What changed in this filing

/stocks — the workspaceLOADING

Item 1. Financial Statements

2023-11-09 compared with 2023-08-09 · 338 added, 310 removed, 1022 unchanged (39% of the section changed)

4 unchanged sentences

(in thousands, except per share data)

June 30, 2023 December 31, 2022

September 30, 2023 December 31, 2022

Securitized residential mortgage loans, at fair value - $ 512,146 and $ 423,967 pledged as collateral, respectively (1)

$ 4,343,371 $ 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 - $ 136,543 and $ 353,039 pledged as collateral, respectively

1 unchanged sentence

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

68,920 64,984

Real estate securities, at fair value - $ 170,213 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 20,205 and 21,284 shares issued and outstanding at June 30, 2023 and December 31, 2022, respectively

450,000 shares of common stock authorized and 20,219 and 21,284 shares issued and outstanding at September 30, 2023 and December 31, 2022, respectively

Additional paid-in capital 772,525 778,606

10 unchanged sentences

(in thousands, except per share data)

Three Months Ended Six Months Ended

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

Three Months Ended Nine Months Ended

September 30, 2023 September 30, 2022 September 30, 2023 September 30, 2022

Net Interest Income

29 unchanged sentences

(in thousands)

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

For the Three Months Ended September 30, 2023 and September 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 )

Balance at July 1, 2023 20,205 $ 202 $ 220,472 $ 772,438 $ ( 532,387 ) $ 460,725

Grant of restricted stock 14 — — 87 — 87

2 unchanged sentences

Net Income/(Loss) — — — — ( 2,165 ) ( 2,165 )

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

Balance at September 30, 2023 20,219 $ 202 $ 220,472 $ 772,525 $ ( 542,777 ) $ 450,422

Common Stock Preferred

3 unchanged sentences

Shares Amount Total

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

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

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

3 unchanged sentences

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

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

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

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

For the Nine Months Ended September 30, 2023 and September 30, 2022

Common Stock Preferred

9 unchanged sentences

Net Income/(Loss) — — — — 18,431 18,431

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

Balance at September 30, 2023 20,219 $ 202 $ 220,472 $ 772,525 $ ( 542,777 ) $ 450,422

Common Stock Preferred

9 unchanged sentences

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

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

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

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

3 unchanged sentences

(in thousands)

Six Months Ended

June 30, 2023 June 30, 2022

Nine Months Ended

September 30, 2023 September 30, 2022

Cash Flows from Operating Activities

37 unchanged sentences

Cash and cash equivalents and restricted cash, End of Period $ 139,262 $ 99,436

Six Months Ended

June 30, 2023 June 30, 2022

Nine Months Ended

September 30, 2023 September 30, 2022

Supplemental disclosure of cash flow information:

6 unchanged sentences

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

June 30, 2023 June 30, 2022

September 30, 2023 September 30, 2022

Cash and cash equivalents $ 118,735 $ 77,638

5 unchanged sentences

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2023

September 30, 2023

AG Mortgage Investment Trust, Inc.

26 unchanged sentences

Government such as Ginnie Mae.

(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.

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

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

3 unchanged sentences

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

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

("Angelo Gordon"), a diversified credit and real estate investing platform within TPG Inc.

TPG) is a leading global alternative asset management firm.

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

2 unchanged sentences

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2023

September 30, 2023

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

All intercompany balances and transactions have been eliminated in consolidation.

Proposed Acquisition of Western Asset Mortgage Capital Corporation

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").

On November 7, 2023, the Company's stockholders approved the issuance of the Company's common stock in connection with the Merger with WMC at a special stockholders meeting.

No further Company stockholder approval is required for the Merger.

On November 7, 2023, WMC announced it adjourned its special stockholders meeting relating to the Merger until December 5, 2023, at 9:00 a.m., Pacific Time, online in a virtual-only meeting format, due to a lack of quorum and to allow further solicitation of proxies from WMC common stockholders for the approval of the Merger at such special stockholders meeting.

The Merger is expected to close in the fourth quarter of 2023, subject to the satisfaction of certain customary conditions, including approval of WMC's common stockholders.

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) 1.498 shares, or approximately 9.2 million shares in aggregate, of the Company's common stock;

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.

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.

In addition, on August 8, 2023, the Company and the Manager entered into an amendment (the “MITT Management Agreement Amendment”) to the existing management agreement, pursuant to which (i) the base management fee will be reduced by $ 0.6 million for the first four quarters (i.e., resulting in an aggregate $ 2.4 million waiver of base management fees) 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 MITT Management Agreement Amendment will become effective automatically upon the closing of the Merger, and will have no force and effect if the Merger does not close.

Further, in the Merger Agreement, the Company has agreed to take all necessary corporate action so that upon and after the Effective Time, the size of the Company's Board of Directors will be increased by two members, and M.

Christian Mitchell and Lisa G.

Quateman (the "WMC Director Designees") 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 the next annual meeting following the Effective Time.

Concurrently with the execution of the Merger Agreement, WMC terminated its merger agreement (the "TPT Merger Agreement") with Terra Property Trust, Inc.

In connection with such termination, the Company, on behalf of WMC, paid to TPT a termination fee of $ 3.0 million as required by the TPT Merger Agreement (the "TPT Termination Fee").

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2023

Summary of significant accounting policies

1 unchanged sentence

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 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.

For the three months ended September 30, 2022, the Company reclassified $ 2.5 million and $ 1.6 million of other operating expenses into the "Non-investment related expenses" and "Investment related expenses" line items on the consolidated statement of operations, respectively.

For the nine months ended September 30, 2022, the Company reclassified $ 7.7 million and $ 3.9 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 nine months ended September 30, 2022, the Company reclassified $ 1.0 million and $ 3.0 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.

19 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

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements (Unaudited)

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.

September 30, 2023

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), which may result in the Company consolidating the respective VIEs that are created to facilitate these securitizations.

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

Upon consolidation, the Company elected the fair value option pursuant to ASC 825 for the assets and liabilities of the Residential Mortgage Loan VIEs.

Upon consolidation, the Company elected the fair value option pursuant to ASC 825 for the assets and liabilities of the Non-Agency VIEs and RPL/NPL VIEs.

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

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

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

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

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

The Company has determined that the fair value of the liabilities of the Non-Agency VIEs and RPL/NPL VIEs are more observable since the prices for these liabilities are more easily determined as similar instruments trade more frequently on a relative basis than the individual assets of the VIEs.

See Note 3 for more detail regarding the Non-Agency VIEs and RPL/NPL VIEs and Note 5 for more detail related to the Company's determination of fair value for the assets and liabilities included within these VIEs.

Recent accounting pronouncements

6 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.

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

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.

1 unchanged sentence

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

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.

At the time of transition, the Company no longer had derivative contracts indexed to LIBOR and all LIBOR-based financing arrangements 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)

June 30, 2023

September 30, 2023

Residential mortgage loans

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

June 30, 2023

September 30, 2023

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

8 unchanged sentences

Total Residential mortgage loans, at fair value $ 137,864 $ 440 $ 138,304 $ 1,821 $ ( 842 ) $ 139,283 8.06 % 9.26 % 3.64

Total as of June 30, 2023

Total as of September 30, 2023

$ 4,976,412 $ 32,329 $ 5,008,741 $ 6,808 $ ( 532,895 ) $ 4,482,654 5.20 % 5.32 % 9.47

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.

(4) 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)

June 30, 2023

September 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)

June 30, 2023

September 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 $ 137,864 263 74.29 % 754 $ 129,895 $ 1,582 $ 1,583 $ 1,967

Total as of June 30, 2023

Total as of September 30, 2023

$ 4,976,412 12,664 69.80 % 744 $ 4,802,630 $ 60,318 $ 29,861 $ 80,766

15 unchanged sentences

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

(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.

(3) As of September 30, 2023, the Company had securitized residential mortgage loans and residential mortgage loans that were 90+ days delinquent with a fair value of $ 28.3 million and loans in the process of foreclosure with a fair value of $ 43.3 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 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

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

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

Three Months Ended September 30, 2023 Nine Months Ended September 30, 2023

Unpaid Principal Balance Fair Value Unpaid Principal Balance Fair Value

5 unchanged sentences

Notes to Consolidated Financial Statements (Unaudited)

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

September 30, 2023

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

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

Three Months Ended September 30, 2023

Nine Months Ended September 30, 2023

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

1 unchanged sentence

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

Re- and Non- Performing Loans 560 68,693 3,729 ( 4,068 ) 560 68,693 3,729 ( 4,068 )

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

The following is a summary of the geographic concentration of credit risk as of September 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) September 30, 2023 December 31, 2022

California 32 % 33 %

1 unchanged sentence

Florida 11 % 11 %

New Jersey 6 % 6 %

Texas 6 % 5 %

New Jersey 5 % 6 %

(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 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

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 nine months ended September 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 Nine Months Ended

September 30, 2023 September 30, 2022 September 30, 2023 September 30, 2022

Beginning Balance $ 38,477 $ 43,901 $ 42,237 $ 46,521

6 unchanged sentences

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2023

September 30, 2023

Variable interest entities

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

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

September 30, 2023 December 31, 2022

Carrying Value Weighted Average Carrying Value Weighted Average

13 unchanged sentences

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.

(4) As of September 30, 2023 and December 31, 2022, the Company had outstanding financing arrangements of $ 242.9 million and $ 197.9 million, respectively, collateralized by $ 444.2 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

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

September 30, 2023 December 31, 2022

Carrying Value Weighted Average Carrying Value Weighted Average

11 unchanged sentences

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

(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.

(2) 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 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.

(3) As of September 30, 2023 and December 31, 2022, the Company had outstanding financing arrangements of $ 46.6 million and $ 34.2 million, respectively, collateralized by $ 68.0 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)

June 30, 2023

September 30, 2023

Real Estate Securities

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

The following tables detail the Company’s real estate securities portfolio as of September 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

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

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

Non-Agency RMBS

GCAT Non-Agency RMBS (2) (3)

GCAT Non-Agency Securities $ 14,894 $ ( 174 ) $ 14,720 $ — $ ( 4,603 ) $ 10,117 4.35 % 4.66 %

GCAT Non-Agency RMBS Interest Only (4) N/A N/A 2,534 1,845 — 4,379 0.52 % 34.81 %

Total GCAT Non-Agency RMBS 14,894 ( 174 ) 17,254 1,845 ( 4,603 ) 14,496 1.40 % 13.77 %

Non-Agency Securities (3) 30,313 ( 9,278 ) 21,035 281 ( 601 ) 20,715 3.78 % 7.93 %

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

Total Non-Agency RMBS $ 45,207 $ ( 9,452 ) $ 38,289 $ 2,126 $ ( 5,204 ) $ 35,211 2.17 % 10.34 %

2 unchanged sentences

Total Agency RMBS $ 120,102 $ 1,466 $ 137,933 $ 301 $ ( 3,232 ) $ 135,002 5.17 % 6.31 %

Total as of June 30, 2023

Total as of September 30, 2023

$ 165,309 $ ( 7,986 ) $ 176,222 $ 2,427 $ ( 8,436 ) $ 170,213 4.21 % 7.14 %

3 unchanged sentences

Non-Agency RMBS

GCAT Non-Agency RMBS (2) (3)

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

GCAT Non-Agency RMBS Interest Only (4) N/A N/A 2,838 2,220 — 5,058 0.38 % 34.42 %

Total GCAT Non-Agency RMBS 14,894 ( 201 ) 17,531 2,220 ( 4,834 ) 14,917 1.23 % 14.71 %

Non-Agency Securities (3) 16,819 ( 6,674 ) 10,145 28 ( 495 ) 9,678 3.22 % 8.47 %

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 %

3 unchanged sentences

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

(2) GCAT Non-Agency RMBS are securities issued under Gold Creek Asset Trust ("GCAT"), which is the Angelo Gordon securitization shelf under which the Company or private funds under the management of Angelo Gordon securitize loans.

Refer to the "Unconsolidated variable interest entities" section below for additional details on these securities.

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

1 unchanged sentence

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.

As of September 30, 2023, the notional balances for the GCAT Non-Agency RMBS Interest Only and Agency RMBS Interest Only line items were $ 98.9 million and $ 79.9 million, respectively.

As of December 31, 2022, the notional balances for the GCAT 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.

1 unchanged sentence

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).

September 30, 2023

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

Non-Agency RMBS Agency RMBS

June 30, 2023

September 30, 2023

Weighted Average Life (1)

4 unchanged sentences

Greater than ten years 26,440 31,240 3.82 % — — — %

Total as of June 30, 2023

Total as of September 30, 2023

$ 35,211 $ 38,289 2.17 % $ 135,002 $ 137,933 5.17 %

13 unchanged sentences

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

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

The Company sold real estate securities during the three and nine months ended September 30, 2023 and 2022, as detailed below ($ in thousands).

Three Months Ended Nine Months Ended

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

June 30, 2022

September 30, 2023

3 $ 149,143 $ 391 $ ( 429 ) 3 $ 149,143 $ 391 $ ( 429 )

September 30, 2022

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

Unconsolidated variable interest entities

The Company's Non-Agency RMBS includes certain securities retained from a rated Non-QM Loan securitization the Company participated in alongside a private fund under the management of Angelo Gordon.

The Company's Non-Agency RMBS includes certain securities retained from a rated Non-QM Loan securitization the Company participated in alongside a private fund under the management of Angelo Gordon and issued under the GCAT shelf.

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

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

June 30, 2023 December 31, 2022

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

September 30, 2023 December 31, 2022

Current Face Fair Value Current Face Fair Value

Retained interest in unconsolidated VIEs

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

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

GCAT Non-Agency Securities $ 14,894 $ 10,117 $ 14,894 $ 9,859

GCAT Non-Agency RMBS Interest Only (1) N/A 4,379 N/A 5,058

Total retained interest in unconsolidated VIEs (2) (3) $ 14,894 $ 14,496 $ 14,894 $ 14,917

1 unchanged sentence

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.

As of September 30, 2023 and December 31, 2022, the notional balances for the GCAT Non-Agency RMBS Interest Only line item were $ 98.9 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.

(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.

(3) As of September 30, 2023 and December 31, 2022, the Company held securities exposed to the first loss of the securitization with a fair value of $ 3.6 million and $ 4.1 million, respectively.

AG Mortgage Investment Trust Inc.

1 unchanged sentence

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).

September 30, 2023

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

Assets transferred to unconsolidated VIEs:

June 30, 2023 December 31, 2022

September 30, 2023 December 31, 2022

Total unpaid principal balance of loans outstanding (1) $ 120,858 $ 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.

(2) As of September 30, 2023, 1.67 % of loans were 90+ days delinquent and 1.45 % 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.

11 unchanged sentences

Notes to Consolidated Financial Statements (Unaudited)

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

September 30, 2023

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

Fair Value at September 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) 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.

(1) As of September 30, 2023, the Company applied a reduction in fair value of $ 10.7 million to its interest rate swap assets related to variation margin with a corresponding increase 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

(3) 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)

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.

September 30, 2023

The valuation of the Company’s residential mortgage loans, securitized debt relating to the Non-Agency VIEs and RPL/NPL VIEs, certain securities, and forward purchase commitments is determined by the Manager using third-party pricing services where available, valuation analyses from third-party pricing service providers, or model-based pricing.

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

22 unchanged sentences

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

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

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

June 30, 2023

September 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 June 30, 2023 (in thousands)

Three Months Ended September 30, 2023 (in thousands)

Loans (1) Non-Agency

3 unchanged sentences

Purchases 704,680 — — — — —

Issuances of Securitized Debt — — — — ( 639,653 ) —

Capital distributions — — — ( 224 ) — —

8 unchanged sentences

Ending Balance $ 4,481,869 $ 14,496 $ 640 $ 35,203 $ ( 3,831,515 ) $ ( 1,658 )

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

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

Net premium and discount amortization (3) 368 ( 101 ) — — ( 2,999 ) —

1 unchanged sentence

Equity in earnings/(loss) from affiliates — — — ( 2,020 ) — —

Three Months Ended June 30, 2022 (in thousands)

Three Months Ended September 30, 2022 (in thousands)

Mortgage Loans (1) Non-Agency

4 unchanged sentences

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

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

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

Proceeds from sales or settlements — — ( 1,792 ) — — 6,709

Principal repayments ( 95,895 ) ( 43 ) — — 82,826 —

Included in net income:

5 unchanged sentences

Ending Balance $ 4,202,365 $ 15,119 $ 340 $ 46,588 $ ( 3,025,128 ) $ ( 1,543 )

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

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

Net premium and discount amortization (3) 882 ( 183 ) — — ( 1,500 ) —

8 unchanged sentences

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2023

Six months ended June 30, 2023 (in thousands)

September 30, 2023

Nine months ended September 30, 2023 (in thousands)

Loans (1) Non-Agency

14 unchanged sentences

Ending Balance $ 4,481,869 $ 14,496 $ 640 $ 35,203 $ ( 3,831,515 ) $ ( 1,658 )

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

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

Net premium and discount amortization (3) 1,166 ( 274 ) — — ( 8,862 ) —

1 unchanged sentence

Equity in earnings/(loss) from affiliates — — — ( 3,851 ) — —

Six months ended June 30, 2022 (in thousands)

Nine months ended September 30, 2022 (in thousands)

Mortgage Loans (1) Non-Agency

4 unchanged sentences

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

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

Proceeds from sales or settlements — — ( 2,208 ) — — 14,514

7 unchanged sentences

Ending Balance $ 4,202,365 $ 15,119 $ 340 $ 46,588 $ ( 3,025,128 ) $ ( 1,543 )

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

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

Net premium and discount amortization (3) ( 3,695 ) ( 571 ) — — ( 2,101 ) —

8 unchanged sentences

Notes to Consolidated Financial Statements (Unaudited)

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

June 30, 2023 December 31, 2022

September 30, 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 as of September 30, 2023 and December 31, 2022 ($ in thousands).

September 30, 2023 December 31, 2022

Valuation Technique Unobservable Input Fair Value Range

19 unchanged sentences

- 2.64 % - 10.19 % ( 9.99 %)

Consensus Pricing Offered Quotes $ 2,114 69.88 - 127.35 ( 96.86 )

Consensus Pricing Offered Quotes $ — N/A - N/A (N/A)

$ 2,674 93.46 - 107.05 ( 101.11 )

42 unchanged sentences

(1) Amounts are weighted based on fair value.

(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.

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

(3) 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)

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

September 30, 2023

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

September 30, 2023

December 31, 2022

3 unchanged sentences

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 —

Non-Agency Loans $ 242,865 $ 242,865 Oct 2023 - May 2024 7.19 % 0.20 $ 444,180 $ 197,937

Re- and Non-Performing Loans 46,568 46,568 Oct 2023 7.26 % 0.04 67,966 34,151

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

Non-Agency Loans 78,300 78,300 Jan 2024 - Aug 2024 7.51 % 0.74 89,649 277,797

Agency-Eligible Loans 43,907 43,907 Sept 2024 7.17 % 1.00 46,894 27,199

Residential Mortgage Loans Held for Sale — — N/A N/A N/A — 55,245

Non-Agency RMBS 21,969 21,969 Oct 2023 - May 2024 6.72 % 0.14 35,211 14,695

Agency RMBS 132,304 132,304 Oct 2023 - Mar 2024 5.61 % 0.15 135,002 14,163

Total Financing Arrangements $ 565,913 $ 565,913 6.85 % 0.31 $ 818,902 $ 621,187

Securitized debt, at fair value (6) (7) (8) $ 3,816,697 $ 3,402,060 N/A 4.22 % 6.76 N/A $ 3,262,352

Securitized debt, at fair value (5)

Non-Agency Loans (6) (7) $ 4,208,500 $ 3,718,992 N/A 4.69 % 6.87 N/A $ 3,078,593

Re- and Non-Performing Loans (8) 127,935 112,523 N/A 3.20 % 3.87 N/A 183,759

Total Securitized Debt $ 4,336,435 $ 3,831,515 4.65 % 6.79 N/A $ 3,262,352

Total Financing $ 4,902,348 $ 4,397,428 4.93 % 6.06 $ 818,902 $ 3,883,539

(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.

(1) The Company also had $ 9.5 million and $ 3.4 million of cash pledged under repurchase agreements as of September 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 and Securitized residential mortgage loans held for sale include certain of the Company's retained interests in securitizations.

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

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

(4) The Company's Residential mortgage loan financing arrangements include a maximum uncommitted borrowing capacity of $ 2.1 billion on facilities used to finance Non-Agency and Agency-Eligible Loans.

(5) The funding cost includes deferred financing costs.

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.

(5) 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.

(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 Company has no obligation to provide any other explicit or implicit support to the Non-Agency VIEs and RPL/NPL VIEs.

(6) As of September 30, 2023, the amortized cost of Securitized debt in the Company's Non-Agency VIEs was $ 4.1 billion.

(7) The current face on the Company's Securitized debt in the Company's Non-Agency VIEs 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.

As of September 30, 2023, the notional balance on interest only classes of Securitized debt was $ 135.7 million.

(8) As of September 30, 2023, the amortized cost of Securitized debt in the Company's RPL/NPL VIEs was $ 126.1 million.

AG Mortgage Investment Trust Inc.

1 unchanged sentence

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).

September 30, 2023

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

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

3 unchanged sentences

Re- and Non-Performing Loans 46,568 — — 46,568

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

Residential Mortgage Loans

1 unchanged sentence

Agency-Eligible Loans — — 43,907 43,907

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

Non-Agency RMBS 11,587 7,639 2,743 21,969

2 unchanged sentences

Counterparties

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

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

The following table presents information as of September 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).

September 30, 2023

December 31, 2022

13 unchanged sentences

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

(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.

(1) As of September 30, 2023, the Company did no t have any 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.

5 unchanged sentences

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.

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

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2023

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

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

September 30, 2023 December 31, 2022

Interest receivable $ 24,504 $ 20,593

11 unchanged sentences

(1) Refer to Note 10 for more information.

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).

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

Derivatives and Other Instruments (1) Balance Sheet

Location June 30, 2023 December 31, 2022

Location September 30, 2023 December 31, 2022

Pay Fix/Receive Float Interest Rate Swap Agreements (2) Other assets $ 245 $ 470

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

Short TBAs Other assets — 650

3 unchanged sentences

Other liabilities ( 1,658 ) ( 9 )

(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.

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

(2) As of September 30, 2023, the Company applied a reduction in fair value of $ 10.7 million to its interest rate swap assets related to variation margin with a corresponding increase in restricted cash.

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).

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

Notional amount of non-hedge derivatives and other instruments:

Notional Currency June 30, 2023 December 31, 2022

Notional Currency September 30, 2023 December 31, 2022

Pay Fix/Receive Float Interest Rate Swap Agreements (1) USD $ 405,000 $ 335,000

1 unchanged sentence

Forward Purchase Commitments USD 242,775 8,006

(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.

(1) As of September 30, 2023, the Company's pay fix/receive float interest rate swaps had a weighted average pay-fixed rate of 3.99 %, a weighted average receive-variable rate of 5.31 %, and a weighted average years to maturity of 4.55 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 June 30, 2023 and December 31, 2022, if applicable.

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2023

Derivative and other instruments eligible for offset are presented gross on the consolidated balance sheets as of September 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 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 September 30, 2023, the Company's restricted cash balance included $ 11.1 million of collateral related to certain derivatives, of which $ 0.4 million represents cash collateral posted by the Company and $ 10.7 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.

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

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

Three Months Ended Nine Months Ended

September 30, 2023 September 30, 2022 September 30, 2023 September 30, 2022

Included within Net unrealized gain/(loss)

16 unchanged sentences

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).

September 30, 2023

The Company did no t have any to-be-announced securities during the three months ended September 30, 2023.

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

Three Months Ended

3 unchanged sentences

Asset Derivative

June 30, 2022

September 30, 2022

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

Six Months Ended

Nine Months Ended

Buys or Covers Sales or Shorts Ending Notional

2 unchanged sentences

Asset Derivative

June 30, 2023

September 30, 2023

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

June 30, 2023

September 30, 2023

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

June 30, 2022

September 30, 2022

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

June 30, 2022

September 30, 2022

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

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 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

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

Three Months Ended Nine Months Ended

September 30, 2023 September 30, 2022 September 30, 2023 September 30, 2022

Net Income/(Loss) $ ( 2,165 ) $ ( 2,869 ) $ 18,431 $ ( 64,794 )

6 unchanged sentences

Diluted $ ( 0.33 ) $ ( 0.33 ) $ 0.23 $ ( 3.38 )

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

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2023

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

Nine Months Ended September 30, 2023 Nine Months Ended September 30, 2022

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

1 unchanged sentence

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

9/15/2023 9/29/2023 10/31/2023 0.18 9/15/2022 9/30/2022 10/31/2022 0.21

Total $ 0.54 Total $ 0.63

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.

The Company announced that on October 24, 2023, its Board of Directors declared an interim fourth quarter 2023 common stock dividend on the Company's common stock of $ 0.08 per share, made pursuant to the terms of the Merger Agreement in connection with the Merger with WMC.

The dividend was paid on November 8, 2023 to stockholders of record as of November 3, 2023.

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

2023 Cash Dividend Per Share

4 unchanged sentences

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

7/31/2023 8/31/2023 9/18/2023 0.51563 0.50 0.50

Total $ 1.54689 $ 1.50 $ 1.50

5 unchanged sentences

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

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

Total $ 1.54689 $ 1.50 $ 1.50

The Company announced that on November 3, 2023, its Board of Directors declared fourth 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 December 18, 2023 to holders of record on November 30, 2023.

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)

June 30, 2023

September 30, 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 and nine months ended September 30, 2023 and 2022, the Company did no t record any excise tax.

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 and six months ended June 30, 2023 and 2022 was 21%.

The federal statutory rate for the three and nine months ended September 30, 2023 and 2022 was 21%.

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

1 unchanged sentence

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

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

Three Months Ended Nine Months Ended

September 30, 2023 September 30, 2022 September 30, 2023 September 30, 2022

Income tax expense $ 14 $ 164 $ 239 $ 179

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 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.

As of September 30, 2023 and December 31, 2022, the Company recorded a deferred tax asset of approximately $ 30.4 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 as of June 30, 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 September 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 June 30, 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.

10 unchanged sentences

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

Management fee

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

On November 1, 2023, TPG completed the previously announced acquisition of Angelo Gordon (the "TPG Transaction"), pursuant to which Angelo Gordon, including the Manager, became indirect subsidiaries of TPG.

Pursuant to the management

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements (Unaudited)

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.

September 30, 2023

agreement with the Manager, the closing of the TPG Transaction resulted in an assignment of the management agreement.

The independent directors of the Company's board of directors unanimously consented to such assignment on July 31, 2023 in advance of the TPG Transaction closing.

There were no changes to the management agreement in connection with the TPG Transaction and the assignment of the management agreement became effective upon the closing of the TPG Transaction.

In connection with the proposed Merger with WMC and contemporaneously with the execution of the Merger Agreement, on August 8, 2023, the Company and the Manager entered into the MITT Management Agreement Amendment, pursuant to which (i) the Manager’s base management fee will be reduced by $ 0.6 million for the first four quarters (i.e., resulting in an aggregate $ 2.4 million waiver of base management fees) 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 MITT Management Agreement Amendment will become effective automatically upon the closing of the Merger, and will have no force and effect if the Merger does not close.

Management fee

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

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

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

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

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

Three Months Ended Nine Months Ended

Consolidated statements of operations line item:

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

September 30, 2023 September 30, 2022 September 30, 2023 September 30, 2022

Management fee to affiliate $ 2,054 $ 2,064 $ 6,190 $ 5,984

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

As of September 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.

3 unchanged sentences

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.

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

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2023

Termination fee

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

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

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

Expense reimbursement

4 unchanged sentences

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

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

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

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

Three Months Ended Nine Months Ended

Consolidated statements of operations line item:

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

September 30, 2023 September 30, 2022 September 30, 2023 September 30, 2022

Non-investment related expenses

4 unchanged sentences

Expense reimbursements to Manager or its affiliates $ 1,874 $ 2,404 $ 5,267 $ 7,336

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.

As of September 30, 2023 and December 31, 2022, the Company recorded a reimbursement payable to the Manager or its affiliates of $ 2.3 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 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.

As of September 30, 2023, 505,933 shares of common stock were available to be awarded under the 2020 Equity Incentive Plan.

Since inception of the 2020 Equity Incentive Plan and through September 30, 2023, the Company has granted an aggregate of 160,733 shares of restricted common stock to its independent directors under its 2020 Equity Incentive Plan, all of which have vested.

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2023

Manager Equity Incentive Plans

1 unchanged sentence

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

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

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

Director compensation

As of June 30, 2023, the Company's Board of Directors consisted of four independent directors.

As of September 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.

4 unchanged sentences

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.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

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").

In October 2023, the Land Related Financing assets held within LOTS paid off in full.

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

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

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

September 30, 2023 December 31, 2022

Assets Liabilities Equity Assets Liabilities Equity

6 unchanged sentences

Investments in debt and equity of affiliates $ 76,940 $ ( 16,620 ) $ 60,320 $ 92,579 $ ( 21,515 ) $ 71,064

(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.

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

(1) As of September 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) In October 2023, the Land Related Financing assets held within LOTS paid off in full and the Company does not expect to originate new loans within this equity method investment.

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

Three Months Ended Nine Months Ended

September 30, 2023 September 30, 2022 September 30, 2023 September 30, 2022

Non-QM Securities $ 2,606 $ 1,413 $ 4,580 $ 154

10 unchanged sentences

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.

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

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2023

September 30, 2023

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 nine months ended September 30, 2023 and 2022 (in thousands).

Three Months Ended Nine Months Ended

September 30, 2023 September 30, 2022 September 30, 2023 September 30, 2022

Fees paid to Asset Manager $ 752 $ 825 $ 2,115 $ 2,007

As of September 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.

Transactions with Arc Home

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

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

Three Months Ended Six Months Ended

June 30, 2023 June 30, 2022 June 30, 2023 June 30, 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 nine months ended September 30, 2023 and 2022 (in thousands).

Three Months Ended Nine Months Ended

September 30, 2023 September 30, 2022 September 30, 2023 September 30, 2022

Residential mortgage loans sold by Arc Home to the Company $ 249,488 $ 350,257 $ 442,695 $ 1,028,339

1 unchanged sentence

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 on the underlying loans.

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

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

Three Months Ended Nine Months Ended

September 30, 2023

September 30, 2022

September 30, 2023

September 30, 2022

Intra-Entity Profits Eliminated $ 800 $ 1,755 $ 1,141 $ 5,869

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

During the three months ended March 31, 2023, the Company received payment for the full amount from Arc Home.

The Company received payment for the full amount from Arc Home during the current year.

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

1 unchanged sentence

These commitments to purchase mortgage loans are classified as derivatives.

From time to time, the Company may determine that certain loans it has previously committed to purchase will be sold to third parties and, as a result, the derivative will be settled on a net basis with Arc Home.

See Note 7 and Note 12 for more detail.

1 unchanged sentence

The Company net settled its commitment to purchase these loans with Arc Home for $ 0.8 million, which represented the difference between the Company's committed price and the ultimate sale price, inclusive of costs to sell the loans.

The settlement of these derivatives were recorded within the "Net realized gain/(loss)" and "Transaction related expenses" line items on the consolidated statement of operations.

The settlement of these derivatives was recorded within the "Net realized gain/(loss)" and "Transaction related expenses" line items on the consolidated statement of operations.

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2023

Transactions under the Company's Affiliated Transaction Policy

3 unchanged sentences

Date Transaction Fair Value (1) Pricing Methodology

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

June 2023 Purchase of Real Estate Securities $ 0.3 Competitive bidding 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.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

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.

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

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

Three Months Ended (1)

11 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 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:

As of September 30, 2023, approximately $ 1.5 million of common stock remained authorized for future share repurchases under the 2022 Repurchase Program.

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2023

below details the Company's share repurchases under the 2022 Repurchase Program during the nine months ended September 30, 2023 and 2022:

Three Months Ended (1)

3 unchanged sentences

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

September 30, 2023 — — — 1,461,810

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

September 30, 2022 384,587 $ 6.08 385,587 $ 12,660,645

(1) Based on trade date.

1 unchanged sentence

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

As of September 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

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

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.

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.

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 and six months ended June 30, 2023 and 2022.

The Company did no t issue any shares of common stock under the Equity Distribution Agreements during the three and nine months ended September 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.

3 unchanged sentences

Upon effectiveness of the 2021 Registration Statement, the Company's previous registration statement filed in 2018 was terminated.

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2023

Preferred stock

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

As of 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).

As of September 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 September 30, 2023 ($ and shares in thousands).

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

11 unchanged sentences

(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.

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2023

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

3 unchanged sentences

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

As of June 30, 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).

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

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

Commitment type Date of Commitment Total Commitment Funded Commitment Remaining Commitment

Non-Agency and Agency-Eligible Loans (1) Various $ 248,250 $ — $ 248,250

(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.

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

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

Subsequent Events

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").

(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.

1 unchanged sentence

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.

September 30, 2023

Subsequent Events

The dividend was paid on November 8, 2023 to stockholders of record as of November 3, 2023.

The dividends will be paid on December 18, 2023 to holders of record on November 30, 2023.

On November 7, 2023, the Company's stockholders approved the issuance of the Company's common stock in connection with the Merger with WMC at a special stockholders meeting.

No further Company stockholder approval is required for the Merger.

The Merger is expected to close in the fourth quarter of 2023, subject to the satisfaction of certain customary conditions, including approval of WMC's common stockholders.

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