What changed in this filing

/stocks — the workspaceLOADING

Item 1. Financial Statements

2023-08-09 compared with 2023-05-05 · 462 added, 279 removed, 870 unchanged (46% of the section changed)

4 unchanged sentences

(in thousands, except per share data)

March 31, 2023 December 31, 2022

June 30, 2023 December 31, 2022

Securitized residential mortgage loans, at fair value - $ 421,534 and $ 423,967 pledged as collateral, respectively (1)

$ 3,792,256 $ 3,707,146

Securitized residential mortgage loans held for sale, at fair value - $ 17,188 and $ 0 pledged as collateral, respectively (1)

Residential mortgage loans, at fair value - $ 169,910 and $ 353,039 pledged as collateral, respectively

1 unchanged sentence

Residential mortgage loans held for sale, at fair value - $ 68,920 and $ 64,984 pledged as collateral, respectively

68,920 64,984

Real estate securities, at fair value - $ 314,484 and $ 41,653 pledged as collateral, respectively

15 unchanged sentences

Common stock, par value $ 0.01 per share;

450,000 shares of common stock authorized and 20,377 and 21,284 shares issued and outstanding at March 31, 2023 and December 31, 2022, respectively

450,000 shares of common stock authorized and 20,205 and 21,284 shares issued and outstanding at June 30, 2023 and December 31, 2022, respectively

Additional paid-in capital 772,438 778,606

10 unchanged sentences

(in thousands, except per share data)

Three Months Ended

March 31, 2023 March 31, 2022

Three Months Ended Six Months Ended

June 30, 2023 June 30, 2022 June 30, 2023 June 30, 2022

Net Interest Income

29 unchanged sentences

(in thousands)

For the Three Months Ended March 31, 2023 and March 31, 2022

For the Three Months Ended June 30, 2023 and June 30, 2022

Common Stock Preferred

3 unchanged sentences

Shares Amount Total

Balance at April 1, 2023 20,377 $ 204 $ 220,472 $ 773,457 $ ( 532,220 ) $ 461,913

Repurchase of common stock ( 187 ) ( 2 ) — ( 1,106 ) — ( 1,108 )

Grant of restricted stock 15 — — 87 — 87

Common dividends declared — — — — ( 3,637 ) ( 3,637 )

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

Net Income/(Loss) — — — — 8,056 8,056

Balance at June 30, 2023 20,205 $ 202 $ 220,472 $ 772,438 $ ( 532,387 ) $ 460,725

Common Stock Preferred

Stock Additional

Paid-in Capital Retained

Earnings/(Deficit)

Shares Amount Total

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

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

Grant of restricted stock 9 — — 80 — 80

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

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

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

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

For the Six Months Ended June 30, 2023 and June 30, 2022

Common Stock Preferred

Stock Additional

Paid-in Capital Retained

Earnings/(Deficit)

Shares Amount Total

Balance at January 1, 2023 21,284 $ 212 $ 220,472 $ 778,606 $ ( 536,490 ) $ 462,800

4 unchanged sentences

Net Income/(Loss) — — — — 20,596 20,596

Balance at March 31, 2023 20,377 $ 204 $ 220,472 $ 773,457 $ ( 532,220 ) $ 461,913

Balance at June 30, 2023 20,205 $ 202 $ 220,472 $ 772,438 $ ( 532,387 ) $ 460,725

Common Stock Preferred

4 unchanged sentences

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

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

Grant of restricted stock 16 — — 160 — 160

2 unchanged sentences

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

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

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

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

3 unchanged sentences

(in thousands)

Three Months Ended

March 31, 2023 March 31, 2022

Six Months Ended

June 30, 2023 June 30, 2022

Cash Flows from Operating Activities

5 unchanged sentences

Equity based compensation expense 174 160

(Income)/loss from investments in debt and equity of affiliates in excess of distributions received 142 2,393

Equity in (earnings)/loss from affiliates ( 454 ) 7,860

Distributions of income from investments in debt and equity of affiliates 741 972

Change in operating assets/liabilities:

28 unchanged sentences

Cash and cash equivalents and restricted cash, End of Period $ 105,364 $ 140,650

Six Months Ended

June 30, 2023 June 30, 2022

Supplemental disclosure of cash flow information:

Cash paid for interest on financing arrangements and securitized debt $ 87,632 $ 33,281

Cash paid for excise and income taxes $ — $ 3

Three Months Ended

March 31, 2023 March 31, 2022

Cash paid for income taxes $ 225 $ 23

Supplemental disclosure of non-cash financing and investing activities:

Receivable on unsettled trades $ — $ 107,788

Common stock dividends declared but not paid $ 3,637 $ 4,723

Purchase price payable on loans $ — $ 794

Transfer from residential mortgage loans to other assets $ 1,353 $ 1,087

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

March 31, 2023 March 31, 2022

June 30, 2023 June 30, 2022

Cash and cash equivalents $ 80,308 $ 88,575

5 unchanged sentences

Notes to Consolidated Financial Statements (Unaudited)

March 31, 2023

June 30, 2023

AG Mortgage Investment Trust, Inc.

2 unchanged sentences

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 obtains its assets through Arc Home, LLC ("Arc Home"), a residential mortgage loan originator in which the Company 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.

21 unchanged sentences

Government such as Ginnie Mae.

(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.

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

8 unchanged sentences

Notes to Consolidated Financial Statements (Unaudited)

March 31, 2023

June 30, 2023

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

3 unchanged sentences

The accompanying unaudited consolidated financial statements and related notes have been prepared on the accrual basis of accounting in accordance with accounting principles generally accepted in the United States of America ("GAAP") for interim financial reporting and the instructions to Form 10-Q and Rule 10-01 of Regulation S-X.

For the three months ended March 31, 2022, the Company reclassified $ 2.7 million and $ 1.0 million of other operating expenses into the "Non-investment related expenses" and "Investment related expenses" line items on the consolidated statement of operations, respectively.

Furthermore for the three months ended March 31, 2022, the Company reclassified $ 1.0 million of servicing fees into the "Investment related expenses" line item on the consolidated statement of operations.

For the three months ended June 30, 2022, the Company reclassified $ 2.5 million and $ 1.3 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 six months ended June 30, 2022, the Company reclassified $ 5.2 million and $ 2.3 million of other operating expenses into the "Non-investment related expenses" and "Investment related expenses" line items on the consolidated statement of operations, respectively.

Furthermore, for the three and six months ended June 30, 2022, the Company reclassified $ 1.0 million and $ 2.0 million of servicing fees into the "Investment related expenses" line item on the consolidated statement of operations, respectively.

These expenses were reclassified to conform to the current year presentation of expenses.

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

18 unchanged sentences

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

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

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements (Unaudited)

March 31, 2023

June 30, 2023

in the form of excess assets in the SPE, priority with respect to receipt of cash flows relative to holders of other debt or equity instruments issued by the SPE, or a line of credit or other form of liquidity agreement that is designed with the objective of ensuring that investors receive principal and/or interest cash flow on the investment in accordance with the terms of their investment agreement.

The Company enters into securitization transactions collateralized by its Non-Agency Loans/Agency-Eligible Loans and re- and non-performing loans (the trusts in which these loans are deposited are referred to as "Non-Agency VIEs" and "RPL/NPL VIEs", respectively, and collectively "Residential Mortgage Loan VIEs"), which may result in the Company consolidating the respective VIEs that are created to facilitate these securitizations.

13 unchanged sentences

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

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 March 31, 2023, the Company is continuing to assess the impact of the LIBOR transition and does not expect the transition or the adoption of ASU 2020-04 to have a material impact on the consolidated financial statements.

As of June 30, 2023, the Company has transitioned from LIBOR to an alternative benchmark.

The adoption of ASU 2020-04 and the LIBOR transition did not have a material impact on the consolidated financial statements.

The Company's primary exposure to LIBOR has historically included its financing arrangements and derivative contracts.

In addition, the Company's Series C Preferred Stock is set to transition to a floating rate in September of 2024.

As of March 31, 2023, the Company no longer has derivative contracts indexed to LIBOR and all LIBOR-based financing arrangements have transitioned to alternative benchmark rates.

As of June 30, 2023, the Company no longer has derivative contracts indexed to LIBOR and all LIBOR-based financing arrangements have transitioned to alternative benchmark rates.

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

2 unchanged sentences

Notes to Consolidated Financial Statements (Unaudited)

March 31, 2023

June 30, 2023

Residential mortgage loans

The table below details information regarding the Company’s residential mortgage loan portfolio as of March 31, 2023 and December 31, 2022 ($ in thousands).

The table below details information regarding the Company’s residential mortgage loan portfolio as of June 30, 2023 and December 31, 2022 ($ in thousands).

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

Unpaid Principal Balance Gross Unrealized Weighted Average

March 31, 2023

June 30, 2023

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

8 unchanged sentences

Total Residential mortgage loans, at fair value $ 242,139 $ 1,118 $ 243,257 $ 2,793 $ ( 2,974 ) $ 243,076 7.56 % 7.84 % 3.43

Total as of March 31, 2023

Total as of June 30, 2023

$ 4,518,681 $ 19,445 $ 4,538,126 $ 4,380 $ ( 438,140 ) $ 4,104,366 4.88 % 4.95 % 8.68

18 unchanged sentences

(3) Securitized Non-Agency Loans include loans that were considered to be Agency-Eligible prior to the Company's securitization.

(4) Includes fair value of $ 69.0 million of Re- and Non-Performing Loans classified as held for sale and presented in the "Securitized residential mortgage loans held for sale, at fair value" line item on the consolidated balance sheets as of June 30, 2023.

(5) Includes fair value of $ 68.9 million of Non-Agency Loans 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 as of June 30, 2023.

(6) 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 as of December 31, 2022.

2 unchanged sentences

Notes to Consolidated Financial Statements (Unaudited)

March 31, 2023

June 30, 2023

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

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

March 31, 2023

June 30, 2023

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

8 unchanged sentences

Total Residential mortgage loans $ 242,139 497 71.93 % 742 $ 233,645 $ 2,219 $ 688 $ 2,515

Total as of March 31, 2023

Total as of June 30, 2023

$ 4,518,681 11,827 69.52 % 732 $ 4,346,015 $ 63,431 $ 31,456 $ 74,707

15 unchanged sentences

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

(3) As of March 31, 2023, the Company had securitized residential mortgage loans and residential mortgage loans that were 90+ days delinquent and loans in the process of foreclosure with a fair value of $ 26.6 million and $ 37.6 million, respectively.

As of December 31, 2022, the Company had securitized residential mortgage loans and 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) As of June 30, 2023, the Company had securitized residential mortgage loans and residential mortgage loans that were 90+ days delinquent with a fair value of $ 29.5 million and loans in the process of foreclosure with a fair value of $ 37.3 million.

As of December 31, 2022, the Company had securitized residential mortgage loans and residential mortgage loans that were 90+ days delinquent with a fair value of $ 31.4 million and loans in the process of foreclosure with a fair value of $ 33.7 million.

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

Data is as of February 28, 2023 and November 30, 2022, respectively.

During the three months ended March 31, 2023, the Company purchased residential mortgage loans, as detailed below (in thousands).

Unpaid Principal Balance Fair Value

Non-Agency Loans $ 22,550 $ 22,954

The Company did no t sell any residential mortgage loans during the three months ended March 31, 2022.

For the three months ended March 31, 2023, the Company sold residential mortgage loans as detailed below ($ in thousands).

Number of Loans Proceeds Realized Gains Realized Losses

Data is as of May 31, 2023 and November 30, 2022, respectively.

During the three and six months ended June 30, 2023, the Company purchased residential mortgage loans, as detailed below (in thousands).

Three Months Ended June 30, 2023 Six Months Ended June 30, 2023

Unpaid Principal Balance Fair Value Unpaid Principal Balance Fair Value

Non-Agency Loans $ 159,906 $ 162,524 $ 182,456 $ 185,478

116 $ 46,909 $ — $ ( 9,745 )

Agency-Eligible Loans 55,501 56,663 55,501 56,663

Total $ 215,407 $ 219,187 $ 237,957 $ 242,141

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements (Unaudited)

March 31, 2023

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

The following is a summary of the geographic concentration of credit risk as of March 31, 2023 and December 31, 2022 and includes states where the exposure is greater than 5% of the fair value the Company's residential mortgage loan portfolio.

Geographic Concentration of Credit Risk (1) March 31, 2023 December 31, 2022

June 30, 2023

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

During the three and six months ended June 30, 2023, the Company sold residential mortgage loans as detailed below ($ in thousands).

Three Months Ended June 30, 2023

Six Months Ended June 30, 2023

Number of Loans Proceeds Realized Gains Realized Losses Number of Loans Proceeds Realized Gains Realized Losses

Non-Agency Loans 165 $ 99,871 $ 1,051 $ ( 1,400 ) 281 $ 146,780 $ 1,051 $ ( 11,145 )

Agency-Eligible Loans — — — — 47 18,474 69 ( 85 )

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

The following is a summary of the geographic concentration of credit risk as of June 30, 2023 and December 31, 2022 and includes states where the exposure is greater than 5% of the fair value the Company's residential mortgage loan portfolio.

Geographic Concentration of Credit Risk (1) June 30, 2023 December 31, 2022

California 34 % 33 %

4 unchanged sentences

(1) Excludes the Re- and Non-Performing Loans subcategory of Residential mortgage loans above as there may be limited data available regarding the underlying collateral of these residual positions.

The following is a summary of the changes in the accretable portion of the discount for the Company’s securitized re-performing and non-performing loan portfolios for the three months ended March 31, 2023 and 2022, which is determined by the Company’s estimate of undiscounted principal expected to be collected in excess of the amortized cost of the mortgage loan (in thousands).

Three Months Ended

March 31, 2023 March 31, 2022

The following is a summary of the changes in the accretable portion of the discount for the Company’s securitized re and non-performing loan portfolio for the three and six months ended June 30, 2023 and 2022, which is determined by the Company’s estimate of undiscounted principal expected to be collected in excess of the amortized cost of the mortgage loans (in thousands).

Three Months Ended Six Months Ended

June 30, 2023 June 30, 2022 June 30, 2023 June 30, 2022

Beginning Balance $ 38,764 $ 46,257 $ 42,237 $ 46,521

6 unchanged sentences

Notes to Consolidated Financial Statements (Unaudited)

March 31, 2023

June 30, 2023

Variable interest entities

The following table details certain information related to the assets and liabilities of the Residential Mortgage Loan VIEs as of March 31, 2023 and December 31, 2022 ($ in thousands).

March 31, 2023 December 31, 2022

The following table details certain information related to the assets and liabilities of the Non-Agency VIEs as of June 30, 2023 and December 31, 2022 ($ in thousands).

June 30, 2023 December 31, 2022

Carrying Value Weighted Average Carrying Value Weighted Average

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

Non-Agency VIEs (2) $ 3,696,743 4.66 % 9.78 $ 3,436,201 4.65 % 10.20

RPL/NPL VIEs 272,027 6.57 % 6.37 270,945 6.66 % 6.33

Securitized residential mortgage loans, at fair value (2) $ 3,602,201 4.64 % 9.18 $ 3,436,201 4.65 % 10.20

Other assets 15,797 15,350

Total Assets $ 3,617,998 $ 3,451,551

Securitized debt, at fair value (2) (3) $ 3,232,488 4.28 % 6.94 $ 3,078,593 4.18 % 7.49

Other liabilities 11,379 10,956

Total Liabilities $ 3,243,867 $ 3,089,549

Total Equity (4) $ 374,131 $ 362,002

(1) This is based on projected life.

Typically, actual maturities are shorter than stated contractual maturities.

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

(2) Securitized residential mortgage loans in Non-Agency VIEs include loans that were considered to be Agency-Eligible prior to the Company's securitization.

(3) 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 Non-Agency VIEs.

(4) As of June 30, 2023 and December 31, 2022, the Company had outstanding financing arrangements of $ 192.2 million and $ 197.9 million, respectively, collateralized by $ 369.7 million and $ 357.6 million of the Company's retained interests in the Non-Agency VIEs, respectively.

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

The following table details certain information related to the assets and liabilities of the RPL/NPL VIEs as of June 30, 2023 and December 31, 2022 ($ in thousands).

June 30, 2023 December 31, 2022

Carrying Value Weighted Average Carrying Value Weighted Average

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

Securitized residential mortgage loans, at fair value (2) $ 259,089 6.62 % 6.38 $ 270,945 6.66 % 6.33

Restricted cash 1,100 1,194

1 unchanged sentence

Total Assets $ 262,420 $ 275,853

Non-Agency VIEs (2) $ 3,323,861 4.26 % 7.38 $ 3,078,593 4.18 % 7.49

RPL/NPL VIEs 181,668 3.12 % 3.23 183,759 3.10 % 3.13

Securitized debt, at fair value (3) $ 169,572 3.12 % 3.00 $ 183,759 3.10 % 3.13

5 unchanged sentences

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

(2) Securitized Non-Agency Loans include loans that were considered to be Agency-Eligible prior to the Company's securitization.

(2) Includes fair value of $ 69.0 million of Re- and Non-Performing Loans classified as held for sale and presented in the "Securitized residential mortgage loans held for sale, at fair value" line item on the consolidated balance sheets as of June 30, 2023.

(3) 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.

(4) As of March 31, 2023 and December 31, 2022, the Company had outstanding financing arrangements of $ 232.1 million and $ 232.1 million, respectively, collateralized by certain of the Company's retained interests in the Residential Mortgage Loan VIEs.

The Company has no obligation to provide any other explicit or implicit support to the RPL/NPL VIEs.

(4) As of June 30, 2023 and December 31, 2022, the Company had outstanding financing arrangements of $ 37.7 million and $ 34.2 million, respectively, collateralized by $ 69.0 million and $ 66.4 million of the Company's retained interests in the RPL/NPL VIEs, respectively.

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

2 unchanged sentences

Notes to Consolidated Financial Statements (Unaudited)

March 31, 2023

June 30, 2023

Real Estate Securities

The following tables detail the Company’s real estate securities portfolio as of March 31, 2023 and December 31, 2022 ($ in thousands).

The following tables detail the Company’s real estate securities portfolio as of June 30, 2023 and December 31, 2022 ($ in thousands).

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

1 unchanged sentence

Amortized Cost Gross Unrealized Weighted Average

March 31, 2023 Gains Losses Fair Value Coupon (1) Yield

June 30, 2023 Gains Losses Fair Value Coupon (1) Yield

Non-Agency RMBS

Non-Agency Securities (2) $ 45,329 $ ( 9,477 ) $ 35,852 $ 452 $ ( 3,909 ) $ 32,395 3.78 % 6.69 %

Non-Agency RMBS Interest Only (2) 105,786 ( 103,033 ) 2,753 1,865 — 4,618 0.38 % 32.86 %

Non-Agency RMBS Interest Only (2) (3) N/A N/A 2,647 945 — 3,592 0.38 % 26.62 %

Total Non-Agency RMBS $ 45,329 $ ( 9,477 ) $ 38,499 $ 1,397 $ ( 3,909 ) $ 35,987 1.98 % 8.68 %

30 Year Fixed Rate $ 259,050 $ 1,335 $ 260,385 $ 101 $ ( 128 ) $ 260,358 5.74 % 5.64 %

Interest Only 125,018 ( 105,775 ) 19,243 48 ( 610 ) 18,681 2.84 % 7.95 %

Interest Only (3) N/A N/A 19,026 6 ( 893 ) 18,139 2.82 % 8.03 %

Total Agency RMBS $ 259,050 $ 1,335 $ 279,411 $ 107 $ ( 1,021 ) $ 278,497 4.79 % 5.80 %

Total as of March 31, 2023

Total as of June 30, 2023

$ 304,379 $ ( 8,142 ) $ 317,910 $ 1,504 $ ( 4,930 ) $ 314,484 4.23 % 6.13 %

4 unchanged sentences

Non-Agency Securities (2) $ 31,713 $ ( 6,875 ) $ 24,838 $ 28 $ ( 5,329 ) $ 19,537 3.75 % 6.52 %

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

Non-Agency RMBS Interest Only (2) (3) N/A N/A 2,838 2,220 — 5,058 0.38 % 34.42 %

Total Non-Agency RMBS $ 31,713 $ ( 6,875 ) $ 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 %

Interest Only (3) N/A N/A $ 19,771 $ 28 $ ( 675 ) $ 19,124 2.87 % 7.54 %

Total as of December 31, 2022

2 unchanged sentences

(2) Includes Non-Agency Securities and Non-Agency RMBS Interest Only securities collateralized by non-QM loans and agency-eligible loans.

The following tables summarize the Company's real estate securities according to their projected weighted average life classifications as of March 31, 2023 and December 31, 2022 ($ in thousands).

(3) Interest Only have no principal balances and bear interest based on a notional balance.

The notional balance is used solely to determine interest distributions on the interest only classes of securities.

As of June 30, 2023, the notional balances for the Non-Agency RMBS Interest Only and Agency RMBS Interest Only line items were $ 101.3 million and $ 124.4 million, respectively.

As of December 31, 2022, the notional balances for the Non-Agency RMBS Interest Only and Agency RMBS Interest Only line items were $ 108.5 million and $ 127.4 million, respectively.

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2023

The following tables summarize the Company's real estate securities according to their projected weighted average life classifications as of June 30, 2023 and December 31, 2022 ($ in thousands).

Non-Agency RMBS Agency RMBS

March 31, 2023

June 30, 2023

Weighted Average Life (1)

4 unchanged sentences

Greater than ten years 18,419 18,176 3.18 % — — — %

Total as of March 31, 2023

Total as of June 30, 2023

$ 35,987 $ 38,499 1.98 % $ 278,497 $ 279,411 4.79 %

13 unchanged sentences

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

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

March 31, 2023

The Company did not sell any real estate securities during the three months ended March 31, 2023.

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

Three months ended Number of Securities Proceeds Realized Gains Realized Losses

March 31, 2022 (1)

The Company did not sell any real estate securities during the three and six months ended June 30, 2023.

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

Three Months Ended Six Months Ended

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

June 30, 2022

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

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

Unconsolidated variable interest entities

2 unchanged sentences

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

The following table summarizes the Company’s investment in unconsolidated VIEs (in thousands).

March 31, 2023 December 31, 2022

The following table summarizes the Company’s investment in unconsolidated VIEs as of June 30, 2023 and December 31, 2022 (in thousands).

June 30, 2023 December 31, 2022

Current Face Fair Value Current Face Fair Value

1 unchanged sentence

Non-Agency Securities $ 14,894 $ 11,075 $ 14,894 $ 9,859

Non-Agency RMBS Interest Only 105,786 4,618 108,464 5,058

Non-Agency RMBS Interest Only (1) N/A 3,592 N/A 5,058

Total retained interest in unconsolidated VIEs (2) (3) $ 14,894 $ 14,667 $ 14,894 $ 14,917

(1) Interest Only have no principal balances and bear interest based on a notional balance.

The notional balance is used solely to determine interest distributions on the interest only classes of securities.

As of June 30, 2023 and December 31, 2022, the notional balances for the Non-Agency RMBS Interest Only line item were $ 101.3 million and $ 108.5 million, respectively.

(2) Maximum loss exposure from the Company’s involvement with unconsolidated VIEs pertains to the fair value of the securities retained from these VIEs.

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

(2) As of March 31, 2023 and December 31, 2022, the Company held securities exposed to the first loss of the securitization with a fair value of $ 3.7 million and $ 4.1 million, respectively.

The following table summarizes information regarding the residential mortgage loans transferred to the Company’s unconsolidated VIEs ($ in thousands).

(3) As of June 30, 2023 and December 31, 2022, the Company held securities exposed to the first loss of the securitization with a fair value of $ 2.9 million and $ 4.1 million, respectively.

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2023

The following table summarizes information regarding the residential mortgage loans transferred to the Company’s unconsolidated VIEs as of June 30, 2023 and December 31, 2022 ($ in thousands).

Assets transferred to unconsolidated VIEs:

March 31, 2023 December 31, 2022

June 30, 2023 December 31, 2022

Total unpaid principal balance of loans outstanding (1) $ 123,719 $ 132,509

2 unchanged sentences

(1) The Company contributed approximately 40.9 % of the unpaid principal balance into the securitization trust.

(2) As of June 30, 2023, 0.63 % of loans were 90+ days delinquent and 1.41 % of loans were in process of foreclosure.

As of December 31, 2022, 1.32 % of loans were 90+ days delinquent and no loans were in process of foreclosure.

Fair value measurements

10 unchanged sentences

Notes to Consolidated Financial Statements (Unaudited)

March 31, 2023

The following tables present the Company’s financial instruments measured at fair value on a recurring basis as of March 31, 2023 and December 31, 2022 (in thousands).

Fair Value at March 31, 2023

June 30, 2023

The following tables present the Company’s financial instruments measured at fair value on a recurring basis as of June 30, 2023 and December 31, 2022 (in thousands).

Fair Value at June 30, 2023

Level 1 Level 2 Level 3 Total

23 unchanged sentences

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

(1) As of March 31, 2023, the Company applied a reduction in fair value of $ 3.9 million and $ 6.6 million to its interest rate swap assets and liabilities, respectively, related to variation margin with a corresponding increase or decrease in restricted cash.

(1) Includes Securitized residential mortgage loans held for sale as of June 30, 2023.

(2) Includes Residential mortgage loans held for sale as of June 30, 2023 and December 31, 2022.

(3) As of June 30, 2023, the Company applied a reduction in fair value of $ 10.9 million and $ 0.7 million to its interest rate swap assets and liabilities, respectively, related to variation margin with a corresponding increase or decrease in restricted cash.

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.

4 unchanged sentences

(5) 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.

(4) Includes Residential mortgage loans held for sale as of December 31, 2022.

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements (Unaudited)

March 31, 2023

June 30, 2023

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.

23 unchanged sentences

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

The Company did not have any transfers of assets or liabilities between Levels 1 and 2 of the fair value hierarchy during the three months ended March 31, 2023 and 2022.

The Company did not have any transfers between the Levels 2 and 3 of the fair value hierarchy during the three months ended March 31, 2023 and 2022.

The Company did not have any transfers of assets or liabilities between Levels 1 and 2 of the fair value hierarchy during the three and six months ended June 30, 2023 and 2022.

The Company did not have any transfers between the Levels 2 and 3 of the fair value hierarchy during the three and six months ended June 30, 2023 and 2022.

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

5 unchanged sentences

Notes to Consolidated Financial Statements (Unaudited)

March 31, 2023

June 30, 2023

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

Three Months Ended March 31, 2023 (in thousands)

Three Months Ended June 30, 2023 (in thousands)

Loans (1) Non-Agency

3 unchanged sentences

Purchases 220,729 — — — — —

Capital distributions — — — ( 402 ) — —

Proceeds from sales or settlements ( 99,871 ) — ( 2,557 ) — — 634

Principal repayments ( 97,388 ) — — — 94,399 —

Included in net income:

Net premium and discount amortization (3) 359 ( 97 ) — — ( 3,125 ) —

Net realized gain/(loss) ( 456 ) — 2,557 — — ( 634 )

Net unrealized gain/(loss) ( 18,130 ) ( 275 ) ( 1,549 ) — 12,195 ( 1,160 )

Equity in earnings/(loss) from affiliates — — — 309 — —

Other (4) ( 406 ) — — — — —

Ending Balance $ 4,103,610 $ 14,667 $ 926 $ 37,447 $ ( 3,402,060 ) $ ( 1,235 )

Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held as of June 30, 2023:

Net premium and discount amortization (3) 395 ( 97 ) — — ( 3,125 ) —

Net unrealized gain/(loss) ( 17,412 ) ( 275 ) 900 — 12,195 ( 1,235 )

Equity in earnings/(loss) from affiliates — — — 309 — —

Three Months Ended June 30, 2022 (in thousands)

Mortgage Loans (1) Non-Agency

RMBS Derivative Assets (2) AG Arc Securitized

Debt Derivative Liabilities (2)

Beginning balance $ 3,271,786 $ 18,781 $ — $ 54,121 $ ( 1,859,917 ) $ —

Purchases 588,335 — — — — —

Issuances of Securitized Debt — — — — ( 812,470 ) —

Proceeds from sales ( 65,383 ) — — —

Principal repayments ( 150,887 ) ( 543 ) — — 120,810 —

Proceeds from sales or settlements — — ( 416 ) — — 7,805

Included in net income:

5 unchanged sentences

Ending Balance $ 3,569,557 $ 15,579 $ 2,211 $ 50,170 $ ( 2,467,766 ) $ ( 7,058 )

Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held as of March 31, 2023

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

Net premium and discount amortization (3) ( 1,606 ) ( 259 ) — — ( 650 ) —

1 unchanged sentence

Equity in earnings/(loss) from affiliates — — — ( 3,951 ) — —

(1) The beginning balance 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) Included in the interest income and interest expense line items for assets and liabilities, respectively.

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

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

(3) Included in the "Interest Income" and "Interest Expense" line items on the consolidated statement of operations for assets and liabilities, respectively.

(4) Includes transfers of residential mortgage loans to real estate owned as well as activity related to advances.

Three Months Ended March 31, 2022 (in thousands)

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2023

Six months ended June 30, 2023 (in thousands)

Loans (1) Non-Agency

RMBS Derivative Assets (2) AG Arc Securitized

Debt Derivative Liabilities (2)

Beginning balance $ 4,127,843 $ 14,917 $ 98 $ 39,680 $ ( 3,262,352 ) $ ( 9 )

Purchases 243,484 — — — — —

Issuances of Securitized Debt — — — — ( 234,754 ) —

Capital distributions — — — ( 402 ) — —

Proceeds from sales or settlements ( 165,254 ) — ( 2,557 ) — — 634

Principal repayments ( 171,344 ) — — — 161,356 —

Included in net income:

Net premium and discount amortization (3) 1,503 ( 173 ) — — ( 5,863 ) —

Net realized gain/(loss) ( 10,214 ) — 2,557 — — ( 634 )

Net unrealized gain/(loss) 79,081 ( 77 ) 828 — ( 60,447 ) ( 1,226 )

Equity in earnings/(loss) from affiliates — — — ( 1,831 ) — —

Other (4) ( 1,489 ) — — — — —

Ending Balance $ 4,103,610 $ 14,667 $ 926 $ 37,447 $ ( 3,402,060 ) $ ( 1,235 )

Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held as of June 30, 2023:

Net premium and discount amortization (3) 1,539 ( 173 ) — — ( 5,863 ) —

Net unrealized gain/(loss) 69,267 ( 77 ) 926 — ( 60,447 ) ( 1,235 )

Equity in earnings/(loss) from affiliates — — — ( 1,831 ) — —

Six months ended June 30, 2022 (in thousands)

Mortgage Loans (1) Non-Agency

RMBS AG Arc Securitized

RMBS Derivative Assets (2) AG Arc Securitized

Debt Derivative Liabilities (2)

2 unchanged sentences

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

Proceeds from sales or settlements — — ( 416 ) — — 7,805

Principal repayments ( 297,275 ) ( 621 ) — — 237,676 —

6 unchanged sentences

Ending Balance $ 3,569,557 $ 15,579 $ 2,211 $ 50,170 $ ( 2,467,766 ) $ ( 7,058 )

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

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

Net premium and discount amortization (3) ( 4,577 ) ( 420 ) — — ( 601 ) —

1 unchanged sentence

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

(1) Includes Securitized residential mortgage loans.

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

(3) Included in the interest income and interest expense line items for assets and liabilities, respectively.

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

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

(3) Included in the "Interest Income" and "Interest Expense" line items on the consolidated statement of operations for assets and liabilities, respectively.

(4) Includes transfers of residential mortgage loans to real estate owned as well as activity related to advances.

2 unchanged sentences

Notes to Consolidated Financial Statements (Unaudited)

March 31, 2023

The following table presents a summary of quantitative information about the significant unobservable inputs used in the fair value measurement of investments for which the Company has utilized Level 3 inputs to determine fair value ($ in thousands).

March 31, 2023 December 31, 2022

June 30, 2023

June 30, 2023 December 31, 2022

Valuation Technique Unobservable Input Fair Value Range

64 unchanged sentences

(1) Amounts are weighted based on fair value.

(2) Includes Residential mortgage loans held for sale as of December 31, 2022.

(2) Includes Securitized residential mortgage loans held for sale as of June 30, 2023.

(3) Includes Residential mortgage loans held for sale as of June 30, 2023 and December 31, 2022.

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

2 unchanged sentences

Notes to Consolidated Financial Statements (Unaudited)

March 31, 2023

The following table presents a summary of the Company's financing as of March 31, 2023 and December 31, 2022 ($ in thousands).

March 31, 2023

June 30, 2023

The following table presents a summary of the Company's financing as of June 30, 2023 and December 31, 2022 ($ in thousands).

June 30, 2023

December 31, 2022

Weighted Average Collateral Fair Value (1)(2)

Financing Weighted Average Collateral Fair Value (1)(2) Financing

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

Financing Arrangements by Asset Type

Securitized Non-Agency Loans (3) $ 192,964 $ 192,964 Apr 2023 - May 2024 6.62 % 0.23 $ 372,882 $ 197,937

Securitized Re- and Non-Performing Loans (3) 39,147 39,147 Apr 2023 7.39 % 0.06 68,231 34,151

Residential mortgage loans (4)(5) 105,768 105,768 June 2023 - Jan 2024 6.78 % 0.40 126,131 360,241

Non-Agency RMBS 22,390 22,390 Apr 2023 - May 2024 6.11 % 0.18 35,787 14,695

Agency RMBS 269,189 269,189 Apr 2023 4.98 % 0.04 287,197 14,163

Securitized Residential Mortgage Loans (3)

Non-Agency Loans $ 192,228 $ 192,228 July 2023 - May 2024 7.06 % 0.30 $ 369,713 $ 197,937

Re- and Non-Performing Loans 26,880 26,880 July 2023 7.76 % 0.05 51,821 34,151

Securitized Residential Mortgage Loans Held for Sale 10,851 10,851 July 2023 7.79 % 0.03 17,188 —

Residential Mortgage Loans (4)

Non-Agency Loans (5) 88,456 88,456 Aug 2023 - June 2024 6.97 % 0.26 109,214 277,797

Agency-Eligible Loans 56,874 56,874 July 2023 6.81 % 0.08 60,696 27,199

Residential Mortgage Loans Held for Sale (5) 59,642 59,642 Aug 2023 - June 2024 6.80 % 0.12 68,920 55,245

Non-Agency RMBS 22,720 22,720 July 2023 - May 2024 6.52 % 0.22 35,987 14,695

Agency RMBS 269,360 269,360 July 2023 - Oct 2023 5.30 % 0.13 278,497 14,163

Total Financing Arrangements $ 727,011 $ 727,011 6.38 % 0.18 $ 992,036 $ 621,187

1 unchanged sentence

Total Financing $ 4,543,708 $ 4,129,071 4.60 % 5.73 $ 992,036 $ 3,883,539

(1) The Company also had $ 1.1 million and $ 3.4 million of cash pledged under repurchase agreements as of March 31, 2023 and December 31, 2022, respectively.

(1) The Company also had $ 8.3 million and $ 3.4 million of cash pledged under repurchase agreements as of June 30, 2023 and December 31, 2022, respectively.

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

(3) Amounts pledged as collateral under 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.

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

Refer to Note 3 for more information on the Non-Agency VIEs and RPL/NPL VIEs.

(4) The Company's Residential mortgage loan financing arrangements include a maximum uncommitted borrowing capacity of $ 2.2 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 financing arrangements was 6.49 % as of March 31, 2023.

As of June 30, 2023, the weighted average stated rate on the financing arrangements related to Non-Agency residential mortgage loans and Residential mortgage loans held for sale was 6.95 % and 6.80 %, respectively.

(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 March 31, 2023 (in thousands).

(7) As of June 30, 2023, the amortized cost of Securitized debt was $ 3.7 billion.

(8) The current face on the Company's Securitized debt excludes Interest Only classes which have no principal balances and bear interest based on a notional balance.

The notional balance is used solely to determine interest distributions on the interest only classes of securities.

As of June 30, 2023, the notional balance on interest only classes of Securitized debt was $ 137.9 million.

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2023

The following table presents contractual maturity information about the Company's borrowings under financing arrangements as of June 30, 2023 (in thousands).

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

Financing Arrangements by Asset Type Within 30 Days Over 30 Days to 3 Months Over 3 Months to 12 Months Over 12 Months Total

Securitized Non-Agency Loans $ 151,894 $ 7,591 $ — $ 33,479 $ 192,964

Securitized Re- and Non-Performing Loans 39,147 — — — 39,147

Financing Arrangements by Asset Type Within 30 Days Over 30 Days to 3 Months Over 3 Months to 12 Months Total

Securitized Residential Mortgage Loans

Non-Agency Loans $ 23,210 $ 72,083 $ 96,935 $ 192,228

Re- and Non-Performing Loans 26,880 — — 26,880

Securitized Residential Mortgage Loans Held for Sale 10,851 — — 10,851

Residential Mortgage Loans

Non-Agency Loans — 62,461 25,995 88,456

Agency-Eligible Loans 56,874 — — 56,874

Residential Mortgage Loans Held for Sale — 58,978 664 59,642

Non-Agency RMBS 8,172 7,945 6,603 22,720

1 unchanged sentence

Total Financing Arrangements $ 126,190 $ 456,997 $ 143,824 $ 727,011

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

March 31, 2023

Counterparties

The Company had outstanding financing arrangements with six counterparties as of March 31, 2023 and December 31, 2022.

The following table presents information as of March 31, 2023 and December 31, 2022 with respect to each counterparty that provides the Company with financing for which the Company had greater than 5% of its stockholders’ equity at risk, excluding stockholders’ equity at risk under financing through affiliated entities ($ in thousands).

March 31, 2023

The Company had outstanding financing arrangements with six counterparties as of June 30, 2023 and December 31, 2022.

The following table presents information as of June 30, 2023 and December 31, 2022 with respect to each counterparty that provides the Company with financing for which the Company had greater than 5% of its stockholders’ equity at risk, excluding stockholders’ equity at risk under financing through affiliated entities ($ in thousands).

June 30, 2023

December 31, 2022

10 unchanged sentences

85,490 72 18.6 % 81,445 113 17.6 %

Goldman Sachs Bank USA 49,971 48 10.8 % (2) (2) (2)

JP Morgan Securities, LLC 38,817 45 8.4 % (2) (2) (2)

Credit Suisse AG, Cayman Islands Branch (1) (1) (1) 130,587 71 28.2 %

(1) As of March 31, 2023, the Company had less than 5 % of its equity at risk under financing arrangements with Credit Suisse AG, Cayman Islands Branch.

(2) As of December 31, 2022, the Company had less than 5 % of its equity at risk under financing arrangements with JP Morgan Securities, LLC.

(1) As of June 30, 2023, the Company had less than 5 % of its equity at risk under financing arrangements with Credit Suisse AG, Cayman Islands Branch.

(2) As of December 31, 2022, the Company had less than 5 % of its equity at risk under financing arrangements with Goldman Sachs Bank USA and JP Morgan Securities, LLC.

Financial Covenants

3 unchanged sentences

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

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

As of March 31, 2023, the Company is in compliance with all of its financial covenants.

Financings pursuant to financing arrangements are generally recourse to the Company.

As of June 30, 2023, the Company is in compliance with all of its financial covenants.

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2023

Other assets and liabilities

The following table details certain information related to the Company's "Other assets" and "Other liabilities" line items on its consolidated balance sheet as of March 31, 2023 and December 31, 2022 (in thousands).

March 31, 2023 December 31, 2022

The following table details certain information related to the Company's "Other assets" and "Other liabilities" line items on its consolidated balance sheet as of June 30, 2023 and December 31, 2022 (in thousands).

June 30, 2023 December 31, 2022

Interest receivable $ 20,536 $ 20,593

11 unchanged sentences

(1) Refer to Note 10 for more information.

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

March 31, 2023

The following table presents the fair value of the Company's derivatives and other instruments and their balance sheet location as of March 31, 2023 and December 31, 2022 (in thousands).

The following table presents the fair value of the Company's derivatives and other instruments and their balance sheet location as of June 30, 2023 and December 31, 2022 (in thousands).

Derivatives and Other Instruments (1) Balance Sheet

Location March 31, 2023 December 31, 2022

Location June 30, 2023 December 31, 2022

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

Pay Fix/Receive Float Interest Rate Swap Agreements (2) Other liabilities ( 41 ) —

Long TBAs Other assets 8 —

Long TBAs Other liabilities ( 3 ) —

Short TBAs Other assets — 650

Short TBAs Other liabilities ( 251 ) —

Forward Purchase Commitments

2 unchanged sentences

Other liabilities ( 1,235 ) ( 9 )

(1) As of March 31, 2023 and December 31, 2022, no derivatives held by the Company were designated as hedges for accounting purposes.

(2) As of March 31, 2023, the Company applied a reduction in fair value of $ 3.9 million and $ 6.6 million to its interest rate swap assets and liabilities, respectively, related to variation margin with a corresponding increase or decrease in restricted cash.

(1) As of June 30, 2023 and December 31, 2022, no derivatives held by the Company were designated as hedges for accounting purposes.

(2) As of June 30, 2023, the Company applied a reduction in fair value of $ 10.9 million and $ 0.7 million to its interest rate swap assets and liabilities, respectively, related to variation margin with a corresponding increase or decrease in restricted cash.

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

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2023

The following table summarizes information related to derivatives and other instruments as of June 30, 2023 and December 31, 2022 (in thousands).

Notional amount of non-hedge derivatives and other instruments:

Notional Currency March 31, 2023 December 31, 2022

Notional Currency June 30, 2023 December 31, 2022

Pay Fix/Receive Float Interest Rate Swap Agreements (1) USD $ 607,000 $ 335,000

1 unchanged sentence

Forward Purchase Commitments USD 221,852 8,006

(1) As of March 31, 2023, the Company's pay fix/receive float interest rate swaps had a weighted average pay-fixed rate of 3.69 %, a weighted average receive-variable rate of 4.87 %, and a weighted average years to maturity of 4.37 years.

(1) As of June 30, 2023, the Company's pay fix/receive float interest rate swaps had a weighted average pay-fixed rate of 3.75 %, a weighted average receive-variable rate of 5.09 %, and a weighted average years to maturity of 4.28 years.

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.

Derivative and other instruments eligible for offset are presented gross on the consolidated balance sheets as of March 31, 2023 and December 31, 2022, if applicable.

Derivative and other instruments eligible for offset are presented gross on the consolidated balance sheets as of June 30, 2023 and December 31, 2022, if applicable.

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

2 unchanged sentences

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

As of March 31, 2023, the Company's restricted cash balance included $ 12.3 million of collateral related to certain derivatives, of which $ 15.0 million represents cash collateral posted by the Company and has been reduced by $ 2.7 million related to variation margin.

As of June 30, 2023, the Company's restricted cash balance included $ 15.7 million of collateral related to certain derivatives, of which $ 5.6 million represents cash collateral posted by the Company and $ 10.1 million represents amounts related to variation margin.

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.

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

March 31, 2023

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

Three Months Ended

March 31, 2023 March 31, 2022

The following table summarizes gains/(losses) related to derivatives and other instruments for the three and six months ended June 30, 2023 and 2022 (in thousands).

Three Months Ended Six Months Ended

June 30, 2023 June 30, 2022 June 30, 2023 June 30, 2022

Included within Net unrealized gain/(loss)

4 unchanged sentences

( 2,709 ) ( 4,847 ) ( 398 ) ( 4,768 )

9,520 ( 9,507 ) ( 10,449 ) 40,410

Included within Net realized gain/(loss)

Interest Rate Swaps 711 29,509 10,534 45,216

Long TBAs 5 ( 7,635 ) 5 ( 7,635 )

Short TBAs ( 249 ) 3,632 ( 70 ) 13,578

Forward Purchase Commitments

1,923 ( 7,389 ) 1,923 ( 7,389 )

2,390 18,117 12,392 43,770

Total income/(loss) $ 11,910 $ 8,610 $ 1,943 $ 84,180

The following table presents information about the Company’s to-be-announced securities ("TBAs") for the three months ended March 31, 2023 and 2022 (in thousands).

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2023

The following table presents information about the Company’s to-be-announced securities ("TBAs") for the three and six months ended June 30, 2023 and 2022 (in thousands).

Three Months Ended

3 unchanged sentences

Asset Derivative

March 31, 2023

June 30, 2022

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

March 31, 2023

Six Months Ended

Buys or Covers Sales or Shorts Ending Notional

Amount Fair Value as of Period End Receivable/(Payable)

from/to Broker Derivative

Asset Derivative

June 30, 2023

Long TBAs $ — $ 10,000 $ ( 10,000 ) $ — $ — $ — $ — $ —

June 30, 2023

Short TBAs ( 40,000 ) 100,000 ( 60,000 ) — — — — —

March 31, 2022

June 30, 2022

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

March 31, 2022

June 30, 2022

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

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

March 31, 2023

Earnings per share

The following table presents a reconciliation of the earnings and shares used in calculating basic and diluted earnings per share for the three months ended March 31, 2023 and 2022 (in thousands, except per share data).

Three Months Ended

March 31, 2023 March 31, 2022

The following table presents a reconciliation of the earnings and shares used in calculating basic and diluted earnings per share for the three and six months ended June 30, 2023 and 2022 (in thousands, except per share data).

Three Months Ended Six Months Ended

June 30, 2023 June 30, 2022 June 30, 2023 June 30, 2022

Net Income/(Loss) $ 8,056 $ ( 48,723 ) $ 20,596 $ ( 61,925 )

6 unchanged sentences

Diluted $ 0.17 $ ( 2.27 ) $ 0.55 $ ( 3.00 )

The following tables detail the Company's common stock dividends declared during the three months ended March 31, 2023 and 2022.

Three Months Ended March 31, 2023

Three Months Ended March 31, 2022

The following table details the Company's common stock dividends declared during the six months ended June 30, 2023 and 2022.

Six Months Ended June 30, 2023 Six Months Ended June 30, 2022

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

3/15/2023 3/31/2023 4/28/2023 $ 0.18 3/18/2022 3/31/2022 4/29/2022 $ 0.21

The following tables detail the Company's preferred stock dividends declared and paid during the three months ended March 31, 2023 and 2022.

6/15/2023 6/30/2023 7/31/2023 0.18 6/15/2022 6/30/2022 7/29/2022 0.21

Total $ 0.36 Total $ 0.42

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2023

The following tables detail the Company's preferred stock dividends declared and paid during the six months ended June 30, 2023 and 2022.

2023 Cash Dividend Per Share

3 unchanged sentences

2/16/2023 2/28/2023 3/17/2023 $ 0.51563 $ 0.50 $ 0.50

5/4/2023 5/31/2023 6/20/2023 0.51563 0.50 0.50

Total $ 1.03126 $ 1.00 $ 1.00

2022 Cash Dividend Per Share

3 unchanged sentences

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

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

Total $ 1.03126 $ 1.00 $ 1.00

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

2 unchanged sentences

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 three and six months ended June 30, 2023 and 2022, the Company did no t record any excise tax.

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements (Unaudited)

March 31, 2023

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 three months ended March 31, 2023 and 2022, the Company did no t recognize any excise tax.

June 30, 2023

Taxable REIT Subsidiaries

3 unchanged sentences

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

The federal statutory rate for the three months ended March 31, 2023 and 2022 was 21%.

The federal statutory rate for the three and six months ended June 30, 2023 and 2022 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 three months ended March 31, 2023 and 2022, the Company recorded $ 0.2 million and $ 9.0 thousand of tax expense attributable to its TRSs, respectively, which is recorded in the "Non-investment related expenses" line item on the consolidated statement of operations.

The tax expense attributable to its TRS is recorded in the "Non-investment related expenses" line item on the consolidated statement of operations.

The below table details the tax expense attributable to the TRS for the three and six months ended June 30, 2023 and 2022 (in thousands).

Three Months Ended Six Months Ended

June 30, 2023 June 30, 2022 June 30, 2023 June 30, 2022

Income tax expense $ — $ 6 $ 225 $ 15

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.

As of March 31, 2023 and December 31, 2022 the Company recorded a deferred tax asset of approximately $ 30.8 million and $ 30.2 million, respectively relating to net operating loss carryforwards, capital loss carryforwards and basis differences of certain investments held within TRSs.

As of June 30, 2023 and December 31, 2022, the Company recorded a deferred tax asset of approximately $ 30.7 million and $ 30.2 million, respectively, relating to net operating loss carryforwards, capital loss carryforwards, and basis differences of certain investments held within TRSs.

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 than not the deferred tax asset will not be realized and established a full valuation allowance of as of March 31, 2023 and December 31, 2022.

The Company concluded it is more likely than not the deferred tax asset will not be realized and established a full valuation allowance as of June 30, 2023 and December 31, 2022.

Uncertain Income Tax Positions

Based on its analysis of any potential uncertain income tax positions, the Company concluded it did not have any uncertain tax positions that meet the recognition or measurement criteria of ASC 740 as of March 31, 2023 and December 31, 2022.

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

12 unchanged sentences

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

For purposes of calculating the management fee, "Stockholders’ Equity" means the sum of the net proceeds from any issuances of equity securities (including preferred securities) since inception (allocated on a pro rata daily basis for such issuances during the fiscal quarter of any such issuance, and excluding any future equity issuance to the Manager), plus the Company’s retained earnings at the end of such quarter (without taking into account any non-cash equity compensation expense or other non-cash items described below incurred in current or prior periods), less any amount that the Company pays for repurchases of its common stock, excluding any unrealized gains, losses or other non-cash items that have

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements (Unaudited)

March 31, 2023

impacted stockholders’ equity as reported in the Company’s financial statements prepared in accordance with GAAP, regardless of whether such items are included in other comprehensive income or loss, or in net income, and excluding one-time events pursuant to changes in GAAP, and certain other non-cash charges after discussions between the Manager and the Company’s independent directors and after approval by a majority of the Company’s independent directors.

June 30, 2023

Company pays for repurchases of its common stock, excluding any unrealized gains, losses or other non-cash items that have impacted stockholders’ equity as reported in the Company’s financial statements prepared in accordance with GAAP, regardless of whether such items are included in other comprehensive income or loss, or in net income, and excluding one-time events pursuant to changes in GAAP, and certain other non-cash charges after discussions between the Manager and the Company’s independent directors and after approval by a majority of the Company’s independent directors.

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

The below table details the management fees incurred during the three months ended March 31, 2023 and 2022 (in thousands).

Three Months Ended

The below table details the management fees incurred during the three and six months ended June 30, 2023 and 2022 (in thousands).

Three Months Ended Six Months Ended

Consolidated statements of operations line item:

March 31, 2023 March 31, 2022

June 30, 2023 June 30, 2022 June 30, 2023 June 30, 2022

Management fee to affiliate $ 2,061 $ 1,958 $ 4,136 $ 3,920

As of March 31, 2023 and December 31, 2022, the Company recorded management fees payable of $ 2.1 million and $ 2.1 million, respectively.

As of June 30, 2023 and December 31, 2022, the Company recorded management fees payable of $ 2.1 million and $ 2.1 million, respectively.

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

Incentive fee

In connection with the common stock offering in November 2021, including the Manager's purchase of 700,000 shares in the offering, on November 22, 2021, the Company and the Manager executed an amendment (the "Third 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.

During the three months ended March 31, 2023, the Company did not incur any incentive fee expense.

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) $ 341.5 million and (ii) the gross proceeds of any subsequent public or private common stock offerings by the Company.

The Manager is entitled to an annual incentive fee with respect to each applicable fiscal year, which will be equal to 15 % of the amount by which the Company's cumulative adjusted net income from November 22, 2021 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) $ 341.5 million and (ii) 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.

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.

During the three and six months ended June 30, 2023, the Company did not incur any incentive fee expense.

Termination fee

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

As of March 31, 2023 and December 31, 2022, no event of termination of the management agreement had occurred.

As of June 30, 2023 and December 31, 2022, no event of termination of the management agreement had occurred.

Expense reimbursement

2 unchanged sentences

however, the reimbursement is subject to an annual budget process which combines guidelines from the management agreement with oversight by the Company’s Board of Directors.

The Company reimburses the Manager or its affiliates for the Company’s allocable share of the compensation, including, without limitation, annual base salary, bonus, any related withholding taxes, and employee benefits paid to (i) the Company’s chief financial officer based on the percentage of time spent on Company affairs, (ii) the Company’s general counsel based on the percentage of time spent on the Company’s affairs, and (iii) other corporate finance, tax, accounting, internal audit, legal, risk management, operations, compliance, and other non-investment personnel of the Manager and its affiliates who spend all or a portion of their time managing the Company’s affairs based upon the percentage of time devoted by such personnel to the Company’s affairs.

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

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements (Unaudited)

March 31, 2023

The Company reimburses the Manager or its affiliates for the Company’s allocable share of the compensation, including, without limitation, annual base salary, bonus, any related withholding taxes and employee benefits paid to (i) the Company’s chief financial officer based on the percentage of time spent on Company affairs, (ii) the Company’s general counsel based on the percentage of time spent on the Company’s affairs, and (iii) other corporate finance, tax, accounting, internal audit, legal, risk management, operations, compliance and other non-investment personnel of the Manager and its affiliates who spend all or a portion of their time managing the Company’s affairs based upon the percentage of time devoted by such personnel to the Company’s affairs.

The below table details the expense reimbursement incurred during the three months ended March 31, 2023 and 2022 (in thousands).

Three Months Ended

June 30, 2023

The below table details the expense reimbursement incurred during the three and six months ended June 30, 2023 and 2022 (in thousands).

Three Months Ended Six Months Ended

Consolidated statements of operations line item:

March 31, 2023 March 31, 2022

June 30, 2023 June 30, 2022 June 30, 2023 June 30, 2022

Non-investment related expenses

1 unchanged sentence

Investment related expenses

110 241 212 376

Transaction related expenses 318 775 381 1,746

Expense reimbursements to Manager or its affiliates $ 1,828 $ 2,421 $ 3,393 $ 4,932

As of March 31, 2023 and December 31, 2022, the Company recorded a reimbursement payable to the Manager or its affiliates of $ 1.4 million and $ 1.3 million, respectively.

As of June 30, 2023 and December 31, 2022, the Company recorded a reimbursement payable to the Manager or its affiliates of $ 2.2 million and $ 1.3 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.

3 unchanged sentences

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

As of March 31, 2023, 535,530 shares of common stock were available to be awarded under the 2020 Equity Incentive Plan.

Since inception of the 2020 Equity Incentive Plan and through March 31, 2023, the Company has granted an aggregate of 131,136 shares of restricted common stock to its independent directors under its 2020 Equity Incentive Plan, all of which have vested.

As of June 30, 2023, 520,182 shares of common stock were available to be awarded under the 2020 Equity Incentive Plan.

Since inception of the 2020 Equity Incentive Plan and through June 30, 2023, the Company has granted an aggregate of 146,484 shares of restricted common stock to its independent directors under its 2020 Equity Incentive Plan, all of which have vested.

Manager Equity Incentive Plans

1 unchanged sentence

2021 Manager Equity Incentive Plan (the "2021 Manager Plan") became effective on April 7, 2021 and provides for a maximum of 573,425 shares of common stock that may be subject to awards thereunder to the Manager.

As of March 31, 2023, there were no shares or awards issued under the 2021 Manager Plan.

As of June 30, 2023, there were no shares or awards issued under the 2021 Manager Plan.

Director compensation

As of March 31, 2023, the Company's Board of Directors consisted of four independent directors.

As of June 30, 2023, 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.

1 unchanged sentence

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 common stock grants

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 of Directors.

In addition to the annual base director's fee, 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, 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 .

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements (Unaudited)

March 31, 2023

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.

June 30, 2023

Investments in debt and equity of affiliates

13 unchanged sentences

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").

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

March 31, 2023

Summary of investments in debt and equity of affiliates and related earnings

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 March 31, 2023 and December 31, 2022 (in thousands).

March 31, 2023 December 31, 2022

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 June 30, 2023 and December 31, 2022 (in thousands).

June 30, 2023 December 31, 2022

Assets Liabilities Equity Assets Liabilities Equity

6 unchanged sentences

Investments in debt and equity of affiliates $ 86,569 $ ( 18,419 ) $ 68,150 $ 92,579 $ ( 21,515 ) $ 71,064

(1) As of March 31, 2023 and 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.

(1) As of June 30, 2023 and 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.

The below table reconciles the net income/(loss) to the "Equity in earnings/(loss) from affiliates" line item on the Company's consolidated statements of operations for the three months ended March 31, 2023 and 2022 (in thousands).

Three Months Ended

March 31, 2023 March 31, 2022

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2023

The below table reconciles the net income/(loss) to the "Equity in earnings/(loss) from affiliates" line item on the Company's consolidated statements of operations for the three and six months ended June 30, 2023 and 2022 (in thousands).

Three Months Ended Six Months Ended

June 30, 2023 June 30, 2022 June 30, 2023 June 30, 2022

Non-QM Securities $ 349 $ ( 370 ) $ 1,974 $ ( 1,259 )

4 unchanged sentences

$ 438 $ ( 5,806 ) $ 454 $ ( 7,860 )

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

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

Refer to "Transactions with Arc Home" below for more information on this accounting policy.

2 unchanged sentences

In connection with the Company’s investments in residential mortgage loans, the Company engages asset managers to provide advisory, consultation, asset management, and other services.

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

The Company pays the Asset Manager asset management fees which are assessed periodically

The Company engaged Red Creek Asset Management LLC (the "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 asset management fees which are assessed periodically and determined to be commercially reasonable by a third-party valuation firm.

The below details the fees paid by the Company to the Asset Manager during the three and six months ended June 30, 2023 and 2022 (in thousands).

Three Months Ended Six Months Ended

June 30, 2023 June 30, 2022 June 30, 2023 June 30, 2022

Fees paid to Asset Manager $ 680 $ 609 $ 1,363 $ 1,182

As of June 30, 2023 and December 31, 2022, the Company recorded asset management fees payable of $ 0.2 million and $ 0.2 million, respectively.

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

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements (Unaudited)

March 31, 2023

and determined to be commercially reasonable by a third-party valuation firm.

The below table details the fees paid by the Company to the Asset Manager during the three months ended March 31, 2023 and 2022 (in thousands).

Three Months Ended

March 31, 2023 March 31, 2022

Fees paid to Asset Manager $ 683 $ 573

As of March 31, 2023 and December 31, 2022, the Company recorded asset management fees payable of $ 0.2 million and $ 0.2 million, respectively.

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

June 30, 2023

Transactions with Arc Home

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

The below table details the unpaid principal balance of Non-Agency Loans and Agency-Eligible Loans sold to the Company and private funds under the management of Angelo Gordon during the three months ended March 31, 2023 and 2022 (in thousands).

Three Months Ended

March 31, 2023 March 31, 2022

The below table details the unpaid principal balance of Non-Agency Loans and Agency-Eligible Loans sold to the Company and private funds under the management of Angelo Gordon during the three and six months ended June 30, 2023 and 2022 (in thousands).

Three Months Ended Six Months Ended

June 30, 2023 June 30, 2022 June 30, 2023 June 30, 2022

Residential mortgage loans sold by Arc Home to the Company $ 193,207 $ 300,250 $ 193,207 $ 678,082

Residential mortgage loans sold by Arc Home to private funds under the management of Angelo Gordon 31,063 6,089 121,647 131,791

In connection with the sale of loans from Arc Home to the Company, the Company eliminates any intra-entity 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 or losses.

The Company did not purchase any loans from Arc Home during the three months ended March 31, 2023.

The table below summarizes intra-entity profits eliminated during the three months ended March 31, 2023 and 2022 (in thousands).

Three Months Ended

March 31, 2023

March 31, 2022

The table below summarizes intra-entity profits eliminated during the three and six months ended June 30, 2023 and 2022 (in thousands).

Three Months Ended Six Months Ended

June 30, 2023

June 30, 2022

June 30, 2023

June 30, 2022

Intra-Entity Profits Eliminated $ 341 $ 1,758 $ 341 $ 4,114

8 unchanged sentences

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.

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

June 2023 Purchase of Real Estate Securities $ 0.3 Competitive biding process (2)

(1) As of the transaction date.

(2) The Company submitted an offer to purchase the securities from an affiliate in a competitive bidding process, which 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 (Unaudited)

March 31, 2023

June 30, 2023

Stock repurchase programs

1 unchanged sentence

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

No shares were repurchased under the 2015 Repurchase Program during the three months ended March 31, 2022.

The table below details the Company's share repurchases under the 2015 Repurchase Program during the six months ended June 30, 2022:

Three Months Ended (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)

March 31, 2022 — $ — — $ 11,043,506

June 30, 2022 1,433,851 7.70 1,433,851 —

Total 1,433,851 $ 7.70 1,433,851 $ —

(1) Based on trade date.

(2) Includes brokerage commissions and clearing fees.

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.

3 unchanged sentences

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 March 31, 2023, approximately $ 2.6 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 three months ended March 31, 2023:

As of June 30, 2023, approximately $ 1.5 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 six months ended June 30, 2023:

Three Months Ended (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)

Three Months Ended March 31, 2023

January 1, 2023 to January 31, 2023 91,173 $ 5.66 91,173 $ 7,300,982

February 1, 2023 to February 28, 2023 85,438 6.26 85,438 6,766,462

March 1, 2023 to March 31, 2023 746,650 5.62 746,650 2,569,940

March 31, 2023 923,261 $ 5.68 923,261 $ 2,569,940

June 30, 2023 187,020 5.93 187,020 1,461,810

Total 1,110,281 $ 5.72 1,110,281 $ 1,461,810

1 unchanged sentence

(2) Includes brokerage commissions and clearing fees.

Subsequent to March 31, 2023, the Company repurchased 0.1 million shares of common stock for $ 0.8 million, representing a weighted average cost of $ 5.85 per share, under the 2022 Repurchase Program, following which $ 1.7 million remained available for future repurchases under such program.

On May 4, 2023, the Company's Board of Directors authorized a stock repurchase program (the "2023 Repurchase Program") to repurchase up to $ 15.0 million of the Company’s outstanding common stock on substantially the same terms as the 2022 Repurchase Program.

As of the date of this filing, the full $ 15 million authorized amount remains available for repurchase under the 2023 Repurchase Program.

As of June 30, 2023, the full $ 15.0 million authorized amount remains available for repurchase under the 2023 Repurchase Program.

This authorization is in addition to the amount remaining under the 2022 Repurchase Program.

2 unchanged sentences

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 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.

The cost of the

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements (Unaudited)

March 31, 2023

June 30, 2023

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

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.

The Company did no t issue any shares of common stock under the Equity Distribution Agreements during the three months ended March 31, 2023 and 2022.

The Company did no t issue any shares of common stock under the Equity Distribution Agreements during the three and six months ended June 30, 2023 and 2022.

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

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

As of March 31, 2023 and December 31, 2022, there were 1.7 million, 3.7 million, and 3.7 million of Series A Preferred Stock, Series B Preferred Stock, and Series C Preferred Stock, respectively, issued and outstanding.

The following table includes a summary of preferred stock issued and outstanding as of March 31, 2023 ($ and shares in thousands).

As of June 30, 2023 and December 31, 2022, 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 June 30, 2023 ($ and shares in thousands).

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

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(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.

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements (Unaudited)

March 31, 2023

June 30, 2023

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 March 31, 2023, the Company was not involved in any material legal proceedings.

The below table details the Company's outstanding commitments as of March 31, 2023 (in thousands).

As of June 30, 2023, the Company was not involved in any material legal proceedings.

The below table details the Company's outstanding commitments as of June 30, 2023 (in thousands).

Commitment type Date of Commitment Total Commitment Funded Commitment Remaining Commitment

Non-Agency and Agency-Eligible Loans (1) Various $ 225,745 $ — $ 225,745

Land Related Financing (2) Various 13,344 10,814 2,530

Total $ 179,860 $ 10,814 $ 169,046

(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 March 31, 2023.

(1) The Company entered into forward purchase commitments to acquire certain Non-Agency and Agency-Eligible Loans from Arc Home which have not yet settled as of June 30, 2023.

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

(2) Refer to Note 10 "Investments in debt and equity of affiliates" for more information regarding LOTS.

Subsequent Events

Subsequent to March 31, 2023, the Company repurchased 144,772 shares of common stock for $ 0.8 million, representing a weighted average cost of $ 5.85 per share.

As of the date of this filing, the Company has $ 1.7 million of capacity remaining under the 2022 Repurchase Program.

On May 4, 2023, the Company's Board of Directors authorized the 2023 Repurchase Program to repurchase up to $ 15 million of the Company’s outstanding common stock on substantially the same terms as the 2022 Repurchase Program.

As of the date of this filing, the full $ 15 million authorized amount remains available for repurchase under the 2023 Repurchase Program.

This authorization is in addition to the amount remaining under the 2022 Repurchase Program.

The Company announced that on May 4, 2023 its Board of Directors declared second 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.

The dividends will be paid on June 20, 2023 to holders of record on May 31, 2023.

The Company announced that on July 31, 2023 its Board of Directors declared third 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.

The dividends will be paid on September 18, 2023 to holders of record on August 31, 2023.

The Company sold Non-Agency Loans for gross proceeds of $ 68.9 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 June 30, 2023.

Proposed Western Asset Mortgage Capital Corporation Merger

As previously announced, on August 8, 2023, the Company entered into an Agreement and Plan of Merger (the "Merger Agreement") with Western Asset Mortgage Capital Corporation, a Delaware corporation ("WMC"), AGMIT Merger Sub, LLC, a Delaware limited liability company and wholly owned subsidiary of the Company ("Merger Sub"), and, solely for the purposes set forth in the Merger Agreement, the Manager.

Pursuant to, and subject to the terms and conditions set forth in the Merger Agreement, WMC will merge with and into Merger Sub, with Merger Sub surviving (the "Merger").

The execution by the Company, Merger Sub, WMC and the Manager of the Merger Agreement was concurrent with the termination by WMC of the Agreement and Plan of Merger, dated as of June 27, 2023, by and among WMC, Maverick Merger Sub, LLC and Terra Property Trust, Inc.

(the "TPT Merger Agreement"), on August 8, 2023, in accordance with its terms.

On August 8, 2023, concurrently with the termination by WMC of the TPT Merger Agreement, the Company, on behalf of WMC, paid to Terra Property Trust, Inc.

a termination fee of $ 3.0 million as required by the TPT Merger Agreement (the "TPT Termination Fee").

Under the terms of the Merger Agreement, at the effective time of the Merger (the "Effective Time"), each outstanding share of WMC common stock will be converted into the right to receive the following (the "Per Share Merger Consideration"):

(i) 1.50 shares, or 9.2 million shares in aggregate, of the Company's common stock pursuant to a fixed exchange ratio (subject to adjustment for transaction expenses);

and (ii) the per share portion of a cash payment from the Manager equal to the lesser of $ 7.0 million or approximately 9.9 % of the aggregate Per Share Merger Consideration (any difference between $ 7.0 million and the approximately 9.9 % cap will be used to benefit the combined company post-closing by offsetting reimbursable expenses that would otherwise be payable to the Manager).

Additionally, the Manager, which will be the manager of the combined

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2023

company, will waive $ 2.4 million of management fees owed to it in the first year post-closing.

Cash will be paid in lieu of any fractional shares of the Company's common stock that would otherwise have been received as a result of the Merger.

For purposes of the transaction expenses adjustment, WMC's transaction expenses exclude (i) a $ 7.0 million termination fee payable by WMC to its existing manager in connection with the termination of the existing WMC management agreement, (ii) accrued but unpaid management fees and unreimbursed expenses owed to WMC's manager, (iii) transfer taxes, (iv) the costs of a D&O tail policy, and (v) the TPT Termination Fee.

Additionally, at the Effective Time, M.

Christian Mitchell and Lisa G.

Quateman (together, the "WMC Director Designees"), each an independent director currently serving on WMC's board of directors, will be appointed to the Company's Board of Directors.

The Company has further agreed to nominate the WMC Director Designees to the Company's Board of Directors at its next annual stockholder meeting following the Effective Time.

The Merger is expected to close in the fourth quarter of 2023, subject to the respective approvals by the Company's stockholders and WMC's stockholders and other customary closing conditions set forth in the Merger Agreement.

In connection with the proposed Merger with WMC, the Company and the Manager entered into an amendment (the "MITT Management Agreement Amendment") to the management agreement, pursuant to which (i) the Manager’s base management fee will be reduced by $ 0.6 million for the first four quarters following the Effective Time, beginning with the fiscal quarter in which the Effective Time occurs, and (ii) the Manager will waive its right to seek reimbursement from the Company for any expenses otherwise reimbursable by the Company under the management agreement in an amount equal to the excess, if any, of $ 7.0 million over the aggregate cash portion of the Per Share Merger Consideration paid by the Manager to the holders of WMC common stock in the Merger.

The amendment will become effective automatically upon the closing of the Merger, and will have no force and effect if the Merger does not close.

Compared sentence by sentence after normalising whitespace, quotation marks, case and digits, so re-formatting and restated figures do not read as changed language. Wording changes appear as one removal and one addition. The current filing and the prior one are authoritative.

What changed 10-Q

Item 1. Financial Statements