What changed in this filing

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Item 1. Financial Statements

2024-05-07 compared with 2023-11-09 · 575 added, 498 removed, 862 unchanged (55% of the section changed)

4 unchanged sentences

(in thousands, except per share data)

September 30, 2023 December 31, 2022

March 31, 2024 December 31, 2023

Securitized residential mortgage loans, at fair value - $ 663,327 and $ 645,876 pledged as collateral, respectively (1)

2 unchanged sentences

204,351 317,631

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

Commercial loans, at fair value - $ 66,474 and $ 66,303 pledged as collateral, respectively

66,474 66,303

Real estate securities, at fair value - $ 223,949 and $ 155,115 pledged as collateral, respectively

7 unchanged sentences

Financing arrangements 734,001 767,592

Convertible senior unsecured notes 78,530 85,266

Senior unsecured notes 32,810 —

Dividend payable 5,301 1,472

6 unchanged sentences

Common stock, par value $ 0.01 per share;

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

450,000 shares of common stock authorized and 29,453 and 29,437 shares issued and outstanding at March 31, 2024 and December 31, 2023, respectively

Additional paid-in capital 823,908 823,715

1 unchanged sentence

Total Stockholders’ Equity 539,565 528,368

Total Liabilities & Stockholders’ Equity $ 4,881,756 $ 4,369,778

Total Liabilities and Stockholders’ Equity $ 6,400,668 $ 6,126,428

(1) These balances relate to certain residential mortgage loans which were securitized resulting in the Company consolidating the variable interest entities that were created to facilitate these securitizations as the Company was determined to be the primary beneficiary.

6 unchanged sentences

(in thousands, except per share data)

Three Months Ended Nine Months Ended

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

Three Months Ended

March 31, 2024 March 31, 2023

Net Interest Income

29 unchanged sentences

(in thousands)

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

Common Stock Preferred

Stock Additional

Paid-in Capital Retained

Earnings/(Deficit)

Shares Amount Total

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

Grant of restricted stock 14 — — 87 — 87

Common dividends declared — — — — ( 3,639 ) ( 3,639 )

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

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

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

Common Stock Preferred

Stock Additional

Paid-in Capital Retained

Earnings/(Deficit)

Shares Amount Total

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

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

Grant of restricted stock 12 — — 80 — 80

Common dividends declared — — — — ( 4,655 ) ( 4,655 )

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

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

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

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

For the Three Months Ended March 31, 2024 and March 31, 2023

Common Stock Preferred

4 unchanged sentences

Balance at January 1, 2024 29,437 $ 294 $ 220,472 $ 823,715 $ ( 516,113 ) $ 528,368

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

Grant of restricted stock 45 1 — 260 — 261

Grant of restricted stock and amortization of equity based compensation 16 1 — 193 — 194

Common dividends declared — — — — ( 5,301 ) ( 5,301 )

1 unchanged sentence

Net Income/(Loss) — — — — 20,890 20,890

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

Balance at March 31, 2024 29,453 $ 295 $ 220,472 $ 823,908 $ ( 505,110 ) $ 539,565

Common Stock Preferred

9 unchanged sentences

Net Income/(Loss) — — — — 12,540 12,540

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

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

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

3 unchanged sentences

(in thousands)

Nine Months Ended

September 30, 2023 September 30, 2022

Three Months Ended

March 31, 2024 March 31, 2023

Cash Flows from Operating Activities

4 unchanged sentences

Net unrealized (gain)/loss ( 10,014 ) ( 8,717 )

Equity based compensation expense 261 240

Grant of restricted stock and amortization of equity based compensation 194 87

Equity in (earnings)/loss from affiliates ( 2,037 ) ( 16 )

5 unchanged sentences

Cash Flows from Investing Activities

Purchase of residential mortgage loans ( 951,478 ) ( 2,440,718 )

Purchase of real estate securities ( 289,557 ) ( 108,558 )

Purchases of residential mortgage loans ( 288,145 ) ( 22,834 )

Purchases of real estate securities ( 127,991 ) ( 276,265 )

Investments in debt and equity of affiliates — ( 700 )

6 unchanged sentences

Net settlement of TBAs 10 179

Cash flows provided by (used in) other investing activities 3,939 2,865

Cash flows provided by other investing activities 1,082 371

Net cash provided by (used in) investing activities ( 248,231 ) ( 157,222 )

2 unchanged sentences

Net borrowings under (repayments of) financing arrangements ( 30,295 ) 8,271

Principal repayments on fixed-rate long-term financing arrangements ( 2,895 ) —

Proceeds from issuance of senior unsecured notes 32,763 —

Repurchases of convertible senior unsecured notes ( 7,059 ) —

Deferred financing costs paid ( 142 ) ( 9 )

5 unchanged sentences

Net cash provided by (used in) financing activities 227,320 154,312

Three Months Ended

March 31, 2024 March 31, 2023

Net change in cash and cash equivalents and restricted cash ( 8,939 ) 3,619

1 unchanged sentence

Cash and cash equivalents and restricted cash, End of Period $ 116,634 $ 102,422

Nine Months Ended

September 30, 2023 September 30, 2022

Supplemental disclosure of cash flow information:

3 unchanged sentences

Common stock dividends declared but not paid $ 5,301 $ 3,684

Purchase price payable on loans $ — $ 794

Transfer from residential mortgage loans to other assets $ 255 $ 915

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:

September 30, 2023 September 30, 2022

March 31, 2024 March 31, 2023

Cash and cash equivalents $ 100,287 $ 87,876

Restricted cash 16,347 14,546

Total cash, cash equivalents and restricted cash shown in the consolidated statement of cash flows $ 139,262 $ 99,436

Total cash, cash equivalents and restricted cash shown in the consolidated statements of cash flows $ 116,634 $ 102,422

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

2 unchanged sentences

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2023

March 31, 2024

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.

1 unchanged sentence

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

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

On December 6, 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.

13 unchanged sentences

• 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)

1 unchanged sentence

Government such as Ginnie Mae.

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

Legacy WMC Commercial Investments (3)

Commercial Loans • 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" and "Residential mortgage loans, 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.

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

March 31, 2024

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.

2 unchanged sentences

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

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

TPG) is a leading global alternative asset management firm.

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

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2023

("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.

Proposed Acquisition of Western Asset Mortgage Capital Corporation

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

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

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

No further Company stockholder approval is required for the Merger.

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

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

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

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

and (ii) the per share portion of a cash payment from the Manager equal to the lesser of $ 7.0 million or approximately 9.9 % of the aggregate Per Share Merger Consideration.

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

In addition, on August 8, 2023, the Company and the Manager entered into an amendment (the “MITT Management Agreement Amendment”) to the existing management agreement, pursuant to which (i) the base management fee will be reduced by $ 0.6 million for the first four quarters (i.e., resulting in an aggregate $ 2.4 million waiver of base management fees) following the Effective Time, beginning with the fiscal quarter in which the Effective Time occurs, and (ii) the Manager will waive its right to seek reimbursement from the Company for any expenses otherwise reimbursable by the Company under the management agreement in an amount equal to the excess, if any, of $ 7.0 million over the aggregate cash portion of the Per Share Merger Consideration paid by the Manager to the holders of WMC common stock in the Merger.

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

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

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 (the "WMC Director Designees") will be appointed to the Company's Board of Directors.

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

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

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

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.

1 unchanged sentence

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2023

March 31, 2024

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 on December 6, 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

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

March 31, 2024

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.

The final determination must occur within one year of the acquisition date.

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 third and fourth quarters of 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 was 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.

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 three months ended March 31, 2023 prepared as if the Merger had been consummated on January 1, 2023 (in thousands).

Three months ended March 31, 2023

Interest income $ 77,235

Net Income/(Loss) Available to Common Stockholders 15,104

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 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, 2023.

Summary of significant accounting policies

1 unchanged sentence

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

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

For the nine months ended September 30, 2022, the Company reclassified $ 7.7 million and $ 3.9 million of other operating expenses into the "Non-investment related expenses" and "Investment related expenses" line items on the consolidated statement of operations, respectively.

Furthermore, for the three and nine months ended September 30, 2022, the Company reclassified $ 1.0 million and $ 3.0 million of servicing fees into the "Investment related expenses" line item on the consolidated statement of operations, respectively.

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

The operating results presented for interim periods are not necessarily indicative of the results that may be expected for any other interim period or for the entire year.

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

6 unchanged sentences

Actual results may differ from those estimates.

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

March 31, 2024

Investment consolidation

10 unchanged sentences

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

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

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2023

ensuring that investors receive principal and/or interest cash flow on the investment in accordance with the terms of their investment agreement.

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

5 unchanged sentences

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.

Debt issuance costs

Debt issuance costs are costs incurred by the Company in connection with the issuance of Senior Unsecured Notes or other financing where the fair value option has not been elected.

These costs may include underwriting commissions, rating agency, legal, accounting, and other fees.

Debt issuance costs are included on the Company’s consolidated balance sheets as a direct reduction from the related financing liability.

These costs are deferred and amortized over the life of the related financing as an adjustment to interest expense using the effective interest method.

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

March 31, 2024

Recent accounting pronouncements

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

Facilitation of the Effects of Reference Rate Reform on Financial Reporting." This ASU provides temporary optional guidance intended to ease the burden of reference rate reform on financial reporting and may be elected over time as reference rate reform activities occur.

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

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

However, it cannot be applied to contract modifications that occur after December 31, 2024.

With certain exceptions, this ASU also cannot be applied to hedging relationships entered into or evaluated after that date.

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 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's adoption of ASU 2020-06 during the three months ended March 31, 2024 did not have a material impact on the consolidated financial statements.

Segment Reporting

In November 2023, the FASB issued ASU 2023-07, "Segment Reporting (Topic 280):

Improvements to Reportable Segment Disclosures." ASU 2023-07 intends to improve reportable segment disclosure requirements, primarily through enhanced disclosures related to significant segment expenses.

In addition, this standard is expected to enhance interim disclosure requirements, clarify circumstances in which an entity can disclose multiple segment measures of profit or loss and provides new segment disclosure requirements for entities with a single reportable segment.

ASU 2023-07 is effective on a retrospective basis for annual periods beginning after December 15, 2023, for interim periods within fiscal years beginning after December 15, 2024, and early adoption is permitted.

The Company does not expect the adoption of the new standard to have a material effect on its consolidated financial statements.

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2023

March 31, 2024

Residential mortgage loans

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

The tables below detail information regarding the Company’s residential mortgage loan portfolio as of March 31, 2024 and December 31, 2023 ($ in thousands).

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

Unpaid Principal Balance Gross Unrealized Weighted Average

September 30, 2023

March 31, 2024

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

8 unchanged sentences

Total Residential mortgage loans, at fair value $ 199,913 $ 1,990 $ 201,903 $ 3,121 $ ( 673 ) $ 204,351 7.94 % 8.27 % 3.36

Total as of September 30, 2023

Total as of March 31, 2024

$ 6,267,316 $ ( 39,882 ) $ 6,227,434 $ 37,081 $ ( 415,160 ) $ 5,849,355 5.36 % 5.75 % 9.30

18 unchanged sentences

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

(4) Includes fair value of $ 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.

1 unchanged sentence

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2023

March 31, 2024

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

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

September 30, 2023

March 31, 2024

Loan Count (1) Original LTV Ratio (4) Current FICO (5) Current 30-59 Days 60-89 Days 90+ Days

8 unchanged sentences

Total Residential mortgage loans $ 199,913 440 73.60 % 749 $ 191,040 $ 731 $ — $ 5,703

Total as of September 30, 2023

Total as of March 31, 2024

$ 6,267,316 16,138 67.67 % 745 $ 6,015,633 $ 86,870 $ 49,173 $ 113,201

15 unchanged sentences

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

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

(3) As of March 31, 2024, the Company had securitized residential mortgage loans and residential mortgage loans that were 90+ days delinquent with a fair value of $ 52.2 million and loans in the process of foreclosure with a fair value of $ 52.6 million.

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.

(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 August 31, 2023 and November 30, 2022, respectively.

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

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

Data is based on the latest available information, which is primarily as of February 29, 2024 and November 30, 2023, respectively.

As of March 31, 2024 and December 31, 2023, 11.4 % and 12.0 %, respectively, of the unpaid principal balance of the Company's securitized residential mortgage loans and residential mortgage loans were adjustable rate mortgages.

During the three months ended March 31, 2024 and 2023, the Company purchased residential mortgage loans, as detailed below (in thousands).

Three Months Ended March 31, 2024

Three Months Ended March 31, 2023

Unpaid Principal Balance Fair Value Unpaid Principal Balance Fair Value

5 unchanged sentences

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2023

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

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

Three Months Ended September 30, 2023

Nine Months Ended September 30, 2023

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

March 31, 2024

The Company did no t sell any residential mortgage loans during the three months ended March 31, 2024.

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

Number of Loans Proceeds Realized Gains Realized Losses

Non-Agency Loans 116 $ 46,909 $ — $ ( 9,745 )

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

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

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

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

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

The following is a summary of the geographic concentration of credit risk as of March 31, 2024 and December 31, 2023 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) March 31, 2024 December 31, 2023

California 37 % 38 %

4 unchanged sentences

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

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

Three Months Ended Nine Months Ended

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

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

Accretion ( 1,127 ) ( 1,587 ) ( 3,698 ) ( 5,012 )

Reclassifications from/(to) non-accretable difference ( 115 ) 1,579 ( 1,088 ) 2,384

Disposals ( 13,655 ) ( 141 ) ( 13,871 ) ( 141 )

Ending Balance $ 23,580 $ 43,752 $ 23,580 $ 43,752

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.

1 unchanged sentence

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2023

Variable interest entities

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

September 30, 2023 December 31, 2022

March 31, 2024

The following table details certain information related to the assets and liabilities of the Non-Agency VIEs as of March 31, 2024 and December 31, 2023 ($ in thousands).

March 31, 2024 December 31, 2023

Carrying Value Weighted Average Carrying Value Weighted Average

13 unchanged sentences

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

(4) As of September 30, 2023 and December 31, 2022, the Company had outstanding financing arrangements of $ 242.9 million and $ 197.9 million, respectively, collateralized by $ 444.2 million and $ 357.6 million of the Company's retained interests in the Non-Agency VIEs, respectively.

(4) As of March 31, 2024 and December 31, 2023, the Company had outstanding financing arrangements of $ 315.0 million and $ 301.2 million, respectively, collateralized by $ 597.4 million and $ 578.8 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 September 30, 2023 and December 31, 2022 ($ in thousands).

September 30, 2023 December 31, 2022

The following table details certain information related to the assets and liabilities of the RPL/NPL VIEs as of March 31, 2024 and December 31, 2023 ($ in thousands).

March 31, 2024 December 31, 2023

Carrying Value Weighted Average Carrying Value Weighted Average

13 unchanged sentences

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

(3) As of September 30, 2023 and December 31, 2022, the Company had outstanding financing arrangements of $ 46.6 million and $ 34.2 million, respectively, collateralized by $ 68.0 million and $ 66.4 million of the Company's retained interests in the RPL/NPL VIEs, respectively.

(3) As of March 31, 2024 and December 31, 2023, the Company had outstanding financing arrangements of $ 43.6 million and $ 44.9 million, respectively, collateralized by $ 66.0 million and $ 67.1 million of the Company's retained interests in the RPL/NPL VIEs, respectively.

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

2 unchanged sentences

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2023

March 31, 2024

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 real estate owned ("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 March 31, 2024, the RMI 2015 Trust holds Non-Agency Loans with a fair value of $ 5.3 million and REO with a carrying value of $ 3.4 million.

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

Legacy WMC Commercial loans

The tables below detail information regarding the Company's Legacy WMC Commercial loan portfolio as of March 31, 2024 and December 31, 2023 ($ in thousands).

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

March 31, 2024 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 $ ( 124 ) $ 7,135 $ 25 $ 7,160 9.52 % 10.76 % 1.18 5/6/2025 61.63 % IL, FL

Loan B (7) 13,206 ( 226 ) 12,980 47 13,027 9.52 % 10.76 % 1.18 5/6/2025 75.33 % CA

Loan C (7) 24,535 ( 420 ) 24,115 86 24,201 9.52 % 10.76 % 1.18 5/6/2025 77.22 % NY

Loan D (8) 22,204 ( 167 ) 22,037 49 22,086 8.70 % 8.67 % 1.44 8/6/2025 42.50 % CT

Total $ 67,204 $ ( 937 ) $ 66,267 $ 207 $ 66,474 9.25 % 10.06 % 1.27 63.63 %

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.

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

March 31, 2024

Real Estate Securities

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

The following tables detail the Company’s real estate securities portfolio as of March 31, 2024 and December 31, 2023 ($ in thousands).

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

1 unchanged sentence

Amortized Cost Gross Unrealized Weighted Average

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

March 31, 2024 Gains Losses Fair Value Coupon (1) Yield

Non-Agency RMBS

4 unchanged sentences

Non-Agency Securities 40,930 ( 9,856 ) 31,074 3,166 ( 107 ) 34,133 6.21 % 8.41 %

Non-Agency RMBS Interest Only (3) N/A N/A 176 4 — 180 0.21 % 26.83 %

Total Non-Agency RMBS 84,724 ( 12,035 ) 75,320 5,669 ( 7,513 ) 73,476 3.02 % 9.27 %

Legacy WMC CMBS 103,399 ( 46,027 ) 57,372 944 ( 3,927 ) 54,389 7.38 % 20.97 %

Legacy WMC Other Securities (4) N/A N/A 1,120 100 — 1,220 N/A 19.45 %

30 Year Fixed Rate 121,708 123 121,831 — ( 111 ) 121,720 5.50 % 5.48 %

Interest Only (4) N/A N/A 16,365 301 ( 600 ) 16,066 3.93 % 10.13 %

Agency RMBS Interest Only (3) N/A N/A 22,104 99 ( 1,140 ) 21,063 4.01 % 10.59 %

Total Agency RMBS 121,708 123 143,935 99 ( 1,251 ) 142,783 4.77 % 6.24 %

Total as of September 30, 2023

Total as of March 31, 2024

$ 309,831 $ ( 57,939 ) $ 277,747 $ 6,812 $ ( 12,691 ) $ 271,868 4.74 % 10.06 %

8 unchanged sentences

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

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 (4) N/A N/A $ 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

1 unchanged sentence

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

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

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

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

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

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

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

As of March 31, 2024, the notional values of the GCAT Non-Agency RMBS Interest Only, Non-Agency RMBS Interest Only and Agency RMBS Interest Only line items were $ 93.9 million, $ 30.6 million and $ 114.8 million, respectively.

As of December 31, 2023, the notional values of the 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.

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

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2023

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

Non-Agency RMBS Agency RMBS

September 30, 2023

March 31, 2024

The following tables summarize the Company's real estate securities according to their projected weighted average life classifications as of March 31, 2024 and December 31, 2023 ($ in thousands).

March 31, 2024 Non-Agency RMBS Legacy WMC CMBS Legacy WMC Other Securities Agency RMBS

Weighted Average Life (1)

Fair Value Amortized Cost Weighted Average

Fair Value Amortized Cost Weighted Average Coupon

Fair Value Amortized

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

Less than or equal to one year $ — $ — $ 18,348 $ 20,595 $ — $ — $ — $ —

Greater than one year and less than or equal to five years 3,546 3,502 36,041 36,777 — — 609 632

1 unchanged sentence

Greater than ten years 31,505 32,706 — — — — — —

Total as of September 30, 2023

Total as of March 31, 2024

$ 73,476 $ 75,320 $ 54,389 $ 57,372 $ 1,220 $ 1,120 $ 142,783 $ 143,935

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

Fair Value Amortized Cost Weighted Average Coupon

Fair Value Amortized

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

2 unchanged sentences

Total as of December 31, 2023 $ 89,622 $ 94,161 $ 56,349 $ 56,533 $ 1,156 $ 1,174 $ 15,694 $ 16,714

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

(1) This is based on projected life.

1 unchanged sentence

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

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

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

Three Months Ended Nine Months Ended

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

September 30, 2023

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

September 30, 2022

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

The Company sold real estate securities during the three months ended March 31, 2024, as detailed below ($ in thousands).

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

Number of Securities Proceeds Realized Gains Realized Losses

Three Months Ended March 31, 2024 7 $ 19,318 $ 1,160 $ ( 409 )

Unconsolidated variable interest entities

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

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

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

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

September 30, 2023 December 31, 2022

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 March 31, 2024 and 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.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

March 31, 2024

The following table summarizes the Company’s investment in unconsolidated VIEs as of March 31, 2024 and December 31, 2023 (in thousands).

March 31, 2024 December 31, 2023

Current Face Fair Value Current Face Fair Value

3 unchanged sentences

Total retained interest in unconsolidated VIEs (2) (3) $ 43,794 $ 39,163 $ 43,794 $ 37,533

(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 September 30, 2023 and December 31, 2022, the notional balances for the GCAT Non-Agency RMBS Interest Only line item were $ 98.9 million and $ 108.5 million, respectively.

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

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

As of March 31, 2024 and December 31, 2023, the notional values of the GCAT Non-Agency RMBS Interest Only line item were $ 93.9 million and $ 98.3 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 September 30, 2023 and December 31, 2022, the Company held securities exposed to the first loss of the securitization with a fair value of $ 3.6 million and $ 4.1 million, respectively.

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2023

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

(3) As of March 31, 2024 and December 31, 2023, 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 March 31, 2024 and December 31, 2023 ($ in thousands).

Assets transferred to unconsolidated VIEs:

September 30, 2023 December 31, 2022

March 31, 2024 December 31, 2023

Total unpaid principal balance of loans outstanding (1) $ 436,585 $ 450,366

1 unchanged sentence

Percent of unpaid principal balance greater than 90 days delinquent (2) 1.57 % 1.94 %

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

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

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

(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 March 31, 2024, 0.88 % of loans were 90+ days delinquent and 0.69 % of loans were in process of foreclosure.

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

Fair value measurements

10 unchanged sentences

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2023

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

Fair Value at September 30, 2023

March 31, 2024

The following tables present the Company’s financial instruments measured at fair value on a recurring basis as of March 31, 2024 and December 31, 2023 (in thousands).

Fair Value at March 31, 2024

Level 1 Level 2 Level 3 Total

1 unchanged sentence

Residential mortgage loans — 795 203,556 204,351

Legacy WMC Commercial Loans — — 66,474 66,474

Non-Agency RMBS — 34,313 39,163 73,476

Legacy WMC CMBS — 51,121 3,268 54,389

Legacy WMC Other Securities — — 1,220 1,220

Agency RMBS — 142,783 — 142,783

10 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

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

5 unchanged sentences

Total Liabilities Measured at Fair Value $ — $ ( 7,783 ) $ ( 4,711,630 ) $ ( 4,719,413 )

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

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

(1) As of March 31, 2024, the Company applied a reduction in fair value of $ 10.1 million and $ 1.0 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, 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.

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

3 unchanged sentences

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

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

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2023

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

March 31, 2024

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.

14 unchanged sentences

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

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

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

The Company did not have any transfers of assets or liabilities between Levels 1 and 2 of the fair value hierarchy during the three months ended March 31, 2024 and 2023.

The Company did not have any transfers between the Levels 2 and 3 of the fair value hierarchy during the three months ended March 31, 2024 and 2023.

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

5 unchanged sentences

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2023

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

Three Months Ended September 30, 2023 (in thousands)

Loans (1) Non-Agency

RMBS Derivative Assets (2) AG Arc Securitized

Debt Derivative Liabilities (2)

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

Purchases 704,680 — — — — —

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

Capital distributions — — — ( 224 ) — —

Proceeds from sales or settlements ( 142,471 ) — ( 1,675 ) — — 1,871

Principal repayments ( 89,023 ) — — — 127,404 —

Included in net income:

Net premium and discount amortization (3) 511 ( 101 ) — — ( 2,999 ) —

Net realized gain/(loss) ( 895 ) — 1,675 — — ( 1,871 )

Net unrealized gain/(loss) ( 92,367 ) ( 70 ) ( 286 ) — 85,793 ( 423 )

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

Other (4) ( 2,176 ) — — — — —

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

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

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

Net unrealized gain/(loss) ( 93,712 ) ( 70 ) 640 — 85,794 ( 1,658 )

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

Three Months Ended September 30, 2022 (in thousands)

Mortgage Loans (1) Non-Agency

RMBS Derivative Assets (2) AG Arc Securitized

March 31, 2024

Three Months Ended March 31, 2024

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)

12 unchanged sentences

Ending Balance $ 5,848,560 $ 66,474 $ 39,163 $ 3,268 $ 1,220 $ 472 $ 33,190 $ ( 4,980,942 ) $ ( 159 )

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

Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held as of March 31, 2024

Net premium and discount amortization (3) 4,197 60 16 ( 63 ) ( 54 ) — — ( 7,578 ) —

1 unchanged sentence

Equity in earnings/(loss) from affiliates — — — — — — ( 72 ) — —

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

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

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

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

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2023

Nine months ended September 30, 2023 (in thousands)

Three Months Ended March 31, 2023

Loans (1) Non-Agency

4 unchanged sentences

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

Capital distributions — — — ( 626 ) — —

Proceeds from sales or settlements ( 65,383 ) — — — — —

7 unchanged sentences

Ending Balance $ 4,098,773 $ 15,039 $ 2,475 $ 37,540 $ ( 3,505,529 ) $ ( 75 )

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

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

Net unrealized gain/(loss) ( 23,891 ) ( 147 ) 640 — 27,137 ( 1,658 )

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

Nine months ended September 30, 2022 (in thousands)

Mortgage Loans (1) Non-Agency

RMBS Derivative Assets (2) AG Arc Securitized

Debt Derivative Liabilities (2)

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

Purchases 2,416,221 — — — — —

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

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

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

Principal repayments ( 393,170 ) ( 664 ) — — 320,502 —

Included in net income:

Net premium and discount amortization (3) ( 1,528 ) ( 582 ) — — ( 2,101 ) —

Net realized gain/(loss) 69 — 2,208 — — ( 14,514 )

Net unrealized gain/(loss) ( 451,532 ) ( 2,392 ) 340 — 306,302 ( 1,464 )

Equity in earnings/(loss) from affiliates — — — ( 5,777 ) — —

Other (4) ( 1,886 ) — — — — —

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

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

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

Net premium and discount amortization (3) 1,144 ( 76 ) — — ( 2,738 ) —

2 unchanged sentences

(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.

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

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

3 unchanged sentences

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2023

The following table presents a summary of quantitative information about the significant unobservable inputs used in the fair value measurement of investments for which the Company has utilized Level 3 inputs to determine fair value as of September 30, 2023 and December 31, 2022 ($ in thousands).

September 30, 2023 December 31, 2022

March 31, 2024

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 March 31, 2024 and December 31, 2023 ($ in thousands).

March 31, 2024 December 31, 2023

Valuation Technique Unobservable Input Fair Value Range

19 unchanged sentences

- 38.75 % - 44.01 % ( 9.62 %)

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

Legacy WMC Commercial Loans

Yield 8.62 % - 10.70 % ( 10.01 %)

8.16 % - 10.13 % ( 9.47 %)

Discounted Cash Flow Credit Spread $ 66,474 377 bps - 550 bps ( 493 bps)

$ 66,303 377 bps - 556 bps ( 496 bps)

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

100.00 % - 100.00 % ( 100.00 %)

Loan-to-Value 42.50 % - 77.22 % ( 63.63 %)

42.50 % - 77.22 % ( 63.61 %)

Non-Agency RMBS

7 unchanged sentences

10.00 % - 10.00 % ( 10.00 %)

Legacy WMC CMBS

Consensus Pricing Offered Quotes $ 3,268 31.13 - 31.13 ( 31.13 )

$ 5,796 55.20 - 55.20 ( 55.20 )

Legacy WMC Other Securities

Consensus Pricing Offered Quotes $ 1,220 7,199.26 - 7,199.26 ( 7,199.26 )

$ 1,156 6,821.32 - 6,821.32 ( 6,821.32 )

Derivative Assets (3)

32 unchanged sentences

(1) Amounts are weighted based on fair value.

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

(2) Represents the proportion of the principal expected to be collected relative to the loan balances as of March 31, 2024 and December 31, 2023.

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

2 unchanged sentences

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2023

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

September 30, 2023

March 31, 2024

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, Senior Unsecured 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, Senior Unsecured Notes, and fixed-rate financing arrangements with contractual maturities of greater than one year as of March 31, 2024 and December 31, 2023 (in thousands).

The fair value of the Company's Legacy WMC Convertibles Notes and Senior Unsecured Notes is 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 is 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.

March 31, 2024 December 31, 2023

Carrying Value (1) Estimated Fair Value Carrying Value (1) Estimated Fair Value

Legacy WMC Convertible Notes $ 78,530 $ 79,115 $ 85,266 $ 84,525

Senior Unsecured Notes 32,810 35,093 — —

Financing arrangements 59,676 59,941 62,972 63,175

(1) The Legacy WMC Convertible Notes, 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.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

March 31, 2024

The following table presents a summary of the Company's financing as of March 31, 2024 and December 31, 2023 ($ in thousands).

March 31, 2024

December 31, 2023

3 unchanged sentences

Securitized Residential Mortgage Loans (3)

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

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

Non-Agency Loans (4) $ 312,953 $ 315,007 Apr 2024 - Jul 2025 7.34 % 0.31 $ 597,357 $ 301,205

Re- and Non-Performing Loans 43,628 43,628 Apr 2024 7.27 % 0.03 65,970 44,928

Residential Mortgage Loans (5)

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

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

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

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

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

Non-Agency Loans 77,191 77,191 Jun 2024 - Jan 2025 7.29 % 0.49 93,797 77,345

Agency-Eligible Loans 94,819 94,819 Dec 2024 - Mar 2025 7.18 % 0.91 102,955 200,617

Legacy WMC Commercial Loans (6) 47,222 47,222 Mar 2025 8.33 % 0.98 66,474 48,032

Non-Agency RMBS 36,415 36,415 Apr 2024 - May 2024 6.76 % 0.08 70,054 51,251

Legacy WMC CMBS 21,348 21,348 Apr 2024 7.28 % 0.01 51,121 31,620

Agency RMBS 98,371 98,371 Apr 2024 5.48 % 0.03 102,774 12,594

Total Financing Arrangements $ 731,947 $ 734,001 7.09 % 0.38 $ 1,150,502 $ 767,592

3 unchanged sentences

Total Securitized Debt $ 5,432,943 $ 4,980,942 5.03 % 7.03 N/A $ 4,711,623

Legacy WMC Convertible Notes $ 79,120 $ 78,530 Sep 2024 8.42 % 0.47 N/A $ 85,266

Senior Unsecured Notes $ 34,500 $ 32,810 Feb 2029 10.80 % 4.95 N/A $ —

Total Financing $ 6,278,510 $ 5,826,283 5.37 % 6.18 $ 1,150,502 $ 5,564,481

(1) The Company also had $ 9.5 million and $ 3.4 million of cash pledged under repurchase agreements as of September 30, 2023 and December 31, 2022, respectively.

(1) The Company also had $ 2.1 million and $ 1.7 million of cash pledged under repurchase agreements as of March 31, 2024 and December 31, 2023, respectively.

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

1 unchanged sentence

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

(4) As of March 31, 2024, the weighted average stated rate on the financing arrangements on the Company's Securitized non-agency loans was 7.91 %.

(5) The Company's Residential mortgage loan financing arrangements include a maximum uncommitted borrowing capacity of $ 1.8 billion on facilities used to finance Non-Agency and Agency-Eligible Loans.

(6) As of March 31, 2024, the weighted average stated rate on the financing arrangements on the Company's Legacy WMC Commercial Loans was 8.08 %.

(7) 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 and RPL/NPL VIEs.

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

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

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

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

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

(8) As of March 31, 2024, the amortized cost of Securitized debt in the Company's Non-Agency VIEs was $ 5.2 billion.

(9) 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 value.

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

As of March 31, 2024, the notional value of interest only classes of Securitized debt was $ 131.3 million.

(10) As of March 31, 2024, the amortized cost of Securitized debt in the Company's RPL/NPL VIEs was $ 119.8 million.

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

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2023

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

March 31, 2024

WMC acquisition, holders of the Legacy WMC Convertible Notes had the right to convert each $1,000 principal amount into 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 three months ended March 31, 2024, total interest expense on the Legacy WMC Convertible Notes was $ 1.7 million, which included coupon interest expense of $ 1.4 million and amortization expense of $ 0.3 million.

During the three months ended March 31, 2024, the Company repurchased $ 7.1 million of principal amount of its outstanding Legacy WMC Convertible Notes.

Senior Unsecured Notes

On January 26, 2024, the Company issued $ 34.5 million principal amount of its 9.500 % Senior Notes due 2029 in a public offering for net proceeds of approximately $ 32.8 million.

The Senior Unsecured Notes were issued at 100 % of the principal amount, bear interest at a rate equal to 9.500 % per year, payable in cash quarterly in arrears on February 15, May 15, August 15 and November 15 of each year, beginning on May 15, 2024, and mature February 15, 2029, unless redeemed earlier.

The Company may redeem the Senior Unsecured Notes in whole or in part at any time or from time to time at the Company’s option on or after February 15, 2026, upon not less than 30 days written notice to holders prior to the redemption date, at a redemption price equal to 100 % of the outstanding principal amount of the Senior Unsecured Notes to be redeemed plus accrued and unpaid interest to, but excluding, the redemption date.

For the three months ended March 31, 2024, total interest expense on the Senior Unsecured Notes was $ 0.6 million, which includes coupon interest expense of $ 0.6 million and amortization expense of $ 47 thousand.

Contractual maturities

The following table allocates the current face of the Company's borrowings under financing arrangements, the Legacy WMC Convertible Notes, and Senior Unsecured Notes as of March 31, 2024 by contractual maturity (in thousands).

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

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

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

4 unchanged sentences

Agency-Eligible Loans — — 94,819 — 94,819

Legacy WMC Commercial Loans — — 47,222 — 47,222

Non-Agency RMBS 20,060 16,355 — — 36,415

Legacy WMC CMBS 21,348 — — — 21,348

Agency RMBS 98,371 — — — 98,371

Total Financing Arrangements $ 396,903 $ 60,655 $ 216,768 $ 57,621 $ 731,947

Legacy WMC Convertible Notes $ — $ — $ 79,120 $ — $ 79,120

Senior Unsecured Notes — — — 34,500 34,500

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

March 31, 2024

Counterparties

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

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

September 30, 2023

The Company had outstanding financing arrangements with six and seven counterparties as of March 31, 2024 and December 31, 2023, respectively.

The following table presents information as of March 31, 2024 and December 31, 2023 with respect to each counterparty that provides the Company with financing for which the Company had greater than 5% of its stockholders’ equity at risk, excluding stockholders’ equity at risk under financing through affiliated entities ($ in thousands).

March 31, 2024

December 31, 2023

12 unchanged sentences

JP Morgan Securities, LLC 43,078 62 8.0 % 46,642 134 8.8 %

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

(1) As of September 30, 2023, the Company did no t have any equity at risk under financing arrangements with Credit Suisse AG, Cayman Islands Branch.

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

Various (1) 72,040 486 13.4 % 69,637 577 13.2 %

(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.

Financial Covenants

4 unchanged sentences

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

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

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2023

As of March 31, 2024, 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 September 30, 2023 and December 31, 2022 (in thousands).

September 30, 2023 December 31, 2022

The following table details certain information related to the Company's "Other assets" and "Other liabilities" line items on its consolidated balance sheets as of March 31, 2024 and December 31, 2023 (in thousands).

March 31, 2024 December 31, 2023

Interest receivable $ 31,436 $ 30,315

Real estate owned 5,428 5,644

Derivative assets, at fair value 739 1,321

10 unchanged sentences

(1) Refer to Note 10 for more information.

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

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

March 31, 2024

The following table presents information related to the Company's derivatives and other instruments and their balance sheet location as of March 31, 2024 and December 31, 2023 (in thousands).

All notional amounts are denominated in USD.

March 31, 2024 December 31, 2023

Derivatives and Other Instruments (1) Balance Sheet

Location September 30, 2023 December 31, 2022

Location Notional Fair Value Notional Fair Value

Pay Fix/Receive Float Interest Rate Swap Agreements (2) (3) Other assets $ 377,250 $ 267 $ 165,000 $ 149

Short TBAs Other assets — 650

Pay Fix/Receive Float Interest Rate Swap Agreements (2) (3) Other liabilities 77,000 — 338,000 —

Short TBAs Other liabilities 32,000 ( 155 ) 9,000 ( 63 )

Forward Purchase Commitments

2 unchanged sentences

Other liabilities 28,032 ( 159 ) 2,566 ( 7 )

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

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

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

Notional amount of non-hedge derivatives and other instruments:

Notional Currency September 30, 2023 December 31, 2022

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

Short TBAs USD — 40,000

Forward Purchase Commitments USD 242,775 8,006

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

(1) As of March 31, 2024 and December 31, 2023, no derivatives held by the Company were designated as hedges for accounting purposes.

(2) As of March 31, 2024, the Company applied a reduction in fair value of $ 10.1 million and $ 1.0 million to its interest rate swap assets and liabilities, respectively, related to variation margin with a corresponding increase or decrease in restricted cash.

(3) As of March 31, 2024, the Company's pay fix/receive float interest rate swaps had a weighted average pay-fixed rate of 3.74 %, a weighted average receive-variable rate of 5.34 %, and a weighted average years to maturity of 4.95 years.

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.

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2023

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

Derivative and other instruments eligible for offset are presented gross on the consolidated balance sheets as of March 31, 2024 and December 31, 2023, if applicable.

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

2 unchanged sentences

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

As of September 30, 2023, the Company's restricted cash balance included $ 11.1 million of collateral related to certain derivatives, of which $ 0.4 million represents cash collateral posted by the Company and $ 10.7 million represents amounts related to variation margin.

As of March 31, 2024, the Company's restricted cash balance included $ 14.2 million of collateral related to certain derivatives, of which $ 5.1 million represents cash collateral posted by the Company and $ 9.1 million represents amounts related to variation margin.

As of December 31, 2023, the Company's restricted cash balance included $ 12.3 million of collateral related to certain derivatives, of which $ 10.7 million represents cash collateral posted by the Company and $ 1.6 million represents amounts related to variation margin.

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

Three Months Ended Nine Months Ended

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

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

March 31, 2024

The following table summarizes total income related to derivatives and other instruments for the three months ended March 31, 2024 and 2023 (in thousands).

Three Months Ended

March 31, 2024 March 31, 2023

Included within Net interest component of interest rate swaps

Interest Rate Swaps $ 1,900 $ 1,020

Included within Net unrealized gain/(loss)

7 unchanged sentences

Interest Rate Swaps ( 3,141 ) 9,823

Long TBAs — ( 3,154 ) 5 ( 10,789 )

Short TBAs 10 179

1 unchanged sentence

( 1,999 ) 10,002

8,226 50,094 20,618 93,864

Total income/(loss) $ 9,270 $ ( 8,947 )

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2023

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

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

Three Months Ended

Buys or Covers Sales or Shorts Ending Notional

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

from/to Broker Derivative

Asset Derivative

September 30, 2022

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

Nine Months Ended

Buys or Covers Sales or Shorts Ending Notional

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

from/to Broker Derivative

Derivative Activity

The following tables present information about the Company’s derivatives for the three months ended March 31, 2024 and 2023 (in thousands).

Beginning Notional

Amount Buys or Covers Sales or Shorts(1)

Ending Notional

Amount Derivative

Asset Derivative

September 30, 2023

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

September 30, 2023

Three Months Ended March 31, 2024

Short TBAs (2) $ ( 9,000 ) $ 34,000 $ ( 57,000 ) $ ( 32,000 ) $ — $ ( 155 )

September 30, 2022

Interest Rate Swaps 503,000 219,750 ( 268,500 ) 454,250 267 —

Three Months Ended March 31, 2023

Long TBAs $ — $ 10,000 $ ( 10,000 ) $ — $ 8 $ ( 3 )

September 30, 2022

Short TBAs (2) ( 40,000 ) 100,000 ( 60,000 ) — 2 ( 251 )

Interest Rate Swaps 335,000 342,000 ( 209,000 ) 468,000 — ( 280 )

(1) The sales or shorts includes $ 60.0 million of swaps that matured during the three months ended March 31, 2024.

(2) As of March 31, 2024, the Company recorded a receivable from broker of $ 32.5 million and a fair value of $ 32.7 million related to its short TBAs.

As of March 31, 2023, the Company recorded a payable to broker of $ 0.3 million related to its short TBAs.

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

March 31, 2024

Earnings per share

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

Three Months Ended Nine Months Ended

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

The following table presents a reconciliation of the earnings and shares used in calculating basic and diluted earnings per share for the three months ended March 31, 2024 and 2023 (in thousands, except per share data).

Three Months Ended

March 31, 2024 March 31, 2023

Net Income/(Loss) $ 20,890 $ 12,540

6 unchanged sentences

Diluted $ 0.55 $ 0.38

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2023

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

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

For the three months ended March 31, 2024, 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 three months ended March 31, 2024 and 2023.

Three Months Ended March 31, 2024 Three Months Ended March 31, 2023

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

3/15/2024 3/29/2024 4/30/2024 $ 0.18 3/15/2023 3/31/2023 4/28/2023 $ 0.18

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

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

Total $ 0.54 Total $ 0.63

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

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

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

The following tables detail the Company's preferred stock dividends declared and paid during the three months ended March 31, 2024 and 2023.

2024 Cash Dividend Per Share

3 unchanged sentences

2/16/2024 2/29/2024 3/18/2024 $ 0.51563 $ 0.50 $ 0.50

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

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

Total $ 1.54689 $ 1.50 $ 1.50

2023 Cash Dividend Per Share

3 unchanged sentences

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

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

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

Total $ 1.54689 $ 1.50 $ 1.50

The Company announced that on November 3, 2023, its Board of Directors declared fourth quarter 2023 preferred stock dividends on its Series A Preferred Stock, Series B Preferred Stock, and Series C Preferred Stock in the amount of $ 0.51563 , $ 0.50 and $ 0.50 per share, respectively.

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

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

March 31, 2024

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

2 unchanged sentences

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

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.

The expense is calculated in accordance with applicable tax regulations.

For the three months ended March 31, 2024 and 2023, the Company did no t record any excise tax.

REIT Net Operating Loss and Net Capital Loss Carryforwards

As of March 31, 2024 and December 31, 2023, 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 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 March 31, 2024 and December 31, 2023, the Company had estimated net capital loss ("NCL") carryforwards of $ 300.0 million and $ 293.7 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.

1 unchanged sentence

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2023

Excise tax represents a non-deductible 4% tax on the required amount of the Company’s ordinary income and net capital gains not distributed during the year.

The expense is calculated in accordance with applicable tax regulations.

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

March 31, 2024

Taxable REIT Subsidiaries

3 unchanged sentences

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

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

The federal statutory rate for the three months ended March 31, 2024 and 2023 was 21%.

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

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

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

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

Three Months Ended Nine Months Ended

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

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 three months ended March 31, 2024 and 2023 (in thousands).

Three Months Ended

March 31, 2024 March 31, 2023

Income tax expense $ 25 $ 225

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

As of September 30, 2023 and December 31, 2022, the Company recorded a deferred tax asset of approximately $ 30.4 million and $ 30.2 million, respectively, relating to net operating loss carryforwards, capital loss carryforwards, and basis differences of certain investments held within TRSs.

As of March 31, 2024 and December 31, 2023, the Company recorded a deferred tax asset of approximately $ 38.9 million and $ 37.3 million, respectively, relating to net operating loss carryforwards, capital loss carryforwards, and basis differences of certain investments held within TRSs.

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

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

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

The Company concluded it is more likely than not the deferred tax asset will not be realized and established a full valuation allowance as of March 31, 2024 and December 31, 2023.

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 September 30, 2023 and December 31, 2022.

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

2 unchanged sentences

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 three months ended March 31, 2024 and 2023.

Related party transactions

2 unchanged sentences

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 Angelo Gordon (the "TPG Transaction"), pursuant to which Angelo Gordon, including the Manager, became indirect subsidiaries of TPG.

Pursuant to the management

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

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2023

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

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

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

In connection with the proposed Merger with WMC and contemporaneously with the execution of the Merger Agreement, on August 8, 2023, the Company and the Manager entered into the MITT Management Agreement Amendment, pursuant to which (i) the Manager’s base management fee will be reduced by $ 0.6 million for the first four quarters (i.e., resulting in an aggregate $ 2.4 million waiver of base management fees) following the Effective Time, beginning with the fiscal quarter in which the Effective Time occurs, and (ii) the Manager will waive its right to seek reimbursement from the Company for any expenses otherwise reimbursable by the Company under the management agreement in an amount equal to the excess, if any, of $ 7.0 million over the aggregate cash portion of the Per Share Merger Consideration paid by the Manager to the holders of WMC common stock in the Merger.

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

March 31, 2024

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

Three Months Ended Nine Months Ended

The below table details the management fees incurred during the three months ended March 31, 2024 and 2023 (in thousands).

Three Months Ended

Consolidated statements of operations line item:

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

March 31, 2024 March 31, 2023

Management fee to affiliate (1) $ 1,741 $ 2,075

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

(1) For the three months ended March 31, 2024, 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 March 31, 2024 and December 31, 2023, the Company recorded management fees payable of $ 1.7 million and $ 1.5 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.

2 unchanged sentences

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

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

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

During the three months ended March 31, 2024 and 2023, the Company did not incur any incentive fee expense.

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2023

March 31, 2024

Termination fee

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

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

As of March 31, 2024 and December 31, 2023, no event of termination of the management agreement had occurred.

Expense reimbursement

4 unchanged sentences

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

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

Three Months Ended Nine Months Ended

The below table details the expense reimbursement incurred during the three months ended March 31, 2024 and 2023 (in thousands).

Three Months Ended

Consolidated statements of operations line item:

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

March 31, 2024 March 31, 2023

Non-investment related expenses (1)

1 unchanged sentence

Investment related expenses

148 261 360 637

Transaction related expenses 68 63

Expense reimbursements to Manager or its affiliates $ 1,846 $ 1,565

As of September 30, 2023 and December 31, 2022, the Company recorded a reimbursement payable to the Manager or its affiliates of $ 2.3 million and $ 1.3 million, respectively.

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

(1) For the three months ended March 31, 2024, the Manager agreed to waive its right to receive expense reimbursements of $ 0.3 million pursuant to the MITT Management Agreement Amendment executed in connection with the Merger.

As of March 31, 2024 and December 31, 2023, the Company recorded a reimbursement payable to the Manager or its affiliates of $ 1.8 million and $ 1.5 million, respectively.

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

Restricted stock grants

2 unchanged sentences

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

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

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

As of March 31, 2024, 448,397 shares of common stock were available to be awarded under the 2020 Equity Incentive Plan.

Since inception of the 2020 Equity Incentive Plan and through March 31, 2024, the Company has granted an aggregate of 192,101 shares of restricted common stock to its independent directors under its 2020 Equity Incentive Plan, all of which have vested.

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2023

March 31, 2024

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.

Through March 31, 2024, the two independent directors have also been granted an aggregate of 206 dividend equivalent units.

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

1 unchanged sentence

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

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

As of March 31, 2024, there were no shares or awards issued under the 2021 Manager Plan.

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.

Director compensation

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

As of March 31, 2024, 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.

6 unchanged sentences

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.

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 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 LLC, one of the Company’s indirect affiliates ("AG Arc"), formed Arc Home.

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

3 unchanged sentences

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 Angelo Gordon, formed Mortgage Acquisition Holding I LLC ("MATH") to conduct a residential mortgage investment strategy.

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.

The Company has an approximate 47.0 % 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.

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").

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

Refer to the "MATH Transaction" section below for additional details on the Company's increase in ownership interest during 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

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2023

March 31, 2024

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.

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

September 30, 2023 December 31, 2022

The below table summarizes the components of the "Investments in debt and equity of affiliates" line item on the Company's consolidated balance sheets as of March 31, 2024 and December 31, 2023 (in thousands).

March 31, 2024 December 31, 2023

Assets Liabilities Equity Assets Liabilities Equity

Non-QM Securities (1) $ 16,523 $ — $ 16,523 $ 15,257 $ — $ 15,257

Land Related Financing (2) 493 — 493 10,688 — 10,688

Re/Non-Performing Securities 7,337 ( 3,583 ) 3,754 7,569 ( 3,605 ) 3,964

3 unchanged sentences

Investments in debt and equity of affiliates $ 58,481 $ ( 3,639 ) $ 54,842 $ 58,761 $ ( 3,658 ) $ 55,103

(1) As of September 30, 2023 and December 31, 2022, MATT only holds retained tranches from past securitizations which continue to pay down and the Company does not expect to acquire additional investments within this equity method investment.

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

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

Three Months Ended Nine Months Ended

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

(1) 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.

The below table reconciles the net income/(loss) to the "Equity in earnings/(loss) from affiliates" line item on the Company's consolidated statements of operations for the three months ended March 31, 2024 and 2023 (in thousands).

Three Months Ended

March 31, 2024 March 31, 2023

Non-QM Securities $ 2,205 $ 1,625

3 unchanged sentences

Equity in earnings/(loss) from affiliates

$ 188 $ ( 1,626 ) $ 642 $ ( 9,486 )

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

3 unchanged sentences

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

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

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

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

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2023

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

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

Three Months Ended Nine Months Ended

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

March 31, 2024

by a third-party valuation firm.

The below details the fees paid by the Company to the Asset Manager during the three months ended March 31, 2024 and 2023 (in thousands).

Three Months Ended

March 31, 2024 March 31, 2023

Fees paid to Asset Manager $ 658 $ 683

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

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

As of March 31, 2024 and December 31, 2023, 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" line item within the "Other liabilities" line item on the consolidated balance sheets.

Transactions with Arc Home

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

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

Three Months Ended Nine Months Ended

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

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 three months ended March 31, 2024 and 2023 (in thousands).

Three Months Ended

March 31, 2024 March 31, 2023

Residential mortgage loans sold by Arc Home to the Company $ 79,791 $ —

Residential mortgage loans sold by Arc Home to private funds under the management of Angelo Gordon 93,789 38,792 215,436 170,583

Residential mortgage loans sold by Arc Home to private funds under the management of TPG Angelo Gordon 156,401 90,584

In connection with the sale of loans from Arc Home to the Company, the Company eliminates any intra-entity profits or losses typically recognized through the "Equity in earnings/(loss) from affiliates" line item on the Company's consolidated statement of operations and adjusts the cost basis of the underlying loans resulting in unrealized gains or losses on the underlying loans.

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

Three Months Ended Nine Months Ended

September 30, 2023

September 30, 2022

September 30, 2023

September 30, 2022

The table below summarizes intra-entity profits eliminated during the three months ended March 31, 2024 and 2023 (in thousands).

Three Months Ended

March 31, 2024

March 31, 2023

Intra-Entity Profits Eliminated $ 201 $ —

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.

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

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

3 unchanged sentences

See Note 7 and Note 12 for more detail.

During the year ended December 31, 2022, the Company determined that certain loans that it had previously committed to purchase from Arc Home would be sold to third parties.

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

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

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2023

March 31, 2024

Transactions under the Company's Affiliated Transaction Policy

1 unchanged sentence

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

There were no purchases or sales of assets from or to an affiliate of the Manager during three months ended March 31, 2024.

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

1 unchanged sentence

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 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) 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.

Stock repurchase programs

On November 3, 2015, the Company’s Board of Directors authorized a stock repurchase program (the "2015 Repurchase Program") to repurchase up to $ 25.0 million of the Company's outstanding common stock.

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 nine months ended September 30, 2022:

Three Months Ended (1)

Total Number of Shares Purchased Weighted Average Price Paid per Share (2)

Total Number of Shares Purchased as Part of Publicly Announced Program Maximum Approximate Dollar Value that May Yet Be Purchased Under the Program (2)

March 31, 2022 — $ — — $ 11,043,506

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

Total 1,433,851 $ 7.70 1,433,851 $ —

(1) Based on trade date.

(2) Includes brokerage commissions and clearing fees.

On August 3, 2022, the Company's Board of Directors authorized a stock repurchase program (the "2022 Repurchase Program") to repurchase up to $ 15.0 million of the Company’s outstanding common stock on substantially the same terms as the 2015 Repurchase Program.

The 2022 Repurchase Program does not have an expiration date and permits the Company to repurchase its shares through various methods, including open market repurchases, privately negotiated block transactions and Rule 10b5-1 plans.

2 unchanged sentences

The 2022 Repurchase Program does not obligate the Company to acquire any particular amount of shares and may be modified or discontinued at any time.

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

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2023

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

As of March 31, 2024, approximately $ 1.5 million of common stock remained authorized for future share repurchases under the 2022 Repurchase Program.

There were no repurchases during the three months ended March 31, 2024.

The table below details the Company's share repurchases under the 2022 Repurchase Program during the three months March 31, 2023.

Three Months Ended (1)

2 unchanged sentences

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

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

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

(1) Based on trade date.

(2) Includes brokerage commissions and clearing fees.

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

March 31, 2024

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

As of March 31, 2024, 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.

5 unchanged sentences

The Company has entered into an equity distribution agreement with each of Credit Suisse Securities (USA) LLC and JMP Securities LLC (collectively, the "Sales Agents"), which the Company refers to as the "Equity Distribution Agreements," pursuant to which the Company may sell up to $ 100.0 million aggregate offering price of shares of its common stock from time to time through the Sales Agents under the Securities Act of 1933.

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

The Company did no t issue any shares of common stock under the Equity Distribution Agreements during the three months ended March 31, 2024 and 2023.

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.

Shelf registration statement

On May 7, 2021, the Company filed a new shelf registration statement, registering up to $ 1.0 billion of its securities, including capital stock (the "2021 Registration Statement").

The 2021 Registration Statement became effective on May 26, 2021 and will expire on May 28, 2024.

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

On March 26, 2024, the Company filed a new shelf registration statement, registering up to $ 1.0 billion of its securities, including capital stock (the "2024 Registration Statement").

The 2024 Registration Statement was declared effective on April 9, 2024 and will generally remain effective for three years .

Upon effectiveness of the 2024 Registration Statement, the Company's previous S-3 registration statement filed in 2021 was terminated.

Preferred stock

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

As of March 31, 2024 and December 31, 2023, there were 1.7 million, 3.7 million, and 3.7 million of Series A Preferred Stock, Series B Preferred Stock, and Series C Preferred Stock, respectively, issued and outstanding.

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2023

Preferred stock

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

As of September 30, 2023 and December 31, 2022, there were 1.7 million, 3.7 million, and 3.7 million of Series A Preferred Stock, Series B Preferred Stock, and Series C Preferred Stock, respectively, issued and outstanding.

The following table includes a summary of preferred stock issued and outstanding as of September 30, 2023 ($ and shares in thousands).

March 31, 2024

The following table includes a summary of preferred stock issued and outstanding as of March 31, 2024 ($ and shares in thousands).

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

16 unchanged sentences

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

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

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

As of March 31, 2024, the Company was not involved in any material legal proceedings.

The below table details the Company's outstanding commitments as of March 31, 2024 (in thousands).

Commitment type Date of Commitment Total Commitment Funded Commitment Remaining Commitment

Non-Agency and Agency-Eligible Loans (1) Various $ 109,655 $ — $ 109,655

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

(1) The Company entered into forward purchase commitments to acquire certain Non-Agency and Agency-Eligible Loans from Arc Home which have not yet settled as of March 31, 2024.

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

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2023

Subsequent Events

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

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

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

No further Company stockholder approval is required for the Merger.

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

The Company announced that on May 2, 2024, its Board of Directors declared second 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.

The dividends will be paid on June 17, 2024 to holders of record on May 31, 2024.

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

What changed 10-Q

Item 1. Financial Statements