What changed in this filing

/stocks — the workspaceLOADING

Item 1. Financial Statements

2024-11-06 compared with 2024-08-06 · 396 added, 345 removed, 1255 unchanged (37% of the section changed)

4 unchanged sentences

(in thousands, except per share data)

June 30, 2024 December 31, 2023

September 30, 2024 December 31, 2023

Securitized residential mortgage loans, at fair value - $ 727,794 and $ 645,876 pledged as collateral, respectively (1)

2 unchanged sentences

265,047 317,631

Residential mortgage loans held for sale, at fair value - $ 87,077 and $ 0 pledged as collateral, respectively

Commercial loans, at fair value - $ 66,875 and $ 66,303 pledged as collateral, respectively

9 unchanged sentences

Financing arrangements 789,499 767,592

Convertible senior unsecured notes 78,849 85,266

Senior unsecured notes 95,548 —

Convertible senior unsecured notes — 85,266

Dividend payable 5,604 1,472

6 unchanged sentences

Common stock, par value $ 0.01 per share;

450,000 shares of common stock authorized and 29,474 and 29,437 shares issued and outstanding at June 30, 2024 and December 31, 2023, respectively

450,000 shares of common stock authorized and 29,493 and 29,437 shares issued and outstanding at September 30, 2024 and December 31, 2023, respectively

Additional paid-in capital 824,239 823,715

11 unchanged sentences

(in thousands, except per share data)

Three Months Ended Six Months Ended

June 30, 2024 June 30, 2023 June 30, 2024 June 30, 2023

Three Months Ended Nine Months Ended

September 30, 2024 September 30, 2023 September 30, 2024 September 30, 2023

Net Interest Income

29 unchanged sentences

(in thousands)

For the Three Months Ended June 30, 2024 and June 30, 2023

For the Three Months Ended September 30, 2024 and September 30, 2023

Common Stock Preferred

3 unchanged sentences

Shares Amount Total

Balance at April 1, 2024 29,453 $ 295 $ 220,472 $ 823,908 $ ( 505,110 ) $ 539,565

Balance at July 1, 2024 29,474 $ 295 $ 220,472 $ 824,106 $ ( 511,371 ) $ 533,502

Grant of restricted stock and amortization of equity based compensation 19 — — 133 — 133

2 unchanged sentences

Net Income/(Loss) — — — — 16,640 16,640

Balance at June 30, 2024 29,474 $ 295 $ 220,472 $ 824,106 $ ( 511,371 ) $ 533,502

Balance at September 30, 2024 29,493 $ 295 $ 220,472 $ 824,239 $ ( 504,921 ) $ 540,085

Common Stock Preferred

3 unchanged sentences

Shares Amount Total

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

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

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

Grant of restricted stock 14 — — 87 — 87

2 unchanged sentences

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

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

For the Six Months Ended June 30, 2024 and June 30, 2023

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

For the Nine Months Ended September 30, 2024 and September 30, 2023

Common Stock Preferred

8 unchanged sentences

Net Income/(Loss) — — — — 41,455 41,455

Balance at June 30, 2024 29,474 $ 295 $ 220,472 $ 824,106 $ ( 511,371 ) $ 533,502

Balance at September 30, 2024 29,493 $ 295 $ 220,472 $ 824,239 $ ( 504,921 ) $ 540,085

Common Stock Preferred

9 unchanged sentences

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

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

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

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

3 unchanged sentences

(in thousands)

Six Months Ended

June 30, 2024 June 30, 2023

Nine Months Ended

September 30, 2024 September 30, 2023

Cash Flows from Operating Activities

19 unchanged sentences

Principal repayments on real estate securities 19,981 11,163

Principal funding on residential mortgage loans ( 171 ) —

Distributions received in excess of income from investments in debt and equity of affiliates 8,472 16,466

9 unchanged sentences

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

Principal repayments of convertible senior unsecured notes ( 79,120 ) —

Deferred financing costs paid ( 142 ) ( 9 )

5 unchanged sentences

Net cash provided by (used in) financing activities 586,350 493,929

Six Months Ended

June 30, 2024 June 30, 2023

Nine Months Ended

September 30, 2024 September 30, 2023

Net change in cash and cash equivalents and restricted cash ( 11,355 ) 40,459

5 unchanged sentences

Supplemental disclosure of non-cash financing and investing activities:

Transfer from residential mortgage loans to securitized residential mortgage loans $ 1,104,188 $ 968,545

Common stock dividends declared but not paid $ 5,604 $ 3,639

1 unchanged sentence

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

June 30, 2024 June 30, 2023

September 30, 2024 September 30, 2023

Cash and cash equivalents $ 102,532 $ 118,735

5 unchanged sentences

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2024

September 30, 2024

AG Mortgage Investment Trust, Inc.

6 unchanged sentences

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.

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

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

10 unchanged sentences

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

Home Equity Loans (1)

• Home Equity Loans are revolving lines of credit or closed-end loans secured primarily by a second lien on a residential mortgaged property which provide borrowers access to the equity in their home without the need to pay off their existing mortgage.

Home Equity Loans that are structured as revolving lines of credit generally have an initial draw period of 3 to 5 years, and after the initial draw period ends, the loans generally convert to 15- or 25-year amortizing loans.

Re- and Non-Performing Loans (1)

9 unchanged sentences

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

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

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

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2024

September 30, 2024

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

21 unchanged sentences

Christian Mitchell and Lisa G.

Quateman, who were appointed to the MITT board of directors as of the Effective Time, the 2023 WMC Director Awards were equitably adjusted effective as of the Effective Time into awards relating to shares of MITT common stock that have the same value, vesting terms and other terms and conditions as applied to the corresponding WMC restricted stock units immediately prior to the Effective Time and (ii) for the other members of the WMC board of directors, the 2023 WMC Director Awards accelerated and vested pro-rata effective as of immediately prior to the Effective Time based on a fraction, the

Quateman, who were appointed to the MITT board of directors as of the Effective Time, the 2023 WMC Director

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2024

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.

September 30, 2024

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.

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.

27 unchanged sentences

(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.

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2024

September 30, 2024

(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.

6 unchanged sentences

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.

The Company incurred transaction costs of $ 4.9 million and $ 1.1 million during the third and fourth quarters of 2023, respectively, 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.

2 unchanged sentences

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 six months ended June 30, 2023 prepared as if the Merger had been consummated on January 1, 2022 (in thousands).

Six months ended June 30, 2023

The following table presents unaudited pro forma combined interest income and net income/(loss) available to common stockholders for the nine months ended September 30, 2023 prepared as if the Merger had been consummated on January 1, 2022 (in thousands).

Nine months ended September 30, 2023

Interest income $ 239,249

Net Income/(Loss) Available to Common Stockholders ( 4,481 )

The unaudited supplemental pro forma financial information for the six months ended June 30, 2023 includes adjustments to reflect the deconsolidation of certain variable interest entities ("VIE") held by WMC, as well as adjustments to management fees and certain other expenses.

The unaudited supplemental pro forma financial information for the nine months ended September 30, 2023 includes adjustments to reflect the deconsolidation of certain variable interest entities ("VIE") held by WMC, as well as adjustments to management fees and certain other expenses.

In addition, for the year ended December 31, 2022, the pro-forma financial information includes adjustments related to any bargain purchase gain and transaction related expenses.

5 unchanged sentences

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.

Significant accounting policies

There have been no significant changes to the Company's accounting policies included in Note 2 to the consolidated financial statements of the Company’s Form 10-K for the year ended December 31, 2023 .

These unaudited consolidated financial statements and related notes should be read in conjunction with the consolidated financial statements and related notes for the year ended December 31, 2023 included in the Company’s Form 10-K.

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2024

September 30, 2024

Significant accounting policies

Use of estimates

21 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.

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2024

Debt issuance costs

3 unchanged sentences

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)

June 30, 2024

Recent accounting pronouncements

3 unchanged sentences

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

The Company's adoption of ASU 2020-06 during the six months ended June 30, 2024 did not have a material impact on the consolidated financial statements.

The Company's adoption of ASU 2020-06 during the nine months ended September 30, 2024 did not have a material impact on the consolidated financial statements.

Segment reporting

7 unchanged sentences

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2024

September 30, 2024

Residential mortgage loans

The tables below detail information regarding the Company’s residential mortgage loan portfolio as of June 30, 2024 and December 31, 2023 ($ in thousands).

The tables below detail information regarding the Company’s residential mortgage loan portfolio as of September 30, 2024 and December 31, 2023 ($ in thousands).

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

Unpaid Principal Balance Gross Unrealized Weighted Average

June 30, 2024

September 30, 2024

(Discount) Amortized Cost Gains Losses Fair Value Coupon Yield (1) Life

4 unchanged sentences

Residential mortgage loans, at fair value

Non-Agency Loans (4) $ 100,139 $ 1,345 $ 101,484 $ 1,537 $ ( 683 ) $ 102,338 8.26 % 7.16 % 3.28

Agency-Eligible Loans $ 109,219 $ 2,448 $ 111,667 $ 1,154 $ — $ 112,821 7.58 % 6.76 % 3.73

Home Equity Loans (5) 130,652 4,620 135,272 1,582 — 136,854 10.72 % 9.62 % 4.25

Non-Agency Loans 14,018 ( 248 ) 13,770 133 ( 498 ) 13,405 7.57 % 4.52 % 3.61

Re- and Non-Performing Loans 2,094 ( 1,234 ) 860 1,107 — 1,967 N/A 111.21 % 1.46

Total Residential mortgage loans, at fair value $ 255,983 $ 5,586 $ 261,569 $ 3,976 $ ( 498 ) $ 265,047 9.19 % 8.46 % 3.97

Total as of June 30, 2024

Total as of September 30, 2024

$ 6,701,366 $ ( 15,705 ) $ 6,685,661 $ 78,811 $ ( 272,727 ) $ 6,491,745 5.69 % 5.73 % 8.49

7 unchanged sentences

Residential mortgage loans, at fair value

Non-Agency Loans $ 92,033 $ 835 $ 92,868 $ 2,222 $ ( 574 ) $ 94,516 8.10 % 7.29 % 3.14

Agency-Eligible Loans $ 212,350 $ 3,535 $ 215,885 $ 4,824 $ — $ 220,709 7.94 % 7.28 % 3.37

Non-Agency Loans 92,033 835 92,868 2,222 ( 574 ) 94,516 8.10 % 7.29 % 3.14

Re- and Non-Performing Loans 2,604 ( 1,630 ) 974 1,432 — 2,406 N/A 112.97 % 1.69

2 unchanged sentences

$ 6,124,045 $ ( 46,975 ) $ 6,077,070 $ 38,280 $ ( 439,438 ) $ 5,675,912 5.28 % 5.68 % 9.86

(1) As of September 30, 2024, the weighted average yields are presented based on the amortized cost of the underlying loans.

As of December 31, 2023, the weighted average yields are presented based on the fair value of the underlying loans.

The weighted average yield of the Company's securitized residential mortgage loans and residential mortgage loans based on the fair value of the underlying loans as of September 30, 2024 was 5.70 % and 8.90 %, respectively.

(2) This is based on projected life.

3 unchanged sentences

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

(4) Includes fair value of $ 87.1 million of Non-Agency Loans classified as held for sale and presented in the "Residential mortgage loans held for sale, at fair value" line item on the consolidated balance sheets as of June 30, 2024.

(5) Home Equity Loans includes certain loans which were sold subsequent to quarter end.

Refer to Note 13 for additional details.

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2024

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

September 30, 2024

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

Unpaid Principal Balance Loan Count (1) Aging by Unpaid Principal Balance (1)(2)

June 30, 2024

September 30, 2024

Current 30-59 Days 60-89 Days 90+ Days

4 unchanged sentences

Residential mortgage loans

Non-Agency Loans $ 100,139 191 $ 91,238 $ 2,457 $ 590 $ 5,854

Agency-Eligible Loans $ 109,219 235 $ 109,219 $ — $ — $ —

Home Equity Loans 130,652 1,725 130,652 — — —

Non-Agency Loans 14,018 25 5,998 1,210 1,297 5,513

Re- and Non-Performing Loans (1) 2,094 N/A N/A N/A N/A N/A

Total Residential mortgage loans $ 255,983 1,985 $ 245,869 $ 1,210 $ 1,297 $ 5,513

Total as of June 30, 2024

Total as of September 30, 2024

$ 6,701,366 18,853 $ 6,462,414 $ 93,381 $ 45,607 $ 97,870

7 unchanged sentences

Residential mortgage loans

Non-Agency Loans $ 92,033 170 $ 83,582 $ 1,010 $ 615 $ 6,826

Agency-Eligible Loans $ 212,350 536 $ 211,499 $ 851 $ — $ —

Non-Agency Loans 92,033 170 83,582 1,010 615 6,826

Re- and Non-Performing Loans (1) 2,604 N/A N/A N/A N/A N/A

3 unchanged sentences

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

(2) As of June 30, 2024, the Company had securitized residential mortgage loans and residential mortgage loans that were 90+ days delinquent with a fair value of $ 44.1 million and loans in the process of foreclosure with a fair value of $ 53.1 million.

(2) As of September 30, 2024, the Company had securitized residential mortgage loans and residential mortgage loans that were 90+ days delinquent with a fair value of $ 33.9 million and loans in the process of foreclosure with a fair value of $ 60.5 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.

As of June 30, 2024 and December 31, 2023, 10.6 % 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 and six months ended June 30, 2024 and 2023, the Company purchased residential mortgage loans, as detailed below (in thousands).

Three Months Ended Six Months Ended

June 30, 2024

June 30, 2023

June 30, 2024

June 30, 2023

As of September 30, 2024 and December 31, 2023, 10.2 % 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 and nine months ended September 30, 2024 and 2023, the Company purchased residential mortgage loans, as detailed below (in thousands).

Three Months Ended Nine Months Ended

September 30, 2024

September 30, 2023

September 30, 2024

September 30, 2023

Unpaid Principal Balance Fair Value (1) Unpaid Principal Balance Fair Value (1) Unpaid Principal Balance Fair Value (1) Unpaid Principal Balance Fair Value (1)

Non-Agency Loans $ 9,460 $ 9,582 $ 159,906 $ 162,524 $ 23,506 $ 23,796 $ 182,456 $ 185,478

Agency-Eligible Loans $ 380,542 $ 388,733 $ 418,248 $ 414,560 $ 1,054,749 $ 1,073,436 $ 473,749 $ 471,223

Home Equity Loans 131,533 136,206 — — 131,533 136,206 — —

Non-Agency Loans — — 286,453 291,196 23,506 23,796 468,909 476,674

Total $ 512,075 $ 524,939 $ 704,701 $ 705,756 $ 1,209,788 $ 1,233,438 $ 942,658 $ 947,897

(1) Fair value represents purchase price at acquisition.

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2024

The Company did no t sell any residential mortgage loans during the three and six months ended June 30, 2024.

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

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

September 30, 2024

For the three and nine months ended September 30, 2024 and 2023, the Company sold residential mortgage loans as detailed below ($ in thousands).

Three Months Ended Nine Months Ended

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

September 30, 2024

Agency-Eligible Loans 190 $ 73,614 $ 356 $ ( 276 ) 190 $ 73,614 $ 356 $ ( 276 )

Non-Agency Loans 160 86,349 1,274 ( 137 ) 160 86,349 1,274 ( 137 )

September 30, 2023

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

Non-Agency Loans 132 73,778 302 ( 739 ) 413 220,558 1,353 ( 11,884 )

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

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

The following is a summary of the geographic concentration of credit risk as of June 30, 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) June 30, 2024 December 31, 2023

The following is a summary of the geographic concentration of credit risk as of September 30, 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) September 30, 2024 December 31, 2023

California 35 % 38 %

15 unchanged sentences

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2024

The following table details certain information related to the assets and liabilities of the Non-Agency VIEs as of June 30, 2024 and December 31, 2023 ($ in thousands).

June 30, 2024 December 31, 2023

September 30, 2024

The following table details certain information related to the assets and liabilities of the Non-Agency VIEs as of September 30, 2024 and December 31, 2023 ($ in thousands).

September 30, 2024 December 31, 2023

Carrying Value Weighted Average Carrying Value Weighted Average

7 unchanged sentences

Total Equity (5) $ 669,201 $ 585,515

(1) As of September 30, 2024, the weighted average yields are presented based on the amortized cost of the underlying loans or securities.

As of December 31, 2023, the weighted average yields are presented based on the fair value of the underlying loans or securities.

The weighted average yield of the Company's securitized residential mortgage loans and securitized debt based on the fair value as of September 30, 2024 was 5.69 % and 5.25 %, respectively.

(2) This is based on projected life.

4 unchanged sentences

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

(4) As of June 30, 2024 and December 31, 2023, the Company had outstanding financing arrangements of $ 330.3 million and $ 301.2 million, respectively, collateralized by $ 610.2 million and $ 578.8 million of the Company's retained interests in the Non-Agency VIEs, respectively.

(5) As of September 30, 2024 and December 31, 2023, the Company had outstanding financing arrangements of $ 364.6 million and $ 301.2 million, respectively, collateralized by $ 661.5 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 June 30, 2024 and December 31, 2023 ($ in thousands).

June 30, 2024 December 31, 2023

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2024

The following table details certain information related to the assets and liabilities of the RPL/NPL VIEs as of September 30, 2024 and December 31, 2023 ($ in thousands).

September 30, 2024 December 31, 2023

Carrying Value Weighted Average Carrying Value Weighted Average

8 unchanged sentences

Total Equity (4) $ 70,126 $ 70,717

(1) As of September 30, 2024, the weighted average yields are presented based on the amortized cost of the underlying loans or securities.

As of December 31, 2023, the weighted average yields are presented based on the fair value of the underlying loans or securities.

The weighted average yield of the Company's securitized residential mortgage loans and securitized debt based on the fair value as of September 30, 2024 was 6.15 % and 3.34 %, respectively.

(2) This is based on projected life.

3 unchanged sentences

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

(3) As of June 30, 2024 and December 31, 2023, the Company had outstanding financing arrangements of $ 43.0 million and $ 44.9 million, respectively, collateralized by $ 65.3 million and $ 67.1 million of the Company's retained interests in the RPL/NPL VIEs, respectively.

(4) As of September 30, 2024 and December 31, 2023, the Company had outstanding financing arrangements of $ 42.7 million and $ 44.9 million, respectively, collateralized by $ 66.3 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.

Revolving Mortgage Investment Trust 2015-1QR2

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

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

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

The Company classified 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 eliminated the intercompany trust certificate in consolidation.

As of September 30, 2024, there were no residential mortgage loans or REO in the RMI 2015 Trust.

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.

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements (Unaudited)

June 30, 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 June 30, 2024, the RMI 2015 Trust holds Non-Agency Loans with a fair value of $ 5.4 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.

September 30, 2024

Legacy WMC Commercial loans

The tables below detail information regarding the Company's Legacy WMC Commercial loan portfolio as of June 30, 2024 and December 31, 2023 ($ in thousands).

The tables below detail information regarding the Company's Legacy WMC Commercial loan portfolio as of September 30, 2024 and December 31, 2023 ($ in thousands).

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

June 30, 2024 Premium /

September 30, 2024 Premium /

Amortized Cost Gross Unrealized Gains Fair Value Weighted Average Maturity Date (6) LTV (7) Location

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

(4) As of September 30, 2024, the weighted average yields are presented based on the amortized cost of the underlying loans.

As of December 31, 2023, the weighted average yields are presented based on the fair value of the underlying loans.

The weighted average yield of the Company's commercial loans based on the fair value of the underlying loans as of September 30, 2024 was 9.63 %.

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

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(7) Represents the LTV at acquisition.

The total LTV on commercial loans is presented based on fair value.

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

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Notes to Consolidated Financial Statements (Unaudited)

June 30, 2024

September 30, 2024

Real Estate Securities

The following tables detail the Company’s real estate securities portfolio as of June 30, 2024 and December 31, 2023 ($ in thousands).

The following tables detail the Company’s real estate securities portfolio as of September 30, 2024 and December 31, 2023 ($ in thousands).

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

Current Face Premium /

Amortized Cost Gross Unrealized Weighted Average

June 30, 2024 Gains Losses Fair Value Coupon (1) Yield

Amortized Cost Gross Unrealized Fair Value Weighted Average

September 30, 2024 Gains Losses Coupon (1) Yield (2) Life

Non-Agency RMBS

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Legacy WMC Other Securities (7) N/A N/A 1,026 — ( 28 ) 998 N/A 12.45 % 7.80

30 Year Fixed Rate 540,198 3,618 543,816 460 ( 1,606 ) 542,670 5.89 % 5.78 %

Agency RMBS Interest Only (5) N/A N/A 21,068 235 ( 1,066 ) 20,237 4.06 % 7.95 % 5.70

Total Agency RMBS 540,198 3,618 565,443 1,324 ( 2,244 ) 564,523 5.57 % 5.97 %

Total as of June 30, 2024

Total as of September 30, 2024

$ 229,331 $ ( 50,575 ) $ 204,029 $ 5,956 $ ( 12,427 ) $ 197,558 3.87 % 10.13 % 5.66

Current Face Premium /

Amortized Cost Gross Unrealized Weighted Average

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

Amortized Cost Gross Unrealized Fair Value Weighted Average

December 31, 2023 Gains Losses Coupon (1) Yield (2) Life (Years) (3)

Non-Agency RMBS

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

(2) As of September 30, 2024, the weighted average yields are presented based on the amortized cost of the underlying securities.

As of December 31, 2023, the weighted average yields are presented based on the fair value of the underlying securities.

The weighted average yield of the Company's real estate securities based on the fair value of the underlying securities as of September 30, 2024 was 10.42 %.

(3) Actual maturities may be shorter or longer than stated contractual maturities.

Maturities are affected by prepayments of principal.

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

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

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

(5) Interest Only securities 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 June 30, 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 $ 89.2 million, $ 56.5 million and $ 112.3 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) As of June 30, 2024, there are Legacy WMC CMBS with an unpaid principal balance of $ 15.5 million and a fair value of $ 0.8 million which are on non-accrual status.

As of September 30, 2024, the notional value of the GCAT Non-Agency RMBS Interest Only, Non-Agency RMBS Interest Only and Agency RMBS Interest Only line items were $ 87.3 million, $ 81.4 million and $ 109.7 million, respectively.

As of December 31, 2023, the notional value 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.

(6) As of September 30, 2024, there are Legacy WMC CMBS with an unpaid principal balance of $ 23.5 million and a fair value of $ 6.3 million which are on non-accrual or cost recovery status.

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

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Notes to Consolidated Financial Statements (Unaudited)

June 30, 2024

The following tables summarize the Company's real estate securities according to their projected weighted average life classifications as of June 30, 2024 and December 31, 2023 ($ in thousands).

June 30, 2024 Non-Agency RMBS Legacy WMC CMBS Legacy WMC Other Securities Agency RMBS

September 30, 2024

The following tables summarize the Company's real estate securities according to their projected weighted average life classifications as of September 30, 2024 and December 31, 2023 ($ in thousands).

September 30, 2024 Non-Agency RMBS Legacy WMC CMBS Legacy WMC Other Securities Agency RMBS

Weighted Average Life (1)

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Greater than ten years 42,467 41,027 — — — — — —

Total as of June 30, 2024

Total as of September 30, 2024

$ 123,638 $ 123,948 $ 52,685 $ 57,987 $ 998 $ 1,026 $ 20,237 $ 21,068

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

The Company sold real estate securities during the three and six months ended June 30, 2024, as detailed below ($ in thousands).

The Company did no t sell any real estate securities during the three and six months ended June 30, 2023.

Three Months Ended Six Months Ended

The Company sold real estate securities during the three and nine months ended September 30, 2024 and 2023, as detailed below ($ in thousands).

Three Months Ended Nine Months Ended

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

June 30, 2024 6 $ 19,858 $ 2,005 $ ( 73 ) 13 $ 39,176 $ 3,165 $ ( 482 )

September 30, 2024

Agency RMBS 6 $ 543,172 $ 10,172 $ — 6 $ 543,172 $ 10,172 $ —

Non-Agency RMBS 1 2,215 187 — 14 41,391 3,352 ( 482 )

CMBS 1 1,531 — ( 62 ) 1 1,531 — ( 62 )

September 30, 2023

Agency RMBS 3 149,143 391 ( 429 ) 3 149,143 391 ( 429 )

Unconsolidated variable interest entities

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

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2024

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 June 30, 2024 and December 31, 2023, the Company's Non-Agency RMBS includes the non-risk retention bonds from these securitizations acquired from MATH.

As of September 30, 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.

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See Note 10 for additional details on the MATH transaction.

During the second quarter 2024, the Company participated in a rated securitization collateralized by $ 369.2 million of Agency-Eligible Loans.

The Company entered into a co-sponsorship agreement with an unrelated third party whereby a wholly owned subsidiary of the Company acted as a sponsor of the securitization within the meaning of the U.S.

credit risk retention rules

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2024

while the securitization was issued under the third party’s securitization shelf.

As the co-sponsor, the Company retained an "eligible vertical interest" to comply with risk retention rules which consists of at least 5% of each class of securities issued in the securitization.

The remaining tranches were sold to third parties and certain private funds under the management of TPG Angelo Gordon.

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

The Company's retained risk-retention tranches, which represent its continuing involvement in the securitization trust, are included in the Non-Agency RMBS line item.

The following table summarizes the Company’s investment in unconsolidated VIEs as of June 30, 2024 and December 31, 2023 (in thousands).

June 30, 2024 December 31, 2023

The Company has entered into co-sponsorship agreements with an unrelated third party whereby a wholly owned subsidiary of the Company acted as a sponsor of rated securitizations within the meaning of the U.S.

credit risk retention rules while the securitizations were issued under the third party’s securitization shelf.

As the co-sponsor, the Company retained an "eligible vertical interest" to comply with risk retention rules which consists of at least 5% of each class of securities issued in the securitizations.

The remaining tranches were sold to third parties and certain private funds under the management of TPG Angelo Gordon or retained by the Company.

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

The Company's retained tranches, which represent its continuing involvement in the securitization trust, are included in the Non-Agency RMBS line item.

The below table details the transactions where the Company has acted as a co-sponsor ($ in thousands).

Date of Securitization Collateral Type Unpaid Principal Balance of Collateral (1) Fair Value Retained (1)

June 20, 2024 Agency-Eligible Loans $ 369,183 $ 18,051

September 19, 2024 Agency-Eligible Loans 360,722 51,047

(1) As of the date of the securitization.

The following table summarizes the Company’s investment in unconsolidated VIEs as of September 30, 2024 and December 31, 2023 (in thousands).

September 30, 2024 December 31, 2023

Current Face Fair Value Current Face Fair Value

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Total retained interest in unconsolidated VIEs (2) (3) $ 113,011 $ 111,171 $ 43,794 $ 37,533

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

(1) Interest Only securities 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 June 30, 2024 and December 31, 2023, the notional value of the GCAT Non-Agency RMBS Interest Only line item was $ 89.2 million and $ 98.3 million, respectively.

As of June 30, 2024, the notional value of the Non-Agency RMBS Interest Only line item was $ 26.6 million.

As of September 30, 2024 and December 31, 2023, the notional value of the GCAT Non-Agency RMBS Interest Only line item was $ 87.3 million and $ 98.3 million, respectively.

As of September 30, 2024, the notional value of the Non-Agency RMBS Interest Only line item was $ 52.3 million.

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

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

(3) As of June 30, 2024 and December 31, 2023, 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.

The following table summarizes information regarding the residential mortgage loans transferred to the Company’s unconsolidated VIEs as of June 30, 2024 and December 31, 2023 ($ in thousands).

(3) As of September 30, 2024 and December 31, 2023, the Company held securities exposed to the first loss of the securitization with a fair value of $ 6.2 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 September 30, 2024 and December 31, 2023 ($ in thousands).

Assets transferred to unconsolidated VIEs:

June 30, 2024 December 31, 2023

September 30, 2024 December 31, 2023

Total unpaid principal balance of loans outstanding (1) $ 1,118,402 $ 450,366

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Percent of unpaid principal balance greater than 90 days delinquent (2) 0.87 % 1.94 %

(1) Represents the total balance of loans as of June 30, 2024 and December 31, 2023 that were contributed to the unconsolidated securitization trusts, inclusive of loans contributed by the Company and loans contributed by other parties.

(2) As of June 30, 2024, 0.69 % of loans were 90+ days delinquent or in bankruptcy, 0.16 % of loans were REO, and 0.08 % of loans were in process of foreclosure.

(1) Represents the total balance of loans as of September 30, 2024 and December 31, 2023 that were contributed to the unconsolidated securitization trusts, inclusive of loans contributed by the Company and loans contributed by other parties.

(2) As of September 30, 2024, 0.68 % of loans were 90+ days delinquent or in bankruptcy, 0.11 % of loans were REO, and 0.08 % of loans were in process of foreclosure.

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

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2024

Fair value measurements

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Notes to Consolidated Financial Statements (Unaudited)

June 30, 2024

The following tables present the Company’s financial instruments measured at fair value on a recurring basis as of June 30, 2024 and December 31, 2023 (in thousands).

Fair Value at June 30, 2024

September 30, 2024

The following tables present the Company’s financial instruments measured at fair value on a recurring basis as of September 30, 2024 and December 31, 2023 (in thousands).

Fair Value at September 30, 2024

Level 1 Level 2 Level 3 Total

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

(1) As of June 30, 2024, Residential mortgage loans includes the "Residential mortgage loans, at fair value" and "Residential mortgage loans held for sale, at fair value" line items on the consolidated balance sheets.

(2) As of June 30, 2024, the Company applied a reduction in fair value of $ 12.1 million and $ 3.1 million to its interest rate swap assets and liabilities, respectively, related to variation margin with a corresponding increase or decrease in restricted cash.

(1) As of September 30, 2024, the Company applied a reduction in fair value of $ 5.2 million and $ 2.9 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.

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(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.

AG Mortgage Investment Trust Inc.

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Notes to Consolidated Financial Statements (Unaudited)

June 30, 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.

September 30, 2024

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.

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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.

The valuation of the Company’s securities and derivatives may be based upon prices obtained from third-party pricing services or broker quotations.

The valuation methodology of the Company’s third-party pricing services incorporates commonly used market pricing methods, including a spread measurement to various indices, which are observable inputs.

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

The Company did not have any transfers of assets or liabilities between Levels 1 and 2 of the fair value hierarchy during the three and six months ended June 30, 2024 and 2023.

The Company did not have any transfers between the Levels 2 and 3 of the fair value hierarchy during the three and six months ended June 30, 2024 and 2023.

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, 2024 and 2023.

The Company transferred $ 1.6 million of residential mortgage loans from Level 3 to Level 2 of the fair value hierarchy during the nine months ended September 30, 2024.

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.

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

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Notes to Consolidated Financial Statements (Unaudited)

June 30, 2024

September 30, 2024

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 (in thousands).

Three Months Ended June 30, 2024

Three Months Ended September 30, 2024

Loans (1) Legacy WMC Commercial Loans Non-Agency

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Beginning balance $ 6,092,516 $ 66,753 $ 57,392 $ 727 $ 1,208 $ 446 $ 34,954 $ ( 5,117,189 ) $ ( 560 )

Transfers (3):

Transfers out of level 3 ( 1,329 ) — — — — — — — —

Purchases 524,709 — 51,047 — — — — — —

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Principal repayments ( 163,020 ) — ( 524 ) — — — — 155,186 —

Principal funding 171 — — — — — — — —

Included in net income:

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Ending Balance $ 6,489,778 $ 66,875 $ 111,171 $ 636 $ 998 $ 149 $ 30,967 $ ( 5,497,552 ) $ ( 25 )

Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held as of June 30, 2024

Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held as of September 30, 2024

Net premium and discount amortization (4) 2,719 50 41 — ( 51 ) — — ( 7,334 ) —

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Equity in earnings/(loss) from affiliates — — — — — — 574 — —

Three Months Ended June 30, 2023

Three Months Ended September 30, 2023

Loans (1) Non-Agency

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Purchases 704,680 — — — — —

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

Capital distributions — — — ( 224 ) — —

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

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

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

Net premium and discount amortization (4) 368 ( 101 ) — — ( 2,999 ) —

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

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

(1) Includes Securitized residential mortgage loans and Residential mortgage loans.

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

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

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

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Notes to Consolidated Financial Statements (Unaudited)

June 30, 2024

Six Months Ended June 30, 2024

September 30, 2024

Nine Months Ended September 30, 2024

Loans (1) Legacy WMC Commercial Loans Non-Agency

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

Transfers (3):

Transfers out of level 3 ( 1,629 ) — — — — — — — —

Purchases 1,234,906 — 69,098 — — — — — —

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Principal repayments ( 474,879 ) — ( 524 ) — — — — 439,549 —

Principal funding 171 — — — — — — — —

Included in net income:

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Ending Balance $ 6,489,778 $ 66,875 $ 111,171 $ 636 $ 998 $ 149 $ 30,967 $ ( 5,497,552 ) $ ( 25 )

Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held as of June 30, 2024

Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held as of September 30, 2024

Net premium and discount amortization (4) 11,071 250 74 ( 63 ) ( 148 ) — — ( 22,650 ) —

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Equity in earnings/(loss) from affiliates — — — — — — 2,435 — —

Six Months Ended June 30, 2023

Nine Months Ended September 30, 2023

Loans (1) Non-Agency

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

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

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

Net premium and discount amortization (4) 1,166 ( 274 ) — — ( 8,862 ) —

1 unchanged sentence

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

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

(1) Includes Securitized residential mortgage loans and Residential mortgage loans.

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

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

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

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Notes to Consolidated Financial Statements (Unaudited)

June 30, 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 June 30, 2024 and December 31, 2023 ($ in thousands).

June 30, 2024 December 31, 2023

September 30, 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 September 30, 2024 and December 31, 2023 ($ in thousands).

September 30, 2024 December 31, 2023

Valuation Technique Unobservable Input Fair Value Range

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(1) Amounts are weighted based on fair value.

(2) As of June 30, 2024, Residential mortgage loans includes loans within the "Residential mortgage loans, at fair value" and "Residential mortgage loans held for sale, at fair value" line items on the consolidated balance sheets.

(3) Represents the proportion of the principal expected to be collected relative to the loan balances as of June 30, 2024 and December 31, 2023.

(2) Represents the proportion of the principal expected to be collected relative to the loan balances as of September 30, 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)

June 30, 2024

September 30, 2024

Other Fair Value Disclosures

3 unchanged sentences

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 June 30, 2024 and December 31, 2023 (in thousands).

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 original contractual maturities of greater than one year as of September 30, 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.

June 30, 2024 December 31, 2023

September 30, 2024 December 31, 2023

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

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(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.

(2) The Company paid off the remaining principal amount outstanding of the Legacy WMC Convertible Notes at maturity in September 2024.

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2024

The following table presents a summary of the Company's financing as of June 30, 2024 and December 31, 2023 ($ in thousands).

June 30, 2024

September 30, 2024

The following table presents a summary of the Company's financing as of September 30, 2024 and December 31, 2023 ($ in thousands).

September 30, 2024

December 31, 2023

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Securitized Residential Mortgage Loans (3)

Non-Agency Loans (4) $ 328,652 $ 330,291 July 2024 - July 2025 7.26 % 0.32 $ 610,152 $ 301,205

Re- and Non-Performing Loans 43,032 43,032 July 2024 7.28 % 0.04 65,277 44,928

Non-Agency Loans (4) $ 363,428 $ 364,626 Oct 2024 - July 2025 6.92 % 0.22 $ 661,456 $ 301,205

Re- and Non-Performing Loans 42,688 42,688 Oct 2024 7.00 % 0.05 66,338 44,928

Residential Mortgage Loans (5)

Non-Agency Loans 7,576 7,576 Aug 2024 - June 2025 7.29 % 0.38 9,898 77,345

Agency-Eligible Loans 183,648 183,648 June 2025 7.20 % 0.96 197,004 200,617

Residential Mortgage Loans Held for Sale 72,129 72,129 Aug 2024 - June 2025 7.29 % 0.35 87,077 —

Agency-Eligible Loans 103,745 103,745 June 2025 - July 2025 6.70 % 0.82 112,821 200,617

Home Equity Loans (4) 114,475 114,475 June 2025 7.20 % 0.68 136,854 —

Non-Agency Loans 7,674 7,674 Jan 2025 - June 2025 6.97 % 0.33 9,877 77,345

Legacy WMC Commercial Loans (4) 47,222 47,222 Mar 2025 8.13 % 0.48 66,875 48,032

Non-Agency RMBS 44,120 44,120 July 2024 - May 2025 6.43 % 0.19 68,199 51,251

Legacy WMC CMBS 21,889 21,889 July 2024 7.10 % 0.02 51,843 31,620

Agency RMBS 485,898 485,898 July 2024 5.49 % 0.06 505,254 12,594

Non-Agency RMBS 86,615 86,615 Oct 2024 - May 2025 5.92 % 0.08 120,088 51,251

Legacy WMC CMBS 20,313 20,313 Oct 2024 6.88 % 0.03 52,018 31,620

Agency RMBS 2,141 2,141 Oct 2024 5.56 % 0.05 3,064 12,594

Total Financing Arrangements $ 788,301 $ 789,499 6.89 % 0.36 $ 1,229,391 $ 767,592

3 unchanged sentences

Total Securitized Debt $ 5,749,437 $ 5,497,552 5.11 % 6.42 N/A $ 4,711,623

Legacy WMC Convertible Notes $ 79,120 $ 78,849 Sep 2024 8.42 % 0.21 N/A $ 85,266

Legacy WMC Convertible Notes $ — $ — N/A N/A N/A N/A $ 85,266

Senior Unsecured Notes

3 unchanged sentences

Total Financing $ 6,637,238 $ 6,382,599 5.41 % 5.80 $ 1,229,391 $ 5,564,481

(1) The Company also had $ 3.4 million and $ 1.7 million of cash pledged under repurchase agreements as of June 30, 2024 and December 31, 2023, respectively.

(1) The Company also had $ 3.3 million and $ 1.7 million of cash pledged under repurchase agreements as of September 30, 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 June 30, 2024, the weighted average stated rate on the financing arrangements on the Company's Securitized non-agency loans was 7.78 %.

(4) As of September 30, 2024, the weighted average stated rate on the financing arrangements on the Company's Securitized Non-Agency Loans, Home Equity Loans, and Legacy WMC Commercial Loans was 7.35 %, 7.09 %, and 7.76 %, respectively.

(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 June 30, 2024, the weighted average stated rate on the financing arrangements on the Company's Legacy WMC Commercial Loans was 8.08 %.

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

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

(8) As of June 30, 2024, the amortized cost of Securitized debt in the Company's Non-Agency VIEs was $ 5.3 billion.

(7) As of September 30, 2024, the weighted average funding costs are presented based on the amortized cost of the underlying securities.

As of December 31, 2023, the weighted average funding costs are presented based on the fair value of the underlying securities.

The weighted average funding cost of the Company's securitized debt based on the fair value of the underlying securities as of September 30, 2024 was 5.21 %.

(8) As of September 30, 2024, the amortized cost of Securitized debt in the Company's Non-Agency VIEs was $ 5.5 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 June 30, 2024, the notional value of interest only classes of Securitized debt was $ 621.6 million.

(10) As of June 30, 2024, the amortized cost of Securitized debt in the Company's RPL/NPL VIEs was $ 116.4 million.

As of September 30, 2024, the notional value of interest only classes of Securitized debt was $ 1.3 billion.

(10) As of September 30, 2024, the amortized cost of Securitized debt in the Company's RPL/NPL VIEs was $ 112.7 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

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

The Legacy WMC Convertible Notes had an interest rate of 6.75 % and

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2024

Company's common stock or a combination of both, subject to the satisfaction of certain conditions and during specified periods.

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

Immediately prior to the Effective Time of the WMC acquisition, holders of the Legacy WMC Convertible Notes had the right to convert each $1,000 principal amount into 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 became redeemable at the Company's option on June 15, 2024, and mature on September 15, 2024, unless earlier converted, redeemed or repurchased by the holders pursuant to their terms.

The below table details the total interest expense incurred on the Legacy WMC Convertible Notes during the three and six months ended June 30, 2024 (in thousands).

There was no interest expense incurred during the three or six months ended June 30, 2023 as the Company assumed the Legacy WMC Convertible Notes in connection with the Merger in December 2023.

Three Months Ended Six Months Ended

June 30, 2024 June 30, 2024

September 30, 2024

interest was paid semiannually.

During the nine months ended September 30, 2024, the Company repurchased $ 7.1 million of principal amount of its outstanding Legacy WMC Convertible Notes.

The Company paid off the remaining principal amount outstanding of the Legacy WMC Convertible Notes at maturity in September 2024.

The below table details the total interest expense incurred on the Legacy WMC Convertible Notes during the three and nine months ended September 30, 2024 (in thousands).

There was no interest expense incurred during the three and nine months ended September 30, 2023 as the Company assumed the Legacy WMC Convertible Notes in connection with the Merger in December 2023.

September 30, 2024

Three Months Ended Nine Months Ended

Coupon interest expense

2 unchanged sentences

Total interest expense $ 1,368 $ 4,717

During the six months ended June 30, 2024, the Company repurchased $ 7.1 million of principal amount of its outstanding Legacy WMC Convertible Notes.

Senior Unsecured Notes

1 unchanged sentence

The February 2029 Senior Unsecured Notes were issued on January 26, 2024 in a public offering for net proceeds of approximately $ 32.8 million and the May 2029 Senior Unsecured Notes were issued on May 15, 2024 in a public offering for net proceeds of approximately $ 62.4 million.

The below table provides a summary of the Senior Unsecured Notes ($ in thousands).

The below table provides a summary of the Senior Unsecured Notes as of September 30, 2024 ($ in thousands).

Principal Amount (1) Carrying Value First Pay Date Maturity

8 unchanged sentences

(4) The Senior Unsecured Notes 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 the applicable first pay date.

The below table details the total interest expense incurred on the Senior Unsecured Notes during the three and six months ended June 30, 2024 (in thousands).

There was no interest expense incurred during the three or six months ended June 30, 2023 as the Senior Unsecured Notes were issued during 2024.

Three Months Ended Six Months Ended

June 30, 2024 June 30, 2024

The below table details the total interest expense incurred on the Senior Unsecured Notes during the three and nine months ended September 30, 2024 (in thousands).

There was no interest expense incurred during the three or nine months ended September 30, 2023 as the Senior Unsecured Notes were issued during 2024.

September 30, 2024

Three Months Ended Nine Months Ended

Coupon interest expense

5 unchanged sentences

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2024

September 30, 2024

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 June 30, 2024 by contractual maturity (in thousands).

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 September 30, 2024 by contractual maturity (in thousands).

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

5 unchanged sentences

Residential Mortgage Loans

Non-Agency Loans — 3,217 4,359 — 7,576

Agency-Eligible Loans — — 103,745 — 103,745

Residential Mortgage Loans Held for Sale — 42,807 29,322 — 72,129

Home Equity Loans — — 114,475 — 114,475

Non-Agency Loans — — 7,674 — 7,674

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

3 unchanged sentences

Total Financing Arrangements $ 386,658 $ 40,841 $ 360,802 $ — $ 788,301

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

Senior Unsecured Notes

3 unchanged sentences

Counterparties

The Company had outstanding financing arrangements with six and seven counterparties as of June 30, 2024 and December 31, 2023, respectively.

The following table presents information as of June 30, 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).

June 30, 2024

The Company had outstanding financing arrangements with six and seven counterparties as of September 30, 2024 and December 31, 2023, respectively.

The following table presents information as of September 30, 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).

September 30, 2024

December 31, 2023

8 unchanged sentences

$ 153,316 118 28.4 % $ 131,128 236 24.8 %

Goldman Sachs Bank USA 103,409 157 19.1 % 73,893 9 14.0 %

Barclays Capital Inc.

79,274 26 14.7 % 81,047 85 15.3 %

Goldman Sachs Bank USA 77,609 53 14.5 % 73,893 9 14.0 %

JP Morgan Securities, LLC (1) (1) (1) 46,642 134 8.8 %

Various (2) 75,156 303 13.9 % 69,637 577 13.2 %

(1) As of September 30, 2024, the Company had less than 5 % of its equity at risk under financing arrangements with JP Morgan Securities, LLC.

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

2 unchanged sentences

The Company’s financing arrangements generally include customary representations, warranties, and covenants, but may also contain more restrictive supplemental terms and conditions.

Although specific to each financing arrangement, typical

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

In addition, some of the financing arrangements contain cross default features, whereby default under an agreement with one

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2024

supplemental terms include requirements of minimum equity and liquidity, leverage ratios, and performance triggers.

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

September 30, 2024

lender simultaneously causes default under agreements with other lenders.

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

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

As of June 30, 2024, the Company is in compliance with all of its financial covenants.

As of September 30, 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 sheets as of June 30, 2024 and December 31, 2023 (in thousands).

June 30, 2024 December 31, 2023

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 September 30, 2024 and December 31, 2023 (in thousands).

September 30, 2024 December 31, 2023

Interest receivable $ 34,538 $ 30,315

12 unchanged sentences

(1) Refer to Note 10 for more information.

The following table presents information related to the Company's derivatives and other instruments and their balance sheet location as of June 30, 2024 and December 31, 2023 (in thousands).

All notional amounts are denominated in USD.

The following table presents information related to the Company's derivatives and other instruments and their balance sheet location as of September 30, 2024 and December 31, 2023 (in thousands).

Balance Sheet

Location June 30, 2024 December 31, 2023

Location September 30, 2024 December 31, 2023

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

6 unchanged sentences

Other liabilities 7,267 ( 25 ) 2,566 ( 7 )

(1) As of June 30, 2024 and December 31, 2023, no derivatives held by the Company were designated as hedges for accounting purposes.

(1) As of September 30, 2024 and December 31, 2023, no derivatives held by the Company were designated as hedges for accounting purposes.

(2) As of September 30, 2024, the Company applied a reduction in fair value of $ 5.2 million and $ 2.9 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 June 30, 2024, the Company's pay fix/receive float interest rate swaps had a weighted average pay-fixed rate of 3.95 %, a weighted average receive-variable rate of 5.33 %, and a weighted average years to maturity of 5.60 years.

(3) As of September 30, 2024, the Company's pay fix/receive float interest rate swaps had a weighted average pay-fixed rate of 3.28 %, a weighted average receive-variable rate of 4.96 %, and a weighted average years to maturity of 5.18 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.

2 unchanged sentences

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2024

Derivative and other instruments eligible for offset are presented gross on the consolidated balance sheets as of June 30, 2024 and December 31, 2023, if applicable.

September 30, 2024

Derivative and other instruments eligible for offset are presented gross on the consolidated balance sheets as of September 30, 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 June 30, 2024, the Company's restricted cash balance included $ 24.1 million of collateral related to certain derivatives, of which $ 15.1 million represents cash collateral posted by the Company and $ 9.0 million represents amounts related to variation margin.

As of September 30, 2024, the Company's restricted cash balance included $ 8.4 million of collateral related to certain derivatives, of which $ 6.1 million represents cash collateral posted by the Company and $ 2.3 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 total income related to derivatives and other instruments for the three and six months ended June 30, 2024 and 2023 (in thousands).

Three Months Ended Six Months Ended

June 30, 2024 June 30, 2023 June 30, 2024 June 30, 2023

The following table summarizes total income related to derivatives and other instruments for the three and nine months ended September 30, 2024 and 2023 (in thousands).

Three Months Ended Nine Months Ended

September 30, 2024 September 30, 2023 September 30, 2024 September 30, 2023

Included within Net interest component of interest rate swaps

2 unchanged sentences

Interest Rate Swaps ( 5,215 ) 1,054 3,379 ( 8,347 )

Long TBAs — ( 5 ) — —

Short TBAs — — 63 ( 650 )

13 unchanged sentences

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2024

September 30, 2024

Derivative Activity

The following tables present information about the Company’s derivatives for the three and six months ended June 30, 2024 and 2023 (in thousands).

The following tables present information about the Company’s derivatives for the three and nine months ended September 30, 2024 and 2023 (in thousands).

Three Months Ended

3 unchanged sentences

Asset Derivative

June 30, 2024 Short TBAs $ ( 32,000 ) $ 96,000 $ ( 64,000 ) $ — $ — $ —

June 30, 2024 Interest Rate Swaps 454,250 498,000 ( 134,250 ) 818,000 243 —

June 30, 2023 Interest Rate Swaps 468,000 256,000 ( 117,000 ) 607,000 — ( 41 )

Six Months Ended

September 30, 2024 Interest Rate Swaps $ 818,000 $ 129,000 $ ( 642,500 ) $ 304,500 $ — $ ( 86 )

September 30, 2023 Interest Rate Swaps 607,000 286,000 ( 488,000 ) 405,000 245 —

Nine Months Ended

Beginning Notional

3 unchanged sentences

Asset Derivative

June 30, 2024 Short TBAs $ ( 9,000 ) $ 130,000 $ ( 121,000 ) $ — $ — $ —

June 30, 2024 Interest Rate Swaps 503,000 717,750 ( 402,750 ) 818,000 243 —

June 30, 2023 Long TBAs — 10,000 ( 10,000 ) — — —

June 30, 2023 Short TBAs ( 40,000 ) 100,000 ( 60,000 ) — — —

June 30, 2023 Interest Rate Swaps 335,000 598,000 ( 326,000 ) 607,000 — ( 41 )

(1) The sales or shorts includes $ 60.0 million of swaps that matured during the six months ended June 30, 2024.

September 30, 2024 Short TBAs $ ( 9,000 ) $ 130,000 $ ( 121,000 ) $ — $ — $ —

September 30, 2024 Interest Rate Swaps 503,000 846,750 ( 1,045,250 ) 304,500 — ( 86 )

September 30, 2023 Long TBAs — 10,000 ( 10,000 ) — — —

September 30, 2023 Short TBAs ( 40,000 ) 100,000 ( 60,000 ) — — —

September 30, 2023 Interest Rate Swaps 335,000 884,000 ( 814,000 ) 405,000 245 —

(1) The sales or shorts includes $ 60.0 million of swaps that matured during the nine months ended September 30, 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 six months ended June 30, 2024 and 2023 (in thousands, except per share data).

Three Months Ended Six Months Ended

June 30, 2024 June 30, 2023 June 30, 2024 June 30, 2023

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, 2024 and 2023 (in thousands, except per share data).

Three Months Ended Nine Months Ended

September 30, 2024 September 30, 2023 September 30, 2024 September 30, 2023

Net Income/(Loss) $ 16,640 $ ( 2,165 ) $ 41,455 $ 18,431

7 unchanged sentences

Diluted $ 0.40 $ ( 0.33 ) $ 0.93 $ 0.23

(1) Restricted stock units issued to certain directors of 27 thousand were excluded from the computation of diluted earnings per share because its effect would be anti-dilutive for the three months ended June 30, 2024.

For the three and six months ended June 30, 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.

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2024

The following tables detail the Company's common stock dividends declared during the six months ended June 30, 2024 and 2023.

Six Months Ended June 30, 2024 Six Months Ended June 30, 2023

September 30, 2024

The following tables detail the Company's common stock dividends declared during the nine months ended September 30, 2024 and 2023.

Nine Months Ended September 30, 2024 Nine Months Ended September 30, 2023

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

1 unchanged sentence

6/13/2024 6/28/2024 7/31/2024 0.19 6/15/2023 6/30/2023 7/31/2023 0.18

9/16/2024 9/30/2024 10/31/2024 0.19 9/15/2023 9/29/2023 10/31/2023 0.18

Total $ 0.56 Total $ 0.54

The following tables detail the Company's preferred stock dividends declared and paid during the six months ended June 30, 2024 and 2023.

The following tables detail the Company's preferred stock dividends declared and paid during the nine months ended September 30, 2024 and 2023.

2024 Cash Dividend Per Share

4 unchanged sentences

5/2/2024 5/31/2024 6/17/2024 0.51563 0.50 0.50

8/1/2024 8/30/2024 9/17/2024 0.51563 0.50 0.50

Total $ 1.54689 $ 1.50 $ 1.50

5 unchanged sentences

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

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

Total $ 1.54689 $ 1.50 $ 1.50

8 unchanged sentences

The expense is calculated in accordance with applicable tax regulations.

For the three and six months ended June 30, 2024 and 2023, the Company did no t record any excise tax.

REIT Net Operating Loss and Net Capital Loss Carryforwards

As of June 30, 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

For the three and nine months ended September 30, 2024 and 2023, the Company did no t record any excise tax.

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2024

$ 321.6 million, of which $ 223.8 million do not have an expiration date and can be carried forward indefinitely.

September 30, 2024

REIT Net Operating Loss and Net Capital Loss Carryforwards

As of September 30, 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 June 30, 2024 and December 31, 2023, the Company had estimated net capital loss ("NCL") carryforwards of $ 298.9 million and $ 293.7 million, respectively, the majority of which were generated during the year ended December 31, 2020 and will expire in 2025.

As of September 30, 2024 and December 31, 2023, the Company had estimated net capital loss ("NCL") carryforwards of $ 288.1 million and $ 293.6 million, respectively, the majority of which were generated during the year ended December 31, 2020 and will expire in 2025.

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

6 unchanged sentences

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

The federal statutory rate for the three and six months ended June 30, 2024 and 2023 was 21%.

The federal statutory rate for the three and nine months ended September 30, 2024 and 2023 was 21%.

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

1 unchanged sentence

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 and six months ended June 30, 2024 and 2023 (in thousands).

Three Months Ended Six Months Ended

June 30, 2024 June 30, 2023 June 30, 2024 June 30, 2023

Income tax expense $ 17 $ — $ 42 $ 225

The below table details the tax expense attributable to its TRSs for the three and nine months ended September 30, 2024 and 2023 (in thousands).

Three Months Ended Nine Months Ended

September 30, 2024 September 30, 2023 September 30, 2024 September 30, 2023

Tax expense $ 16 $ 14 $ 58 $ 239

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

As of June 30, 2024 and December 31, 2023, the Company recorded a deferred tax asset of approximately $ 38.0 million and $ 37.3 million, respectively, relating to net operating loss carryforwards, capital loss carryforwards, and basis differences of certain investments held within TRSs.

As of September 30, 2024 and December 31, 2023, the Company recorded a deferred tax asset of approximately $ 38.5 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 June 30, 2024 and December 31, 2023.

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, 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 June 30, 2024 and December 31, 2023.

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 or six months ended June 30, 2024 and 2023.

The Company did no t incur any interest or penalties during the three or nine months ended September 30, 2024 and 2023.

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2024

September 30, 2024

Related party transactions

16 unchanged sentences

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

The below table details the management fees incurred during the three and six months ended June 30, 2024 and 2023 (in thousands).

Three Months Ended Six Months Ended

The below table details the management fees incurred during the three and nine months ended September 30, 2024 and 2023 (in thousands).

Three Months Ended Nine Months Ended

Consolidated statements of operations line item:

June 30, 2024 June 30, 2023 June 30, 2024 June 30, 2023

September 30, 2024 September 30, 2023 September 30, 2024 September 30, 2023

Management fee to affiliate (1) $ 1,708 $ 2,054 $ 5,202 $ 6,190

(1) For the three and six months ended June 30, 2024, the Manager agreed to waive its right to receive management fees of $ 0.6 million and $ 1.2 million, respectively, pursuant to the MITT Management Agreement Amendment executed in connection with the Merger.

Of the $ 2.4 million management fee waiver agreed upon in connection with the Merger, $ 0.6 million remains outstanding as of June 30, 2024.

(1) For the three and nine months ended September 30, 2024, the Manager agreed to waive its right to receive management fees of $ 0.6 million and $ 1.8 million, respectively, pursuant to the MITT Management Agreement Amendment executed in connection with the Merger.

As of September 30, 2024, all of the $ 2.4 million management fee waiver agreed upon in connection with the Merger has been utilized.

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2024

As of June 30, 2024 and December 31, 2023, the Company recorded management fees payable of $ 1.7 million and $ 1.5 million, respectively.

September 30, 2024

As of September 30, 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.

During the three and six months ended June 30, 2024 and 2023, the Company did not incur any incentive fee expense.

During the three and nine months ended September 30, 2024 and 2023, the Company did not incur any incentive fee expense.

Termination fee

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

As of June 30, 2024 and December 31, 2023, no event of termination of the management agreement had occurred.

As of September 30, 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 six months ended June 30, 2024 and 2023 (in thousands).

Three Months Ended Six Months Ended

The below table details the expense reimbursement incurred during the three and nine months ended September 30, 2024 and 2023 (in thousands).

Three Months Ended Nine Months Ended

Consolidated statements of operations line item:

June 30, 2024 June 30, 2023 June 30, 2024 June 30, 2023

September 30, 2024 September 30, 2023 September 30, 2024 September 30, 2023

Non-investment related expenses (1)

4 unchanged sentences

Expense reimbursements to Manager or its affiliates $ 1,852 $ 1,874 $ 5,727 $ 5,267

(1) For the three and six months ended June 30, 2024, the Manager agreed to waive its right to receive expense reimbursements of $ 0.3 million and $ 0.6 million, respectively, pursuant to the MITT Management Agreement Amendment executed in connection with the Merger.

Of the $ 1.3 million expense reimbursement waiver agreed upon in connection with the Merger, $ 0.5 million remains outstanding as of June 30, 2024.

(1) For the three and nine months ended September 30, 2024, the Manager agreed to waive its right to receive expense reimbursements of $ 0.3 million and $ 0.9 million, respectively, pursuant to the MITT Management Agreement Amendment executed in connection with the Merger.

Of the $ 1.3 million expense reimbursement waiver agreed upon in connection with the Merger, $ 0.2 million remains outstanding as of September 30, 2024.

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2024

As of June 30, 2024 and December 31, 2023, the Company recorded a reimbursement payable to the Manager or its affiliates of $ 2.9 million and $ 1.5 million, respectively.

September 30, 2024

As of September 30, 2024 and December 31, 2023, the Company recorded a reimbursement payable to the Manager or its affiliates of $ 2.9 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.

3 unchanged sentences

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

As of June 30, 2024, 426,456 shares of common stock remained available to be awarded under the 2020 Equity Incentive Plan.

Since inception of the 2020 Equity Incentive Plan and through June 30, 2024, the Company has granted an aggregate of 213,208 shares of restricted common stock to its independent directors under its 2020 Equity Incentive Plan, all of which have vested.

As of September 30, 2024, 406,539 shares of common stock remained available to be awarded under the 2020 Equity Incentive Plan.

Since inception of the 2020 Equity Incentive Plan and through September 30, 2024, the Company has granted an aggregate of 232,467 shares of restricted common stock to its independent directors under its 2020 Equity Incentive Plan, all of which have vested.

On December 6, 2023, in connection with the WMC acquisition, the Company granted an aggregate 25,962 restricted stock units to the Company's two independent directors added to the Company's Board of Directors who previously served on WMC's board of directors.

Through June 30, 2024, the two independent directors have also been granted an aggregate of 1,040 dividend equivalent units.

Through September 30, 2024, the two independent directors have also been granted an aggregate of 1,698 dividend equivalent units.

These restricted stock units and associated dividend equivalent units vested in full on June 23, 2024, and will be settled in shares of the Company's common stock upon each independent director's separation from service with the Company.

2 unchanged sentences

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

As of June 30, 2024, there were no shares or awards issued under the 2021 Manager Plan.

As of September 30, 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 Plan.

Director compensation

As of June 30, 2024, the Company's Board of Directors consisted of six independent directors.

As of September 30, 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.

10 unchanged sentences

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2024

September 30, 2024

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.

17 unchanged sentences

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2024

September 30, 2024

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

The below table summarizes the components of the "Investments in debt and equity of affiliates" line item on the Company's consolidated balance sheets as of June 30, 2024 and December 31, 2023 (in thousands).

June 30, 2024 December 31, 2023

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

September 30, 2024 December 31, 2023

Assets Liabilities Equity Assets Liabilities Equity

6 unchanged sentences

(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 and six months ended June 30, 2024 and 2023 (in thousands).

Three Months Ended Six Months Ended

June 30, 2024 June 30, 2023 June 30, 2024 June 30, 2023

The below table reconciles the net income/(loss) to the "Equity in earnings/(loss) from affiliates" line item on the Company's consolidated statements of operations for the three and nine months ended September 30, 2024 and 2023 (in thousands).

Three Months Ended Nine Months Ended

September 30, 2024 September 30, 2023 September 30, 2024 September 30, 2023

Non-QM Securities $ ( 1,070 ) $ 2,606 $ 307 $ 4,580

11 unchanged sentences

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

The below details the fees paid by the Company to the Asset Manager during the three and six months ended June 30, 2024 and 2023 (in thousands).

Three Months Ended Six Months Ended

June 30, 2024 June 30, 2023 June 30, 2024 June 30, 2023

The below details the fees paid by the Company to the Asset Manager during the three and nine months ended September 30, 2024 and 2023 (in thousands).

Three Months Ended Nine Months Ended

September 30, 2024 September 30, 2023 September 30, 2024 September 30, 2023

Fees paid to Asset Manager $ 799 $ 752 $ 2,124 $ 2,115

As of June 30, 2024 and December 31, 2023, the Company recorded asset management fees payable of $ 0.3 million and $ 0.2 million, respectively.

As of September 30, 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.

2 unchanged sentences

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2024

September 30, 2024

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 TPG Angelo Gordon during the three and six months ended June 30, 2024 and 2023 (in thousands).

Three Months Ended Six Months Ended

June 30, 2024 June 30, 2023 June 30, 2024 June 30, 2023

The below table details the unpaid principal balance of residential mortgage loans sold to the Company and private funds under the management of TPG Angelo Gordon during the three and nine months ended September 30, 2024 and 2023 (in thousands).

Three Months Ended Nine Months Ended

September 30, 2024 September 30, 2023 September 30, 2024 September 30, 2023

Residential mortgage loans sold by Arc Home to the Company $ 166,183 $ 249,488 $ 379,565 $ 442,695

1 unchanged sentence

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

The table below summarizes intra-entity profits eliminated during the three and six months ended June 30, 2024 and 2023 (in thousands).

Three Months Ended Six Months Ended

June 30, 2024

June 30, 2023

June 30, 2024

June 30, 2023

The table below summarizes intra-entity profits eliminated during the three and nine months ended September 30, 2024 and 2023 (in thousands).

Three Months Ended Nine Months Ended

September 30, 2024

September 30, 2023

September 30, 2024

September 30, 2023

Intra-Entity Profits Eliminated $ 359 $ 800 $ 965 $ 1,141

7 unchanged sentences

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 and six months ended June 30, 2024.

There were no purchases or sales of assets from or to an affiliate of the Manager during three and nine months ended September 30, 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.

10 unchanged sentences

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2024

September 30, 2024

MATH Transaction

9 unchanged sentences

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

As of June 30, 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 and six months ended June 30, 2024.

The table below details the Company's share repurchases under the 2022 Repurchase Program during the six months June 30, 2023.

As of September 30, 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 and nine months ended September 30, 2024.

The table below details the Company's share repurchases under the 2022 Repurchase Program during the nine months September 30, 2023.

Three Months Ended (1)

7 unchanged sentences

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

As of June 30, 2024, the full $ 15.0 million authorized amount remains available for repurchase under the 2023 Repurchase Program.

As of September 30, 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.

6 unchanged sentences

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2024

September 30, 2024

Equity distribution agreements

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

The Company did no t issue any shares of common stock under the Equity Distribution Agreements during the three and six months ended June 30, 2024 and 2023.

On May 5, 2017, 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, 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.

Effective November 6, 2024 the Company terminated the Equity Distribution Agreements and entered into new equity distribution agreements with each of BTIG, LLC, JonesTrading Institutional Services LLC, Keefe, Bruyette & Woods, Inc.

and Piper Sandler & Co.

Refer to Note 13 for additional details.

Shelf registration statement

4 unchanged sentences

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

As of June 30, 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.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2024

The following table includes a summary of preferred stock issued and outstanding as of June 30, 2024 ($ and shares in thousands).

As of September 30, 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.

The following table includes a summary of preferred stock issued and outstanding as of September 30, 2024 ($ and shares in thousands).

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

8 unchanged sentences

Shares of the Company's Series C Preferred Stock may be redeemable earlier than the optional redemption date under certain circumstances intended to preserve its qualification as a REIT for federal income tax purposes.

(3) The initial dividend rate for the Series C Preferred Stock, from and including the date of original issue to, but not including, September 17, 2024, is 8.000 % per annum of the $ 25.00 per share liquidation preference.

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

In light of the discontinuance of the publication of three-month LIBOR after June 2023 and pursuant to the terms of the Series C Preferred Stock, the Company has appointed a calculation agent to select an industry accepted substitute or successor base rate to the three-month LIBOR rate.

It is expected that such substitute or successor base rate will be the three-month CME Term SOFR (plus a tenor spread adjustment of 0.26161 %).

The calculation agent may also implement changes to the business day convention, the definition of business day, the dividend determination date, the interest rate spread and the method for obtaining the substitute or successor base rate, in a manner that is consistent with industry accepted practices.

(3) Dividends are payable quarterly in arrears on the 17th day of each March, June, September, and December and holders are entitled to receive cumulative cash dividends at the respective stated rate per annum before holders of common stock are entitled to receive any cash dividends.

(4) The initial dividend rate for the Series C Preferred Stock, from and including the date of original issue to, but not including, September 17, 2024, was 8.000 % per annum of the $ 25.00 per share liquidation preference.

On and after September 17, 2024, dividends on the Series C Preferred Stock accumulate at a percentage of the $ 25.00 liquidation preference equal to an annual floating rate of the three-month CME Term SOFR (plus a tenor spread adjustment of 0.26161 %) plus a spread of 6.476 %.

Pursuant to the terms of the Series C Preferred Stock, the Company has appointed a calculation agent to determine the floating rate.

The calculation agent may also implement changes to the business day convention, the definition of business day, the dividend determination date, and any method for obtaining the substitute or successor base rate if such rate is unavailable on the relevant business day, in a manner that is consistent with industry accepted practices.

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2024

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

3 unchanged sentences

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

As of June 30, 2024, the Company was not involved in any material legal proceedings.

The below table details the Company's outstanding commitments as of June 30, 2024 (in thousands).

As of September 30, 2024, the Company was not involved in any material legal proceedings.

The below table details the Company's outstanding commitments as of September 30, 2024 (in thousands).

Commitment type Date of Commitment Total Commitment Funded Commitment Remaining Commitment

Non-Agency and Agency-Eligible Loans (1) Various $ 40,986 $ — $ 40,986

(1) The Company entered into forward purchase commitments to acquire certain Non-Agency and Agency-Eligible Loans from Arc Home which have not yet settled as of June 30, 2024.

Home Equity Loans (2) Various 11,563 — 11,563

Total $ 52,549 $ — $ 52,549

(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, 2024.

The total commitment amount represents the agreed upon purchase price of any outstanding unpaid principal balance the Company has committed to purchase.

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

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2024

(2) Represents the undrawn portion of a borrowers' home equity line of credit.

Subsequent Events

The Company announced that on August 1, 2024, its Board of Directors declared third 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 September 17, 2024 to holders of record on August 30, 2024.

On July 31, 2024, the Company sold Non-Agency Loans for gross proceeds of $ 86.3 million.

These loans were recorded within the "Residential mortgage loans held for sale, at fair value" line item on the consolidated balance sheets as of June 30, 2024.

On July 31, 2024, Arc Home, a residential mortgage loan originator which retains mortgage servicing rights ("MSRs") associated with certain loans it originates, sold substantially all of its MSR portfolio to an unrelated third-party consisting of $ 5.8 billion of unpaid principal balance.

As of June 30, 2024, the fair value of Arc Home's MSR portfolio was $ 88.2 million which collateralized related financing arrangements of $ 39.3 million.

The Company owns an approximate 44.6 % interest in Arc Home through its investment in AG Arc which is recorded within the "Investments in debt and equity of affiliates" line item on the consolidated balance sheets.

The Company announced that on November 4, 2024, its Board of Directors declared fourth 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 $ 0.725061 per share, respectively.

The dividends will be paid on December 17, 2024 to holders of record on November 29, 2024.

On October 25, 2024, the Company sold Home Equity Loans with an unpaid principal balance of $ 48.9 million.

These loans were recorded within the "Residential mortgage loans, at fair value" line item on the consolidated balance sheets as of September 30, 2024.

On November 6, 2024, the Company entered into separate equity distribution agreements (the "2024 Equity Distribution Agreements") with each of BTIG, LLC, JonesTrading Institutional Services LLC, Keefe, Bruyette & Woods, Inc.

and Piper Sandler & Co.

(collectively, the "2024 Sales Agents"), pursuant to which the Company may sell up to $ 75.0 million aggregate offering price of shares of its common stock from time to time through an "at the market" equity offering program under which the 2024 Sales Agents will act as sales agent.

Prior to entering into the 2024 Equity Distribution Agreements, effective November 6, 2024, the Company terminated the Equity Distribution Agreements related to its prior at-the-market program.

At the time of such termination, $ 51.7 million remained unsold under the prior program.

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