 2022.

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

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

5 unchanged sentences

Counterparties

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

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

The following table presents information as of September 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).

September 30, 2022

December 31, 2021

12 unchanged sentences

35,718 191 7.7 % 33,153 317 5.8 %

JP Morgan Securities, LLC 26,989 291 5.8 % (1) (1) (1)

(1) As of December 31, 2021, the Company had less than 1 % of its equity at risk under financing arrangements with JP Morgan Securities, LLC.

Financial Covenants

1 unchanged sentence

Although specific to each financing arrangement, typical supplemental terms include requirements of minimum equity and liquidity, leverage ratios, and performance triggers.

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

To the extent that the Company fails to comply with

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements (Unaudited)

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.

September 30, 2022

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

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

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

As of June 30, 2022, the Company is in compliance with all of its financial covenants.

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

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

September 30, 2022 December 31, 2021

Interest receivable $ 21,079 $ 14,263

12 unchanged sentences

(1) Refer to Note 10 for more information.

(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).

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

Derivatives and Other Instruments (1) Balance Sheet

Location June 30, 2022 December 31, 2021

Location September 30, 2022 December 31, 2021

Pay Fix/Receive Float Interest Rate Swap Agreements (2) Other assets $ 132 $ 231

Long TBAs Other assets 379 —

Long TBAs Other liabilities ( 3,338 ) —

Short TBAs Other liabilities — ( 13 )

3 unchanged sentences

Other liabilities ( 1,543 ) ( 79 )

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

(1) As of September 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)

June 30, 2022

September 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 June 30, 2022 December 31, 2021

Notional Currency September 30, 2022 December 31, 2021

Pay Fix/Receive Float Interest Rate Swap Agreements (1) USD $ 684,000 $ 888,500

Long TBAs USD 400,000 —

Short TBAs USD — 385,963

Forward Purchase Commitments USD 118,743 25,292

(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.

(1) As of September 30, 2022, the Company's pay fix/receive float interest rate swaps had a weighted average pay-fixed rate of 2.65 %, a weighted average receive-variable rate of 2.98 %, and a weighted average years to maturity of 4.76 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 June 30, 2022 and December 31, 2021, if applicable.

Derivative and other instruments eligible for offset are presented gross on the consolidated balance sheets as of September 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 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 September 30, 2022, the Company's restricted cash balance included $ 19.2 million of collateral related to certain derivatives, of which $ 0.4 million represents cash collateral posted by the Company and $ 18.8 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 Six Months Ended

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

Three Months Ended Nine Months Ended

September 30, 2022 September 30, 2021 September 30, 2022 September 30, 2021

Included within Net unrealized gain/(loss)

18 unchanged sentences

Notes to Consolidated Financial Statements (Unaudited)

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).

September 30, 2022

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

Three Months Ended

3 unchanged sentences

from/to Broker Derivative

Asset Derivative

June 30, 2022

September 30, 2022

Long TBAs $ 400,000 $ — $ ( 400,000 ) $ — $ — $ — $ —

June 30, 2021

September 30, 2021

Short TBAs ( 130,000 ) 338,000 ( 515,500 ) 307,500 ( 316,937 ) 318,295 1,358

Six Months Ended

Nine Months Ended

Buys or Covers Sales or Shorts Ending Notional

2 unchanged sentences

from/to Broker Derivative

Asset Derivative

June 30, 2022

September 30, 2022

Long TBAs $ — $ 1,650,000 $ ( 1,650,000 ) $ — $ — $ — $ —

June 30, 2022

September 30, 2022

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

June 30, 2021

September 30, 2021

Short TBAs — 338,000 ( 645,500 ) ( 307,500 ) ( 316,937 ) 318,295 1,358

1 unchanged sentence

Following the close of business on July 22, 2021, the Company effected a one-for-three reverse stock split of its outstanding shares of common stock.

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

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

Refer to Note 2 and Note 11 for additional information.

The following table presents a reconciliation of the earnings and shares used in calculating basic and diluted earnings per share for the three and 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

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

Three Months Ended Nine Months Ended

September 30, 2022 September 30, 2021 September 30, 2022 September 30, 2021

Net Income/(Loss) $ ( 2,869 ) $ 34,579 $ ( 64,794 ) $ 93,321

10 unchanged sentences

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.

September 30, 2022

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

Declaration Date Record Date Payment Date Cash Dividend Per Share

1 unchanged sentence

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

9/15/2022 9/30/2022 10/31/2022 0.21

Declaration Date Record Date Payment Date Cash Dividend Per Share

1 unchanged sentence

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

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

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

The following tables detail the Company's preferred stock dividends declared and paid during the nine months ended September 30, 2022 and 2021.

2022 Cash Dividend Per Share

4 unchanged sentences

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

8/3/2022 8/31/2022 9/19/2022 0.51563 0.50 0.50

Total $ 1.54689 $ 1.50 $ 1.50

5 unchanged sentences

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

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

Total $ 1.54689 $ 1.50 $ 1.50

2 unchanged sentences

federal income tax treatment of REITs.

The Company elected to treat certain domestic subsidiaries as TRSs.

The Company’s financial results are generally not expected to reflect provisions for current or deferred income taxes, except for any activities conducted through one or more TRSs that are subject to corporate income taxation.

During the three and nine months ended September 30, 2022, the Company accrued income tax expense of $ 0.2 million which is recorded in the "Other operating expenses" line item on the consolidated statement of operations.

The Company did no t record any income tax expense for the three and nine months ended September 30, 2021.

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2022

Excise tax represents a four percent tax on the required amount of the Company’s ordinary income and net capital gains not distributed during the year.

The expense is calculated in accordance with applicable tax regulations.

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

For the three and nine months ended September 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 June 30, 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

10 unchanged sentences

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

For the three and six months ended June 30, 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.

The below table details the management fees incurred during the three and nine months ended September 30, 2022 and 2021 (in thousands).

Three Months Ended Nine Months Ended

September 30, 2022 September 30, 2021 September 30, 2022 September 30, 2021

Management fee to affiliate $ 2,064 $ 1,693 $ 5,984 $ 5,014

As of September 30, 2022 and December 31, 2021, the Company recorded management fees payable of $ 2.1 million and $ 1.8 million, respectively.

The management fee payable is included within the "Due to affiliates" item within the "Other liabilities" line item on the consolidated balance sheets.

Incentive fee

In connection with the common stock offering in November 2021, including the Manager's purchase of 700,000 shares in the offering, on November 22, 2021, the Company and the Manager executed an amendment (the "Third Management Agreement Amendment") to the management agreement, pursuant to which the Company will pay the Manager an annual incentive fee in addition to the base management fee.

Pursuant to the Third Amendment, the Manager waived the annual incentive fee with respect to the fiscal years ending December 31, 2021 and December 31, 2022, and the annual incentive fee will first be payable with respect to the fiscal year ending December 31, 2023.

Pursuant to the Third Amendment, the Manager waived the annual incentive fee with

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2022

respect to the fiscal years ending December 31, 2021 and December 31, 2022, and the annual incentive fee will first be payable with respect to the fiscal year ending December 31, 2023.

The annual incentive fee with respect to each applicable fiscal year will be equal to 15 % of the amount by which the Company's cumulative adjusted net income from the date of the Third Amendment exceeds the cumulative hurdle amount, which represents an 8 % return (cumulative, but not compounding) on an equity hurdle base consisting of the sum of (i) the Company's adjusted book value (calculated in the manner described in the Company's public filings) as of October 31, 2021, (ii) $ 80.0 million, and (iii) the gross proceeds of any subsequent public or private common stock offerings by the Company.

3 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 June 30, 2022 and December 31, 2021, no event of termination of the management agreement had occurred.

As of September 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 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.

The Company records its expenses reimbursed to the Manager or its affiliates within the "Other operating expenses" and "Transaction related expenses" line items on the consolidated statements of operations.

The below table details the expense reimbursement incurred during the three and nine months ended September 30, 2022 and 2021 (in thousands).

Three Months Ended Nine Months Ended

September 30, 2022 September 30, 2021 September 30, 2022 September 30, 2021

Operating expenses (1) $ 1,405 $ 1,125 $ 4,215 $ 3,375

Deal related expenses (1) 261 189 637 518

Transaction related expenses (2) 738 251 2,484 331

Expense reimbursements to affiliates $ 2,404 $ 1,565 $ 7,336 $ 4,224

(1) Included in the "Other operating expenses" line item on the consolidated statement of operations.

(2) Included in the "Transaction related expenses" line item on the consolidated statement of operations.

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

For the three and nine months ended September 30, 2021, the Company reduced its expense reimbursement

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2022

amount by $ 0.2 million and $ 0.6 million, respectively.

As of September 30, 2022 and December 31, 2021, the Company recorded a reimbursement payable to the Manager or its affiliates of $ 2.5 million and $ 2.1 million, respectively.

The Reimbursement payable to the Manager or its affiliates is included within the "Due to affiliates" item within the "Other liabilities" line item on the consolidated balance sheets.

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 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.

As of September 30, 2022, 570,901 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 September 30, 2022, the Company has granted an aggregate of 95,765 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 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

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

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 June 30, 2022, the Company's Board of Directors consisted of four independent directors.

As of September 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.

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

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

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

September 30, 2022 December 31, 2021

Assets Liabilities Equity Assets Liabilities Equity

6 unchanged sentences

Investments in debt and equity of affiliates $ 108,964 $ ( 29,934 ) $ 79,030 $ 129,159 $ ( 37,136 ) $ 92,023

(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.

(1) As of September 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

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 nine months ended September 30, 2022 and 2021 (in thousands).

Three Months Ended Nine Months Ended

September 30, 2022 September 30, 2021 September 30, 2022 September 30, 2021

MATT Non-QM Loans $ 1,413 $ ( 644 ) $ 154 $ 15,277

7 unchanged sentences

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 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.

The below table details the fees paid by the Company to the Asset Manager during the three and nine months ended September 30, 2022 and 2021 (in thousands).

Three Months Ended Nine Months Ended

September 30, 2022 September 30, 2021 September 30, 2022 September 30, 2021

Fees paid to Asset Manager $ 825 $ 531 $ 2,007 $ 1,651

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

Asset management fees payable are included within the "Due to affiliates" item within the "Other liabilities" line item on the consolidated balance sheets.

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2022

Transactions with Arc Home

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

The below table details the unpaid principal balance of Non-Agency Loans and Agency-Eligible Loans sold to the Company and 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

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 nine months ended September 30, 2022 and 2021 (in thousands).

Three Months Ended Nine Months Ended

September 30, 2022 September 30, 2021 September 30, 2022 September 30, 2021

Residential mortgage loans sold by Arc Home to the Company $ 350,257 $ 236,627 $ 1,028,339 $ 487,062

6 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.

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.

Actual loan purchases are contingent upon successful loan closings.

9 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)

June 30, 2022

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

September 30, 2022

Transactions under the Company's Affiliated Transaction Policy

The below table details transactions where the Company purchased or sold assets from or to an affiliate of the Manager, respectively ($ in millions).

The below table details transactions where the Company purchased or sold assets from or to an affiliate of the Manager ($ in millions).

The transactions were executed in accordance with the Company's Affiliated Transaction Policy.

Refer to the "Transactions with Arc Home" section above for additional information related to transactions with Arc Home, which are excluded from the table below.

Date Transaction Fair value (1) Pricing methodology

19 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.

Stock repurchase programs

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.

During the nine months ended September 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").

During the three and nine months ended September 30, 2021, the Company repurchased 0.3 million shares for $ 2.8 million under the 2015 Repurchase Program.

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

6 unchanged sentences

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2022

September 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.

During the three and nine months ended September 30, 2022, the Company repurchased 0.4 million shares for $ 2.3 million under the 2022 Repurchase Program.

As of September 30, 2022, approximately $ 12.7 million of common stock remained authorized for future share repurchases 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.

4 unchanged sentences

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 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.

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

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

For the nine months ended September 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 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.

As of September 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.

1 unchanged sentence

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).

September 30, 2022

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

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

16 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 six months ended June 30, 2022.

The Company did not complete any exchange offers during the nine months ended September 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).

4 unchanged sentences

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

Commitments and Contingencies

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

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

AG Mortgage Investment Trust Inc.

1 unchanged sentence

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).

September 30, 2022

Commitments and Contingencies

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

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

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

Commitment type Date of Commitment Total Commitment Funded Commitment Remaining Commitment

3 unchanged sentences

Total $ 150,906 $ 10,946 $ 139,960

(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.

(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 September 30, 2022.

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

1 unchanged sentence

Subsequent Events

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.

The Company announced that on November 3, 2022 its Board of Directors declared fourth 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 December 19, 2022 to holders of record on November 30, 2022.

The Company executed a rated Non-Agency securitization, in which loans with a total unpaid principal balance of $ 457.4 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 repurchased 0.1 million shares of common stock for $ 0.3 million under the 2022 Repurchase Program .

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