What changed in this filing

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Item 8. Financial Statements and Supplementary Data

2024-03-11 compared with 2023-02-27 · 750 added, 512 removed, 1071 unchanged (54% of the section changed)

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Notes to Consolidated Financial Statements

Summary of Significant Accounting Policies

Real Estate Securities

Fair Value Measurements

Other Assets and Liabilities

Earnings Per Share

Related Party Transactions

Commitments and Contingencies

Investments in Unconsolidated Equity Method Affiliates

Subsequent Events

All financial statement schedules are omitted because they are not applicable or the required information is included in the consolidated financial statements and the notes thereto.

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Critical Audit Matters

The critical audit matter communicated below is a matter arising from the current period audit of the consolidated financial statements that was communicated or required to be communicated to the audit committee and that (i) relates to accounts or disclosures that are material to the consolidated financial statements and (ii) involved our especially challenging, subjective, or complex judgments.

The communication of critical audit matters does not alter in any way our opinion on the consolidated financial statements, taken as a whole, and we are not, by communicating the critical audit matter below, providing a separate opinion on the critical audit matter or on the accounts or disclosures to which it relates.

Fair Value of Investments in Certain Residential Mortgage Loans

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

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

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

The critical audit matters communicated below are matters arising from the current period audit of the consolidated financial statements that were communicated or required to be communicated to the audit committee and that (i) relate to accounts or disclosures that are material to the consolidated financial statements and (ii) involved our especially challenging, subjective, or complex judgments.

The communication of critical audit matters does not alter in any way our opinion on the consolidated financial statements, taken as a whole, and we are not, by communicating the critical audit matters below, providing separate opinions on the critical audit matters or on the accounts or disclosures to which they relate.

Acquisition of Western Asset Mortgage Capital Corporation — Acquisition Date Fair Value of Residential Mortgage Loans and Commercial Loans

As described in Notes 1 and 5 to the consolidated financial statements, on December 6, 2023 (the “acquisition date”), the Company completed its acquisition of Western Asset Mortgage Capital Corporation.

The Company accounted for the transaction using the acquisition method of accounting.

The total consideration was $51.2 million, which included securitized residential mortgage loans, at fair value, of $971.8 million, residential mortgage loans, at fair value, of $6.0 million (collectively referred to as “residential mortgage loans”), and commercial loans, at fair value, of $78.5 million.

The valuation of residential mortgage loans and commercial loans is determined by management 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.

Management uses loan level data and macro-economic inputs to generate loss adjusted cash flows and other information in determining the fair value.

The variables considered most significant to the determination of the fair value of the Company's residential mortgage loans include market-implied discount rates, projections of default rates, delinquency rates, prepayment rates, loss severity, recovery rates, reperformance rates, and timeline to liquidation.

The principal considerations for our determination that performing procedures relating to the fair value of investments in certain residential mortgage loans is a critical audit matter are (i) the significant judgment by management to develop the fair value measurements of residential mortgage loans, which in turn led to (ii) a high degree of auditor judgment, subjectivity, and effort in performing procedures and evaluating the significant assumptions related to market-implied discount rates, projections of default rates, delinquency rates, prepayment rates, and loss severity, and (iii) the audit effort involved the use of professionals with specialized skill and knowledge.

Management and third-party pricing service providers use loan level data and macro-economic inputs to generate loss adjusted cash flows and other information in determining the fair value.

The variables considered most significant to the determination of the fair value of the residential mortgage loans and commercial loans include market-implied discount rates, projections of default rates, delinquency rates, prepayment rates, loss severity, loan-to-value ratios, recovery rates, reperformance rates, and timeline to liquidation.

The principal considerations for our determination that performing procedures relating to the acquisition date fair value of residential mortgage loans and commercial loans acquired in the acquisition of Western Asset Mortgage Capital Corporation is a critical audit matter are (i) the significant judgment by management when developing the fair value estimate of the residential mortgage loans and commercial loans acquired;

(ii) a high degree of auditor judgment, subjectivity , and effort in performing procedures and evaluating management’s significant assumptions related to market-implied discount rates, projections of default rates, delinquency rates, prepayment rates, loss severity, and loan-to-value ratios;

and (iii) the audit effort involved the use of professionals with specialized skill and knowledge.

Addressing the matter involved performing procedures and evaluating audit evidence in connection with forming our overall opinion on the consolidated financial statements.

These procedures included testing the effectiveness of controls relating to the valuation of the residential mortgage loans, including controls over the prices received from an independent third-party pricing service, data inputs, and significant assumptions.

These procedures also included, among others (i) developing an independent estimate of the value for certain investments by obtaining independent pricing from third party vendors and comparing those prices to prices used by management and (ii) the involvement of professionals with specialized skill and knowledge to assist in developing an independent range of prices for a sample of residential mortgage loans and comparing the independent estimate to management’s estimate to evaluate the reasonableness of management’s estimate.

Developing the independent estimate involved (i) testing the data provided by management and (ii) independently developing the assumptions related to market implied discount rates, projections of default rates, delinquency rates, prepayment rates, and loss severity, by utilizing data obtained from market sources and observable transactions under a variety of macroeconomic scenarios.

These procedures included testing the effectiveness of controls relating to the valuation of residential mortgage loans and commercial loans as of the acquisition date, including controls over the prices received from third-party pricing service providers, data inputs, and significant assumptions.

These procedures also included, among others (i) developing an independent estimate of the fair value of residential mortgage loans and commercial loans by obtaining independent pricing from third-party vendors and comparing those prices to prices used by management or (ii) the involvement of professionals with specialized skill and knowledge to assist in (a) developing an independent range of prices of residential mortgage loans and commercial loans and (b) comparing the independent range of prices to management’s estimate to evaluate the reasonableness of management’s estimate.

Developing the independent range of prices involved (i) testing the completeness and accuracy of the data provided by management and (ii) independently developing the assumptions related to market-implied discount rates, projections of default rates, delinquency rates, prepayment rates, loss severity, and loan-to-value ratios by utilizing data obtained from market sources and observable transactions under a variety of macroeconomic scenarios.

Fair Value of Investments in Residential Mortgage Loans

As described in Notes 5 and 10 to the consolidated financial statements, the Company’s securitized residential mortgage loans and residential mortgage loans included in its consolidated balances and held through its investments in debt and equity of affiliates (referred to as Non-QM Securities and Re/Non-Performing Securities) were $5,358.3 million, $317.6 million, and $22.8 million, respectively, as of December 31, 2023 (collectively referred to as “residential mortgage loans”).

The Company’s investments in residential mortgage loans are measured at fair value.

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

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

Management and third-party pricing service providers use loan level data and macro-economic inputs to generate loss adjusted cash flows and other information in

determining the fair value.

The variables considered most significant to the determination of the fair value of the residential mortgage loans include market-implied discount rates, projections of default rates, delinquency rates, prepayment rates, loss severity, recovery rates, reperformance rates, and timeline to liquidation.

The principal considerations for our determination that performing procedures relating to the fair value of investments in residential mortgage loans is a critical audit matter are (i) the significant judgment by management when developing the fair value estimate of investments in residential mortgage loans;

(ii) a high degree of auditor judgment, subjectivity, and effort in performing procedures and evaluating management’s significant assumptions related to market-implied discount rates, projections of default rates, delinquency rates, prepayment rates, and loss severity;

and (iii) the audit effort involved the use of professionals with specialized skill and knowledge.

Addressing the matter involved performing procedures and evaluating audit evidence in connection with forming our overall opinion on the consolidated financial statements.

These procedures included testing the effectiveness of controls relating to the valuation of residential mortgage loans, including controls over the prices received from third-party pricing service providers, data inputs, and significant assumptions.

These procedures also included, among others, for a sample of residential mortgage loans (i) developing an independent estimate of the fair value of investments in residential mortgage loans by obtaining independent pricing from third-party vendors and comparing those prices to prices used by management or (ii) the involvement of professionals with specialized skill and knowledge to assist in (a) developing an independent range of prices and (b) comparing the independent range of prices to management’s estimate to evaluate the reasonableness of management’s estimate.

Developing the independent range of prices involved (i) testing the completeness and accuracy of the data provided by management and (ii) independently developing the assumptions related to market-implied discount rates, projections of default rates, delinquency rates, prepayment rates, and loss severity by utilizing data obtained from market sources and observable transactions under a variety of macroeconomic scenarios.

/s/ PricewaterhouseCoopers LLP

New York, New York

February 27, 2023

March 11, 2024

We have served as the Company’s auditor since 2011.

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

Commercial loans, at fair value - $ 66,303 and $ 0 pledged as collateral, respectively

Real estate securities, at fair value - $ 155,115 and $ 41,653 pledged as collateral, respectively

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Financing arrangements 767,592 621,187

Convertible senior unsecured notes 85,266 —

Dividend payable 1,472 3,846

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Net unrealized gain/(loss) 1,450 ( 137,634 )

Other income/(loss), net — 37

Bargain purchase gain 30,190 —

Total Other Income/(Loss) 46,017 ( 61,167 )

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Net Income/(Loss) 53,784 ( 53,100 )

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

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

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

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

See Note 2 and Note 11 for additional details.

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

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

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

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

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

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

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

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

Common stock issued pursuant to WMC Merger 9,202 92 — 51,071 — 51,163

Repurchase of common stock ( 1,110 ) ( 11 ) — ( 6,341 ) — ( 6,352 )

Grant of restricted stock 47 — — 327 — 327

Grant of restricted stock and amortization of equity based compensation 61 1 — 379 — 380

Common dividends declared — — — — ( 15,063 ) ( 15,063 )

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Balance at December 31, 2023 29,437 $ 294 $ 220,472 $ 823,715 $ ( 516,113 ) $ 528,368

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

See Note 2 and Note 11 for additional details.

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

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

Net amortization of premium 5,463 6,082

Net amortization of premium/(discount) 8,925 5,463

Net realized (gain)/loss ( 7,697 ) ( 81,389 )

Net unrealized (gain)/loss ( 1,450 ) 137,634

Equity based compensation expense 327 320

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

12,482 ( 14,283 )

Grant of restricted stock and amortization of equity based compensation 380 327

Equity in (earnings)/loss from affiliates 1,390 10,258

Distributions of income from investments in debt and equity of affiliates

Bargain purchase gain ( 30,190 ) —

Change in operating assets/liabilities:

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Cash Flows from Investing Activities

Purchase of residential mortgage loans ( 2,583,622 ) ( 2,472,393 )

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

Origination of commercial loans — ( 3,219 )

Purchase of commercial loans — ( 1,881 )

Purchases of residential mortgage loans ( 1,233,977 ) ( 2,583,622 )

Purchases of real estate securities ( 294,422 ) ( 108,558 )

Investments in debt and equity of affiliates ( 21,573 ) ( 2,066 )

Proceeds from sale of residential mortgage loans 53,259 139,908

Proceeds from sale of real estate securities 526,813 893,505

Proceeds from sale of commercial loans — 74,579

Proceeds from sales of residential mortgage loans 418,415 53,259

Proceeds from sales of real estate securities 286,356 526,813

Principal repayments on residential mortgage loans 348,356 464,332

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Net settlement of TBAs ( 65 ) 2,789

Cash and restricted cash provided by WMC Merger 6,189 —

Cash flows provided by other investing activities 4,144 2,878

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Cash Flows from Financing Activities

Net proceeds from issuance of common stock — 93,134

Repurchase of common stock ( 6,352 ) ( 18,217 )

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Deferred financing costs paid ( 9 ) ( 317 )

Repayments of secured debt — ( 10,000 )

Proceeds from issuance of securitized debt 878,298 3,050,232

December 31, 2023 December 31, 2022

Principal repayments on securitized debt ( 370,316 ) ( 379,998 )

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

December 31, 2022 December 31, 2021

Dividends paid on common stock ( 17,437 ) ( 19,421 )

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Cash and cash equivalents and restricted cash, Beginning of Year 98,803 100,229

Effect of exchange rate changes on cash — 10

Cash and cash equivalents and restricted cash, End of Year $ 125,573 $ 98,803

Supplemental disclosure of cash flow information:

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

Cash paid for excise and income tax $ 183 $ 16

Cash paid for interest on financing arrangements and securitized debt $ 190,222 $ 102,502

Cash paid for income taxes $ 231 $ 183

Supplemental disclosure of non-cash financing and investing activities:

Common stock dividends declared but not paid $ 1,472 $ 3,846

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

Holdback receivable on sale of excess MSRs $ — $ 75

Common stock issued pursuant to WMC Merger $ 51,163 $ —

Transfer from residential mortgage loans to other assets $ 4,018 $ 3,084

Transfer of Non-Agency RMBS from Investments in debt and equity of affiliates to real estate securities $ 16,408 $ —

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

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AG Mortgage Investment Trust, Inc.

(the "Company") is a residential mortgage REIT with a focus on investing in a diversified risk-adjusted portfolio of residential mortgage-related assets in the U.S.

(the "Company" or "MITT") is a residential mortgage REIT with a focus on investing in a diversified risk-adjusted portfolio of residential mortgage-related assets in the U.S.

mortgage market.

The Company’s investment activities primarily include acquiring and securitizing newly-originated residential mortgage loans within the non-agency segment of the housing market.

The Company obtains its assets through Arc Home, LLC ("Arc Home"), a residential mortgage loan originator in which it owns an approximate 44.6 % interest, and through other third-party origination partners.

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

The Company obtains its assets through Arc Home, LLC ("Arc Home"), a residential mortgage loan originator in which the Company owns an approximate 44.6 % interest, and through other third-party origination partners.

During 2023, the Company acquired Western Asset Mortgage Capital Corporation ("WMC"), an externally managed mortgage REIT that focused on investing in, financing and managing a portfolio of residential mortgage loans, real estate related securities, and commercial real estate loans.

For more information, refer to the "WMC Acquisition" section below.

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

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

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

Although these loans are underwritten in accordance with GSE guidelines and can be delivered to Fannie Mae and Freddie Mac, the Company includes these loans within its Non-Agency securitizations.

Re- and Non-Performing Loans (1)

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

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

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

Non-Agency RMBS (2)

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

GSEs or agencies of the U.S.

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

Agency RMBS (2)

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Government such as Ginnie Mae.

Legacy WMC Commercial Investments (3)

Commercial Loans (4)

• Commercial loans represent first lien commercial mortgage loans participations.

• Commercial Mortgage-Backed Securities ("CMBS") represent investments of fixed-rate and floating-rate CMBS, secured by, or evidencing an ownership interest in, a single commercial mortgage loan or a pool of commercial mortgage loans.

(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) The Company's investments include commercial loans, CMBS and other securities (collectively, the "Legacy WMC Commercial Investments") that were acquired in the WMC acquisition.

The Company expects to either hold the Legacy WMC Commercial Investments until maturity or opportunistically exit these investments.

(4) These investments are included in the "Commercial loans, at fair value" line item on the consolidated balance sheets.

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements

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

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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.

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

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

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

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.

WMC Acquisition

On December 6, 2023 (the "Closing Date"), the Company completed its acquisition of WMC, a Delaware corporation.

WMC was an externally managed mortgage REIT that focused on investing in, financing and managing a portfolio of residential mortgage loans, real estate related securities, and commercial real estate loans.

On the Closing Date, WMC merged with and into AGMIT Merger Sub, LLC, a Delaware limited liability company and wholly owned subsidiary of the Company ("Merger Sub"), with Merger Sub continuing as the surviving company (the "Merger").

As contemplated by the Agreement and Plan of Merger, dated as of August 8, 2023 (the "Merger Agreement"), the certificate of merger was filed with the Secretary of State of the State of Delaware, and the Merger was effective at 8:15 a.m., Eastern Time, on the Closing Date (the "Effective Time").

Pursuant to the terms and subject to the conditions set forth in the Merger Agreement, at the Effective Time, each outstanding share of WMC common stock, par value $ 0.01 per share ("WMC Common Stock"), was converted into the right to receive the following (the "Per Share Merger Consideration"):

(i) from MITT, 1.498 shares of MITT common stock;

and (ii) from the Manager, a cash amount equal to $ 0.92 (the "Per Share Additional Manager Consideration").

No fractional shares of MITT common stock were issued in the Merger, and the value of any fractional interests to which a former holder of WMC Common Stock was otherwise entitled was paid in cash.

Pursuant to the Merger Agreement, the amount of the Per Share Additional Manager Consideration was reduced by the smallest amount (rounded to the nearest cent) necessary to cause the Per Share Additional Manager Consideration to be less than 10% of the total value of the Per Share Merger Consideration received by a holder of WMC Common Stock under the Merger Agreement.

Pursuant to the previously disclosed amendment to the Company's management agreement, dated as of August 8, 2023, by and between MITT and the Manager (the "MITT Management Agreement Amendment"), which became effective on the Closing Date and amends the existing management agreement, dated as of June 29, 2011 (as amended, the "Existing MITT Management Agreement"), (i) the Manager will waive its right to seek reimbursement from MITT for any expenses otherwise reimbursable by MITT under the Existing MITT Management Agreement in an amount equal to approximately $ 1.3 million, which is the excess of $ 7.0 million over the aggregate Per Share Additional Manager Consideration paid by the Manager to the holders of WMC Common Stock under the Merger Agreement, and (ii) 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 occurred (i.e., resulting in an aggregate $ 2.4 million waiver of base management fees).

Additionally, each outstanding share of WMC’s restricted common stock and each WMC restricted stock unit (each, a "WMC Equity Award") vested in full immediately prior to the Effective Time and, as of the Effective Time, was considered outstanding for all purposes of the Merger Agreement, including the right to receive the Per Share Merger Consideration, except that WMC Equity Awards granted to certain members of the WMC board of directors at WMC’s 2023 annual stockholders’ meeting (collectively, the "2023 WMC Director Awards") were treated as follows:

Christian Mitchell and Lisa G.

Quateman, who were appointed to the MITT board of directors as of the Effective Time, the 2023 WMC Director Awards were equitably adjusted effective as of the Effective Time into awards relating to shares of MITT common stock that have the same value, vesting terms and other terms and conditions as applied to the corresponding WMC restricted stock units immediately prior to the Effective Time and (ii) for the other members of the WMC board of directors, the 2023 WMC Director Awards accelerated and vested pro-rata effective as of immediately prior to the Effective Time based on a fraction, the numerator of which was 166 (the number of days between the grant date and the Closing Date) and the denominator of which was 365, and the remaining unvested portion of such 2023 WMC Director Awards was cancelled without any consideration.

AG Mortgage Investment Trust Inc.

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Notes to Consolidated Financial Statements

Pursuant to the Merger Agreement, approximately 9.2 million shares of MITT common stock were issued to former WMC common stockholders and, following the consummation of the Merger, former WMC common stockholders owned approximately 31 % of the common equity of MITT.

Purchase Price Allocation

The Company completed the WMC acquisition in 2023 to support continued growth of the Company and to create efficiency and scale for stockholders.

The Company accounted for this transaction in accordance with Accounting Standards Codification ("ASC") 805, "Business Combinations" using the acquisition method of accounting , which requires, among other things, that the assets acquired and liabilities assumed be recognized at fair value as of the acquisition date.

The following table summarizes the allocation of the total consideration paid to acquire the assets and assume the liabilities of WMC (in thousands, except exchange ratio and per share amounts).

Consideration

WMC shares outstanding at December 5, 2023 (1) 6,143

Exchange Ratio 1.498

Shares of MITT Common Stock Issued 9,202

MITT Common Stock Price as of December 5, 2023 $ 5.56

MITT Total Consideration (2) $ 51,163

Securitized residential mortgage loans (3) $ 971,781

Residential mortgage loans (3) 6,046

Commercial loans 78,459

Non-Agency RMBS 48,200

Other securities 1,159

Agency RMBS 745

Cash and cash equivalents 5,316

Restricted cash 873

Other assets 24,654

Total Assets $ 1,193,534

Securitized debt $ 837,317

Financing arrangements 171,170

Convertible senior unsecured notes 85,172

Other liabilities 18,522

Total Liabilities $ 1,112,181

Net Assets Acquired $ 81,353

Bargain purchase gain $ 30,190

(1) For time-based restricted stock units granted by WMC that fully vested as of the Closing Date, the fair value of the Company’s common stock issued in the satisfaction of these units was included in equity consideration transferred as no post acquisition service was required.

(2) MITT Total Consideration does not include the Per Share Additional Manager Consideration paid by the Manager to former holders of WMC Common Stock.

(3) The unpaid principal balance of residential mortgage loans acquired in connection with the Merger was $ 1.1 billion.

The fair value of the assets acquired and liabilities assumed required the use of significant assumptions and estimates.

Critical estimates included, but were not limited to, future expected cash flows related to these assets and liabilities and the applicable discount rates.

These estimates were based on assumptions that management believes to be reasonable;

however, actual results may differ from these estimates.

The assessment of fair value is based on information that was available to management at the time the consolidated financial statements were prepared.

Those estimates and assumptions are subject to change as management obtains additional information related to those estimates during the applicable measurement period.

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements

determination must occur within one year of the acquisition date.

Because the measurement period is still open, certain fair value estimates may differ materially once all information necessary to make a final fair value assessment has been received.

Under the acquisition method of accounting, merger-related transaction costs (such as advisory, legal, valuation, and other professional fees) are not included as components of consideration transferred but are expensed in the periods in which the costs are incurred.

The Company incurred transaction costs of $ 6.0 million during the year ended December 31, 2023 which were included in the "Transaction related expenses" line item in the consolidated statements of operations.

At acquisition, the Company recognized a bargain purchase gain of $ 30.2 million which is separately recorded in the consolidated statements of operations.

The bargain purchase gain represents the amount by which the fair value of the net assets acquired in the acquisition exceeds the fair value of the shares of MITT common stock issued as consideration at the Effective Time.

As a result of macroeconomic factors and interest rate volatility, the prices per share of common stock of certain companies within the mortgage REIT industry have traded at discounts to book values per share in recent periods, which contributed to the bargain purchase gain recorded on the WMC acquisition.

The results of WMC's operations have been included in the Company's consolidated statements of operations for the year ended December 31, 2023 from the Closing Date and represent $ 6.5 million of interest income and $ 49 thousand of net income/(loss) available to common stockholders.

The results of WMC's operations exclude the bargain purchase gain and the Company's $ 6.0 million of transaction related expenses recognized in connection with the acquisition, however include the management fee and expense reimbursement waivers provided by the Manager pursuant to the MITT Management Agreement Amendment of $ 0.6 million and $ 0.3 million, respectively.

Unaudited Supplemental Pro Forma Financial Information

The following table presents unaudited pro forma combined interest income and net income/(loss) available to common stockholders for the years ended December 31, 2023 and 2022 prepared as if the Merger had been consummated on January 1, 2022 ($ in thousands).

December 31, 2023 December 31, 2022

Interest income $ 330,267 $ 254,853

Net Income/(Loss) Available to Common Stockholders 4,914 ( 158,152 )

The unaudited supplemental pro forma financial information includes adjustments to reflect the deconsolidation of certain VIEs held by WMC, as well as adjustments to management fees and certain other expenses.

The bargain purchase gain and transaction related expenses incurred in connection with the Merger are included in the unaudited pro forma combined net income/(loss) available to common stockholders for the year ended December 31, 2023.

The unaudited supplemental pro forma financial information does not include any anticipated expense synergies or other anticipated benefits of the Merger and, accordingly, the unaudited supplemental pro forma financial information is not necessarily indicative of either future results of operations or results that might have been achieved had the Merger occurred on January 1, 2022, the beginning of the earliest period presented.

Summary of significant accounting policies

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

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

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

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

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Actual results may differ from those estimates.

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements

Valuation of financial instruments

The fair value of the financial instruments that the Company records at fair value is determined by the Manager, subject to oversight of the Company’s Board of Directors, and in accordance with the provisions of Accounting Standards Codification ("ASC") 820, "Fair Value Measurements and Disclosures." When possible, the Company determines fair value using third-party data sources.

The fair value of the financial instruments that the Company records at fair value is determined by the Manager, subject to oversight of the Company’s Board of Directors, and in accordance with the provisions of ASC 820, "Fair Value Measurements and Disclosures." When possible, the Company determines fair value using third-party data sources.

ASC 820 establishes a hierarchy that prioritizes the inputs to valuation techniques giving the highest priority to readily available unadjusted quoted prices in active markets for identical assets (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements) when market prices are not readily available or reliable.

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

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements

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

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

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements

The Company accrues interest income on its loan portfolio.

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Investments in debt and equity of affiliates

The Company’s unconsolidated ownership interests in affiliates are accounted for using the equity method in accordance with ASC 323, "Investments – Equity Method and Joint Ventures." Substantially all of the Company’s investments held through affiliated entities are comprised of real estate securities, loans and its interest in AG Arc LLC.

Certain entities have chosen to make a fair value election on their financial instruments and certain financing arrangements pursuant to ASC 825;

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

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

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

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

Arc Home is led by an external management team.

The Company has chosen to make a fair value election with respect to its investment in AG Arc pursuant to ASC 825.

The Company elected to treat its investment in AG Arc as a taxable REIT subsidiary.

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

Income or losses recognized by the Company from its investments in debt and equity of affiliates are recorded in the "Equity in earnings/(loss) from affiliates" line item on the Company's consolidated statement of operations net of income taxes.

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

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

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

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements

entity profits recognized by Arc Home and also decreased the cost basis of the underlying loans by the same amount in connection with loan sales to the Company, as detailed below (in thousands).

December 31, 2022

December 31, 2021

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

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

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

On August 29, 2017, the Company, alongside private funds managed by Angelo Gordon, formed Mortgage Acquisition Holding I LLC ("MATH") to conduct a residential mortgage investment strategy.

The Company has an approximate 44.6 % interest in MATH.

MATH in turn sponsored the formation of an entity called Mortgage Acquisition Trust I LLC ("MATT") to purchase predominantly Non-QM Loans.

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

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

On May 15, 2019 and November 14, 2019, the Company, alongside private funds managed by Angelo Gordon, formed LOT SP I LLC and LOT SP II LLC, respectively, (collectively, "LOTS").

The Company has an approximate 47.5 % and 50.0 % interest in LOT SP I LLC and LOT SP II LLC, respectively.

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

The LOTS investments continue to pay down and the Company does not expect to originate new loans within this equity method investment.

Investment consolidation

An entity is a variable interest entity ("VIE") if the equity investors (i) do not have sufficient equity at risk for the entity to finance its activities without additional subordinated financial support, (ii) are unable to direct the entity’s activities or (iii) are not exposed to the entity’s losses or entitled to its residual returns.

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

VIEs within the scope of Accounting Standards Codification ("ASC") 810-10, "Consolidation" are required to be consolidated by their primary beneficiary.

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

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

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

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

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

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

AG Mortgage Investment Trust Inc.

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Notes to Consolidated Financial Statements

securitizations.

issuance of debt or equity instruments.

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.

Transfers of financial assets

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ASC 860-10 is a standard that may require the Company to exercise significant judgment in determining whether a transaction should be recorded as a "sale" or a "financing."

Accounting for business combinations

When the assets acquired and liabilities assumed constitute a business, the acquisition is a business combination.

Business combinations are accounted for under ASC 805, "Business Combinations" using the acquisition method which requires, among other things, that the assets acquired and liabilities assumed be recognized at fair value as of the acquisition date.

Goodwill is calculated as the excess of the consideration transferred over the net assets acquired that meet the criteria for separate

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements

recognition and represents the estimated future economic benefits arising from these and other assets acquired that could not be individually identified or do not qualify for recognition as a separate asset.

Likewise, a bargain purchase gain is recognized in current earnings when the aggregate fair value of the consideration transferred is less than the fair value of the identifiable net assets acquired.

Acquisition related costs recognized in connection with a business combination are expensed as incurred.

The results of operations of acquired businesses are included from the date of acquisition.

In a business combination, the initial allocation of the purchase price is considered preliminary and therefore subject to change until the end of the measurement period (up to one year from the acquisition date).

If the initial accounting for a business combination is incomplete by the end of the reporting period in which the combination occurs, a measurement-period adjustment will be recognized during the period in which the amount of the adjustment is determined, including the effect on earnings of any amounts that would have been recorded in previous periods if the accounting had been completed at the acquisition date.

Cash and cash equivalents

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As of December 31, 2023 the Company held $ 111.5 million of cash and cash equivalents, of which $ 95.7 million were cash equivalents.

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

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

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

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

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements

Restricted cash

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

Accounting for real estate owned

Real Estate Owned ("REO") represents real estate property acquired by the Company through foreclosure and classified as held for sale.

Upon completion of a foreclosure, the Company initially records an REO at fair value less estimated costs to sell the property.

In subsequent periods, REO is reported at the lower of the current carrying amount or fair value less estimated selling costs.

REO is included in the "Other assets" line item on the consolidated balance sheets.

Any gains or losses recognized on foreclosure as well as realized gains or losses on the disposition of REO are reported by the Company in "Net realized gain/(loss)" line item on the consolidated statements of operations.

Financing arrangements

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

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

The amounts available to be borrowed under repurchase agreements and revolving facilities are dependent upon the fair value of the loans or securities pledged as collateral,

AG Mortgage Investment Trust Inc.

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Notes to Consolidated Financial Statements

which can fluctuate with changes in interest rates, type of security and liquidity conditions within the banking, mortgage finance, and real estate industries.

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

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As of December 31, 2023 and 2022, the Company had met all margin call requirements.

Accounting for convertible senior unsecured notes

Convertible senior unsecured notes ("Legacy WMC Convertible Notes") were assumed in connection with the WMC acquisition and initially recorded at fair value in accordance with ASC 805, "Business Combinations." The Legacy WMC Convertible Notes are carried at amortized cost on the Company’s consolidated balance sheets.

Interest on the notes is payable semiannually until such time as the notes mature or are converted into shares of the Company’s common stock.

The difference between the carrying value and the principal of the Legacy WMC Convertible Notes is amortized into interest expense over the life of the Legacy WMC Convertible Notes.

Accounting for derivative financial instruments

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

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

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

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As of December 31, 2023 and 2022, the Company did not have any interest rate derivatives designated as hedges for accounting purposes.

Interest rate swaps

The Company uses interest rate swaps to mitigate its exposure to potential interest rate mismatches between the interest earned on its investments and its borrowing costs on financing arrangements caused by fluctuations in short-term interest rates.

Interest rate swaps generally involve the receipt of variable-rate amounts from a counterparty in exchange for the Company making fixed-rate payments over the life of the interest rate swap without exchange of the underlying notional amount.

Variation margin

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

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

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

The daily exchange of variation margin associated with a CCP instrument is legally characterized as the daily settlement of the derivative instrument itself, as opposed to a pledge of collateral.

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

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

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

As variation margin is exchanged on a one-day lag, the unsettled fair value of such instruments represents the change in fair value that occurred on the last day of the reporting period.

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements

To-be-announced securities

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

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements

Variation margin

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

The daily exchange of variation margin associated with a CCP instrument is legally characterized as the daily settlement of the derivative instrument itself, as opposed to a pledge of collateral.

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

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

As variation margin is exchanged on a one-day lag, the unsettled fair value of such instruments represents the change in fair value that occurred on the last day of the reporting period.

Forward purchase commitments

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

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

Similarly, the Company also reassesses cash flows on at least a quarterly basis for the remaining loans and real estate securities recorded on its consolidated balance sheets.

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

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

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

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

Differences between previously estimated cash flows and current actual and anticipated cash flows are recognized prospectively through an adjustment of the yield over the remaining life of the security based on the current amortized cost of the investment.

AG Mortgage Investment Trust Inc.

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Notes to Consolidated Financial Statements

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

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

For loan and security investments purchased with evidence of deterioration of credit quality for which it is probable, at acquisition, that the Company will be unable to collect all contractually required payments receivable, the Company will apply the provisions of ASC 310-30.

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

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

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 would first be payable with respect to the fiscal year ending December 31, 2023.

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

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

In addition, the Company incurred transaction related expenses in connection with the WMC acquisition.

In accordance with ASC 805, "Business Combinations," acquisition related costs are expensed as incurred.

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

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

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

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

AG Mortgage Investment Trust Inc.

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Notes to Consolidated Financial Statements

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

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

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

See Note 9 for further details.

Reverse stock split

On July 12, 2021, the Company announced that its Board of Directors approved a one-for-three reverse stock split of the Company's outstanding shares of common stock.

The reverse stock split was effected following the close of business on July 22, 2021 (the "Effective Time").

At the Effective Time, every three issued and outstanding shares of the Company’s common stock were combined into one share of the Company’s common stock.

No fractional shares were issued in connection with the reverse stock split.

Instead, each stockholder holding fractional shares was entitled to receive, in lieu of such fractional shares, cash in an amount determined based on the closing price of the Company's common stock on the date of the Effective Time.

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

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

See Note 11 for further details.

Dividends on Preferred Stock

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The undeclared and unpaid dividends on the Company’s preferred stock accrue without interest, and if dividends on the Company's preferred stock are in arrears, the Company cannot pay cash dividends with respect to its common stock.

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

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements

Offering costs

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Exchange costs in connection with the Company's preferred stock exchanges have been accounted for as a reduction to the Company's retained earnings.

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements

Recent accounting pronouncements

Reference rate reform

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

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

The Manager has an established cross-functional team that focuses on evaluating exposure to LIBOR and monitoring regulatory updates to assess the potential impact to the portfolios under management from the cessation set to occur on June 30, 2023 and has established a LIBOR transition plan to facilitate an orderly transition to alternative reference rates.

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

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

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

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

The Company has transitioned from LIBOR to an alternative benchmark.

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

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

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

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.

Debt with conversion and other options

In August 2020, FASB issued ASU 2020-06, "Debt-Debt with Conversion and Other Options (Subtopic 470-20) and Derivatives and Hedging- Contracts in Entity's Own Equity (Subtopic 815-40)." The amendments in this update affect entities that issue convertible instruments and/or contracts in an entity's own equity.

For convertible instruments, the instruments primarily affected are those issued with beneficial conversion features or cash conversion features because the accounting models for those specific features are removed.

This ASU is effective for the year ended December 31, 2024.

The Company has evaluated the impact this standard will have on its consolidated financial statement and does not believe the adoption of this standard will have a material impact on its consolidated financial statements.

AG Mortgage Investment Trust Inc.

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Residential mortgage loans

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

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

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

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Non-Agency Loans (3) $ 5,599,960 $ ( 32,250 ) $ 5,567,710 $ 29,603 $ ( 422,144 ) $ 5,175,169 5.19 % 5.51 % 10.37

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

Re- and Non-Performing Loans 217,098 ( 17,465 ) 199,633 199 ( 16,720 ) 183,112 3.88 % 6.30 % 6.10

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

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

Subsequent to year end, these loans were sold.

Refer to Note 14 for additional detail.

(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 $ 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.

AG Mortgage Investment Trust Inc.

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Non-Agency Loans $ 5,599,960 13,460 66.65 % 748 $ 5,446,631 $ 68,242 $ 30,873 $ 54,214

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

Re- and Non-Performing Loans 217,098 1,495 79.80 % 657 154,632 17,145 4,780 40,541

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

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

As of December 31, 2021, the Company had residential mortgage loans that were 90+ days delinquent and loans in the process of foreclosure with a fair value of $ 47.4 million and $ 29.0 million, respectively.

(3) As of December 31, 2023, the Company had securitized residential mortgage loans and residential mortgage loans that were 90+ days delinquent with a fair value of $ 41.7 million and loans in the process of foreclosure with a fair value of $ 51.8 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) Represents the original LTV or, for Re- and Non-Performing Loans and Non-Agency Loans acquired from WMC, the LTV at acquisition.

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

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

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

A portion of these loans were purchased from Arc Home.

See Note 10 for more detail.

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

As of December 31, 2023 and 2022, 12.0 % and 4.9 %, respectively, of the unpaid principal balance of the Company's securitized residential mortgage loans and residential mortgage loans were adjustable rate mortgages.

During the year ended December 31, 2023, the Company purchased residential mortgage loans as detailed below (in thousands).

Unpaid Principal Balance Fair Value

Residential mortgage loan purchases

Non-Agency Loans $ 577,968 $ 587,643

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Total $ 1,218,766 $ 1,229,653

Residential mortgage loans acquired from WMC (1)

Securitized Non-Agency Loans $ 1,057,830 $ 971,781

Non-Agency Loans 6,566 6,046

Total $ 1,064,396 $ 977,827

(1) Refer to Note 1 for additional details on the WMC acquisition.

AG Mortgage Investment Trust Inc.

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Notes to Consolidated Financial Statements

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

During the years ended December 31, 2023 and 2022, the Company sold residential mortgage loans as detailed below ($ in thousands).

Number of Loans Proceeds Realized Gains Realized Losses

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

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

Year Ended December 31, 2022

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

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

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

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

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

The Company participated in this securitization alongside a private fund under the management of Angelo Gordon.

See Note 10 for more detail.

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

The following is a summary of the geographic concentration of credit risk as of December 31, 2022 and 2021 and includes states where the exposure is greater than 5% of the fair value the Company's residential mortgage loan portfolio.

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

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 December 31, 2023 and 2022 and includes states where the exposure is greater than 5% of the fair value of the Company's residential mortgage loan portfolio.

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

2 unchanged sentences

Florida 10 % 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-performing and non-performing loan portfolios for the years ended December 31, 2022 and 2021, which is determined by the Company’s estimate of undiscounted principal expected to be collected in excess of the amortized cost of the mortgage loan (in thousands).

December 31, 2022 December 31, 2021

Beginning Balance $ 46,521 $ 56,907

Accretion ( 6,599 ) ( 5,106 )

Reclassifications from/(to) non-accretable difference 2,615 1,044

Disposals ( 300 ) ( 6,324 )

Ending Balance $ 42,237 $ 46,521

Variable interest entities

The Company entered into securitization transactions collateralized by its Non-Agency Loans/Agency-Eligible Loans and re- and non-performing loans, which are considered VIEs.

The Company was determined to be the primary beneficiary of the VIEs and, as a result, consolidated the assets and liabilities of the VIEs on its consolidated balance sheets.

In a securitization transaction, a pool of loans is transferred to a wholly-owned subsidiary of the Company and the loans are deposited into a newly created securitization trust.

The securitization trust issues various classes of mortgage pass-through certificates backed by the cash flows from the underlying residential mortgage loans (the "Certificates").

As the sponsor of the securitization, the Company retains certain Certificates issued by the securitization trusts in order to satisfy risk retention rules, which generally require the sponsor to retain at least 5 % of the fair value of the Certificates issued in the securitization .

The Company's continuing involvement in these securitizations represents its retained Certificates and the ability to purchase all of the outstanding Certificates upon the occurrence of certain events through an optional redemption right held by the Company.

The Company has also engaged a related party of the Manager and direct subsidiary of TPG Angelo Gordon to act as the servicing administrator of certain securitization trusts.

AG Mortgage Investment Trust Inc.

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Notes to Consolidated Financial Statements

Variable interest entities

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

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

December 31, 2023

2 unchanged sentences

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

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

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

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

Securitized residential mortgage loans, at fair value (2) $ 5,175,169 5.51 % 10.37 $ 3,436,201 4.65 % 10.20

Other assets 25,105 15,350

Total Assets $ 5,200,274 $ 3,451,551

Securitized debt, at fair value (2) (3) $ 4,597,490 4.94 % 7.52 $ 3,078,593 4.18 % 7.49

Other liabilities 17,269 10,956

Total Liabilities $ 4,614,759 $ 3,089,549

Total Equity (4) $ 585,515 $ 362,002

(1) This is based on projected life.

Typically, actual maturities are shorter than stated contractual maturities.

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

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

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

The Company has no obligation to provide any other explicit or implicit support to the Non-Agency VIEs.

(4) As of December 31, 2023 and 2022, the Company had outstanding financing arrangements of $ 301.2 million and $ 197.9 million, respectively, collateralized by $ 578.8 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 December 31, 2023 and 2022 ($ in thousands).

December 31, 2023

December 31, 2022

Carrying Value Weighted Average Carrying Value Weighted Average

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

Securitized residential mortgage loans, at fair value $ 183,112 6.30 % 6.10 $ 270,945 6.66 % 6.33

Restricted cash 10 1,194

1 unchanged sentence

Total Assets $ 185,178 $ 275,853

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

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

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

Securitized debt, at fair value (2) $ 114,133 3.25 % 3.77 $ 183,759 3.10 % 3.13

6 unchanged sentences

(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 Residential Mortgage Loan VIEs.

(3) As of December 31, 2022 and 2021, the Company had outstanding financing arrangements of $ 232.1 million and $ 71.3 million, respectively, collateralized by certain of the Company's retained interests in the Residential Mortgage Loan VIEs.

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

(3) As of December 31, 2023 and 2022, the Company had outstanding financing arrangements of $ 44.9 million and $ 34.2 million, respectively, collateralized by $ 67.1 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.

Commercial loans

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

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

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

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

AG Mortgage Investment Trust Inc.

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Notes to Consolidated Financial Statements

Revolving Mortgage Investment Trust 2015-1QR2

Revolving Mortgage Investment Trust 2015-1QR2 ("RMI 2015 Trust") was acquired in the WMC acquisition and holds Non-Agency Loans and REO.

RMI 2015 Trust issued a trust certificate that is wholly-owned by the Company and represents the entire beneficial interest in Non-Agency Loans and REO held by the trust.

The Company consolidates the trust since it meets the definition of a VIE and the Company was determined to be the primary beneficiary.

The Company classifies the underlying Non-Agency Loans and REO owned by the trust in the "Residential mortgage loans, at fair value" and "Other assets" line items on the consolidated balance sheets, respectively, and has eliminated the intercompany trust certificate in consolidation.

As of December 31, 2023, the RMI 2015 Trust holds Non-Agency Loans with a fair value of $ 6.6 million and REO with a carrying value of $ 3.4 million.

The loans are financed through the Company's financing arrangements on Non-Agency Loans held outside of RMI 2015 Trust.

The Company did not have an interest in RMI 2015 Trust as of December 31, 2022.

Legacy WMC Commercial loans

The table below details information regarding the Company's Legacy WMC Commercial loan portfolio as of December 31, 2023 ($ in thousands), which was acquired in the WMC acquisition.

For additional information on the WMC acquisition, refer to Note 1.

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

The Company did not hold any commercial loans as of December 31, 2022.

December 31, 2023 Premium /

Amortized Cost Gross Unrealized Gains Fair Value Weighted Average Maturity Date (5) LTV (6) Location

Loan (1)(2)(3) Unpaid Principal Balance Coupon Yield Life (Years) (4)

Loan A (7) $ 7,259 $ ( 137 ) $ 7,122 $ 12 $ 7,134 9.55 % 10.16 % 1.44 5/6/2025 61.63 % IL, FL

Loan B (7) 13,206 ( 249 ) 12,957 22 12,979 9.55 % 10.16 % 1.44 5/6/2025 75.33 % CA

Loan C (7) 24,535 ( 463 ) 24,072 40 24,112 9.55 % 10.16 % 1.44 5/6/2025 77.22 % NY

Loan D (8) 22,204 ( 147 ) 22,057 21 22,078 8.72 % 8.17 % 1.69 8/6/2025 42.50 % CT

Total $ 67,204 $ ( 996 ) $ 66,208 $ 95 $ 66,303 9.27 % 9.50 % 1.52 63.61 %

(1) The Company has the contractual right to receive a balloon payment for each loan.

(2) Each commercial loan investment is a first mortgage loan.

(3) Each commercial loan has a current payment status.

(4) Actual maturities of commercial loans may be shorter or longer than stated contractual maturities.

Maturities are affected by prepayments of principal.

(5) Represents maturity date of the last possible extension option.

(6) Represents the LTV at acquisition.

(7) Loans A, B, and C have a floating rate coupon equal to 4.20 % plus one-month SOFR and are collateralized by hotels.

(8) Loan D has a floating rate coupon equal to 3.38 % plus one-month SOFR and is collateralized by a retail property.

At the time of the WMC acquisition closing, the Company acquired $ 78.5 million of commercial loans.

Subsequent to the WMC acquisition closing and before December 31, 2023, one of the commercial loans acquired paid off at par and the Company received proceeds of $ 12.3 million.

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements

Real Estate Securities

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Non-Agency RMBS

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

GCAT Non-Agency RMBS (2)

GCAT Non-Agency Securities $ 43,794 $ ( 2,281 ) $ 41,513 $ — $ ( 8,971 ) $ 32,542 4.67 % 5.99 %

GCAT Non-Agency RMBS Interest Only (3) N/A N/A 2,541 2,450 — 4,991 — % 37.74 %

Total GCAT Non-Agency RMBS 43,794 ( 2,281 ) 44,054 2,450 ( 8,971 ) 37,533 2.20 % 10.21 %

Non-Agency Securities 82,390 ( 33,399 ) 48,991 2,139 ( 124 ) 51,006 4.99 % 9.11 %

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

Non-Agency RMBS Interest Only (3) N/A N/A 1,116 1 ( 34 ) 1,083 0.35 % 16.04 %

Total Non-Agency RMBS 126,184 ( 35,680 ) 94,161 4,590 ( 9,129 ) 89,622 2.17 % 9.66 %

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

Legacy WMC CMBS 103,458 ( 46,925 ) 56,533 546 ( 730 ) 56,349 7.39 % 21.90 %

Legacy WMC Other Securities (4) N/A N/A 1,174 — ( 18 ) 1,156 N/A 18.16 %

Agency RMBS Interest Only (3) N/A N/A 16,714 115 ( 1,135 ) 15,694 3.74 % 10.20 %

Total as of December 31, 2023

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Non-Agency RMBS

GCAT Non-Agency RMBS (2)

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

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

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

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

Total Non-Agency RMBS 31,713 ( 6,875 ) 27,676 2,248 ( 5,329 ) 24,595 1.62 % 12.26 %

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

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

Total as of December 31, 2022

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

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

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

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

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

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

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

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

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

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

As of December 31, 2023, the notional balances for GCAT Non-Agency RMBS Interest Only, Non-Agency RMBS Interest Only and Agency RMBS Interest Only line items were $ 98.3 million, $ 128.8 million and $ 92.2 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.

(4) Legacy WMC Other securities include residual interests in asset-backed securities which have no principal balance.

AG Mortgage Investment Trust Inc.

2 unchanged sentences

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

Non-Agency RMBS Agency RMBS

December 31, 2022

December 31, 2023 Non-Agency RMBS Legacy WMC CMBS Legacy WMC Other Securities Agency RMBS

Weighted Average Life (1)

Fair Value Amortized

Cost Weighted Average Coupon (2) Fair Value Amortized

Cost Weighted Average Coupon

Cost Fair Value Amortized Cost Fair Value Amortized Cost Fair Value Amortized

Less than or equal to one year $ — $ — $ 15,015 $ 15,010 $ — $ — $ — $ —

Greater than one year and less than or equal to five years 4,631 4,669 41,334 41,523 — — 697 678

3 unchanged sentences

$ 89,622 $ 94,161 $ 56,349 $ 56,533 $ 1,156 $ 1,174 $ 15,694 $ 16,714

Non-Agency RMBS Agency RMBS

December 31, 2021

December 31, 2022 Non-Agency RMBS Agency RMBS

Weighted Average Life (1)

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

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

Fair Value Amortized Cost Fair Value Amortized Cost

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

6 unchanged sentences

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

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

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

In connection with the WMC acquisition in 2023, the Company acquired $ 48.2 million of Non-Agency RMBS, $ 56.3 million of CMBS, $ 1.2 million of Other Securities, and $ 0.7 million of Agency RMBS.

For additional information on the WMC acquisition, refer to Note 1.

The Company sold real estate securities during the years ended December 31, 2023 and 2022, as detailed below ($ in thousands).

Number of Securities Proceeds Realized Gains Realized Losses

3 unchanged sentences

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 TPG 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.

During 2023, the Company purchased non-risk retention bonds from Mortgage Acquisition Holding I LLC ("MATH"), an entity the Company invests in alongside private funds under the management of TPG Angelo Gordon.

Through its 44.6 % investment in MATH, the Company participated in rated Non-QM Loan securitizations issued under the GCAT shelf.

As of December 31, 2023, the Company's Non-Agency RMBS includes the non-risk retention bonds from these securitizations acquired from MATH.

Upon evaluating its investment in these VIEs, the Company determined it was not the primary beneficiary and, as a result, did not consolidate the securitization trusts sponsored by MATH.

The Company has a 57.7 % interest in the non-risk retention bonds recorded on its consolidated balance sheets and a 47.0 % interest in the risk retention bonds through its investment in MATH which together represent its continuing involvement in the securitization trusts.

See Note 10 for additional details on the MATH transaction.

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements

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

December 31, 2023 December 31, 2022

Current Face Fair Value Current Face Fair Value

Retained interest in unconsolidated VIEs

GCAT Non-Agency Securities $ 43,794 $ 32,542 $ 14,894 $ 9,859

GCAT Non-Agency RMBS Interest Only (1) N/A 4,991 N/A 5,058

Total retained interest in unconsolidated VIEs (2) (3) $ 43,794 $ 37,533 $ 14,894 $ 14,917

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

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

As of December 31, 2023 and 2022, the notional balances for GCAT Non-Agency RMBS Interest Only line item were $ 98.3 million and $ 108.5 million, respectively.

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

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

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

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

Assets transferred to unconsolidated VIEs December 31, 2023 December 31, 2022

Total unpaid principal balance of loans outstanding (1) $ 450,366 $ 132,509

Weighted average coupon on loans outstanding 5.67 % 5.62 %

Percent of unpaid principal balance greater than 90 days delinquent (2) 1.94 % 1.32 %

(1) The Company contributed approximately 40.9 % of the unpaid principal balance into one of the securitization trusts and, through the Company's investment in MATH, contributed approximately 44.6 % of the unpaid principal balance into the remaining four securitization trusts.

(2) As of December 31, 2023, 0.70 % of loans were 90+ days delinquent and 1.24 % of loans were in the process of foreclosure.

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

Fair value measurements

The fair value of the Company's financial instruments is determined in accordance with the provisions of ASC 820, "Fair Value Measurements and Disclosures." When possible, the Company determines fair value using third-party data sources.

ASC 820 establishes a hierarchy that prioritizes the inputs to valuation techniques.

Level 1 inputs are observable inputs that reflect quoted prices for identical assets or liabilities in active markets.

Level 2 inputs are observable inputs other than quoted prices and may include quoted prices for similar assets and liabilities in active markets.

Level 3 inputs are significant unobservable inputs.

In situations where quoted prices or observable inputs are unavailable (for example, when there is little or no market activity for an investment at the end of the period), unobservable inputs may be used and reflect the Company’s assumptions about the factors that market participants would use in pricing an asset or liability, and would be based on the best information available.

In certain cases, inputs used to measure fair value fall into different levels of the fair value hierarchy.

In such cases, the level at which the fair value measurement falls is determined based on the lowest level input that is significant to the fair value measurement.

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements

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

3 unchanged sentences

Residential mortgage loans — 777 316,854 317,631

Legacy WMC Commercial loans — — 66,303 66,303

Non-Agency RMBS — 52,089 37,533 89,622

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

Agency Interest Only — 19,124 — 19,124

Legacy WMC CMBS — 50,553 5,796 56,349

Legacy WMC Other Securities — — 1,156 1,156

Agency RMBS — 15,694 — 15,694

Derivative assets (1) — 9,433 1,172 10,605

10 unchanged sentences

Non-Agency RMBS — 9,678 14,917 24,595

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

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

Agency Interest Only — 19,124 — 19,124

Derivative assets (1) — 18,401 98 18,499

Cash equivalents (2) 442 — — 442

AG Arc (3) — — 39,680 39,680

3 unchanged sentences

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

(1) Includes Residential mortgage loans held for sale.

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

(1) As of December 31, 2023, the Company applied a reduction in fair value of $ 9.3 million and $ 7.7 million to its interest rate swap assets and liabilities, respectively, related to variation margin with a corresponding increase or decrease in restricted cash.

As of December 31, 2022, the Company applied a reduction in fair value of $ 17.3 million to its interest rate swap assets related to variation margin with a corresponding increase in restricted cash, net of collateral posted by the Company's derivative counterparties.

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

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

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

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

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

Refer to Note 7 for more information on the Company's derivatives.

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

Cash equivalents may include cash invested in money market funds and are carried at cost, which approximates fair value.

(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

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.

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

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

3 unchanged sentences

The Company also considers loan servicing data, as available, forward interest rates, general economic conditions, home price index forecasts, and valuations of the underlying properties.

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

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

The Company and third-party pricing service providers use loan level data and macro-economic inputs to generate loss adjusted cash flows and other information in determining the fair value.

Because of the inherent uncertainty of such valuation, the fair value established for mortgage loans, securitized debt, and forward purchase commitments held by the Company may differ from the fair value that would have been established if a ready market existed for these mortgage loans.

Because of the inherent uncertainty of such valuation, the fair value established for mortgage loans, securitized debt, commercial loans, certain securities, and forward purchase commitments held by the Company may differ from the fair value that would have been established if a ready market existed for these mortgage loans.

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

15 unchanged sentences

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

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

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

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

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:

Year Ended December 31, 2022 (in thousands)

Loans (1) Non-Agency

RMBS Non-Agency

RMBS Interest Only Derivative assets (2) AG Arc Securitized

Year Ended December 31, 2023

Loans (1) Legacy WMC Commercial Loans Non-Agency

RMBS Legacy WMC CMBS Legacy WMC Other Securities Derivative Assets (2) AG Arc Securitized

Debt Derivative Liabilities (2)

1 unchanged sentence

Purchases 1,228,800 — 4,825 — — — — — —

Transfers from MATH (3) — — 16,408 — — — — — —

Assets acquired/liabilities assumed from WMC 977,827 78,459 — 5,588 1,159 — — ( 837,317 ) —

Issuances of Securitized Debt — — — — — — — ( 874,407 ) —

Capital distributions — — — — — — ( 626 ) — —

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

Proceeds from sales or settlements ( 417,909 ) — — — — ( 5,289 ) — — 4,293

Principal repayments ( 342,996 ) ( 12,250 ) — — — — — 364,920 —

Total net gains/(losses) (3)

Included in net income:

Ending Balance $ 4,127,843 $ 9,859 $ 5,058 $ 98 $ 39,680 $ ( 3,262,352 ) $ ( 9 )

Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held as of December 31, 2022 (4)

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

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

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

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

Net unrealized gain/(loss) $ ( 148,010 )

Net premium and discount amortization (4) 3,631 ( 1 ) ( 217 ) 60 15 — — ( 13,098 ) —

Net realized gain/(loss) ( 11,937 ) — — — — 5,289 — — ( 4,293 )

Net unrealized gain/(loss) 111,642 95 1,600 148 ( 18 ) 1,074 — ( 89,369 ) 2

Equity in earnings/(loss) from affiliates — — — — — — ( 5,480 ) — —

Total $ ( 172,576 )

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

Other (5) ( 1,766 ) — — — — — — — —

Ending Balance $ 5,675,135 $ 66,303 $ 37,533 $ 5,796 $ 1,156 $ 1,172 $ 33,574 $ ( 4,711,623 ) $ ( 7 )

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

Net premium and discount amortization (4) 2,857 ( 1 ) ( 217 ) 60 15 — — ( 13,098 ) —

Net unrealized gain/(loss) 101,037 95 1,600 148 ( 18 ) 1,172 — ( 87,578 ) ( 7 )

Equity in earnings/(loss) from affiliates — — — — — — ( 5,480 ) — —

Total $ ( 156,152 )

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements

Year Ended December 31, 2021 (in thousands)

Residential Mortgage

Year Ended December 31, 2022

Loans (1) Non-Agency

RMBS Non-Agency

RMBS Interest Only Commercial

Rights AG Arc Securitized

RMBS Derivative Assets (2) AG Arc Securitized

Debt Derivative Liabilities (2)

Beginning balance $ 2,634,191 $ 18,757 $ — $ 53,435 $ ( 999,215 ) $ ( 79 )

Transfers (3):

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

Purchases 2,557,440 — — — — —

1 unchanged sentence

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

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

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

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

Total net gains/(losses) (4)

Included in net income:

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

Change in unrealized appreciation/(depreciation) for level 3 assets still held as of December 31, 2021 (5)

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

(1) Includes Securitized residential mortgage loans

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

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

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

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

Net unrealized gain/(loss) $ 38,606

Net premium and discount amortization (4) ( 1,009 ) ( 662 ) — — ( 4,300 ) —

Net realized gain/(loss) ( 3,520 ) — 2,700 — — ( 16,044 )

Net unrealized gain/(loss) ( 539,957 ) ( 2,514 ) 98 — 401,467 70

Equity in earnings/(loss) from affiliates — — — ( 7,702 ) — —

Total $ 48,390

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

Other (5) ( 1,203 ) — — — — —

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

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

Net premium and discount amortization (4) ( 2,586 ) ( 653 ) — — ( 4,300 ) —

Net unrealized gain/(loss) ( 540,043 ) ( 2,424 ) 98 — 401,467 ( 9 )

Equity in earnings/(loss) from affiliates — — — ( 7,702 ) — —

Total $ 30,442

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

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

(3) Refer to "MATH Transaction" in Note 10 for additional information.

(4) Included in the "Interest income" and "Interest expense" line items on the consolidated statement of operations for assets and liabilities, respectively.

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

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements

The following tables present a summary of quantitative information about the significant unobservable inputs used in the fair value measurement of investments for which the Company has utilized Level 3 inputs to determine fair value.

Asset Class Fair Value at December 31, 2022 (in thousands) Valuation Technique Unobservable Input Range

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

December 31, 2023 December 31, 2022

Valuation Technique Unobservable Input Fair Value Range

(Weighted Average) (1) Fair Value Range

(Weighted Average) (1)

Securitized Residential Mortgage Loans

Yield 5.67 % - 9.47 % ( 6.23 %)

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

4.75 % - 7.32 % ( 6.40 %)

Discounted Cash Flow Projected Collateral Prepayments $ 5,358,281 3.02 % - 10.47 % ( 4.72 %)

$ 3,707,146 4.81 % - 10.19 % ( 6.44 %)

Projected Collateral Losses 0.02 % - 1.88 % ( 0.16 %)

0.05 % - 1.40 % ( 0.22 %)

Projected Collateral Severities - 13.44 % - 26.00 % ( 17.38 %)

- 4.16 % - 20.00 % ( 15.40 %)

Residential Mortgage Loans (2)

Yield 6.13 % - 18.75 % ( 6.64 %)

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

6.29 % - 9.82 % ( 7.16 %)

Discounted Cash Flow Projected Collateral Prepayments $ 316,854 3.89 % - 34.35 % ( 24.88 %)

$ 418,023 1.38 % - 31.28 % ( 16.37 %)

Projected Collateral Losses 0.00 % - 12.72 % ( 0.15 %)

0.00 % - 14.44 % ( 0.48 %)

Projected Collateral Severities - 38.75 % - 44.01 % ( 9.62 %)

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

- 2.64 % - 10.19 % ( 9.99 %)

Consensus Pricing Offered Quotes $ — N/A $ 2,674 93.46 - 107.05 ( 101.11 )

Legacy WMC Commercial Loans

Yield 8.16 % - 10.13 % ( 9.47 %)

Non-Agency RMBS $ 9,859 Discounted Cash Flow Projected Collateral Prepayments 8.14 % - 8.14 % ( 8.14 %)

Projected Collateral Losses 0.18 % - 0.18 % ( 0.18 %)

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

Discounted Cash Flow Credit Spread $ 66,303 377 bps - 556 bps ( 496 bps)

Recovery Percentage (3) 100.00 % - 100.00 % ( 100.00 %)

Loan-to-Value 42.50 % - 77.22 % ( 63.61 %)

Non-Agency RMBS

Yield 6.23 % - 14.00 % ( 9.70 %)

Non-Agency RMBS Interest Only $ 5,058 Discounted Cash Flow Projected Collateral Prepayments 8.14 % - 8.14 % ( 8.14 %)

7.18 % - 14.00 % ( 10.59 %)

Discounted Cash Flow Projected Collateral Prepayments $ 37,533 4.55 % - 5.26 % ( 4.93 %)

$ 14,917 8.14 % - 8.14 % ( 8.14 %)

Projected Collateral Losses 0.17 % - 0.28 % ( 0.25 %)

0.18 % - 0.18 % ( 0.18 %)

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

10.00 % - 10.00 % ( 10.00 %)

Legacy WMC CMBS

Consensus Pricing Offered Quotes $ 5,796 55.20 - 55.20 ( 55.20 )

Legacy WMC Other Securities

Consensus Pricing Offered Quotes $ 1,156 6,821.32 - 6,821.32 ( 6,821.32 )

Derivative Assets (4)

Yield 6.29 % - 8.32 % ( 6.81 %)

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

6.69 % - 7.68 % ( 7.54 %)

Discounted Cash Flow Projected Collateral Prepayments $ 1,172 18.20 % - 33.78 % ( 27.00 %)

$ 98 12.63 % - 34.19 % ( 26.71 %)

Projected Collateral Losses 0.00 % - 0.82 % ( 0.14 %)

0.01 % - 0.96 % ( 0.39 %)

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

10.00 % - 10.00 % ( 10.00 %)

Pull Through Percentages 60.00 % - 100.00 % ( 92.21 %)

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

Liability Class Fair Value at December 31, 2022 (in thousands) Valuation Technique Unobservable Input Range

(Weighted Average)

55.00 % - 100.00 % ( 72.78 %)

Comparable Multiple Book Value Multiple $ 33,574 0.89 x - 0.89 x ( 0.89 x)

$ 39,680 0.94 x - 0.94 x ( 0.94 x)

Securitized Debt

Yield 4.92 % - 15.00 % ( 5.72 %)

Securitized Debt $ ( 3,262,352 ) Discounted Cash Flow Projected Collateral Prepayments 4.81 % - 10.19 % ( 6.36 %)

5.25 % - 15.00 % ( 6.07 %)

Discounted Cash Flow Projected Collateral Prepayments $ ( 4,711,623 ) 3.02 % - 10.47 % ( 4.66 %)

$ ( 3,262,352 ) 4.81 % - 10.19 % ( 6.36 %)

Projected Collateral Losses 0.02 % - 0.40 % ( 0.15 %)

0.05 % - 1.40 % ( 0.19 %)

Projected Collateral Severities 3.71 % - 26.00 % ( 17.76 %)

- 4.16 % - 20.00 % ( 15.81 %)

Derivative Liabilities (4)

Yield 6.47 % - 7.00 % ( 6.51 %)

Derivative Liabilities (3) $ ( 9 ) Discounted Cash Flow Projected Collateral Prepayments 21.51 % - 31.31 % ( 27.92 %)

7.29 % - 7.61 % ( 7.36 %)

Discounted Cash Flow Projected Collateral Prepayments $ ( 7 ) 27.36 % - 34.44 % ( 34.30 %)

$ ( 9 ) 21.51 % - 31.31 % ( 27.92 %)

Projected Collateral Losses 0.00 % - 0.02 % ( 0.00 %)

0.01 % - 0.46 % ( 0.16 %)

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

10.00 % - 10.00 % ( 10.00 %)

Pull Through Percentages 60.00 % - 100.00 % ( 99.22 %)

100.00 % - 100.00 % ( 100.00 %)

(1) Amounts are weighted based on fair value.

(2) Includes Residential mortgage loans held for sale.

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

(3) Represents the proportion of the principal expected to be collected relative to the loan balances as of December 31, 2023.

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

2 unchanged sentences

Notes to Consolidated Financial Statements

Asset Class Fair Value at December 31, 2021 (in thousands) Valuation Technique Unobservable Input Range

(Weighted Average) (1)

Yield 2.26 % - 13.00 % ( 3.12 %)

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

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

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

Yield 2.77 % - 7.50 % ( 3.37 %)

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

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

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

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

$ 6,129 Recent Transaction Cost N/A

Yield 3.42 % - 15.00 % ( 5.32 %)

Non-Agency RMBS $ 15,362 Discounted Cash Flow Projected Collateral Prepayments 5.70 % - 12.99 % ( 12.63 %)

Projected Collateral Losses 0.23 % - 2.66 % ( 0.35 %)

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

Yield 10.00 % - 12.50 % ( 12.10 %)

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

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

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

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

Liability Class Fair Value at December 31, 2021 (in thousands) Valuation Technique Unobservable Input Range

(Weighted Average)

Yield 1.56 % - 4.49 % ( 2.15 %)

Securitized Debt $ ( 999,215 ) Discounted Cash Flow Projected Collateral Prepayments 5.86 % - 11.05 % ( 9.66 %)

Projected Collateral Losses 0.38 % - 2.93 % ( 0.83 %)

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

Yield 3.02 % - 3.11 % ( 3.03 %)

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

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

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

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

(1) Amounts are weighted based on fair value.

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

Other Fair Value Disclosures

Short-term financing arrangements

The fair value of certain of the Company's financing arrangements approximates the carrying value due to the floating interest rates that are based on an index plus a spread, which is typically consistent with those demanded in the market, and the short-term maturities of generally one year or less.

These financing agreements are classified as Level 2.

Legacy WMC Convertible Notes and fixed-rate long-term financing arrangements

The following table presents the carrying value and estimated fair value of the Company's Legacy WMC Convertible Notes and fixed-rate financing arrangements with contractual maturities of greater than one year as of December 31, 2023 (in thousands).

The fair value of the Company's Legacy WMC Convertibles Notes may be based upon prices obtained from third-party pricing services or broker quotations and are classified as Level 2.

The fair value of the Company's fixed-rate long-term financing arrangements may be based on a discounted cash flow valuation approach using valuation analyses of the underlying collateral sourced from third-party pricing service providers and is classified as Level 3.

The Company did not hold the Legacy WMC Convertible Notes or have fixed-rate financing arrangements with contractual maturities of greater than one year outstanding as of December 31, 2022.

December 31, 2023

Carrying Value (1) Estimated Fair Value

Legacy WMC Convertible Notes $ 85,266 $ 84,525

Financing arrangements 62,972 63,175

(1) The convertible senior unsecured notes and fixed-rate long-term financing arrangements are recorded at amortized cost in the Company's consolidated balance sheets.

AG Mortgage Investment Trust Inc.

6 unchanged sentences

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

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

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

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

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

Financing Arrangements by Asset Type

Securitized Residential Mortgage Loans (3)

Non-Agency Loans (4) $ 298,750 $ 301,205 Jan 2024 - Jul 2025 7.57 % 0.42 $ 578,829 $ 197,937

Re- and Non-Performing Loans 44,928 44,928 Jan 2024 7.30 % 0.02 67,047 34,151

Residential Mortgage Loans (5)

Non-Agency Loans 77,345 77,345 Mar 2024 - Jan 2025 7.30 % 0.66 94,516 277,797

Agency-Eligible Loans 200,617 200,617 Dec 2024 7.21 % 0.99 220,709 27,199

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

Legacy WMC Commercial Loans 48,032 48,032 Mar 2024 7.86 % 0.24 66,303 —

Non-Agency RMBS 51,251 51,251 Jan 2024 - May 2024 7.19 % 0.08 89,622 14,695

Legacy WMC CMBS 31,620 31,620 Jan 2024 7.81 % 0.01 50,553 —

Agency RMBS 12,594 12,594 Jan 2024 - Mar 2024 6.23 % 0.19 14,940 14,163

Total Financing Arrangements $ 765,137 $ 767,592 7.41 % 0.51 $ 1,182,519 $ 621,187

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

Securitized debt, at fair value (6)

Non-Agency Loans (7) (8) $ 5,069,689 $ 4,597,490 N/A 4.94 % 7.52 N/A $ 3,078,593

Re- and Non-Performing Loans (9) 124,569 114,133 N/A 3.25 % 3.77 N/A 183,759

Total Securitized Debt $ 5,194,258 $ 4,711,623 4.90 % 7.43 N/A $ 3,262,352

Legacy WMC Convertible Notes $ 86,250 $ 85,266 Sept 2024 8.42 % 0.71 N/A —

Total Financing $ 6,045,645 $ 5,564,481 5.30 % 6.48 $ 1,182,519 $ 3,883,539

2 unchanged sentences

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

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

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

(4) As of December 31, 2023, the weighted average stated rate on the financing arrangements on the Company's Securitized non-agency loans was 8.19 %.

(5) The Company's Residential mortgage loan financing arrangements include a maximum uncommitted borrowing capacity of $ 2.3 billion on facilities used to finance Non-Agency and Agency-Eligible Loans.

(5) The funding cost includes deferred financing costs.

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

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

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

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

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

(7) As of December 31, 2023, the amortized cost of Securitized debt in the Company's Non-Agency VIEs was $ 4.9 billion.

(8) 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 December 31, 2023, the notional balance on interest only classes of Securitized debt was $ 133.8 million.

(9) As of December 31, 2023, the amortized cost of Securitized debt in the Company's RPL/NPL VIEs was $ 122.7 million.

In connection with the WMC acquisition in 2023, the Company assumed $ 171.2 million of financing arrangements, $ 837.3 million of securitized debt, and $ 85.2 million of Legacy WMC Convertible Notes.

For additional information on the WMC acquisition, refer to Note 1.

Legacy WMC Convertible Notes

In connection with the WMC acquisition, the Merger Sub assumed, and the Company guaranteed, $ 86.25 million aggregate principal of Legacy WMC Convertible Notes.

The Legacy WMC Convertible Notes have an interest rate of 6.75 % and interest is paid semiannually.

The Legacy WMC Convertible Notes are convertible into, at the Company's election, cash, shares of the Company's common stock or a combination of both, subject to the satisfaction of certain conditions and during specified periods.

The conversion rate is subject to further adjustment upon the occurrence of certain specified events and the holders may require the Company to repurchase all or any portion of their notes for cash equal to 100 % of the principal amount of the Legacy WMC Convertible Notes, plus accrued and unpaid interest, if the Company undergoes a fundamental change as specified in the supplemental indenture for the Legacy WMC Convertible Notes.

Immediately prior to the Effective Time of the WMC acquisition, holders of the Legacy WMC Convertible Notes had the right to convert each $1,000 principal amount into

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements

33.7952 shares of WMC common stock.

As a result of the WMC acquisition, and pursuant to the terms of the Legacy WMC Convertible Notes, the conversion rate was amended whereby each holder now has to the right to convert each $1,000 principal amount of Legacy WMC Convertible Notes into 50.6252 shares of common stock, representing a total conversion price of $ 19.75 per share.

The total conversion price consists of common stock of $ 19.13 per share and cash of $ 0.62 per share.

The Legacy WMC Convertible Notes can be redeemed at the Company's option on or after June 15, 2024, and mature on September 15, 2024, unless earlier converted, redeemed or repurchased by the holders pursuant to their terms.

For the year ended December 31, 2023, the total interest expense on the Legacy WMC Convertible Notes was $ 0.5 million, which included coupon interest expense of $ 0.4 million and amortization expense of $ 0.1 million.

Contractual maturities

The following table allocates the current face of the Company's borrowings under financing arrangements and the Legacy WMC Convertible Notes as of December 31, 2023 by contractual maturity (in thousands).

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

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

Financing Arrangements by Asset Type

Securitized Residential Mortgage Loans

Non-Agency Loans $ 121,068 $ 84,244 $ 32,921 $ 60,517 $ 298,750

Re- and Non-Performing Loans 44,928 — — — 44,928

Residential Mortgage Loans

Non-Agency Loans — 3,005 62,199 12,141 77,345

Agency-Eligible Loans — — 200,617 — 200,617

Legacy WMC Commercial Loans — 48,032 — — 48,032

Non-Agency RMBS 29,398 19,069 2,784 — 51,251

Legacy WMC CMBS 31,620 — — — 31,620

Agency RMBS 632 11,962 — — 12,594

Total Financing Arrangements $ 227,646 $ 166,312 $ 298,521 $ 72,658 $ 765,137

Legacy WMC Convertible Notes $ — $ — $ 86,250 $ — $ 86,250

Counterparties

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

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

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements

The following table presents information as of December 31, 2023 and 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).

7 unchanged sentences

Stockholders' Equity

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

Barclays Capital Inc.

81,445 113 17.6 % 89,230 23 15.6 %

BofA Securities, Inc $ 131,128 236 24.8 % $ 36,193 93 7.8 %

Barclays Capital Inc.

81,047 85 15.3 % 81,445 113 17.6 %

Goldman Sachs Bank USA 73,893 9 14.0 % (3) (3) (3)

JP Morgan Securities, LLC 46,642 134 8.8 % (3) (3) (3)

Various (1) 69,637 577 13.2 % (3) (3) (3)

Credit Suisse AG, Cayman Islands Branch (2) (2) (2) 130,587 71 28.2 %

(1) Certain retained interests in securitizations are held in WMC RR 2023-1 Trust, a wholly owned subsidiary of the Company.

WMC RR 2023-1 Trust issued certificates which were sold to various third-party investors.

(2) As of December 31, 2023, the Company did no t have any equity at risk under financing arrangements with Credit Suisse AG, Cayman Islands Branch.

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

Financial Covenants

1 unchanged sentence

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

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements

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

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

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

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

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

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

Other assets and liabilities

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

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

December 31, 2023 December 31, 2022

Interest receivable $ 30,315 $ 20,593

Real estate owned 5,644 2,698

Derivative assets, at fair value 1,321 1,218

6 unchanged sentences

Derivative liabilities, at fair value 70 9

Purchase price payable on loans (2) — 87

Accrued expenses 4,874 1,811

2 unchanged sentences

(1) Refer to Note 10 for more information.

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

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements

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

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

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

All notional amounts are denominated in USD.

Balance Sheet Location December 31, 2023 December 31, 2022

Derivatives and Other Instruments (1) Notional Fair Value Notional Fair Value

Pay Fix/Receive Float Interest Rate Swap Agreements (2) (3) Other assets $ 165,000 $ 149 $ 335,000 $ 470

Pay Fix/Receive Float Interest Rate Swap Agreements (2) (3) Other liabilities 338,000 — — —

Short TBAs Other assets — — 40,000 650

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

(2) As of December 31, 2023, the Company applied a reduction in fair value of $ 9.3 million and $ 7.7 million to its interest rate swap assets and liabilities, respectively, related to variation margin with a corresponding increase or decrease in restricted cash.

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

Notional amount of non-hedge derivatives and other instruments:

Notional Currency December 31, 2022 December 31, 2021

Pay Fix/Receive Float Interest Rate Swap Agreements (1) USD $ 335,000 $ 888,500

Short TBAs USD 40,000 385,963

Forward Purchase Commitments USD 8,006 25,292

(3) As of December 31, 2023, the Company's pay fix/receive float interest rate swaps had a weighted average pay-fixed rate of 3.65 %, a weighted average receive-variable rate of 5.38 %, and a weighted average years to maturity of 4.01 years.

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Notes to Consolidated Financial Statements

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

The following table summarizes total income related to derivatives and other instruments for the years ended December 31, 2023 and 2022 (in thousands).

December 31, 2023 December 31, 2022

Included within Net interest component of interest rate swaps

Interest Rate Swaps $ 6,680 $ ( 4,922 )

Included within Net unrealized gain/(loss)

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Forward Purchase Commitments 996 ( 13,344 )

Other — ( 165 )

21,334 118,827

Total income/(loss) $ 3,549 $ 111,781

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

Year Ended Beginning

Derivative activity

The following tables present information about the Company’s derivatives for the years ended December 31, 2023 and 2022 (in thousands).

Amount Buys or Covers (1) Sales or Shorts Ending

Amount Fair Value

as of Period End Receivable/(Payable)

from/to Broker Derivative

Amount Derivative

Asset Derivative

December 31, 2022

Year Ended December 31, 2023

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

December 31, 2022

Short TBAs (2) ( 40,000 ) 100,000 ( 69,000 ) ( 9,000 ) — ( 63 )

December 31, 2021

Interest Rate Swaps 335,000 1,197,000 ( 1,029,000 ) 503,000 149 —

Year Ended December 31, 2022

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

Short TBAs (2) ( 385,963 ) 1,320,852 ( 974,889 ) ( 40,000 ) 650 —

Earnings per share

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

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

Refer to Note 2 and Note 11 for additional information.

Interest Rate Swaps 888,500 1,947,000 ( 2,500,500 ) 335,000 470 —

(1) For the year ended December 31, 2023, interest rate swap buys include interest rate swaps with a notional balance of $ 82.0 million acquired in the WMC acquisition.

(2) As of December 31, 2023, the Company recorded a receivable from broker of $ 9.2 million and a fair value of $( 9.2 ) million related to its short TBAs.

As of December 31, 2022, the Company recorded a receivable from broker of $ 39.2 million and a fair value of $( 38.6 ) million related to its short TBAs.

AG Mortgage Investment Trust Inc.

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Notes to Consolidated Financial Statements

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 years ended December 31, 2023 and 2022 (in thousands, except per share data).

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Net Income/(Loss) $ 53,784 $ ( 53,100 )

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

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

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Diluted $ 1.68 $ ( 3.12 )

For the year ended December 31, 2023, the Company excluded the potential effects of the Legacy WMC Convertible Notes from the computation of diluted earnings per share because the market value per share of the Company's common stock was below the conversion price of the Legacy WMC Convertible Notes.

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

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10/24/2023 11/3/2023 11/8/2023 0.08 12/19/2022 12/30/2022 1/31/2023 0.18

11/20/2023 11/30/2023 1/2/2024 0.05

12/15/2023 12/29/2023 1/31/2024 0.05

Total $ 0.72 Total $ 0.81

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements

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

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Total $ 2.06252 $ 2.00 $ 2.00

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements

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

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

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

On December 6, 2023, the Company acquired WMC, an externally managed mortgage REIT.

Refer to "WMC Acquisition" in Note 1 for additional information related to the Merger.

The Merger is intended to qualify as a reorganization within the meaning of Section 368(a) of the Internal Revenue Code.

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.

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For the years ended December 31, 2023 and 2022, the Company did no t recognize any excise tax.

REIT Net Operating Loss and Net Capital Loss Carryforwards

As of December 31, 2023 and 2022, the Company had federal net operating loss ("NOL") carryforwards of $ 2.1 million and $ 2.1 million, respectively, that can be used to offset future taxable ordinary income and reduce its REIT distribution requirements.

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

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

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

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

These NOL carryforwards (which exclude NOLs acquired from WMC) do not have an expiration date and can be carried forward indefinitely.

In connection with the Merger, the Company obtained NOL carryforwards of $ 321.6 million, of which $ 223.8 million do not have an expiration date and can be carried forward indefinitely.

However, the Company’s use of these obtained NOLs is limited under Section 382 of the Internal Revenue Code.

As of December 31, 2023 and 2022, the Company had estimated net capital loss ("NCL") carryforwards of $ 292.6 million and $ 286.6 million, respectively, the majority of which were generated during the year ended December 31, 2020 and will expire in 2025.

These NCL carryforwards (which exclude the NCLs acquired from WMC) can be utilized to offset future net gains from the sale of capital assets.

In connection with the Merger, the Company obtained NCL carryforwards of $ 143.1 million, of which a majority expire between 2027 and 2028.

However, the Company’s use of these obtained NCLs is limited under Sections 382 and 383 of the Internal Revenue Code.

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements

Taxable REIT Subsidiaries

The Company elected to treat certain domestic subsidiaries as TRSs.

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

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

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

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

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

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

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

The tax expense attributable to its TRSs 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 its TRSs for the years ended December 31, 2023 and 2022 (in thousands).

December 31, 2023

December 31, 2022

Income Tax Expense $ 250 $ 163

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

The following table discloses the components of the Company’s deferred tax assets and deferred tax liabilities, if applicable, as of December 31, 2023 and 2022 (in thousands).

December 31, 2023 December 31, 2022

Deferred tax assets

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Net deferred tax assets $ — $ —

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

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

(1) The capital loss carryforwards outstanding as of December 31, 2023 expire between 2024 and 2028.

As of December 31, 2023 and 2022, the Company’s TRSs had an estimated gross NOL carryforward of $ 134.0 million and $ 128.4 million, respectively.

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

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

The Company concluded it is more likely

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements

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

The Company concluded it is more likely than not the deferred tax asset will not be realized and established a valuation allowance of $ 37.3 million and $ 30.2 million as of December 31, 2023 and 2022, respectively.

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 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.

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

There are no ongoing U.S.

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

The Company did no t incur any interest or penalties during the years ended December 31, 2023 and 2022.

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements

Related party transactions

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Pursuant to the terms of the management agreement, which became effective July 6, 2011 (upon the consummation of the Company’s initial public offering (the "IPO")), the Manager provides the Company with its management team, including its officers, along with appropriate support personnel.

Each of the Company’s officers is an employee of Angelo Gordon.

Each of the Company’s officers is an employee of TPG Angelo Gordon.

The Company does not have any employees.

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

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

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

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

Pursuant to the management 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 Merger with WMC, which was completed on December 6, 2023, 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 following the Effective Time, beginning with the fiscal quarter in which the Effective Time occurs (i.e., resulting in an aggregate $ 2.4 million waiver of base management fees), 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 approximately $ 1.3 million, which is the excess of $ 7.0 million over the aggregate Per Share Additional Manager Consideration paid by the Manager to the holders of WMC Common Stock under the Merger Agreement.

The MITT Management Agreement Amendment became effective automatically upon the closing of the Merger.

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.

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 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 years ended December 31, 2023 and 2022 (in thousands).

Consolidated statements of operations line item:

December 31, 2023

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Management fee to affiliate (1) $ 7,711 $ 8,096

(1) For the year ended December 31, 2023, the Manager agreed to waive its right to receive management fees of $ 0.6 million pursuant to the MITT Management Agreement Amendment executed in connection with the Merger.

As of December 31, 2023 and 2022, the Company recorded management fees payable of $ 1.5 million and $ 2.1 million, respectively.

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

Incentive fee

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

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

AG Mortgage Investment Trust Inc.

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Notes to Consolidated Financial Statements

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

Incentive fee

The Manager is entitled to an annual incentive fee with respect to each applicable fiscal year, which will be equal to 15 % of the amount by which the Company's cumulative adjusted net income from November 22, 2021 exceeds the cumulative hurdle amount, which represents an 8 % return (cumulative, but not compounding) on an equity hurdle base consisting of the sum of (i) $ 341.5 million and (ii) the gross proceeds of any subsequent public or private common stock offerings by the Company.

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

In addition, pursuant to the Third Amendment, the term of the management agreement was extended until June 30, 2023, unless earlier terminated in accordance with its terms.

Thereafter, the management agreement will continue to renew automatically each year for an additional one-year period, unless the Company or the Manager exercise its respective termination rights.

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

During the year ended December 31, 2023, the Company did no t incur any incentive fee expense.

Termination fee

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Expense reimbursements to Manager or its affiliates $ 6,458 $ 8,158

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

(1) For the years ended December 31, 2023 and 2022, the Manager agreed to waive its right to receive expense reimbursements of $ 1.7 million and $ 1.5 million, respectively.

As of December 31, 2023 and 2022, the Company recorded a reimbursement payable to the Manager or its affiliates of $ 1.5 million and $ 1.3 million, respectively.

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Since inception of the 2020 Equity Incentive Plan and through December 31, 2023, the Company has granted an aggregate of 176,470 shares of restricted common stock to its independent directors under its 2020 Equity Incentive Plan, all of which have vested.

On December 6, 2023, in connection with the WMC acquisition, the Company granted an aggregate 25,962 restricted stock units to the Company's two independent directors added to the Company's Board of Directors who previously served on WMC's board of directors.

These restricted stock units and associated dividend equivalent units will vest in full on June 23, 2024, and will be settled in shares of the Company's common stock upon each of the independent director's separation from service with the Company.

Manager Equity Incentive Plans

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

Restricted Stock Awards

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

Following the execution of the Third Amendment to the management agreement in November 2021 related to the incentive fee, the Company's compensation committee no longer expects to continue its historical practice of making periodic equity grants to the Manager pursuant to the 2021 Manager Equity Incentive Plan.

Restricted Stock Awards and Restricted Stock Units

The following table presents information with respect to the Company’s restricted stock and restricted stock units for the years ended December 31, 2023 and 2022.

Year Ended December 31, 2023 Year Ended December 31, 2022

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

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

Unvested at beginning of year — $ — — $ —

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Unvested at end of year 25,962 $ 5.55 — $ —

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

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

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

(2) The grant date fair value of restricted stock units issued in connection with the WMC acquisition is based on the closing market price of the Company's common stock at the grant date.

Equity based compensation of $ 0.4 million and $ 0.3 million was expensed during the years ended December 31, 2023 and 2022, respectively.

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

Compensation costs related to restricted stock awards represent the grant date fair value of the restricted stock vested.

Compensation costs related to restricted stock units issued in connection with the WMC acquisition to certain of the Company’s independent directors are amortized into expense over the vesting period on a straight-line basis.

Director compensation

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

As of December 31, 2023, the Company's Board of Directors consisted of six independent directors.

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

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

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

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

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

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

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

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

The number of shares of restricted common stock to be issued each quarter to each independent director is determined based on the average of the high and low prices of the

AG Mortgage Investment Trust Inc.

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Notes to Consolidated Financial Statements

Company’s common stock on the New York Stock Exchange on the last trading day of each fiscal quarter.

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

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

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

In addition to the annual base director's fee, the non-executive chair of the Board receives an annual fee of $ 60,000 , of which $ 30,000 is payable in cash and $ 30,000 is payable in shares of restricted common stock, the chair of the Audit Committee receives an annual fee of $ 25,000 , and the chairs of the Compensation and Nominating and Corporate Governance Committees each receive an annual fee of $ 10,000 .

As part of the WMC acquisition, two independent board members who previously served on WMC's board of directors were appointed to the Company's board of directors.

Investments in debt and equity of affiliates

The Company invests in credit sensitive residential assets through affiliated entities which hold an ownership interest in the assets.

The Company is one investor, amongst other investors managed by affiliates of Angelo Gordon, in such entities and has applied the equity method of accounting for such investments.

The Company is one investor, amongst other investors managed by affiliates of TPG Angelo Gordon, in such entities and has applied the equity method of accounting for such investments.

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

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

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

Arc Home is led by an external management team.

The Company has chosen to make a fair value election with respect to its investment in AG Arc pursuant to ASC 825.

The Company elected to treat its investment in AG Arc as a taxable REIT subsidiary.

On August 29, 2017, the Company, alongside private funds managed by TPG Angelo Gordon, formed MATH to conduct a residential mortgage investment strategy.

MATH in turn sponsored the formation of Mortgage Acquisition Trust I LLC ("MATT") to purchase predominantly Non-QM Loans.

MATT made an election to be treated as a REIT beginning with the 2018 tax year.

As of December 31, 2023, the Company has an approximate 47.0 % interest in MATH.

Refer to the "MATH Transaction" section below for additional details on the Company's increase in ownership interest during 2023.

As of December 31, 2023, MATH, through its wholly owned subsidiary MATT, only holds risk-retention tranches from past securitizations which continue to pay down and the Company does not expect MATT to acquire additional investments.

On May 15, 2019 and November 14, 2019, the Company, alongside private funds managed by TPG Angelo Gordon, formed LOT SP I LLC and LOT SP II LLC, respectively, (collectively, "LOTS").

The Company has an approximate 47.5 % and 50.0 % interest in LOT SP I LLC and LOT SP II LLC, respectively.

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").

During the year ended December 31, 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

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 December 31, 2023 and 2022 and the "Equity in earnings/(loss) from affiliates" line item on the Company's consolidated statements of operations for the years ended December 31, 2023 and 2022 (in thousands).

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Assets Liabilities Equity Net Income/(Loss) Assets Liabilities Equity Net Income/(Loss)

Non-QM Loans (1) $ 31,067 $ ( 16,409 ) $ 14,658 $ 1,261 $ 45,837 $ ( 30,471 ) $ 15,366 $ 12,594

Non-QM Securities (1) $ 15,257 $ — $ 15,257 $ 3,992 $ 31,067 $ ( 16,409 ) $ 14,658 $ 1,261

Land Related Financing — — — 758 10,688 — 10,688 1,621

Re/Non-Performing Loans 7,854 ( 4,406 ) 3,448 594 9,298 ( 5,538 ) 3,760 13,191

Other — — — — — — — ( 32 )

Re/Non-Performing Securities 7,569 ( 3,605 ) 3,964 782 7,854 ( 4,406 ) 3,448 594

Residential investments - Fair value / Net income /(loss) $ 22,826 $ ( 3,605 ) $ 19,221 $ 5,532 $ 49,609 $ ( 20,815 ) $ 28,794 $ 3,476

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Investments in debt and equity of affiliates / Equity in earnings/(loss) from affiliates $ 58,761 $ ( 3,658 ) $ 55,103 $ ( 1,390 ) $ 92,579 $ ( 21,515 ) $ 71,064 $ ( 10,258 )

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

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

(1) As of December 31, 2023, MATH, through its wholly owned subsidiary MATT, only holds risk-retention tranches from past securitizations which continue to pay down and the Company does not expect MATT to acquire additional investments.

Transactions with affiliates

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

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

The Company engaged Red Creek Asset Management LLC (the "Asset Manager"), a related party of the Manager and direct subsidiary of TPG 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 by a third-party valuation firm.

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

The below details the fees paid by the Company to the Asset Manager during the years ended December 31, 2023 and 2022 (in thousands).

December 31, 2023

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Fees paid to Asset Manager $ 2,833 $ 2,742

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

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

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

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements

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

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 TPG Angelo Gordon during the years ended December 31, 2023 and 2022 (in thousands).

December 31, 2023 December 31, 2022

Residential mortgage loans sold by Arc Home to the Company $ 674,955 $ 1,086,937

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

Residential mortgage loans sold by Arc Home to private funds under the management of TPG Angelo Gordon 331,382 212,341

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements

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 years ended December 31, 2023 and 2022 (in thousands).

December 31, 2023 December 31, 2022

Intra-Entity Profits Eliminated $ 1,442 $ 6,032

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

Arc Home may also enter into agreements with third-parties or affiliates of the Manager to sell rights to receive the excess servicing spread related to MSRs that it either purchases from third-parties or originates.

The Company, directly or through its subsidiaries, previously entered into agreements with Arc Home to purchase rights to receive the excess servicing spread related to certain of Arc Home's MSRs, all of which were sold during 2021.

In July 2021, the Company, alongside private funds under the management of Angelo Gordon, sold its remaining Agency Excess MSRs to Arc Home for total proceeds of $ 9.9 million.

The portfolio had a total unpaid principal balance of $ 2.0 billion.

The Company's share of the total proceeds was $ 2.7 million, representing its approximate 45 % ownership interest.

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

The Company received payment for the full amount from Arc Home during year ended December 31, 2023.

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.

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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.

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

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

Securitization Transactions

In May 2021, the Company, alongside private funds under the management of Angelo Gordon, participated through its unconsolidated ownership interest in MATT in a rated Non-QM Loan securitization, in which Non-QM Loans with a fair value of $ 171.4 million were securitized.

Certain senior tranches in the securitization were sold to third parties with the Company and private funds under the management of Angelo Gordon retaining the subordinate tranches, which had a fair value of $ 25.7 million as of June 30, 2021.

In November 2021, the Company, alongside a private fund under the management of Angelo Gordon, participated in a rated Non-QM Loan securitization, in which Non-QM Loans with a fair value of $ 225.9 million were securitized.

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

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

Certain senior tranches in the securitization were sold to third-parties with the Company and the private fund under the management of Angelo Gordon retaining the subordinate tranches, which had a fair value of $ 44.0 million as of December 31, 2021.

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

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

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements

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.

Transactions under the Company's Affiliated Transaction Policy

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Date Transaction Fair Value (1) Pricing Methodology

March 2021 Sale of real estate securities $ 6.9 Competitive bidding process (2)

April 2021 Sale of real estate securities 16.8 Third party pricing vendors (3)

July 2021 Sale of real estate securities 17.6 Competitive bidding process (2)

October 2021 Purchase of real estate securities (4) 3.5 Third party pricing vendors (3)

November 2021 Purchase of residential mortgage loans (5) 181.8 Third party pricing vendors (3)

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

November 2023 Purchase of Real Estate Securities (4) 4.8 Third party pricing vendors (3)

November 2023 Purchase of MATH (4) 0.9 Third party pricing vendors (3)

(1) As of the transaction date.

(2) The affiliate submitted an offer to purchase the securities from the Company in a competitive bidding process, which allowed the Company to confirm third-party market pricing and best execution.

(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.

(3) Pricing was based on valuations prepared by third-party pricing vendors in accordance with the Company's policy.

(4) The Company purchased the real estate securities through one of its unconsolidated affiliated entities.

(5) MATT exercised its call rights on two securitization trusts in which it held interests in the subordinate tranches.

Upon exercising its call rights and acquiring the remaining residential mortgage loans within the trusts, MATT sold the loans to the Company and a private fund under the management of Angelo Gordon in accordance with the Company’s Affiliated Transactions Policy.

As of the date of the transaction, the residential mortgage loans sold to the private fund had a total fair value of $ 183.6 million.

Reverse stock split

On July 12, 2021, the Company announced that its Board of Directors approved a one-for-three reverse stock split of its outstanding shares of common stock.

The reverse stock split was effected following the close of business on July 22, 2021.

At the Effective Time, every three issued and outstanding shares of the Company’s common stock were converted into one share of the Company’s common stock.

No fractional shares were issued in connection with the reverse stock split.

As a result, the number of common shares outstanding was reduced from 48,510,978 immediately prior to the Effective Time to 16,170,312 .

(4) Refer to the "MATH Transaction" below.

MATH Transaction

In November 2023, the Company's 44.6 % allocation of certain bonds retained from past securitizations and held through its investment in MATH was transferred directly to the Company and the Company purchased an additional 13.1 % of these bonds from other funds managed by TPG Angelo Gordon who were invested in MATH alongside the Company.

These bonds are currently recorded in the Company's "Real estate securities, at fair value" line item on the consolidated balance sheets.

Additionally, the Company purchased an additional interest in MATH from other funds managed by TPG Angelo Gordon, increasing its ownership interest in MATH from 44.6 % to 47.0 %.

Subsequent to this transaction, MATH, through its wholly owned subsidiary MATT, only holds risk-retention tranches from past securitizations which continue to pay down and the Company does not expect MATT to acquire additional investments.

AG Mortgage Investment Trust Inc.

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

The table below details the Company's share repurchases under the 2015 Repurchase Program during the years ended December 31, 2022 and 2021:

Period (1) Total Number of Shares Purchased Weighted Average Price Paid per Share (2) Total Number of Shares Purchased as Part of Publicly Announced Program Maximum Approximate Dollar Value that May Yet Be Purchased Under the Program (2)

2021 Common Share Repurchases

August 1, 2021 to August 31, 2021 150,870 $ 10.72 150,870 $ 12,980,553

September 1, 2021 to September 30, 2021 107,885 11.39 107,885 11,751,409

October 1, 2021 to October 31, 2021 61,104 11.59 61,104 11,043,506

2021 Total 319,859 $ 11.11 319,859 $ 11,043,506

2022 Common Share Repurchases

May 1, 2022 to May 31, 2022 697,315 $ 7.86 697,315 $ 5,560,574

June 1, 2022 to June 30, 2022 736,536 7.55 736,536 —

The table below details the Company's share repurchases under the 2015 Repurchase Program during the year ended December 31, 2022.

Three Months Ended (1) Total Number of Shares Purchased Weighted Average Price Paid per Share (2) Total Number of Shares Purchased as Part of Publicly Announced Program Maximum Approximate Dollar Value that May Yet Be Purchased Under the Program (2)

March 31, 2022 — $ — — $ 11,043,506

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

2022 Total 1,433,851 $ 7.70 1,433,851 $ —

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As of December 31, 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 year ended December 31, 2022:

August 1, 2022 to August 31, 2022 221,581 $ 6.71 221,581 $ 13,512,601

September 1, 2022 to September 30, 2022 163,006 5.23 163,006 12,660,645

October 1, 2022 to October 31, 2022 74,187 4.32 74,187 12,340,308

November 1, 2022 to November 30, 2022 348,507 5.59 348,507 10,393,064

December 1, 2022 to December 30, 2022 430,233 5.99 430,233 7,817,003

The table below details the Company's share repurchases under the 2022 Repurchase Program during the years ended December 31, 2023 and 2022.

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

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

September 30, 2023 — — — 1,461,810

December 31, 2023 — — — 1,461,810

2023 Total 1,110,281 $ 5.72 1,110,281 $ 1,461,810

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

December 31, 2022 852,927 5.68 852,927 7,817,003

2022 Total 1,237,514 $ 5.81 1,237,514 $ 7,817,003

(1) Based on trade date.

(2) Includes brokerage commissions and clearing fees.

On February 22, 2021, the Company's Board of Directors authorized a stock repurchase program (the "Preferred Repurchase Program") pursuant to which the Company's Board of Directors granted a repurchase authorization to acquire shares of its Series A Preferred Stock, Series B Preferred Stock, and Series C Preferred Stock having an aggregate value of up to $ 20.0 million.

No share repurchases under the Preferred Repurchase Program have been made since its authorization.

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

The cost of the

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 December 31, 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.

AG Mortgage Investment Trust Inc.

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Notes to Consolidated Financial Statements

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

No share repurchases under the Preferred Repurchase Program have been made since its authorization.

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.

For the year ended December 31, 2022, the Company did no t issue any shares of common stock under the Equity Distribution Agreements.

For the year ended December 31, 2021, the Company issued 1.0 million shares of common stock under the Equity Distribution Agreements for net proceeds of approximately $ 13.1 million.

The Company did no t issue any shares of common stock under the Equity Distribution Agreements during the years ended December 31, 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.

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

Common stock offering

On November 22, 2021, the Company completed a public offering of 7.0 million shares of its common stock and subsequently issued an additional 1.1 million shares pursuant to the underwriters' exercise of their over-allotment option at a price of $ 9.98 per share.

Net proceeds to the Company from the offering were approximately $ 80.0 million, after deducting offering expenses.

Preferred stock

22 unchanged sentences

In addition, certain material and adverse changes to the terms of any series of the Company's Series A Preferred Stock, Series B Preferred Stock, and Series C Preferred Stock cannot be made without the affirmative vote of holders of at least two-thirds of the outstanding shares of the series of the Company's Series A Preferred Stock, Series B Preferred Stock, and Series C Preferred Stock whose terms are being changed.

Exchange offers

The below details privately negotiated exchange agreements with existing holders of the Company's preferred shares exchanged for common shares during 2021.

The Company did not complete any exchange offers during 2022.

Subsequent to each transaction, the Preferred Stock exchanged pursuant to the exchange agreement was reclassified as authorized but unissued shares of preferred stock without designation as to class or series ($ in thousands).

Preferred Shares Exchanged

Date Shares of Series A Preferred Stock Shares of Series B Preferred Stock Shares of Series C Preferred Stock Total Preferred Stock Par Value Common Shares Exchanged

March 17, 2021

153,325 350,609 — $ 12,598 937,462

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

Commitments and Contingencies

4 unchanged sentences

Non-Agency and Agency-Eligible Loans (1) Various $ 74,198 $ — $ 74,198

Land Related Financing (2) Various 13,746 10,688 3,058

MATT Non-QM Loans (2)(3) January 28, 2022 15,607 — 15,607

Total $ 37,415 $ 10,688 $ 26,727

(1) The Company entered into forward purchase commitments to acquire certain Non-Agency and Agency-Eligible Loans from Arc Home which have not yet settled as of December 31, 2023.

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

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

(3) Subsequent to December 31, 2022, the Company's commitment on MATT Non-QM Loans was removed.

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements

Investments in unconsolidated equity method affiliates

1 unchanged sentence

December 31, 2023 December 31, 2022

AG Arc (1) Non-QM Loans (2) Land Related Financing (3) Other Total

AG Arc (1) Non-QM Loans (2) Re/Non-Performing Securities (3) Total

Loans and real estate securities, at fair value $ 152,536 $ 32,463 $ 33,400 $ 218,399 $ 174,858

11 unchanged sentences

The Company's Investments in debt and equity of affiliates $ 33,574 $ 16,750 $ 4,779 $ 55,103 $ 71,064

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

(2) The Company has an approximate 44.6 % interest in MATH.

(3) The Company has an approximate 47.5 % and 50 % interest in LOT SP I LLC and LOT SP II LLC, respectively.

(1) As of December 31, 2023, the Company has an approximate 44.6 % interest in AG Arc.

(2) As of December 31, 2023, the Company has an approximate 47.0 % interest in MATH.

(3) As of December 31, 2023, the Company has an approximate 22.7 % interest in the entity which holds Re/Non-Performing Securities.

(4) Arc Home, as an issuer, has the unilateral right to repurchase Ginnie Mae pool loans it has previously sold or loans in pools it acquired in an MSR purchase (generally loans that are more than 90 days past due).

When Arc Home determines there is more than a trivial benefit to repurchase the loans, it records the loans on its consolidated balance sheets as an asset and a corresponding liability.

As of December 31, 2022 and December 31, 2021, Other assets and Other liabilities included loans eligible to be repurchased in the amount of $ 36.7 million and $ 49.8 million, respectively

As of December 31, 2023 and 2022, Other assets and Other liabilities included loans eligible to be repurchased in the amount of $ 31.5 million and $ 36.7 million, respectively.

AG Mortgage Investment Trust Inc.

3 unchanged sentences

December 31, 2023 December 31, 2022

AG Arc (1) Non-QM Loans (2) Land Related Financing (3) Other Total

AG Arc (1) Non-QM Loans (2) Land Related Financing (3) Re/Non-Performing Securities (4) Total

Net Interest Income

9 unchanged sentences

Net Income/(Loss) $ ( 12,287 ) $ 9,090 $ 1,548 $ 3,452 $ 1,803 $ ( 8,631 )

Net Income/(Loss) Attributable to Noncontrolling Preferred Interests — — — — — 610

Net Income/(Loss) Attributable to Controlling Interest of Unconsolidated Equity Method Investments $ ( 17,330 ) $ 2,831 $ 3,324 $ 2,544 $ ( 8,631 ) $ 86,875

The Company's Equity in earnings/(loss) from affiliates $ ( 6,922 ) $ 3,992 $ 758 $ 782 $ ( 1,390 ) $ ( 10,258 )

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The Company's equity in earnings/(loss) from AG Arc does not include $ 1.4 million and $ 6.0 million of gains recorded by Arc Home in connection with the sale of residential mortgage loans to the Company for the years ended December 31, 2023 and 2022, respectively.

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

(2) The Company has an approximate 44.6 % interest in MATH.

Refer to Note 2 and Note 10 for more information on this accounting policy.

(2) As of December 31, 2023, the Company has an approximate 47.0 % interest in MATH.

During 2023, the Company increased its ownership in MATH from 44.6 % to 47.0 %.

See Note 10 for more information on this transaction.

(3) The Company has an approximate 47.5 % and 50 % interest in LOT SP I LLC and LOT SP II LLC, respectively.

(4) The Company has an approximate 22.7 % interest in the entity which holds Re/Non-Performing Securities.

(5) "Other income/(loss), net" at AG Arc includes servicing revenue.

1 unchanged sentence

Subsequent Events

The Company repurchased 0.1 million shares of common stock for $ 0.5 million, representing a weighted average cost of $ 5.66 per share.

The Company sold Non-Agency Loans for gross proceeds of $ 46.9 million and Agency-Eligible Loans for gross proceeds of $ 18.5 million.

These loans were recorded within the "Residential mortgage loans held for sale, at fair value" line item on the consolidated balance sheets as of December 31, 2022.

The Company executed a rated Non-Agency securitization, in which loans with a total unpaid principal balance of $ 271.2 million were securitized.

The securitization converted recourse financing with mark-to-market margin calls to non-recourse financing without mark-to-market margin calls.

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements

On January 26, 2024, the Company completed the issuance of $ 34.5 million aggregate principal amount of its 9.500 % Senior Notes due 2029 for net proceeds of approximately $ 32.8 million in a public offering pursuant to the Company’s effective registration statement on Form S-3 (File No.

333-255931) filed with the SEC pursuant to Rule 424(b) under the Securities Act.

The Company repurchased $ 7.1 million of aggregate principal amount of its outstanding Legacy WMC Convertible Notes.

The Company executed a rated Non-Agency securitization, in which loans with a total unpaid principal balance of $ 377.5 million were securitized, converting financing from recourse financing with mark-to-market margin calls to non-recourse financing without mark-to-market margin calls.

The Company announced that on February 16, 2024 its Board of Directors declared first quarter 2024 preferred stock dividends on its Series A Preferred Stock, Series B Preferred Stock, and Series C Preferred Stock in the amount of $ 0.51563 , $ 0.50 and $ 0.50 per share, respectively.

2 unchanged sentences

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

What changed 10-K

Item 8. Financial Statements and Supplementary Data