What changed in this filing

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Item 8. Financial Statements and Supplementary Data

2023-02-27 compared with 2022-02-25 · 588 added, 752 removed, 995 unchanged (57% of the section changed)

41 unchanged sentences

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

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

The Company’s securitized residential mortgage loans and residential mortgage loans included in its consolidated balances and held through its investments in debt and equity of affiliates (referred to as Non-QM Loans and Re/Non-Performing Loans) were $3,707.1 million, $421.5 million, and $38.9 million, respectively, as of December 31, 2022.

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

16 unchanged sentences

December 31, 2022 December 31, 2021

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

$ 1,476,972 $ 8,837

Securitized residential mortgage loans, at fair value - $ 423,967 and $ 119,947 pledged as collateral, respectively (1)

$ 3,707,146 $ 1,158,134

Residential mortgage loans, at fair value - $ 353,039 and $ 1,469,358 pledged as collateral, respectively

356,467 1,476,972

Residential mortgage loans held for sale, at fair value - $ 64,984 and $ 0 pledged as collateral, respectively

Real estate securities, at fair value - $ 41,653 and $ 444,481 pledged as collateral, respectively

43,719 514,470

Commercial loans, at fair value — 111,549

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

Investments in debt and equity of affiliates 71,064 92,023

3 unchanged sentences

Total Assets $ 4,369,778 $ 3,362,728

Financing arrangements $ 1,777,743 $ 564,047

Securitized debt, at fair value (1) $ 3,262,352 $ 999,215

Payable on unsettled trades — 51,136

Financing arrangements 621,187 1,777,743

Dividend payable 3,846 5,021

3 unchanged sentences

Stockholders' Equity

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

Preferred stock - $ 227,991 aggregate liquidation preference

220,472 220,472

5 unchanged sentences

Total Liabilities & Stockholders' Equity $ 4,369,778 $ 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) Amounts have been adjusted to reflect the one-for-three reverse stock split effected July 22, 2021.

See Note 2 and Note 11 for additional details.

(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 consolidated financial statements.

15 unchanged sentences

Management fee to affiliate (1) 8,096 6,814

Other operating expenses 13,357 15,911

Non-investment related expenses (1) 9,292 9,745

Investment related expenses (1) 9,198 6,800

Transaction related expenses (1) 16,474 7,328

Restructuring related expenses — 10,200

Excise tax — ( 815 )

Servicing fees 3,188 2,224

Total Expenses 43,060 30,687

1 unchanged sentence

Equity in earnings/(loss) from affiliates ( 10,258 ) 31,889

Net Income/(Loss) from Continuing Operations 104,186 ( 421,585 )

Net Income/(Loss) from Discontinued Operations — 666

Net Income/(Loss) ( 53,100 ) 104,186

2 unchanged sentences

Net Income/(Loss) Available to Common Stockholders $ ( 71,444 ) $ 85,873

Earnings/(Loss) Per Share - Basic (1)

Continuing Operations $ 5.29 $ ( 36.79 )

Discontinued Operations — 0.06

Total Earnings/(Loss) Per Share of Common Stock (1) $ 5.29 $ ( 36.73 )

Earnings/(Loss) Per Share - Diluted (1)

Continuing Operations $ 5.29 $ ( 36.79 )

Discontinued Operations — 0.06

Total Earnings/(Loss) Per Share of Common Stock (1) $ 5.29 $ ( 36.73 )

Earnings/(Loss) Per Share of Common Stock (2)

Basic $ ( 3.12 ) $ 5.29

Diluted $ ( 3.12 ) $ 5.29

Weighted Average Number of Shares of Common Stock Outstanding (2)

1 unchanged sentence

Diluted 22,890 16,234

(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.

11 unchanged sentences

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

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

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

Grant of restricted stock 27 — — 320 — 320

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

4 unchanged sentences

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

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

Repurchase of common stock ( 2,671 ) ( 27 ) — ( 18,190 ) — ( 18,217 )

2 unchanged sentences

Preferred dividends declared — — — — ( 18,344 ) ( 18,344 )

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

Net Income/(Loss) — — — — ( 53,100 ) ( 53,100 )

10 unchanged sentences

Net income/(loss) $ ( 53,100 ) $ 104,186

Net (income)/loss from discontinued operations — ( 666 )

Net income/(loss) from continuing operations $ 104,186 $ ( 421,585 )

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

2 unchanged sentences

Net unrealized (gain)/loss 137,634 ( 62,699 )

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

Equity based compensation to affiliate — 163

Equity based compensation expense 327 320

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

(Income)/loss from investments in debt and equity of affiliates in excess of distributions received

12,482 ( 14,283 )

2 unchanged sentences

Other liabilities 7,894 2,021

Net cash provided by (used in) continuing operating activities 26,298 4,882

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

Net cash provided by (used in) operating activities 22,520 26,298

2 unchanged sentences

Purchase of real estate securities ( 108,558 ) ( 924,663 )

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

Origination of commercial loans — ( 3,219 )

Purchase of commercial loans — ( 1,881 )

Investments in debt and equity of affiliates ( 2,066 ) ( 6,914 )

2 unchanged sentences

Proceeds from sale of commercial loans — 74,579

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

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

Principal repayments on residential mortgage loans 464,332 147,710

1 unchanged sentence

Principal repayments on commercial loans — 70,232

Principal repayments on excess mortgage servicing rights 503 2,818

Distributions received in excess of income from investments in debt and equity of affiliates 16,575 85,145

Net settlement of interest rate swaps and other instruments 118,972 22,323

Net settlement of TBAs 2,789 1,384

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

Cash flows provided by other investing activities 2,878 6,745

Cash flows used in other investing activities ( 2,781 ) —

Net cash provided by (used in) investing activities ( 1,490,351 ) ( 1,899,691 )

2 unchanged sentences

Repurchase of common stock ( 18,217 ) ( 3,555 )

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

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

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

Net borrowings under (repayments of) financing arrangements ( 1,156,556 ) 1,213,696

Deferred financing costs paid ( 317 ) ( 977 )

Borrowings under secured debt — 20,000

Repayments of secured debt — ( 10,000 )

Proceeds from issuance of securitized debt 3,050,232 812,540

December 31, 2021 December 31, 2020

Principal repayments on securitized debt ( 379,998 ) ( 163,922 )

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

Net collateral received from (paid to) derivative counterparty 9,026 —

December 31, 2022 December 31, 2021

Dividends paid on common stock ( 19,421 ) ( 10,782 )

7 unchanged sentences

Cash paid for interest on financing arrangements $ 102,502 $ 24,219

Cash paid for income tax $ 16 $ 1,051

Cash paid for excise and income tax $ 183 $ 16

Supplemental disclosure of non-cash financing and investing activities:

Payable on unsettled trades $ — $ 51,136

Common stock dividends declared but not paid $ 3,846 $ 5,021

1 unchanged sentence

Holdback receivable on sale of excess MSRs $ — $ 75

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

Decrease of securitized debt $ — $ 7,091

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

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

Transfer from residential mortgage loans to other assets $ 3,084 $ 2,753

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

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

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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.

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

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

Currently, its Residential Investments primarily consist of newly originated Non-Agency Loans and Agency-Eligible Loans.

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

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

The Company 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:

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Residential Investments

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

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

GSE Non-Owner Occupied Loans

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

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

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

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.

Agency-Eligible Loans (1)

• Agency-Eligible Loans are loans that are underwritten in accordance with GSE guidelines and are primarily secured by investment properties, but are not guaranteed by a GSE.

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 its consolidated balance sheets.

Non-Agency Residential Mortgage-Backed Securities ("RMBS") • Non-Agency RMBS represent fixed- and floating-rate RMBS issued by entities other than U.S.

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 its consolidated balance sheets.

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

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.

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

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

(1) These investments are included in the "Securitized residential mortgage loans, at fair value," "Residential mortgage loans, at fair value," and "Residential mortgage loans held for sale, 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.

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

1 unchanged sentence

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.

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Notes to Consolidated Financial Statements

COVID-19 Impact

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

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

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

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

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

Summary of significant accounting policies

1 unchanged sentence

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

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

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

As of December 31, 2021 and 2020, the Company reclassified Agency RMBS, Non-Agency RMBS, and CMBS with an aggregate fair value of $ 514.5 million and $ 613.5 million, respectively, into the "Real estate securities, at fair value" line item on the consolidated balance sheets.

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

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

For the year ended December 31, 2021, the Company reclassified $ 9.8 million and $ 3.6 million of other operating expenses into the "Non-investment related expenses" and "Investment related expenses" line items on the consolidated statement of operations, respectively.

For the year ended December 31, 2021, the Company reclassified $ 3.2 million of servicing fees into the "Investment related expenses" line item on the consolidated statement of operations.

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

13 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

Accounting for loans

1 unchanged sentence

Loans are classified as held for sale upon the Company determining that it intends to sell or liquidate the loan in the short-term and certain criteria have been met.

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

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

Estimated costs incurred to sell the loans are included within the fair value of the loans held for sale.

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

2 unchanged sentences

As such, loans are recorded at fair value on the consolidated balance sheets and any periodic change in fair value is recorded in current period earnings on the consolidated statement of operations as a component of "Net unrealized gain/(loss)." The Company recognizes certain upfront costs and fees relating to loans for which the fair value option has been elected in current period earnings as incurred and does not defer those costs, which is in accordance with ASC 825-10-25.

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements

Purchases and sales of loans are recorded on the settlement date, concurrent with the completion of due diligence and the removal of any contingencies.

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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.

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

The impact of the guidance on accounting for the Company's Non-Agency RMBS and loans is limited to recognition of effective

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements

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

Investments in debt and equity of affiliates

2 unchanged sentences

as such, the Company will treat these financial instruments and financing arrangements consistently with this election.

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

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

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

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

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.

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

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

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

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

During the years ended December 31, 2022 and 2021, the Company eliminated intra-

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements

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).

December 31, 2022

December 31, 2021

Intra-Entity Profits Eliminated $ 6,032 $ 5,306

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.

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

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

As of December 31, 2022, MATT only 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").

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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

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements

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

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

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 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.

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

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

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

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

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements

securitizations.

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.

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Electing the fair value option allows the Company to record changes in fair value in the consolidated statement of operations, which, in management's view, more appropriately reflects the results of operations for a particular reporting period as all activities will be recorded in a similar manner.

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

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

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

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

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

Transfers of financial assets

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

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

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements

the securities or loans sold.

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

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

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

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

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."

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

As of December 31, 2022, the Company held $ 84.6 million of cash and cash equivalents, of which $ 0.4 million were cash equivalents.

As of December 31, 2021, the Company held $ 68.1 million of cash and cash equivalents, none of which were cash equivalents.

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

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

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

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

Any cash held by the Company as collateral is included in the "Other liabilities" line item on the consolidated balance sheets and changes in cash held by the Company as collateral are included 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 any changes in principal payments due to the Company are included in the cash flows from operating activities on the consolidated statement of cash flows.

AG Mortgage Investment Trust Inc.

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Notes to Consolidated Financial Statements

Restricted cash

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

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

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

Financing arrangements

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

Financing arrangements include repurchase agreements and revolving facilities.

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

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

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

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

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

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

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

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

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

Forbearance and Reinstatement Agreements

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

The Company engaged in discussions with its financing counterparties and, as a result, entered into a series of forbearance agreements (collectively, the "Forbearance Agreement") with certain of its financing counterparties (the "Participating Counterparties") pursuant to which each Participating Counterparty agreed to forbear from exercising its rights and remedies with respect to

AG Mortgage Investment Trust Inc.

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Notes to Consolidated Financial Statements

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

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

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

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

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

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

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

Accounting for derivative financial instruments

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

The Company accounts for derivative financial instruments in accordance with ASC 815-10, "Derivatives and Hedging." ASC 815-10 requires an entity to recognize all derivatives as either assets or liabilities on the balance sheet and to measure those instruments at fair value.

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

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

All derivatives have been recorded at fair value with corresponding changes in fair value recognized in the consolidated statement of operations.

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

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

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

To-be-announced securities

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

Variation margin

The Company may exchange cash "variation margin" with the counterparties to its derivative instruments on a daily basis based upon changes in the fair value of such derivative instruments as measured by the Chicago Mercantile Exchange ("CME") and the London Clearing House ("LCH"), the central clearinghouses ("CCPs") through which those derivatives are cleared.

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

AG Mortgage Investment Trust Inc.

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Notes to Consolidated Financial Statements

CCPs and is generally intended to be set at a level sufficient to protect the CCPs from the maximum estimated single-day price movement in that market participant’s contracts.

Variation margin

The Company may exchange cash "variation margin" with the counterparties to its derivative instruments on a daily basis based upon changes in the fair value of such derivative instruments as measured by the Chicago Mercantile Exchange ("CME") and the London Clearing House, the central clearinghouses ("CCPs") through which those derivatives are cleared.

In addition, the CCPs require market participants to deposit and maintain an "initial margin" amount which is determined by the CCPs and is generally intended to be set at a level sufficient to protect the CCPs from the maximum estimated single-day price movement in that market participant’s contracts.

Receivables recognized for the right to reclaim cash initial margin posted in respect of derivative instruments are included in the "Restricted cash" line item in the consolidated balance sheets.

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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.

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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

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Interest income recognition

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

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

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 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.

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

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

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

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

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

These include the rate and timing of principal and interest receipts (including assumptions

AG Mortgage Investment Trust Inc.

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Notes to Consolidated Financial Statements

of prepayments, repurchases, defaults and liquidations), the pass-through or coupon rate and interest rate fluctuations.

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

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

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements

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

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Realized gains and losses

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

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

Realized gains 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 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" and "Other operating 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.

The management fee is included in the "Management fee to affiliate" line item and the reimbursements are included in the "Non-investment related expenses," "Investment related expenses," and "Transaction related expenses" line items on the consolidated statement of operations.

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.

For a more detailed discussion on the fees payable under the management agreement, see Note 10.

Transaction related expenses

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

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

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

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

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

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

If the Company fails to qualify as a REIT, and does not qualify for certain statutory relief provisions, it will be subject to U.S.

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Taxable income/(loss), generally, will differ from net income/(loss) reported on the financial statements because the determination of taxable income/(loss) is based on tax principles and not financial accounting principles.

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements

Cash distributions declared by the Company that do not exceed its current or accumulated earnings and profits will be considered ordinary income to stockholders for income tax purposes unless all or a portion of a distribution is designated by the Company as a capital gain dividend.

Distributions in excess of the Company’s current and accumulated earnings and profits will be characterized as return of capital or capital gains.

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

The Company elected to treat certain domestic subsidiaries as taxable REIT subsidiaries ("TRSs") and may elect to treat other subsidiaries as TRSs.

In general, a TRS may hold assets and engage in activities that the Company cannot hold or engage in directly and generally may engage in any real estate or non-real estate-related business.

In general, a TRS is utilized to hold assets and engage in activities that the Company cannot hold or engage in directly.

Generally, a TRS may engage in any real estate or non-real estate-related business.

A domestic TRS may declare dividends to the Company which will be included in the Company’s taxable income/(loss) which may necessitate a distribution to stockholders.

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

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements

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

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

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

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

See Note 11 for further details.

Dividends on Preferred Stock

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

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

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

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

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Notes to Consolidated Financial Statements

Offering costs

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

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

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

This ASU is effective as of March 12, 2020 and was amended by ASU 2022-06 to sunset on December 31, 2024.

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

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

While the Company is currently assessing the

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 on June 30, 2023 and has established a LIBOR transition plan to facilitate an orderly transition to alternative reference rates.

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

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

The Company's financing arrangements either have provisions in place that provide for an alternative to LIBOR upon its phase-out or contain maturities that occur prior to the phase out of LIBOR on June 30, 2023.

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

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.

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Notes to Consolidated Financial Statements

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

Residential mortgage loans

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

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

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

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

Residential mortgage loans, at fair value

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

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

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

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

Securitized residential mortgage loans, at fair value (2)

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

Non-Agency Loans $ 2,596,843 $ 64,740 $ 2,661,583 $ — $ ( 306,835 ) $ 2,354,748 5.19 % 4.91 % 10.26

Agency-Eligible Loans 1,244,422 ( 1,164 ) 1,243,258 — ( 161,805 ) 1,081,453 4.04 % 4.07 % 10.08

Re- and Non-Performing Loans 325,120 ( 36,982 ) 288,138 1,972 ( 19,165 ) 270,945 3.68 % 6.66 % 6.33

Total Securitized residential mortgage loans, at fair value $ 4,166,385 $ 26,594 $ 4,192,979 $ 1,972 $ ( 487,805 ) $ 3,707,146 4.73 % 4.80 % 9.90

Residential mortgage loans, at fair value

Non-Agency Loans (3) $ 406,294 $ ( 7,902 ) $ 398,392 $ 2,775 $ ( 30,006 ) $ 371,161 5.36 % 5.54 % 6.14

Agency-Eligible Loans (3) 48,657 18 48,675 94 ( 1,907 ) 46,862 6.00 % 5.99 % 4.73

Re- and Non-Performing Loans 3,520 ( 2,000 ) 1,520 1,908 — 3,428 N/A 72.78 % 1.87

Total Residential mortgage loans, at fair value $ 458,471 $ ( 9,884 ) $ 448,587 $ 4,777 $ ( 31,913 ) $ 421,451 5.43 % 6.13 % 5.96

Total as of December 31, 2022

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

Residential mortgage loans, at fair value

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

Securitized residential mortgage loans, at fair value (2)

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

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

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

Residential mortgage loans, at fair value

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

Agency-Eligible Loans 429,424 10,039 439,463 1,723 ( 349 ) 440,837 3.64 % 3.19 % 6.84

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

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

Total as of December 31, 2021

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Typically, actual maturities are shorter than stated contractual maturities.

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

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

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 related to the assets and liabilities of VIEs consolidated on the Company's consolidated balance sheets.

(3) Includes fair value of $ 46.8 million and $ 18.2 million of Non-Agency Loans and Agency-Eligible Loans, respectively, classified as held for sale and presented in the "Residential mortgage loans held for sale, at fair value" line item on the consolidated balance sheets.

Subsequent to year end, these loans were sold.

Refer to Note 14 for additional detail.

AG Mortgage Investment Trust Inc.

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

December 31, 2021

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

December 31, 2022

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

Securitized residential mortgage loans

Non-Agency Loans $ 2,596,843 5,169 69.13 % 730 $ 2,550,634 $ 26,210 $ 8,415 $ 11,584

Agency-Eligible Loans 1,244,422 3,839 66.25 % 757 1,239,114 5,062 246 —

Re- and Non-Performing Loans 325,120 2,226 79.61 % 643 220,124 34,865 10,937 59,194

Total Securitized residential mortgage loans $ 4,166,385 11,234 69.09 % 731 $ 4,009,872 $ 66,137 $ 19,598 $ 70,778

Residential mortgage loans

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

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

Non-Agency Loans $ 406,294 655 71.22 % 734 $ 399,036 $ 4,967 $ 1,404 $ 887

Agency-Eligible Loans 48,657 138 70.94 % 749 47,918 739 — —

Re- and Non-Performing Loans (1) 3,520 N/A N/A N/A N/A N/A N/A N/A

Total Residential mortgage loans $ 458,471 793 71.19 % 735 $ 446,954 $ 5,706 $ 1,404 $ 887

Total as of December 31, 2022

$ 4,624,856 12,027 69.29 % 731 $ 4,456,826 $ 71,843 $ 21,002 $ 71,665

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

December 31, 2021

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

Securitized residential mortgage loans

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

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

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

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

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

Residential mortgage loans

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

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

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

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

Total as of December 31, 2021

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

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

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

(3) As of December 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 $ 31.4 million and $ 33.7 million, respectively.

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

December 31, 2020

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

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

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

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

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

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

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

Data is as of November 30, 2022 and November 30, 2021, respectively.

During the year ended December 31, 2022, the Company purchased Non-Agency Loans and Agency-Eligible Loans, as detailed below (in thousands).

A portion of these loans were purchased from Arc Home.

1 unchanged sentence

Unpaid Principal Balance Fair Value

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

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

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

Non-Agency Loans $ 1,580,547 $ 1,593,026

Agency-Eligible Loans 993,126 986,734

Total $ 2,573,673 $ 2,579,760

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements

During the years ended December 31, 2022 and 2021, the Company sold Non-Agency, Agency-Eligible Loans, and Re- and Non-Performing Loans, as detailed below ($ in thousands).

Number of Loans Proceeds Realized Gains Realized Losses

Year Ended December 31, 2022

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

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

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

Non-Agency Loans 18 $ 10,049 $ — $ ( 1,133 )

Agency-Eligible Loans 150 43,718 37 ( 2,623 )

Year Ended December 31, 2021

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

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

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

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

(1) The Non-Agency Loans sold during the year ended December 31, 2021 were sold into an unconsolidated securitization trust.

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

1 unchanged sentence

See Note 10 for more detail.

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements

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

5 unchanged sentences

New Jersey 6 % 6 %

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

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

Texas 5 % 3 %

(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 years ended December 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).

1 unchanged sentence

Beginning Balance $ 46,521 $ 56,907

Additions — 28,110

Accretion ( 6,599 ) ( 5,106 )

2 unchanged sentences

Ending Balance $ 42,237 $ 46,521

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements

Variable interest entities

4 unchanged sentences

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

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

Non-Agency VIEs $ 2,354,748 4.91 % 10.26 $ 813,383 3.96 % 4.50

Agency-Eligible VIEs 1,081,453 4.07 % 10.08 — — % —

RPL/NPL VIEs 270,945 6.66 % 6.33 344,751 5.90 % 7.17

3 unchanged sentences

Total Assets $ 3,727,404 $ 1,166,058

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

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

Non-Agency VIEs $ 2,089,308 4.31 % 6.41 $ 746,970 1.63 % 2.36

Agency-Eligible VIEs 989,285 3.90 % 9.47 — — % —

RPL/NPL VIEs 183,759 3.10 % 3.13 252,245 3.06 % 3.75

Securitized debt, at fair value (2) $ 3,262,352 4.12 % 7.26 $ 999,215 2.00 % 2.71

Financing arrangements (3) 71,308 25,590

Other liabilities 11,342 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 December 31, 2022 and 2021, the Company had outstanding financing arrangements of $ 232.1 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 December 31, 2022 and 2021, the Company did not hold any commercial loans.

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

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

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

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements

Commercial loans

During the year ended December 31, 2021, Loan K and Loan L were repaid in full for total proceeds of $ 74.1 million, recording realized gains of $ 0.4 million.

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

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

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

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

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

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

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

Gross Unrealized Losses Weighted Average Extended

Loan Current Face Premium

(Discount) Amortized Cost Fair Value Coupon Yield Life

(Years) Location Collateral Type

Commercial Loans, at fair value

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

Loan K 15,787 — 15,787 ( 1,100 ) 14,687 10.00 % 10.83 % 1.27 February 22, 2024 NY Hotel, Retail

Loan L 51,000 ( 337 ) 50,663 ( 9,312 ) 41,351 N/A N/A 3.61 July 22, 2024 IL Hotel, Retail

126,238 ( 337 ) 125,901 ( 14,352 ) 111,549 3.73 % 4.05 % 2.34

Commercial Loans Held for Sale, at fair value

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

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

Real Estate Securities

1 unchanged sentence

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

December 31, 2021 Gross Unrealized Weighted Average

Current Face Premium /

(Discount) Amortized

Cost 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 %

Credit - Residential Investments:

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

Amortized Cost Gross Unrealized Weighted Average

December 31, 2022 Gains Losses Fair Value Coupon (1) Yield

Non-Agency RMBS

Agency-Eligible Securities $ 16,819 $ ( 6,674 ) $ 10,145 $ 28 $ ( 495 ) $ 9,678 3.22 % 8.47 %

Non-Agency Securities (2) 14,894 ( 201 ) 14,693 — ( 4,834 ) 9,859 4.34 % 4.60 %

Non-Agency RMBS Interest Only (2) 108,464 ( 105,626 ) 2,838 2,220 — 5,058 0.38 % 34.42 %

Total Non-Agency RMBS 140,177 ( 112,501 ) 27,676 2,248 ( 5,329 ) 24,595 1.62 % 12.26 %

Interest Only 127,356 ( 107,585 ) 19,771 28 ( 675 ) 19,124 2.87 % 7.54 %

Total as of December 31, 2022

$ 267,533 $ ( 220,086 ) $ 47,447 $ 2,276 $ ( 6,004 ) $ 43,719 2.37 % 10.20 %

Current Face Premium /

Amortized Cost Gross Unrealized Weighted Average

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

Non-Agency RMBS

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

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

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

Total Credit - Residential Investments:

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 %

Total as of December 31, 2021

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

Total $ 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 interest-only bonds.

(2) Comprised of Non-QM securities and Non-QM interest-only securities retained from a rated Non-QM Loan securitization the Company participated in alongside a private fund under the management of Angelo Gordon.

Upon evaluating its investment in the VIE, the Company determined it was not the primary beneficiary and, as a result, did not consolidate the securitization trust.

In addition, the Company determined the sale of the residential mortgage loans into the securitization qualified for sale accounting and derecognized the loans from its consolidated balance sheets.

The Company has a 40.9 % interest in the retained subordinate tranches which represents its continuing involvement in the securitization trust.

The Company has no obligation to provide any other explicit or implicit support to the securitization trust.

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements

December 31, 2020 Gross Unrealized Weighted Average

Current Face Premium /

(Discount) Amortized

Cost Gains Losses Fair Value Coupon (1) Yield

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

Credit Investments:

Residential Investments

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

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

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

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

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

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

Total Residential Investments:

206,975 ( 173,503 ) 33,472 5,671 ( 737 ) 38,406 2.01 % 8.50 %

Commercial Investments

Conduit 4,925 ( 1,024 ) 3,901 — ( 606 ) 3,295 4.62 % 11.89 %

Single-Asset/Single-Borrower 50,480 ( 1,494 ) 48,986 668 ( 9,464 ) 40,190 4.15 % 4.81 %

Freddie Mac K-Series CMBS 22,572 ( 12,062 ) 10,510 47 ( 1,557 ) 9,000 3.83 % 9.00 %

CMBS Interest Only (3) 687,077 ( 682,961 ) 4,116 256 ( 69 ) 4,303 0.10 % 6.93 %

Total Commercial Investments:

765,054 ( 697,541 ) 67,513 971 ( 11,696 ) 56,788 0.44 % 6.04 %

Total Credit Investments:

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

Total $ 1,466,336 $ ( 848,676 ) $ 617,660 $ 8,436 $ ( 12,550 ) $ 613,546 1.18 % 2.08 %

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

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

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

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

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

December 31, 2021 Agency RMBS Credit - Residential Investments

Weighted Average Life (1) Fair Value Amortized

Cost Weighted

Coupon Fair Value Amortized

Cost Weighted

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

Non-Agency RMBS Agency RMBS

December 31, 2022

Weighted Average Life (1)

Fair Value Amortized

Cost Weighted Average Coupon (2) Fair Value Amortized

Cost Weighted Average Coupon

Greater than one year and less than or equal to five years $ 5,058 $ 2,838 0.38 % $ — $ — — %

1 unchanged sentence

Greater than ten years 19,537 24,838 3.75 % — — — %

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

December 31, 2020 Agency RMBS Credit Investments

Weighted Average Life (1) Fair Value Amortized Cost Weighted

Coupon Fair Value Amortized Cost Weighted

Total as of December 31, 2022

$ 24,595 $ 27,676 1.62 % $ 19,124 $ 19,771 2.87 %

Non-Agency RMBS Agency RMBS

December 31, 2021

Weighted Average Life (1)

Fair Value Amortized Cost Weighted Average Coupon (2) Fair Value Amortized Cost Weighted Average Coupon

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

2 unchanged sentences

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

Total $ 518,352 $ 516,675 2.10 % $ 95,194 $ 100,985 0.65 %

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.

For the year ended December 31, 2021, the Company sold 77 securities for total proceeds of $ 0.9 billion, recording realized gains of $ 16.5 million and realized losses of $ 22.8 million.

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

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

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

Number of Securities Proceeds Realized Gains Realized Losses

Year ended December 31, 2022

18 $ 526,258 $ 736 $ ( 35,240 )

Year ended December 31, 2021

77 892,501 16,488 ( 22,834 )

AG Mortgage Investment Trust Inc.

3 unchanged sentences

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

Fair Value at December 31, 2021

Fair Value as of December 31, 2022

Level 1 Level 2 Level 3 Total

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

Securitized residential mortgage loans $ — $ — $ 3,707,146 $ 3,707,146

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

Residential mortgage loans (1) — 754 420,697 421,451

Non-Agency RMBS (2) — 9,678 9,859 19,537

Non-Agency RMBS Interest Only — — 5,058 5,058

Agency Interest Only — 19,124 — 19,124

Derivative assets (3) — 18,401 98 18,499

Cash equivalents (4) 442 — — 442

AG Arc (5) — — 39,680 39,680

3 unchanged sentences

Total Liabilities Measured at Fair Value $ — $ — $ ( 3,262,361 ) $ ( 3,262,361 )

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

(2) As of December 31, 2021, the Company applied a reduction in fair value of $ 19.6 million and $ 0.9 million to its interest rate swap assets and liabilities, respectively, related to variation margin with a corresponding increase or decrease in restricted cash, respectively.

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

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

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

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

Fair Value at December 31, 2020

Fair value as of December 31, 2021

Level 1 Level 2 Level 3 Total

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

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

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

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

Non-Agency RMBS (2) — — 15,362 15,362

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

CMBS (2) — 52,485 — 52,485

CMBS Interest Only — 4,303 — 4,303

Commercial loans — — 125,508 125,508

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

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

Derivative assets (3) — 19,781 — 19,781

4 unchanged sentences

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

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

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

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

(1) Includes Residential mortgage loans held for sale.

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

(3) As of December 31, 2022, the Company applied a reduction in fair value of $ 17.3 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.

As of December 31, 2021, the Company applied a reduction in fair value of $ 19.6 million and $ 0.9 million to its interest rate swap assets and liabilities, respectively, related to variation margin with a corresponding increase or decrease in restricted cash, respectively.

1 unchanged sentence

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

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

(4) Refer to Note 2 for more information on the Company's accounting policies with regard to cash equivalents.

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

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.

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements

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.

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.

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.

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 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:

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

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

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements

when available.

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

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

4 unchanged sentences

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

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

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

4 unchanged sentences

The Company did not have any transfers of assets or liabilities between Levels 1 and 2 of the fair value hierarchy during the years ended December 31, 2022 and 2021.

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

Refer to the tables below for details on transfers between the Level 3 and Level 2 categories under ASC 820 during the year ended December 31, 2021.

The Company did not have any transfers between the Levels 3 and 2 of the fair value hierarchy during the year ended December 31, 2022.

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

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

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

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

7 unchanged sentences

RMBS Non-Agency

RMBS IO Commercial

Rights AG Arc Securitized

RMBS Interest Only Derivative assets (2) AG Arc Securitized

debt Derivative liabilities (2)

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

Transfers (1):

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

Purchases/Reclassifications 2,463,685 14,657 3,778 5,100 — — — —

Purchases 2,557,440 — — — — — —

Issuances of Securitized Debt — — — — — ( 3,040,283 ) —

Capital distributions — — — — ( 6,053 ) — —

Proceeds from sales/redemptions ( 138,304 ) — — ( 74,342 ) ( 2,364 ) — — —

Proceeds from settlement ( 147,710 ) ( 899 ) — ( 70,232 ) — — 163,922 —

Proceeds from sales ( 53,767 ) — — — — — —

Principal repayments ( 464,332 ) ( 664 ) — ( 2,700 ) — 379,979 16,044

Total net gains/(losses) (3)

3 unchanged sentences

$ ( 542,629 ) $ ( 4,740 ) $ 1,663 $ 98 $ ( 7,702 ) $ 397,167 $ ( 9 )

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

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

(1) Includes Securitized residential mortgage loans and Residential mortgage loans held for sale.

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

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

11 unchanged sentences

Year Ended December 31, 2021 (in thousands)

Residential Mortgage

Loans (1) Non-Agency

RMBS Non-Agency

RMBS Interest Only CMBS CMBS Interest

Only Commercial

RMBS Interest Only Commercial

Rights AG Arc Securitized

debt Derivative liabilities (2)

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

Transfers (3):

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

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

Purchases/Reclassifications 536,710 1,559 — 3,540 — 33,254 20 — —

Purchases 2,463,685 14,657 3,778 5,100 — — — —

Issuances of Securitized Debt — — — — — — ( 811,455 ) —

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

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

Proceeds from settlement ( 63,882 ) ( 12,636 ) — ( 9,367 ) — ( 6,369 ) — — 29,312

Proceeds from sales ( 138,304 ) — — ( 74,342 ) ( 2,364 ) — — —

Principal repayments ( 147,710 ) ( 899 ) — ( 70,232 ) — — 163,922 —

Total net gains/(losses) (4)

3 unchanged sentences

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

(1) Includes Securitized residential mortgage loans

(2) Derivative liabilities are included in the "Other liabilities" line item on the consolidated balance sheets.

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

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

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

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

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

14 unchanged sentences

Yield 4.75 % - 7.32 % ( 6.40 %)

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

Securitized Residential Mortgage Loans $ 3,707,146 Discounted Cash Flows Projected Collateral Prepayments 4.81 % - 10.19 % ( 6.44 %)

Projected Collateral Losses 0.05 % - 1.40 % ( 0.22 %)

Projected Collateral Severities - 4.16 % - 20.00 % ( 15.40 %)

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

$ 6,129 Recent Transaction Cost N/A

Yield 6.29 % - 9.82 % ( 7.16 %)

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

Residential Mortgage Loans (2) $ 418,023 Discounted Cash Flow Projected Collateral Prepayments 1.38 % - 31.28 % ( 16.37 %)

Projected Collateral Losses 0.00 % - 14.44 % ( 0.48 %)

Projected Collateral Severities - 2.64 % - 10.19 % ( 9.99 %)

$ 2,674 Consensus Pricing Broker Quotes 93.46 - 107.05 ( 101.11 )

Yield 7.18 % - 11.93 % ( 9.22 %)

6 unchanged sentences

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

Yield 6.69 % - 7.68 % ( 7.54 %)

Derivative Assets (3) $ 98 Discounted Cash Flow Projected Collateral Prepayments 12.63 % - 34.19 % ( 26.71 %)

Projected Collateral Losses 0.01 % - 0.96 % ( 0.39 %)

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

Pull through Percentages 55.00 % - 100.00 % ( 72.78 %)

AG Arc $ 39,680 Comparable Multiple Book Value Multiple 0.94 x - 0.94 x ( 0.94 x)

11 unchanged sentences

(1) Amounts are weighted based on fair value.

(2) Includes Residential mortgage loans held for sale.

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

AG Mortgage Investment Trust Inc.

4 unchanged sentences

Yield 2.26 % - 13.00 % ( 3.12 %)

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

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

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

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

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

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

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

Yield 2.77 % - 7.50 % ( 3.37 %)

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

Projected Collateral Losses 0.00 % - 15.37 % ( 0.30 %)

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

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

$ 6,129 Recent Transaction Cost N/A

Yield 3.42 % - 15.00 % ( 5.32 %)

2 unchanged sentences

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

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

Yield 10.00 % - 12.50 % ( 12.10 %)

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

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

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

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

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

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

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

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

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

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

5 unchanged sentences

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

Yield 3.02 % - 3.11 % ( 3.03 %)

Derivative Liabilities (2) $ ( 79 ) Discounted Cash Flow Projected Collateral Prepayments 14.08 % - 15.14 % ( 14.23 %)

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

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

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

(1) Amounts are weighted based on fair value.

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

(2) Derivative liabilities are included in the "Other liabilities" line item on the consolidated balance sheets.

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements

Financing arrangements

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

December 31, 2021 December 31, 2020

Weighted Average Collateral (1)(2)

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

Repurchase Agreements

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

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

December 31, 2022

December 31, 2021

Weighted Average Collateral Fair Value (1)(2)

Current Face Carrying Value Stated Maturity Funding Cost Life (Years) Carrying Value

Securitized residential mortgage loans (3) $ 232,088 $ 232,088 Jan 2023 - Mar 2023 6.11 % 0.11 $ 423,967 $ 71,308

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

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

CMBS — N/A — % — — — 24,881

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

Revolving Facilities

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

Residential mortgage loans (4)(5) 360,241 360,241 Mar 2023 - Jan 2024 6.21 % 0.44 418,023 1,286,287

Non-Agency RMBS 14,695 14,695 Jan 2023 - Mar 2023 5.75 % 0.08 24,595 10,213

Agency RMBS 14,163 14,163 Jan 2023 4.54 % 0.01 17,058 409,935

Total Financing Arrangements $ 621,187 $ 621,187 6.12 % 0.29 $ 883,643 $ 1,777,743

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

Securitized debt, at fair value (6) 3,869,593 3,262,352 N/A 4.12 % 7.26 N/A 999,215

Total Financing $ 4,490,780 $ 3,883,539 4.44 % 6.30 $ 883,643 $ 2,776,958

(1) The Company also had $ 3.4 million and $ 5.0 million of cash pledged under repurchase agreements as of December 31, 2022 and 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) The Company's Residential Mortgage Loan financing arrangements include a maximum uncommitted borrowing capacity of $ 1.3 billion on facilities used to finance Non-QM Loans and $ 1.0 billion on facilities used to finance GSE Non-Owner Occupied Loans or other qualified mortgage loans.

(4) Subsequent to year end, the Residential Mortgage Loan repurchase agreement maturing in January 2022 was extended through January 2023.

(5) The funding cost includes deferred financing costs.

The weighted average stated rate on the Residential Mortgage Loans repurchase agreements was 2.18 % as of December 31, 2021.

(3) Amounts pledged as collateral under Securitized residential mortgage loans include certain of the Company's retained interests in securitizations.

Refer to Note 3 for more information on the Residential Mortgage Loan VIEs.

The following table presents contractual maturity information about the Company's borrowings under repurchase agreements as of December 31, 2021 (in thousands).

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

Repurchase Agreements

Residential Mortgage Loans (1) $ 345,012 $ — $ 941,275 $ 1,286,287

(4) The Company's Residential mortgage loan financing arrangements include a maximum uncommitted borrowing capacity of $ 2.6 billion on facilities used to finance Non-Agency and Agency-Eligible Loans.

(5) The funding cost includes deferred financing costs.

The weighted average stated rate on the Residential mortgage loans repurchase agreements was 6.12 % as of December 31, 2022.

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

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

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

Securitized debt is excluded from the below table as it does not have a contractual maturity.

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

Securitized residential mortgage loans $ 144,488 $ 87,600 $ — $ — $ 232,088

Agency RMBS 51,238 358,697 — 409,935

Residential mortgage loans — 162,508 165,979 31,754 360,241

Non-Agency RMBS 10,859 3,836 — — 14,695

Total Repurchase Agreements $ 414,207 $ 422,261 $ 941,275 $ 1,777,743

(1) Subsequent to year end, the Residential Mortgage Loan repurchase agreement maturing within 30 days of December 31, 2021 was extended through January 2023.

Agency RMBS 14,163 — — — 14,163

Total Financing Arrangements $ 169,510 $ 253,944 $ 165,979 $ 31,754 $ 621,187

Counterparties

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

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements

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

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

The following table presents information as of December 31, 2022 and 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).

December 31, 2022 December 31, 2021

7 unchanged sentences

Credit Suisse AG, Cayman Islands Branch $ 130,587 71 28.2 % $ 129,526 101 22.7 %

$ 129,526 101 22.7 % $ 26,305 35 6.4 %

Barclays Capital Inc.

5 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 lender simultaneously causes default under agreements with other lenders.

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements

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.

6 unchanged sentences

Derivative assets, at fair value 1,218 231

Due from broker 1,887 907

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

Other assets 4,983 4,519

Due from broker 801 1,887

Total Other assets $ 27,595 $ 20,900

3 unchanged sentences

Derivative liabilities, at fair value 9 92

Purchase Price Payable on GSE Non-Owner Occupied Loans (2) 87 —

Due to broker 990 1,272

Purchase price payable on loans (2) — 87

Accrued expenses 1,811 2,169

Due to broker 7 990

Total Other liabilities $ 19,593 $ 10,369

(1) Refer to Note 10 for more information

(2) Represents the portion of the purchase price on GSE Non-Owner Occupied Loans that has not yet settled as of December 31, 2021.

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

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements

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

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

Derivatives and Other Instruments (1) Balance Sheet Location December 31, 2022 December 31, 2021

Pay Fix/Receive Float Interest Rate Swap Agreements (2) Other assets $ 470 $ 231

Pay Fix/Receive Float Interest Rate Swap Agreements (2) Other liabilities — ( 68 )

Short TBAs Other assets 650 —

Short TBAs Other liabilities — ( 13 )

Forward Purchase Commitments Other assets 98 —

Forward Purchase Commitments Other liabilities ( 9 ) ( 79 )

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

(1) As of December 31, 2022 and 2021, no derivatives held by the Company were designated as hedges for accounting purposes.

(2) As of December 31, 2022, the Company applied a reduction in fair value of $ 17.3 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.

5 unchanged sentences

Forward Purchase Commitments USD 8,006 25,292

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

(1) As of December 31, 2022, the Company's pay fix/receive float interest rate swaps had a weighted average pay-fixed rate of 2.77 %, a weighted average receive-variable rate of 4.30 %, and a weighted average years to maturity of 4.77 years.

As of December 31, 2021, the Company's pay fix/receive float interest rate swaps had a weighted average pay-fixed rate of 0.85 %, a weighted average receive-variable rate of 0.15 %, and a weighted average years to maturity of 5.51 years.

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

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

2 unchanged sentences

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

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

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

As of December 31, 2022, the Company's restricted cash balance included $ 9.6 million of collateral related to certain derivatives, of which $ 1.3 million represents cash collateral posted by the Company and $ 8.3 million represents amounts related to variation margin.

7 unchanged sentences

Interest Rate Swaps $ ( 2,955 ) $ 19,165

TBAs ( 13 ) —

Short TBAs 663 ( 13 )

Forward Purchase Commitments 168 ( 79 )

Swaptions — 354

British Pound Futures 64 38

Euro Futures — 20

( 2,124 ) 19,137

1 unchanged sentence

Interest Rate Swaps 129,382 4,888

TBAs 1,383 4,610

Swaptions — ( 2,437 )

British Pound Futures ( 165 ) 259

Euro Futures — 68

Treasuries — 31

Long TBAs ( 10,789 ) —

Short TBAs 13,578 1,383

Forward Purchase Commitments ( 13,344 ) —

Other — ( 165 )

118,827 6,106

Total income/(loss) $ 116,703 $ 25,243

The following tables present information about the Company’s TBAs for the years ended December 31, 2021 and 2020 (in thousands):

For the Year Ended December 31, 2021

Amount Buys or Covers Sales or Shorts Ending Net

Amount Net Fair Value

as of Period End Net Receivable/(Payable)

from/to Broker Derivative

Short TBAs $ — $ 1,390,550 $ ( 1,776,513 ) $ ( 385,963 ) $ ( 394,225 ) $ 394,212 $ ( 13 )

For the Year Ended December 31, 2020

Amount Buys or Covers Sales or Shorts Ending Net

Amount Net Fair Value

as of Year End Net Receivable/(Payable)

The following table presents information about the Company’s TBAs for the years ended December 31, 2022 and 2021 (in thousands):

Year Ended Beginning

Amount Buys or Covers Sales or Shorts Ending

Amount Fair Value

as of Period End Receivable/(Payable)

from/to Broker Derivative

Asset Derivative

December 31, 2022

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

December 31, 2022

Short TBAs ( 385,963 ) 1,320,852 ( 974,889 ) ( 40,000 ) ( 38,556 ) 39,206 650 —

December 31, 2021

Short TBAs — 1,390,550 ( 1,776,513 ) ( 385,963 ) ( 394,225 ) 394,212 — ( 13 )

Earnings per share

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

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

5 unchanged sentences

December 31, 2021

Net Income/(Loss) from Continuing Operations $ 104,186 $ ( 421,585 )

Net Income/(Loss) $ ( 53,100 ) $ 104,186

Gain on Exchange Offers, net (Note 11) — 472

Dividends on preferred stock ( 18,344 ) ( 18,785 )

Net income/(loss) from continuing operations available to common stockholders 85,873 ( 431,560 )

Net Income/(Loss) from Discontinued Operations — 666

Net Income/(Loss) Available to Common Stockholders $ ( 71,444 ) $ 85,873

1 unchanged sentence

Diluted weighted average common shares outstanding 22,890 16,234

Earnings/(Loss) Per Share - Basic

Continuing Operations $ 5.29 $ ( 36.79 )

Discontinued Operations — 0.06

Basic Earnings/(Loss) Per Share of Common Stock:

$ 5.29 $ ( 36.73 )

Earnings/(Loss) Per Share - Diluted

Continuing Operations $ 5.29 $ ( 36.79 )

Discontinued Operations — 0.06

Diluted Earnings/(Loss) Per Share of Common Stock:

$ 5.29 $ ( 36.73 )

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

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

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

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

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

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

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

On December 22, 2020, the Company's Board of Directors declared a dividend of $ 0.09 per common share for the fourth quarter 2020 which was paid on January 29, 2021 to shareholders of record at the close of business on December 31, 2020.

During 2021, the Company declared its preferred and common dividends in ordinary course.

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements

Earnings/(Loss) Per Share

Basic $ ( 3.12 ) $ 5.29

Diluted $ ( 3.12 ) $ 5.29

The following tables detail the Company's common stock dividends declared during the years ended December 31, 2022 and 2021:

Declaration Date Record Date Payment Date Dividend Per Share

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

Year Ended December 31, 2022

Year Ended December 31, 2021

Declaration Date Record Date Payment Date Cash Dividend Per Share Declaration Date Record Date Payment Date Cash Dividend Per Share

3/18/2022 3/31/2022 4/29/2022 $ 0.21 3/22/2021 4/1/2021 4/30/2021 $ 0.18

1 unchanged sentence

9/15/2022 9/30/2022 10/31/2022 0.21 9/15/2021 9/30/2021 10/29/2021 0.21

Declaration Date Record Date Payment Date Dividend Per Share

12/19/2022 12/30/2022 1/31/2023 0.18 12/15/2021 12/31/2021 1/31/2022 0.21

The following tables detail the Company's preferred stock dividends during the years ended December 31, 2021 and 2020:

Total $ 0.81 Total $ 0.81

The following tables detail the Company's preferred stock dividends declared and paid during the years ended December 31, 2022 and 2021:

2022 Cash Dividend Per Share

13 unchanged sentences

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

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

11/5/2021 11/30/2021 12/17/2021 0.51563 0.50 0.50

Total $ 2.06252 $ 2.00 $ 2.00

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements

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

Most states follow U.S.

federal income tax treatment of REITs.

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

The state and local tax jurisdictions for which the Company is subject to tax-filing obligations recognize the Company’s status as a REIT, and therefore, the Company generally does not pay income tax in such jurisdictions.

The Company may, however, be subject to certain minimum state and local tax filing fees as well as certain excise, franchise, or business taxes.

Excise tax represents a non-deductible 4% 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 year ended December 31, 2021, the Company did no t record any excise tax.

For the year ended December 31, 2020, the Company recorded excise tax expense of $( 0.8 ) million.

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

The Company files tax returns in several U.S.

jurisdictions.

There are no ongoing U.S.

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

Based on its analysis of any potential uncertain income tax positions, the Company concluded it did not have any uncertain tax positions that meet the recognition or measurement criteria of ASC 740 as of December 31, 2021.

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

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

For the years ended December 31, 2022 and 2021, the Company did no t recognize any excise tax.

As of December 31, 2022 and 2021, the Company had federal net operating loss ("NOL") carryforwards of $ 2.1 million and $ 2.1 million, respectively, that can be used to offset future taxable ordinary income and reduce its REIT distribution requirements.

These NOLs do not have an expiration date and can be carried forward indefinitely.

As of December 31, 2022 and 2021, the Company had estimated net capital loss ("NCL") carryforwards of $ 294.8 million and $ 246.8 million, respectively, the majority of which were generated during the COVID-19 pandemic.

The NCL carryforwards can be utilized to offset future net gains from the sale of capital assets.

These NCL carryforwards have an expiration date of 5 years of which the majority will expire in 2025.

Taxable REIT Subsidiaries

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.

Currently, the Company has wholly owned domestic TRSs that are taxable as corporations and subject to U.S.

federal, state and local income tax on net income at the applicable corporate rates.

The federal statutory rate for the years ended December 31, 2022 and 2021 was 21%.

The Company’s effective tax rate differs from its combined U.S.

federal, state and local corporate statutory tax rate primarily due to income earned at the REIT, which is not subject to tax, due to the deduction for qualifying distributions made by the Company, and any change in the valuation allowance as disclosed in further detail below.

For the year ended December 31, 2022, the Company recorded $ 0.2 million of current income tax expense attributable to its TRSs which is recorded in the "Non-investment related expenses" line item on the consolidated statement of operations.

The Company did no t record any income tax expense for the year ended December 31, 2021.

Deferred income taxes reflect the net tax effects of temporary differences between the carrying amount of assets and liabilities for financial reporting and tax reporting purposes at the TRS level.

The following table discloses the components of the Company’s deferred tax assets and deferred tax liabilities, if applicable, as of December 31, 2022 and 2021 (in thousands).

December 31, 2022

December 31, 2021

Deferred tax assets

Net operating loss carryforwards $ 26,961 $ 6,526

Capital loss carryforwards (1) 298 14

GAAP/tax basis differences 2,980 225

Total deferred tax assets 30,239 6,765

valuation allowance ( 30,239 ) ( 6,765 )

Net deferred tax assets $ — $ —

(1) Capital loss carryforwards expire between 2026 and 2027.

For the years ended December 31, 2022 and 2021, the Company’s TRSs had an estimated gross NOL carryforward of $ 128.4 million and $ 31.1 million, respectively.

This includes NOL carryforwards generated prior to 2018 of $ 7.8 million which will expire between 2033 and 2037.

The remaining net operating losses can be carried forward indefinitely.

In assessing the realizability of deferred tax assets, the Company considers whether it is more likely than not that some portion or all of the deferred tax assets will not be realized.

The ultimate realization of deferred tax assets is dependent upon the generation of future taxable income during periods in which temporary differences become deductible.

The Company concluded it is more likely

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements

than not the deferred tax asset will not be realized and established a valuation allowance of $ 30.2 million and $ 6.8 million for the years ended December 31, 2022 and 2021, respectively.

Uncertain Income Tax Positions

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

There are no ongoing U.S.

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

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

Related party transactions

5 unchanged sentences

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

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

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

Management fee

2 unchanged sentences

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

For the years ended December 31, 2021 and 2020, the Company incurred management fees of approximately $ 6.8 million and $ 7.2 million, respectively.

The below table details the management fees incurred during the years ended December 31, 2022 and 2021 (in thousands).

December 31, 2022

December 31, 2021

Management fee to affiliate $ 8,096 $ 6,814

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

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

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

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

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

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

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.

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 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.

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements

adjusted book value (calculated in the manner described in the Company's public filings) as of October 31, 2021, (ii) $ 80.0 million, and (iii) the gross proceeds of any subsequent public or private common stock offerings by the Company.

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

The annual incentive fee will be payable in cash, or, at the option of the Company's Board of Directors, shares of common stock or a combination of cash and shares.

11 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 years ended December 31, 2021 and 2020, the Company has incurred $ 6.3 million and $ 7.4 million, respectively, representing a reimbursement of expenses which are recorded within the "Other operating expenses" and "Transaction related expenses" line items on the consolidated statements of operations.

As of December 31, 2021 and 2020, the Company recorded a reimbursement payable to the Manager of $ 2.1 million and $ 1.8 million, respectively.

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

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

All deferred expense reimbursements were paid as of December 31, 2020.

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

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

The $ 10 million loan made by the Manager on April 10, 2020 was repaid in full with interest when it matured on March 31, 2021, and the $ 10 million loan made on April 27, 2020 was repaid in full with interest when it matured on July 27, 2020.

The unpaid balance of the Note accrued interest at a rate of 6.0 % per annum.

Interest on the Note was payable monthly in kind through the addition of such accrued monthly interest to the outstanding principal balance of the Note.

The Note and accrued interest on the Note, when outstanding, were included within the due to affiliates amount, which is included within the "Other Liabilities" line item in the consolidated balance sheets.

See Note 7 for a breakout of the "Other liabilities" line item.

The below table details the expense reimbursement incurred during the years ended December 31, 2022 and 2021 (in thousands).

Consolidated statements of operations line item:

December 31, 2022 December 31, 2021

Non-investment related expenses (1)

$ 4,646 $ 4,322

Investment related expenses

Transaction related expenses 2,757 841

Expense reimbursements to Manager or its affiliates $ 8,158 $ 6,320

(1) For the years ended December 31, 2022 and December 31, 2021, the Manager agreed to waive its right to receive expense reimbursements of $ 1.5 million and $ 0.8 million, respectively.

As of December 31, 2022 and 2021, the Company recorded a reimbursement payable to the Manager or its affiliates of $ 1.3 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.

AG Mortgage Investment Trust Inc.

6 unchanged sentences

As of December 31, 2022, 551,945 shares of common stock were available to be awarded under the 2020 Equity Incentive Plan.

Since its IPO, the Company has granted an aggregate of 35,264 and 67,354 shares of restricted common stock to its independent directors under its equity incentive plan, dated July 6, 2011 and its 2020 Equity Incentive Plan, respectively.

As of December 31, 2021, all shares of restricted common stock granted to its independent directors have vested.

Since inception of the 2020 Equity Incentive Plan and through December 31, 2022, the Company has granted an aggregate of 114,721 shares of restricted common stock to its independent directors under its 2020 Equity Incentive Plan, all of which have vested.

Manager Equity Incentive Plans

2 unchanged sentences

As of December 31, 2022, there were no shares or awards issued under the 2021 Manager Plan.

The AG Mortgage Investment Trust, Inc.

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

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

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

As of July 1, 2020, all shares of restricted common stock and restricted stock units granted to its Manager under the 2011 Manager Plan fully vested.

Restricted Stock Awards and Restricted Stock Units

The following table presents information with respect to the Company’s restricted stock and restricted stock units for the years ended December 31, 2021 and 2020:

Restricted Stock Awards

The following table presents information with respect to the Company’s restricted stock for the years ended December 31, 2022 and 2021:

Year Ended December 31, 2022 Year Ended December 31, 2021

Shares of Restricted Stock and Restricted Stock Units Weighted Average Grant Date Fair Value Shares of Restricted Stock and Restricted Stock Units Weighted Average Grant Date Fair Value

Outstanding at beginning of year 73,477 $ 30.35 37,885 $ 56.73

Shares of Restricted Stock Weighted Average Grant Date Fair Value Shares of Restricted Stock Weighted Average Grant Date Fair Value

Unvested at beginning of year — $ — — $ —

Granted (1) 47,367 6.75 27,247 11.26

Canceled/forfeited — — — —

Unrestricted — — ( 6,669 ) 55.59

Outstanding at end of year 100,724 $ 25.19 73,477 $ 30.35

Vested ( 47,367 ) 6.75 ( 27,247 ) 11.26

Forfeited — — — —

Unvested at end of year — $ — — $ —

(1) The grant date fair value of restricted stock awards was established as the average of the high and low prices of the Company's common stock at the grant date.

The grant date fair value of restricted stock units is based on the closing market price of the Company's common stock at the grant date.

During the years ended December 31, 2021 and 2020, 27,247 and 48,930 shares of total restricted stock and restricted stock units vested, respectively.

On December 31, 2021, the Company had no unrecognized compensation expense related to restricted stock units.

The total fair value of restricted shares and units vested was approximately $ 0.3 million and $ 0.8 million for the years ended December 31, 2021 and December 31, 2020, respectively, based on the closing price of the stock on the vesting date and grant date, respectively.

Equity based compensation of $ 0.3 million and $ 0.6 million was expensed during the years ended December 31, 2021 and 2020, respectively, associated with the amortization of restricted stock and restricted stock units.

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements

On December 31, 2022, the Company had no unrecognized compensation expense related to restricted stock.

Equity based compensation of $ 0.3 million and $ 0.3 million was expensed during the years ended December 31, 2022 and 2021, respectively.

The expense represents the grant date fair value of the restricted stock vested.

Director compensation

Beginning January 1, 2021, the annual base director's fee for each independent director decreased from $ 160,000 to $ 150,000 , $ 70,000 of which is payable on a quarterly basis in cash and $ 80,000 of which is payable on a quarterly basis in shares of restricted common stock.

As of December 31, 2022, the Company's Board of Directors consisted of four independent directors.

The annual base director's fee for each independent director is $ 150,000 , $ 70,000 of which is payable on a quarterly basis in cash and $ 80,000 of which is payable on a quarterly basis in shares of restricted common stock.

The number of shares of restricted common stock to be issued each quarter to each independent director is determined based on the average of the high and low prices of the Company’s common stock on the New York Stock Exchange on the last trading day of each fiscal quarter.

To the extent that any fractional shares would otherwise be issuable and payable to each independent director, a cash payment is made to each independent director in lieu of any fractional shares.

All directors’ fees are paid pro rata (and restricted stock grants determined) on a quarterly basis in arrears, and shares issued are fully vested and non-forfeitable.

All directors’ fees are paid pro rata (and restricted common stock grants determined) on a quarterly basis in arrears, and shares issued are fully vested and non-forfeitable.

These shares may not be sold or transferred by such director during the time of their service as an independent member of the Company’s board.

As of December 31, 2021, the Company's Board of Directors consisted of four independent directors.

Pursuant to the Forbearance Agreement previously discussed, the Company, among other things, agreed to compensate its independent directors solely with common stock for the quarter ended March 31, 2020.

In addition to the annual base director's fee, the lead independent director receives an annual fee of $ 25,000 , the chair of the Audit Committee receives an annual fee of $ 25,000 , and the chairs of the Compensation and Nominating and Corporate Governance Committees each receive an annual fee of $ 10,000 .

Effective October 1, 2022, the role of lead independent director was retired and replaced with the role of non-executive chair of the Board.

The non-executive chair of the Board receives an annual fee of $ 60,000 , of which $ 30,000 is payable in cash and $ 30,000 is payable in shares of restricted common stock.

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements

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 December 31, 2021 and December 31, 2020 and the net income/(loss) to the "Equity in earnings/(loss) from affiliates" line item on the Company's consolidated statements of operations for the years ended December 31, 2021 and December 31, 2020 (in thousands).

The below table summarizes the components of the "Investments in debt and equity of affiliates" line item on the Company's consolidated balance sheets as of December 31, 2022 and 2021 and the "Equity in earnings/(loss) from affiliates" line item on the Company's consolidated statements of operations for the years ended December 31, 2022 and 2021 (in thousands).

December 31, 2022

9 unchanged sentences

Investments in debt and equity of affiliates / Equity in earnings/(loss) from affiliates $ 92,579 $ ( 21,515 ) $ 71,064 $ ( 10,258 ) $ 129,159 $ ( 37,136 ) $ 92,023 $ 31,889

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

(2) The earnings/(loss) at AG Arc during the year ended December 31, 2021 were primarily the result of $ 5.4 million of net income related to Arc Home's lending and servicing operations, offset by $( 2.3 ) million related to changes in the fair value of the MSR portfolio held by Arc Home.

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

MATT Restructured Financing Arrangement

On April 3, 2020, the Company, alongside private funds under the management of Angelo Gordon, restructured its financing arrangements in MATT ("Restructured Financing Arrangement").

The Restructured Financing Arrangement required all principal and interest on the underlying assets in MATT to be used to pay down principal and interest on the outstanding financing arrangement.

As of April 3, 2020, the Restructured Financing Arrangement did not have mark-to-market margin calls and was non-recourse to the Company.

The Restructured Financing Arrangement provided for a termination date of October 1, 2021.

At the earlier of the termination date or the securitization or sale by the Company of the remaining assets subject to the

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements

Restructured Financing Arrangement, the financing counterparty (which is a non-affiliate) was entitled to 35 % of the remaining equity in the assets.

The Company evaluated this restructuring and concluded it was an extinguishment of debt.

MATT chose to make a fair value election on this financing arrangement and the Company treated this arrangement consistently with this election.

On January 29, 2021, the Company, alongside private funds under the management of Angelo Gordon, entered into an amendment with respect to its Restructured Financing Arrangement in MATT.

The amendment serves to convert the existing financing to a mark-to-market facility that is recourse to the Company and the private funds managed by Angelo Gordon that invest in MATT up to the below mentioned commitment from MATH to MATT.

Upon amending the agreement, the Company settled the premium recapture fee with the financing counterparty.

On January 29, 2021, the Company alongside private funds under the management of Angelo Gordon, entered into an amendment to the MATH LLC Agreement, which requires MATH to fund a capital commitment of $ 50.0 million to MATT.

The Company, through its investment in MATH, is responsible for its pro-rata share of the capital commitment.

Subsequent to year end, this agreement was amended and the capital commitment to MATT was reduced to $ 35.0 million.

Refer to Note 12 for additional information.

(1) As of December 31, 2022, MATT only 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.

Transactions with affiliates

2 unchanged sentences

The Company engaged Red Creek Asset Management LLC ("Asset Manager"), a related party of the Manager and direct subsidiary of Angelo Gordon, as the asset manager for certain of its residential mortgage loans.

The Company pays the Asset Manager separate arm’s-length asset management fees as assessed and confirmed periodically by a third-party valuation firm.

The fees paid by the Company to the Asset Manager totaled $ 2.2 million and $ 2.7 million for the years ended December 31, 2021 and 2020, respectively.

The Company pays the Asset Manager asset management fees which are assessed periodically by a third-party valuation firm.

The below table details the fees paid by the Company to the Asset Manager during the years ended December 31, 2022 and 2021 (in thousands).

December 31, 2022

December 31, 2021

Fees paid to Asset Manager $ 2,742 $ 2,167

The Company recorded asset management fees payable of $ 0.2 million and $ 0.2 million as of December 31, 2022 and 2021, 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

Transactions with Arc Home

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

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 years ended December 31, 2022 and 2021 (in thousands).

December 31, 2022 December 31, 2021

Residential mortgage loans sold by Arc Home to the Company $ 1,086,937 $ 812,557

Residential mortgage loans sold by Arc Home to private funds under the management of Angelo Gordon 212,341 613,283

As of December 31, 2022, the Company recorded a $ 0.5 million receivable from Arc Home related to certain loans purchased from Arc Home which was recorded within the "Other assets" line item on the consolidated balance sheets.

Arc Home may also enter into agreements with third-parties or affiliates of the Manager to sell rights to receive the excess servicing spread related to MSRs that it either purchases from third-parties or originates.

The Company, directly or through its subsidiaries, previously entered into agreements with Arc Home to purchase rights to receive the excess servicing spread related to certain of Arc Home's MSRs.

As of December 31, 2021, the Company did not hold any of these Excess MSRs.

These Excess MSRs had a fair value of approximately $ 3.5 million as of December 31, 2020.

During 2021, Arc Home began selling loans to the Company.

Arc Home sold Non-QM Loans and GSE Non-Owner Occupied Loans with an unpaid principal balance of $ 613.7 million and $ 198.9 million to the Company, respectively, during the year ended December 31, 2021.

During 2020, Arc Home began selling Non-QM Loans to a private fund under the management of Angelo Gordon.

Arc Home sold Non-QM Loans with an unpaid principal balance of $ 613.3 million and $ 57.4 million to this affiliate of the Manager during the years ended December 31, 2021 and 2020, respectively.

In August 2020, the Company, alongside private funds under the management of Angelo Gordon, sold its Ginnie Mae Excess MSR portfolio to Arc Home for total proceeds of $ 18.9 million.

The portfolio had a total unpaid principal balance of $ 3.5 billion.

The Company's share of the total proceeds approximated $ 8.5 million, representing its approximate 45 % ownership interest.

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

The Company, directly or through its subsidiaries, previously entered into agreements with Arc Home to purchase rights to receive the excess servicing spread related to certain of Arc Home's MSRs, all of which were sold during 2021.

In July 2021, the Company, alongside private funds under the management of Angelo Gordon, sold its remaining Agency Excess MSRs to Arc Home for total proceeds of $ 9.9 million.

2 unchanged sentences

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

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.

These commitments to purchase mortgage loans are classified as derivatives.

See Note 7 and Note 12 for more detail.

During the year ended December 31, 2022, the Company determined that certain loans that it had previously committed to purchase from Arc Home would be sold to third parties.

The Company net settled its commitment to purchase these loans with Arc Home for $ 0.8 million, which represented the difference between the Company's committed price and the ultimate sale price, inclusive of costs to sell the loans.

The settlement of these derivatives were recorded within the "Net realized gain/(loss)" and "Transaction related expenses" line items on the consolidated statement of operations.

Securitization Transactions

In February 2020, the Company, alongside private funds under the management of Angelo Gordon, participated through its unconsolidated ownership interest in MATT in a rated Non-QM Loan securitization, in which Non-QM Loans with a fair value

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements

of $ 348.2 million were securitized.

Certain senior tranches in the securitization were sold to third-parties with the Company and private funds under the management of Angelo Gordon retaining the subordinate tranches, which had a fair value of $ 26.6 million as of March 31, 2020.

The Company has a 44.6 % interest in the retained subordinate tranches.

In August 2020, the Company, alongside private funds under the management of Angelo Gordon, participated through its unconsolidated ownership interest in MATT in a rated Non-QM Loan securitization, in which Non-QM Loans with a fair value of $ 226.0 million were securitized.

The Company has a 44.6 % interest in the retained subordinate tranches.

In May 2021, the Company, alongside private funds under the management of Angelo Gordon, participated through its unconsolidated ownership interest in MATT in a rated Non-QM Loan securitization, in which Non-QM Loans with a fair value of $ 171.4 million were securitized.

6 unchanged sentences

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

Transactions under the Company's Affiliated Transaction Policy

In July 2020, in accordance with the Company’s Affiliated Transactions Policy, the Company sold certain real estate securities to an affiliate of the Manager.

As of the date of the transaction, these real estate securities had a total fair value of $ 1.9 million.

The purchase occurred by the affiliate submitting an offer to purchase the securities to the Company in a competitive bidding process.

This allowed the Company to confirm third-party market pricing and best execution.

In October 2020, in accordance with the Company’s Affiliated Transactions Policy, the Company acquired certain real estate securities and Excess MSRs from an affiliate of the Manager.

As of the date of the transaction, these real estate securities and Excess MSRs had a total fair value of $ 0.5 million and $ 20.0 thousand, respectively.

As procuring market bids for the real estate securities was determined to be impracticable in the Manager’s reasonable judgment, appropriate pricing was based on a valuation prepared by third-party pricing vendors.

The third-party pricing vendors allowed the Company to confirm third-party market pricing and best execution.

In March 2021, in accordance with the Company’s Affiliated Transactions Policy, the Company sold certain real estate securities to an affiliate of the Manager.

As of the date of the transaction, these real estate securities had a total fair value of $ 6.9 million.

The purchase occurred by the affiliate submitting an offer to purchase the securities to the Company in a competitive bidding process.

This allowed the Company to confirm third-party market pricing and best execution.

In April 2021, in accordance with the Company’s Affiliated Transactions Policy, the Company sold certain CMBS to affiliates of the Manager.

As of the date of the transaction, the CMBS sold to the buyer had a total fair value of $ 16.8 million.

Pricing was based on valuations prepared by third-party pricing vendors in accordance with the Company's policy.

The third-party pricing vendors allowed the Company to confirm third-party market pricing and best execution.

In July 2021, in accordance with the Company’s Affiliated Transactions Policy, the Company sold certain real estate securities to affiliates of the Manager.

As of the date of the transaction, these real estate securities had a total fair value of $ 17.6 million.

The purchase occurred by the affiliate submitting an offer to purchase the securities to the Company in a competitive bidding process.

This allowed the Company to confirm third-party market pricing and best execution.

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements

In October 2021, in accordance with the Company's Affiliated Transactions Policy, the Company purchased through one of its unconsolidated affiliated entities certain real estate securities from affiliates of the Manager.

As of the date of the transaction, these real estate securities had a total fair value of $ 3.5 million.

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 ($ 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

March 2021 Sale of real estate securities $ 6.9 Competitive bidding process (2)

April 2021 Sale of real estate securities 16.8 Third party pricing vendors (3)

July 2021 Sale of real estate securities 17.6 Competitive bidding process (2)

October 2021 Purchase of real estate securities (4) 3.5 Third party pricing vendors (3)

November 2021 Purchase of residential mortgage loans (5) 181.8 Third party pricing vendors (3)

(1) As of the transaction date.

(2) The affiliate submitted an offer to purchase the securities from the Company in a competitive bidding process, which allowed the Company to confirm third-party market pricing and best execution.

(3) Pricing was based on valuations prepared by third-party pricing vendors in accordance with the Company's policy.

The third-party pricing vendors allowed the Company to confirm third-party market pricing and best execution.

In November 2021, MATT exercised its call rights on two securitization trusts in which it held interests in the subordinate tranches.

(4) The Company purchased the real estate securities through one of its unconsolidated affiliated entities.

(5) MATT exercised its call rights on two securitization trusts in which it held interests in the subordinate tranches.

Upon exercising its call rights and acquiring the remaining residential mortgage loans within the trusts, MATT sold the loans to the Company and a private fund under the management of Angelo Gordon in accordance with the Company’s Affiliated Transactions Policy.

As of the date of the transaction, the residential mortgage loans sold to the Company and the private fund had a total fair value of $ 181.8 million and $ 183.6 million, respectively.

Pricing was based on valuations prepared by third-party pricing vendors in accordance with the Company's policy.

The third-party pricing vendors allowed the Company to confirm third-party market pricing and best execution.

As of the date of the transaction, the residential mortgage loans sold to the private fund had a total fair value of $ 183.6 million.

Reverse stock split

6 unchanged sentences

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

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 year ended

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements

December 31, 2020.

The following table presents information related to the Company's purchases of its common stock during the year ended December 31, 2021:

Stock repurchase programs

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

The table below details the Company's share repurchases under the 2015 Repurchase Program during the years ended December 31, 2022 and 2021:

Period (1) Total Number of Shares Purchased Weighted Average Price Paid per Share (2) Total Number of Shares Purchased as Part of Publicly Announced Program Maximum Approximate Dollar Value that May Yet Be Purchased Under the Program (2)

2021 Common Share Repurchases

August 1, 2021 to August 31, 2021 150,870 $ 10.72 150,870 $ 12,980,553

2 unchanged sentences

2021 Total 319,859 $ 11.11 319,859 $ 11,043,506

2022 Common Share Repurchases

May 1, 2022 to May 31, 2022 697,315 $ 7.86 697,315 $ 5,560,574

June 1, 2022 to June 30, 2022 736,536 7.55 736,536 —

2022 Total 1,433,851 $ 7.70 1,433,851 $ —

(1) Based on trade date.

The Repurchase Program was announced on November 4, 2015 and does not have an expiration date.

(2) Includes brokerage commissions and clearing fees.

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

(4) The maximum dollar amount authorized was $ 25.0 million.

On August 3, 2022, the Company's Board of Directors authorized a stock repurchase program (the "2022 Repurchase Program") to repurchase up to $ 15.0 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 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 December 31, 2022, approximately $ 7.8 million of common stock remained authorized for future share repurchases under the 2022 Repurchase Program.

The table below details the Company's share repurchases under the 2022 Repurchase Program during the year ended December 31, 2022:

August 1, 2022 to August 31, 2022 221,581 $ 6.71 221,581 $ 13,512,601

September 1, 2022 to September 30, 2022 163,006 5.23 163,006 12,660,645

October 1, 2022 to October 31, 2022 74,187 4.32 74,187 12,340,308

November 1, 2022 to November 30, 2022 348,507 5.59 348,507 10,393,064

December 1, 2022 to December 30, 2022 430,233 5.99 430,233 7,817,003

Total 1,237,514 $ 5.81 1,237,514 $ 7,817,003

(1) Based on trade date.

(2) Includes brokerage commissions and clearing fees.

On February 22, 2021, the Company's Board of Directors authorized a stock repurchase program (the "Preferred Repurchase Program") pursuant to which the Company's Board of Directors granted a repurchase authorization to acquire shares of its Series A Preferred Stock, Series B Preferred Stock, and Series C Preferred Stock having an aggregate value of up to $ 20.0 million.

No shares were repurchased under the Preferred Repurchase Program during the year ended December 31, 2021.

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.

The cost of the

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements

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.

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 year ended December 31, 2021, the Company sold 1.0 million shares of common stock under the Equity Distribution Agreements for net proceeds of approximately $ 13.1 million.

For the year ended December 31, 2020, the Company sold 0.7 million shares of common stock under the Equity Distribution Agreements for net proceeds of approximately $ 7.1 million.

The Company has 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 year ended December 31, 2022, the Company did no t issue any shares of common stock under the Equity Distribution Agreements.

For the year ended December 31, 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.

5 unchanged sentences

On November 22, 2021, the Company completed a public offering of 7.0 million shares of its common stock and subsequently issued an additional 1.1 million shares pursuant to the underwriters' exercise of their over-allotment option at a price of $ 9.98 per share.

Net proceeds to the Company from the offering were approximately $ 80.0 million, after deducting estimated offering expenses.

Net proceeds to the Company from the offering were approximately $ 80.0 million, after deducting offering expenses.

Preferred stock

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

As of December 31, 2021, there were 1.7 million, 3.7 million, and 3.7 million of Series A Preferred Stock, Series B Preferred Stock, and Series C Preferred Stock, respectively, issued and outstanding.

As of December 31, 2020, there were 1.8 million, 4.2 million, and 3.9 million of Series A Preferred Stock, Series B Preferred Stock, and Series C Preferred Stock, respectively, issued and outstanding.

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements

As of December 31, 2022 and 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 December 31, 2022 ($ and shares in thousands):

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(3) The initial dividend rate for the Series C Preferred Stock, from and including the date of original issue to, but not including, September 17, 2024, is 8.000 % per annum of the $ 25.00 per share liquidation preference.

(4) Dividends are payable quarterly in arrears on the 17th day of each March, June, September and December and holders are entitled to receive cumulative cash dividends at the respective state rate per annum before holders of common stock are entitled to receive any cash dividends.

(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).

Under such circumstances, holders of the Company's Series A Preferred Stock, Series B Preferred Stock, and Series C Preferred Stock voting together as a single class with the holders of all other classes or series of its preferred stock upon which like voting rights have been conferred and are exercisable and which are entitled to vote as a class with the Company's Series A Preferred Stock, Series B Preferred Stock, and Series C Preferred Stock will be entitled to vote to elect two additional directors to the Company’s Board of Directors until all unpaid dividends have been paid or declared and set apart for payment.

In addition, certain material and adverse changes to the terms of any series of the Company's Series A Preferred Stock, Series B Preferred Stock, and Series C Preferred Stock cannot be made without the affirmative vote of holders of at least two-thirds of the outstanding shares of the series of the Company's Series A Preferred Stock, Series B Preferred Stock, and Series C Preferred Stock whose terms are being changed.

Exchange offers

On August 14, 2020, the Company announced the commencement of an offer to exchange newly issued shares of common stock for up to 250,470 shares of its Series A Preferred Stock, up to 556,600 shares of its Series B Preferred Stock, and up to 556,600 shares of its Series C Preferred Stock.

This offer had an expiration date of September 11, 2020.

Based on the final count provided by the Exchange Agent, American Stock Transfer & Trust Company, LLC, a total of 42,820 shares of Series A Preferred Stock, 31,085 Series B Preferred Stock and 29,355 Series C Preferred Stock were validly tendered and not properly withdrawn prior to the expiration of the offer.

The Company accepted all such 103,260 validly tendered shares of preferred stock, and issued in exchange a total of 172,100 shares of common stock in reliance upon the exemption from registration provided under Section 3(a)(9) of the Securities Act of 1933, as amended.

Under such circumstances, holders of the Company's Series A Preferred Stock, Series B

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements

The below details privately negotiated exchange agreements with existing holders of the Company's preferred shares exchanged for common shares and, in certain cases, cash consideration during the 2020 and 2021.

Subsequent to each transaction closed, the Preferred Stock exchanged pursuant to the exchange agreement was reclassified as authorized but unissued shares of preferred stock without designation as to class or series ($ in thousands).

Preferred Stock, and Series C Preferred Stock voting together as a single class with the holders of all other classes or series of its preferred stock upon which like voting rights have been conferred and are exercisable and which are entitled to vote as a class with the Company's Series A Preferred Stock, Series B Preferred Stock, and Series C Preferred Stock will be entitled to vote to elect two additional directors to the Company’s Board of Directors until all unpaid dividends have been paid or declared and set apart for payment.

Exchange offers

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 2022.

Subsequent to each transaction, the Preferred Stock exchanged pursuant to the exchange agreement was reclassified as authorized but unissued shares of preferred stock without designation as to class or series ($ in thousands).

Preferred Shares Exchanged

Date Shares of Series A Preferred Stock Shares of Series B Preferred Stock Shares of Series C Preferred Stock Total Preferred Stock Par Value Common Shares Exchanged Cash Consideration

September 30, 2020

210,662 404,187 427,467 $ 26,058 1,226,544 $ 6,337

October 2, 2020

— — 260,000 6,500 300,000 1,670

Date Shares of Series A Preferred Stock Shares of Series B Preferred Stock Shares of Series C Preferred Stock Total Preferred Stock Par Value Common Shares Exchanged

March 17, 2021

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

Common stock issuance to the Manager

On September 24, 2020, the Company issued (i) 405,123 shares of common stock to the Manager in full satisfaction of the deferred base management fee of $ 3.8 million payable by the Company in respect to the first and second quarters of 2020 and (ii) 51,500 shares of common stock in satisfaction of $ 0.5 million of the base management fee payable by the Company in respect to the third quarter of 2020.

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

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

Refer to Note 10 for more information on this transaction.

Commitments and Contingencies

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

As of December 31, 2021, other than as set forth below, the Company was not involved in any material legal proceedings.

On March 25, 2020, certain of the Company's subsidiaries filed a suit in federal district court in New York seeking to enjoin Royal Bank of Canada and one of its affiliates ("RBC") from selling certain assets that the Company had on repo with RBC and seeking damages ( AG MIT CMO et al.

RBC (Barbados) Trading Corp.

, 20-cv-2547, U.S.

District Court, Southern District of New York) .

On March 31, 2020, the Company withdrew, as moot, its request for injunctive relief in the complaint based on the court's ruling on March 25, 2020 relating to the sale at issue.

As previously disclosed in a Form 8-K filed with the SEC on June 2, 2020, the Company entered into a settlement agreement with RBC on May 28, 2020, pursuant to which the Company and RBC mutually released each other from further claims related to the repurchase agreements at issue.

As part of the settlement, and to resolve all claims by either party under the repurchase agreements, the Company paid RBC $ 5.0 million in cash and issued to RBC a secured promissory note in the principal amount of $ 2.0 million.

On June 11, 2020, the Company repaid the secured promissory note due to RBC in full.

The Company recognized this settlement in the "Net realized gain/(loss)" line item on the consolidated statement of operations in the second quarter of 2020.

As a result, the Company has satisfied all of its payment obligations to RBC under the settlement agreement and promissory note, and, as previously reported, the federal lawsuit has been voluntarily dismissed with prejudice.

For the year ended December 31, 2020, the Company recorded a loss of $ 11.6 million related to deficiencies asserted by other counterparties.

The Company recognized these losses in the "Net realized gain/(loss)" line item on the consolidated statement of operations.

As of August 2020, the Company resolved and settled all deficiency claims with lenders.

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements

As of December 31, 2022, the Company was not involved in any material legal proceedings.

The below table details the Company's outstanding commitments as of December 31, 2022 (in thousands):

Commitment type Date of Commitment Total Commitment Funded Commitment Remaining Commitment

GSE Non-Owner Occupied Loans (a) Various $ 63,947 $ 38,087 $ 25,860

LOTS (b) Various 21,390 16,891 4,499

MATH (b)(c) January 29, 2021 22,295 — 22,295

Non-Agency and Agency-Eligible Loans (1) Various $ 8,062 $ — $ 8,062

Land Related Financing (2) Various 13,746 10,688 3,058

MATT Non-QM Loans (2)(3) January 28, 2022 15,607 — 15,607

Total $ 37,415 $ 10,688 $ 26,727

(a) The Company entered into commitments to purchase certain pools of GSE Non-Owner Occupied Loans which have not yet settled as of December 31, 2021.

(b) Refer to Note 10 "Investments in debt and equity of affiliates" for more information regarding LOTS and MATH.

(c) Subsequent to year end, the Company's total commitment to MATH decreased to $ 15.6 million and remained fully unfunded.

(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 December 31, 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.

(3) Subsequent to December 31, 2022, the Company's commitment on MATT Non-QM Loans was removed.

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements

Investments in unconsolidated equity method affiliates

1 unchanged sentence

December 31, 2022 December 31, 2021

Arc Home (1) Non-QM Loans (2) Land Related Financing (3) Other Total

AG Arc (1) Non-QM Loans (2) Land Related Financing (3) Other Total

Loans and real estate securities, at fair value $ 48,641 $ 69,672 $ 21,881 $ 34,664 $ 174,858 $ 559,397

5 unchanged sentences

Financing arrangements $ 63,764 $ 36,800 $ — $ 19,446 $ 120,010 $ 448,342

Securitized debt, at fair value — — — — — 96,579

Other liabilities (4) 53,818 32 — 181 54,031 78,245

1 unchanged sentence

Total Members' Equity

Members' equity 116,493 39,796 34,772 23,048 214,109 372,946

Noncontrolling preferred interests — — — — — 2,062

Total Member's equity 88,980 39,428 22,296 15,875 166,579 214,109

1 unchanged sentence

The Company's Investments in debt and equity of affiliates $ 39,680 $ 17,544 $ 10,242 $ 3,598 $ 71,064 $ 92,023

(1) The Company has an approximate 44.6 % interest in Arc Home.

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

(2) The Company has an approximate 44.6 % interest in MATH.

6 unchanged sentences

Notes to Consolidated Financial Statements

The following table details the summarized statements of operations for the Company’s unconsolidated ownership interests in affiliates accounted for using the equity method as of December 31, 2021 and 2020 (in thousands):

December 31, 2022 December 31, 2021

Arc Home (1) Non-QM Loans (2) Land Related Financing (3) Other Total

AG Arc (1) Non-QM Loans (2) Land Related Financing (3) Other Total

Net Interest Income

12 unchanged sentences

The Company's Equity in earnings/(loss) from affiliates $ ( 13,734 ) $ 1,261 $ 1,621 $ 594 $ ( 10,258 ) $ 31,889

(1) The Company has an approximate 44.6 % interest in Arc Home.

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

The Company's equity in earnings/(loss) from AG Arc does not include $ 6.0 million and $ 5.3 million of gains recorded by Arc Home in connection with the sale of residential mortgage loans to the Company for the years ended December 31, 2022 and 2021, respectively.

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

(2) The Company has an approximate 44.6 % interest in MATH.

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

(4) "Other income/(loss), net" at AG Arc includes servicing revenue.

Refer to Note 2 and Note 10 for more detail on the Company’s investments in unconsolidated equity method affiliates.

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements

Quarterly financial information (Unaudited)

Summarized quarterly results of operations were as follows (in thousands, except for per share data):

Three Months Ended

March 31, June 30, September 30, December 31,

2021 2021 2021 2021

Statement of Operations Data:

Net Interest Income

Interest income $ 12,119 $ 14,228 $ 19,629 $ 24,686

Interest expense 4,061 5,294 7,197 10,698

Total Net Interest Income 8,058 8,934 12,432 13,988

Other Income/(Loss)

Net interest component of interest rate swaps ( 741 ) ( 1,573 ) ( 1,184 ) ( 1,364 )

Net realized gain/(loss) ( 4,038 ) 4,374 ( 5,460 ) 6,822

Net unrealized gain/(loss) 19,849 9,685 29,461 3,704

Other income/(loss), net 37 — — —

Total Other Income/(Loss) 15,107 12,486 22,817 9,162

Management fee to affiliate 1,654 1,667 1,693 1,800

Other operating expenses 4,150 2,981 2,997 3,229

Transaction related expenses ( 167 ) 1,885 2,013 3,597

Servicing fees 615 672 849 1,052

Total Expenses 6,252 7,205 7,552 9,678

Income/(loss) before equity in earnings/(loss) from affiliates 16,913 14,215 27,697 13,472

Equity in earnings/(loss) from affiliates 26,336 1,278 6,882 ( 2,607 )

Net Income/(Loss) 43,249 15,493 34,579 10,865

Gain on Exchange Offers, net (Note 11) 358 114 — —

Dividends on preferred stock ( 4,924 ) ( 4,689 ) ( 4,586 ) ( 4,586 )

Net Income/(Loss) Available to Common Stockholders $ 38,683 $ 10,918 $ 29,993 $ 6,279

Earnings/(Loss) Per Share - Basic (1)

Total Earnings/(Loss) Per Share of Common Stock $ 2.74 $ 0.70 $ 1.87 $ 0.33

Earnings/(Loss) Per Share - Diluted (1)

Total Earnings/(Loss) Per Share of Common Stock $ 2.74 $ 0.70 $ 1.87 $ 0.33

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

See Note 2 and Note 11 for additional details.

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements

Three Months Ended

March 31, June 30, September 30, December 31,

2020 2020 2020 2020

Statement of Operations Data:

Net Interest Income

Interest income $ 40,268 $ 13,369 $ 9,717 $ 11,171

Interest expense 19,971 8,613 4,357 4,004

Total Net Interest Income 20,297 4,756 5,360 7,167

Other Income/(Loss)

Net interest component of interest rate swaps 923 — ( 13 ) ( 179 )

Net realized gain/(loss) ( 151,143 ) ( 91,609 ) ( 14,431 ) 661

Net unrealized gain/(loss) ( 308,211 ) 100,179 21,465 16,754

Other income/(loss), net 1,652 ( 155 ) ( 10 ) 47

Total Other Income/(Loss) ( 456,779 ) 8,415 7,011 17,283

Management fee to affiliate 2,149 1,678 1,698 1,656

Other operating expenses 4,149 4,184 4,340 3,238

Transaction related expenses ( 3,219 ) 373 1,589 22

Restructuring related expenses 1,500 7,104 1,345 251

Excise tax ( 815 ) — — —

Servicing fees 579 566 540 539

Total Expenses 4,343 13,905 9,512 5,706

Income/(loss) before equity in earnings/(loss) from affiliates ( 440,825 ) ( 734 ) 2,859 18,744

Equity in earnings/(loss) from affiliates ( 44,192 ) 3,434 17,187 21,942

Net Income/(Loss) from Continuing Operations ( 485,017 ) 2,700 20,046 40,686

Net Income/(Loss) from Discontinued Operations — 361 — 305

Net Income/(loss) ( 485,017 ) 3,061 20,046 40,991

Gain on Exchange Offers, net (Note 11) — — 539 10,035

Dividends on preferred stock (1) ( 5,667 ) ( 5,667 ) ( 5,563 ) ( 3,652 )

Net Income/(Loss) Available to Common Stockholders $ ( 490,684 ) $ ( 2,606 ) $ 15,022 $ 47,374

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

Continuing Operations $ ( 44.98 ) $ ( 0.27 ) $ 1.31 $ 3.47

Discontinued Operations — 0.03 — 0.02

Total Earnings/(Loss) Per Share - Basic $ ( 44.98 ) $ ( 0.24 ) $ 1.31 $ 3.49

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

Continuing Operations $ ( 44.98 ) $ ( 0.27 ) $ 1.31 $ 3.47

Discontinued Operations — 0.03 — 0.02

Total Earnings/(Loss) Per Share - Diluted $ ( 44.98 ) $ ( 0.24 ) $ 1.31 $ 3.49

(1) The three months ended September 30, 2020 and June 30, 2020 include cumulative and undeclared dividends of $ 5.6 million and $ 5.7 million on the Company's preferred stock as of September 30, 2020 and June 30, 2020, respectively.

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

See Note 2 and Note 11 for additional details.

Subsequent Events

The Company repurchased 0.1 million shares of common stock for $ 0.5 million, representing a weighted average cost of $ 5.66 per share.

The Company sold Non-Agency Loans for gross proceeds of $ 46.9 million and Agency-Eligible Loans for gross proceeds of $ 18.5 million.

These loans were recorded within the "Residential mortgage loans held for sale, at fair value" line item on the consolidated balance sheets as of December 31, 2022.

The Company executed a rated Non-Agency securitization, in which loans with a total unpaid principal balance of $ 271.2 million were securitized.

The securitization converted recourse financing with mark-to-market margin calls to non-recourse financing without mark-to-market margin calls.

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements

Subsequent Events

The Company purchased $ 519.0 million of non-agency mortgage loans, inclusive Non-QM Loans, GSE Non-Owner Occupied Loans, and other qualifying mortgage loans.

$ 233.0 million of these non-agency mortgage loans were purchased from Arc Home.

The Company participated in its first rated securitization of GSE Non-Owner Occupied Loans, in which loans with a fair value of $ 474.9 million were securitized.

Additionally, the Company participated in a rated securitization in which Non-QM Loans with a fair value of $ 301.7 million were securitized.

Both securitizations converted financing from recourse financing with mark-to-market margin calls to non-recourse financing without mark-to-market margin calls.

The Company announced that on February 16, 2023 its Board of Directors declared first quarter 2023 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.

2 unchanged sentences

Compared sentence by sentence after normalising whitespace, quotation marks, case and digits, so re-formatting and restated figures do not read as changed language. Wording changes appear as one removal and one addition. The current filing and the prior one are authoritative.

What changed 10-K

Item 8. Financial Statements and Supplementary Data