What changed in this filing

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Item 8. Financial Statements and Supplementary Data

2025-03-04 compared with 2024-03-11 · 548 added, 390 removed, 1431 unchanged (40% of the section changed)

1 unchanged sentence

Index to Financial Statements

Reports of Independent Registered Public Accounting Firm (PCAOB ID 34 )

Report of Independent Registered Public Accounting Firm (PCAOB ID 238 )

11 unchanged sentences

Commitments and Contingencies

Segment Reporting

Investments in Unconsolidated Equity Method Affiliates

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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Board of Directors and Stockholders of AG Mortgage Investment Trust, Inc.

Opinions on the Financial Statements and Internal Control over Financial Reporting

We have audited the accompanying consolidated balance sheets of AG Mortgage Investment Trust, Inc.

and its subsidiaries (the “Company”) as of December 31, 2023 and 2022, and the related consolidated statements of operations, of stockholders’ equity and of cash flows for the years then ended, including the related notes (collectively referred to as the “consolidated financial statements”).

We also have audited the Company's internal control over financial reporting as of December 31, 2023, based on criteria established in Internal Control - Integrated Framework (2013) issued by the Committee of Sponsoring Organizations of the Treadway Commission (COSO).

In our opinion, the consolidated financial statements referred to above present fairly, in all material respects, the financial position of the Company as of December 31, 2023 and 2022, and the results of its operations and its cash flows for the years then ended in conformity with accounting principles generally accepted in the United States of America.

Also in our opinion, the Company maintained, in all material respects, effective internal control over financial reporting as of December 31, 2023, based on criteria established in Internal Control - Integrated Framework (2013) issued by the COSO.

Basis for Opinions

The Company's management is responsible for these consolidated financial statements, for maintaining effective internal control over financial reporting, and for its assessment of the effectiveness of internal control over financial reporting, included in Management’s Annual Report on Internal Control over Financial Reporting appearing under Item 9A.

Our responsibility is to express opinions on the Company’s consolidated financial statements and on the Company's internal control over financial reporting based on our audits.

We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Company in accordance with the U.S.

To the Stockholders and the Board of Directors of AG Mortgage Investment Trust, Inc.

Opinion on the Financial Statements

We have audited the accompanying consolidated balance sheet of AG Mortgage Investment Trust, Inc.

and its subsidiaries (the "Company") as of December 31, 2024, the related consolidated statements of operations, stockholders’ equity, and cash flows, for the year ended December 31, 2024, and the related notes (collectively referred to as the "financial statements").

In our opinion, the financial statements present fairly, in all material respects, the financial position of the Company as of December 31, 2024, and the results of its operations and its cash flows for the year ended December 31, 2024, in conformity with accounting principles generally accepted in the United States of America.

We have also audited, in accordance with the standards of the Public Company Accounting Oversight Board (United States) (PCAOB), the Company's internal control over financial reporting as of December 31, 2024, based on criteria established in Internal Control — Integrated Framework (2013) issued by the Committee of Sponsoring Organizations of the Treadway Commission and our report dated March 4, 2025 , expressed an unqualified opinion on the Company's internal control over financial reporting.

Basis for Opinion

These financial statements are the responsibility of the Company's management.

Our responsibility is to express an opinion on the Company's financial statements based on our audits.

We are a public accounting firm registered with the PCAOB and are required to be independent with respect to the Company in accordance with the U.S.

federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB.

Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the consolidated financial statements are free of material misstatement, whether due to error or fraud, and whether effective internal control over financial reporting was maintained in all material respects.

Our audits of the consolidated financial statements included performing procedures to assess the risks of material misstatement of the consolidated financial statements, whether due to error or fraud, and performing procedures that respond to those risks.

Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the consolidated financial statements.

Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the consolidated financial statements.

Our audit of internal control over financial reporting included obtaining an understanding of internal control over financial reporting, assessing the risk that a material weakness exists, and testing and evaluating the design and operating effectiveness of internal control based on the assessed risk.

Our audits also included performing such other procedures as we considered necessary in the circumstances.

We believe that our audits provide a reasonable basis for our opinions.

Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks.

Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements.

Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements.

We believe that our audits provide a reasonable basis for our opinion.

Critical Audit Matter

The critical audit matter communicated below is a matter arising from the current-period audit of the financial statements that was communicated or required to be communicated to the audit committee and that (1) relates to accounts or disclosures that are material to the financial statements and (2) involved especially challenging, subjective, or complex judgments.

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

Fair value measurements – financial instruments valued using significant unobservable inputs — Refer to Note 5 to the financial statements

Critical Audit Matter Description

As of December 31, 2024, the Company had recognized on its consolidated balance sheet certain fair value measurements that are valued using significant unobservable inputs:

$6.2 billion in securitized residential mortgage loans, $220.2 million in residential mortgage loans, $201.4 million in real estate securities, $67 million in commercial loans, and $5.5 billion in securitized debt.

Management determined the fair value of these financial instruments by applying the discounted cash flow methodology and using significant unobservable inputs.

Determining an estimate of fair value for each of these financial instruments required management to use significant judgment in selecting the appropriate inputs and assumptions to use, particularly market-implied discount rates, projections of default rates, delinquency rates, prepayment rates, loss severity, loan-to-value ratios, and recovery rates.

Given the significant judgments made by management to estimate the fair value of the Company's securitized residential mortgage loans, residential mortgage loans, real estate securities, commercial loans, and securitized debt, performing audit procedures to evaluate the reasonableness of management’s selected inputs and assumptions, particularly market-implied discount rates, projections of default rates, delinquency rates, prepayment rates, loss severity, loan-to-value ratios, and recovery rates, required a high degree of auditor judgement and an increased extent of effort, including the need to involve our fair value specialists.

How the Critical Audit Matter Was Addressed in the Audit

Our audit procedures related to the Company's fair value measurements using significant unobservable inputs included the following, among others:

• We tested the effectiveness of internal controls over the Company’s fair value measurements, including controls over management's review of the appropriateness of selected inputs and assumptions, including market-implied discount rates, projections of default rates, delinquency rates, prepayment rates, loss severity, loan-to-value ratios, and recovery rates.

• We tested the Company's fair value measurements by performing the following:

◦ With the assistance of our fair value specialists, we evaluated the valuation methodology used by the Company.

We independently developed a range of fair value estimates for the Company's securitized residential mortgage loans, residential mortgage loans, real estate securities, commercial loans, and securitized debt based on market data and compared them to the Company's fair value measurements.

◦ We reviewed external market information, including external market reports, analyzed trends in market prices, and considered any recent transactions involving similar financial instruments to determine if the Company's selected inputs and assumptions were reasonable and consistent with those used by market participants.

◦ We considered whether events or transactions occurred after the balance sheet date, but before the completion of the audit, which could affect the Company’s fair value measurements and disclosures, including significant market movements or changes in economic conditions.

/s/ DELOITTE & TOUCHE LLP

New York, New York

March 4, 2025

We have served as the Company's auditor since 2024.

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Stockholders and the Board of Directors of AG Mortgage Investment Trust, Inc.

Opinion on the Financial Statements

We have audited the internal control over financial reporting of AG Mortgage Investment Trust, Inc.

and subsidiaries (the “Company”) as of December 31, 2024, based on criteria established in Internal Control — Integrated Framework (2013) issued by the Committee of Sponsoring Organizations of the Treadway Commission (COSO).

In our opinion, the Company maintained, in all material respects, effective internal control over financial reporting as of December 31, 2024, based on criteria established in Internal Control — Integrated Framework (2013) issued by COSO.

We have also audited, in accordance with the standards of the Public Company Accounting Oversight Board (United States) (PCAOB), the consolidated financial statements as of and for the year ended December 31, 2024, of the Company and our report dated March 4, 2025 , expressed an unqualified opinion on those financial statements.

Basis for Opinion

The Company’s management is responsible for maintaining effective internal control over financial reporting and for its assessment of the effectiveness of internal control over financial reporting, included in the accompanying Management’s Annual Report on Internal Control Over Financial Reporting.

Our responsibility is to express an opinion on the Company’s internal control over financial reporting based on our audit.

We are a public accounting firm registered with the PCAOB and are required to be independent with respect to the Company in accordance with the U.S.

federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audit in accordance with the standards of the PCAOB.

Those standards require that we plan and perform the audit to obtain reasonable assurance about whether effective internal control over financial reporting was maintained in all material respects.

Our audit included obtaining an understanding of internal control over financial reporting, assessing the risk that a material weakness exists, testing and evaluating the design and operating effectiveness of internal control based on the assessed risk, and performing such other procedures as we considered necessary in the circumstances.

We believe that our audit provides a reasonable basis for our opinion.

Definition and Limitations of Internal Control over Financial Reporting

A company’s internal control over financial reporting is a process designed to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles.

A company’s internal control over financial reporting includes those policies and procedures that (i) pertain to the maintenance of records that, in reasonable detail, accurately and fairly reflect the transactions and dispositions of the assets of the company;

(ii) provide reasonable assurance that transactions are recorded as necessary to permit preparation of financial statements in accordance with generally accepted accounting principles, and that receipts and expenditures of the company are being made only in accordance with authorizations of management and directors of the company;

and (iii) provide reasonable assurance regarding prevention or timely detection of unauthorized acquisition, use, or disposition of the company’s assets that could have a material effect on the financial statements.

A company’s internal control over financial reporting includes those policies and procedures that (1) pertain to the maintenance of records that, in reasonable detail, accurately and fairly reflect the transactions and dispositions of the assets of the company;

(2) provide reasonable assurance that transactions are recorded as necessary to permit preparation of financial statements in accordance with generally accepted accounting principles, and that receipts and expenditures of the company are being made only in accordance with authorizations of management and directors of the company;

and (3) provide reasonable assurance regarding prevention or timely detection of unauthorized acquisition, use, or disposition of the company’s assets that could have a material effect on the financial statements.

Because of its inherent limitations, internal control over financial reporting may not prevent or detect misstatements.

Also, projections of any evaluation of effectiveness to future periods are subject to the risk that controls may become inadequate because of changes in conditions, or that the degree of compliance with the policies or procedures may deteriorate.

Critical Audit Matters

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

Fair Value of Investments in Residential Mortgage Loans

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

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

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

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

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

determining the fair value.

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

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

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

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

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

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

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

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

/s/ PricewaterhouseCoopers LLP

/s/ DELOITTE & TOUCHE LLP

New York, New York

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We have served as the Company's auditor since 2024.

Report of Independent Registered Public Accounting Firm

To the Board of Directors and Stockholders of AG Mortgage Investment Trust, Inc.

Opinion on the Financial Statements

We have audited the consolidated balance sheet of AG Mortgage Investment Trust, Inc.

and its subsidiaries (the “Company”) as of December 31, 2023, and the related consolidated statements of operations, of stockholders’ equity and of cash flows for the year then ended, including the related notes (collectively referred to as the “consolidated financial statements”).

In our opinion, the consolidated financial statements present fairly, in all material respects, the financial position of the Company as of December 31, 2023, and the results of its operations and its cash flows for the year then ended in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinion

These consolidated financial statements are the responsibility of the Company's management.

Our responsibility is to express an opinion on the Company’s consolidated financial statements based on our audit.

federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audit of these consolidated financial statements in accordance with the standards of the PCAOB.

Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the consolidated financial statements are free of material misstatement, whether due to error or fraud.

Our audit included performing procedures to assess the risks of material misstatement of the consolidated financial statements, whether due to error or fraud, and performing procedures that respond to those risks.

Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the consolidated financial statements.

Our audit also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the consolidated financial statements.

We believe that our audit provides a reasonable basis for our opinion.

/s/ PricewaterhouseCoopers LLP

New York, New York

March 11, 2024

We served as the Company's auditor from 2011 to 2023.

AG Mortgage Investment Trust, Inc.

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220,217 317,631

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

Commercial loans, at fair value - $ 67,005 and $ 66,303 pledged as collateral, respectively

67,005 66,303

Real estate securities, at fair value - $ 165,393 and $ 155,115 pledged as collateral, respectively

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Convertible senior unsecured notes — 85,266

Senior unsecured notes 95,721 —

Dividend payable 5,632 1,472

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

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

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

Grant of restricted stock 47 — — 327 — 327

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

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

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

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

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

Grant of restricted stock and amortization of equity based compensation 203 2 — 665 — 667

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Balance at December 31, 2024 29,640 $ 296 $ 220,472 $ 824,380 $ ( 501,725 ) $ 543,423

(1) For the year ended December 31, 2024, dividends totaling $ 0.75 per share of common stock outstanding were declared.

(2) For the year ended December 31, 2024, dividends totaling $ 2.06252 , $ 2.00 , and $ 2.233117 per share of Series A, Series B, and Series C outstanding were declared, respectively.

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

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Principal repayments on commercial loans — 12,250

Principal funding on residential mortgage loans ( 2,070 ) —

Distributions received in excess of income from investments in debt and equity of affiliates 11,015 20,877

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Cash flows provided by other investing activities 4,195 2,162

Cash flows used in other investing activities ( 1,982 ) ( 2,781 )

Net cash provided by (used in) investing activities ( 713,131 ) ( 433,505 )

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Net borrowings under (repayments of) financing arrangements ( 12,634 ) ( 24,673 )

Principal repayments on fixed-rate long-term financing arrangements ( 11,204 ) —

Proceeds from issuance of senior unsecured notes 95,217 —

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

December 31, 2024 December 31, 2023

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

Deferred financing costs paid ( 251 ) ( 9 )

Proceeds from issuance of securitized debt 1,380,278 878,298

December 31, 2023 December 31, 2022

Principal repayments on securitized debt ( 657,751 ) ( 370,316 )

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Supplemental disclosure of cash flow information:

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

Cash paid for interest $ 308,272 $ 190,222

Cash paid for income taxes $ 141 $ 231

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Common stock dividends declared but not paid $ 5,632 $ 1,472

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

Transfer from residential mortgage loans to other assets $ 4,889 $ 4,018

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

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

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

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

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

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

On December 6, 2023, the Company acquired Western Asset Mortgage Capital Corporation ("WMC"), an externally managed mortgage REIT that focused on investing in, financing and managing a portfolio of residential mortgage loans, real estate related securities, and commercial real estate loans.

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

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

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

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.

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Non-Agency Loans consist of Qualified mortgage loans ("QM Loans") and Non-Qualified mortgage loans ("Non-QM Loans").

QM Loans are residential mortgage loans that comply with the Ability-To-Repay rules and related guidelines of the Consumer Finance Protection Bureau.

QM Loans are residential mortgage loans that comply with the Ability-To-Repay rules and related guidelines of the Consumer Financial Protection Bureau.

Agency-Eligible Loans (1)

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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)

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Legacy WMC Commercial Investments (3)

Commercial Loans (4)

• Commercial loans represent first lien commercial mortgage loans participations.

Commercial Loans • Commercial loans represent first lien commercial mortgage loan participations.

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

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

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

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

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

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

AG Mortgage Investment Trust Inc.

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Notes to Consolidated Financial Statements

(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 and CMBS (collectively, the "Legacy WMC Commercial Investments") that were acquired in the WMC acquisition.

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

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

Refer to Note 13 for additional details on segment reporting.

The Company was incorporated in the state of Maryland on March 1, 2011 and commenced operations in July 2011.

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

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

The consolidated financial statements include the accounts of the Company, its wholly-owned subsidiaries, and certain variable interest entities.

All intercompany balances and transactions have been eliminated in consolidation.

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Christian Mitchell and Lisa G.

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

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

AG Mortgage Investment Trust Inc.

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Notes to Consolidated Financial Statements

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.

Purchase Price Allocation

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

The Company completed the WMC acquisition on December 6, 2023 to support continued growth of the Company and to create efficiency and scale for stockholders.

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

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

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements

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

2 unchanged sentences

however, actual results may differ from these estimates.

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

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

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements

determination must occur within one year of the acquisition date.

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

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

The final determination must occur within one year of the acquisition date and no measurement period adjustments were made during the year ended December 31, 2024.

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.

1 unchanged sentence

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

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

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

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

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Unaudited Supplemental Pro Forma Financial Information

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

December 31, 2023 December 31, 2022

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

Year Ended December 31, 2023

Interest income $ 330,267

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

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

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

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

The unaudited supplemental pro forma financial information for the year ended December 31, 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.

Summary of significant accounting policies

Consolidation and basis of presentation

The accompanying consolidated financial statements and related notes have been prepared on the accrual basis of accounting in accordance with accounting principles generally accepted in the United States of America ("GAAP").

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The preparation of consolidated financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the amounts reported in the consolidated financial statements and accompanying notes.

Actual results may differ from those estimates.

Actual results

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements

may differ from those estimates.

Valuation of financial instruments

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

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

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

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

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Once a pool of loans is assembled, its composition is maintained.

When the Company purchases mortgage loans with evidence of credit deterioration since origination and it determines that it is probable it will not collect all contractual cash flows on those loans, it will apply the guidance found in ASC 310-30.

Mortgage loans that are delinquent 60 or more days are considered non-performing for purposes of this determination.

The Company updates its estimate of the cash flows expected to be collected on at least a quarterly basis for loans accounted for under ASC 310-30.

In estimating these cash flows, there are a number of assumptions that will be subject to uncertainties and contingencies including both the rate and timing of principal and interest receipts, and assumptions of prepayments, repurchases, defaults, and liquidations.

If based on the most current information and events it is probable that there is a significant increase in cash flows previously expected to be collected or if actual cash flows are significantly greater than cash flows previously expected, the Company will recognize these changes prospectively through an adjustment of the loan’s yield over its remaining life.

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

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements

The Company accrues interest income on its loan portfolio.

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

Real estate securities are recorded at fair value on the consolidated balance sheets and the periodic change in fair value is recorded in current period earnings on the consolidated statement of operations as a component of "Net unrealized gain/(loss)." Purchases and sales of real estate securities are recorded on the trade date.

Real estate securities are recorded at fair value on the consolidated balance sheets and the periodic change in

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements

fair value is recorded in current period earnings on the consolidated statement of operations as a component of "Net unrealized gain/(loss)." Purchases and sales of real estate securities are recorded on the trade date.

The Company accrues interest income on its real estate securities using the effective interest method.

We cease accruing interest on non-performing real estate securities at the earlier of (i) the security becoming significantly past due or (ii) management concluding that a full recovery of all interest and principal is doubtful.

When the assets collateralizing a real estate security are designated as non-performing and placed on cost recovery status, the cost-recovery method is applied to which receipt of principal or coupon interest is recorded as a reduction to the amortized cost until collection of all contractual components are reasonably assured.

Investments in debt and equity of affiliates

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

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

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

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

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

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

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In connection with the sale of loans from Arc Home to the Company, gains or losses recorded by Arc Home are consolidated into AG Arc.

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

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

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

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

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

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

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

AG Mortgage Investment Trust Inc.

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Notes to Consolidated Financial Statements

issuance of debt or equity instruments.

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

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

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

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements

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

Goodwill is calculated as the excess of the consideration transferred over the net assets acquired that meet the criteria for separate recognition and represents the estimated future economic benefits arising from these and other assets acquired that could not be individually identified or do not qualify for recognition as a separate asset.

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

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

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements

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

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Cash pledged to the Company as collateral is unrestricted in use and, accordingly, is included as a component of "Cash and cash equivalents" on the consolidated balance sheets.

Any cash held by the Company as collateral is included in the "Other liabilities" line item on the consolidated balance sheets and changes in cash held by the Company as collateral are included in cash flows from financing activities on the consolidated statement of cash flows.

Any cash held by the Company as collateral is included in the "Other liabilities" line item on the consolidated balance sheets.

"Other liabilities" does not include variation margin received on centrally cleared derivatives.

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

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

Restricted cash

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

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

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements

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

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

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

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The Company maintains a level of liquidity in order to meet these obligations.

If the fair value of pledged assets increases due to changes in market conditions, counterparties may be required to return collateral to the Company in the form of securities or cash or post additional collateral to the Company.

If the fair value of pledged assets increases due to changes in market conditions, counterparties may be required to return collateral to the Company in the form of securities or

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements

cash or post additional collateral to the Company.

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

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

Accounting for senior unsecured notes and debt issuance costs

Senior unsecured notes are carried at amortized cost on the Company’s consolidated balance sheets.

Interest on the notes is payable quarterly until such time as the notes mature.

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

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

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

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

Accounting for derivative financial instruments

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

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

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

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements

reporting period.

To-be-announced securities

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The counterparties deliver the committed loans on either a mandatory basis or best-efforts basis.

These commitments to purchase mortgage loans are classified as derivatives and are therefore recorded at fair value on the consolidated balance sheets, with corresponding changes in fair value recognized in the consolidated statement of operations.

These commitments to purchase mortgage loans may be classified as derivatives and would be recorded at fair value on the consolidated balance sheets, with corresponding changes in fair value recognized in the consolidated statement of operations.

Derivatives with a positive fair value to the Company are reported as assets and derivatives with a negative fair value to the Company are reported as liabilities.

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Notes to Consolidated Financial Statements

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

For purposes of income recognition, the Company aggregates loans that have common risk characteristics into pools and uses a composite interest rate and expectation of cash flows expected to be collected for the pool.

ASC 310-30 addresses accounting for differences between contractual cash flows and cash flows expected to be collected from an investor’s initial investment in loans or debt securities acquired in a transfer if those differences are attributable, at least in part, to credit quality.

ASC 310-30 limits the yield that may be accreted (the "accretable yield") to the excess of the investor’s estimate of undiscounted expected principal, interest, and other cash flows (cash flows expected at acquisition to be collected) over the investor’s initial investment in the loan.

ASC 310-30 requires that the excess of contractual cash flows over cash flows expected to be collected (the "nonaccretable difference") not be recognized as an adjustment of yield.

Subsequent changes in cash flows expected to be collected generally should be recognized prospectively through an adjustment of the loan’s yield over its remaining life.

Realized gains and losses

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

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

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

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

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements

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

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A domestic TRS may declare dividends to the Company which will be included in the Company’s taxable income/(loss) which may necessitate a distribution to stockholders.

Conversely, if the Company retains earnings at the domestic TRS level, no distribution is required and the Company can increase book equity of the consolidated entity.

Conversely, if the Company retains earnings at the domestic TRS level, no

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements

distribution is required and the Company can increase book equity of the consolidated entity.

A domestic TRS is subject to U.S.

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Dividends on Preferred Stock

Holders of the Company’s 8.25 % Series A Cumulative Redeemable Preferred Stock ("Series A Preferred Stock"), 8.00 % Series B Cumulative Redeemable Preferred Stock ("Series B Preferred Stock"), and 8.000 % Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock ("Series C Preferred Stock") are entitled to receive cumulative cash dividends at a rate of 8.25 %, 8.00 % and 8.000 % per annum, respectively, of the $ 25.00 per share liquidation preference for each series.

On and after September 17, 2024, dividends on the Series C Preferred Stock will accumulate at a percentage of the $ 25.00 liquidation preference equal to an annual floating rate of the then three-month LIBOR (or as replaced by the existing LIBOR cessation fallback language) plus a spread of 6.476 % per annum.

Holders of the Company’s 8.25 % Series A Cumulative Redeemable Preferred Stock ("Series A Preferred Stock") and 8.00 % Series B Cumulative Redeemable Preferred Stock ("Series B Preferred Stock") are entitled to receive cumulative cash dividends at a rate of 8.25 % and 8.00 %, respectively, of the $ 25.00 per share liquidation preference for each series.

From and including the date of original issue to, but not including, September 17, 2024, holders of the Company's 8.000 % Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock ("Series C Preferred Stock") were entitled to receive cumulative cash dividends at a rate of 8.000 % of the $ 25.00 per share liquidation preference.

On and after September 17, 2024, holders of the Company's Series C Preferred Stock are entitled to receive cumulative cash dividends 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 %.

If the Company’s Board of Directors does not declare a dividend in a given period, an accrual is not recorded on the balance sheet.

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

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements

Stock-based compensation

The Company applies the provisions of ASC 718, "Compensation—Stock Compensation" with regard to its equity incentive plans.

ASC 718 covers a wide range of share-based compensation arrangements including stock options, restricted stock plans, performance-based awards, stock appreciation rights and employee stock purchase plans.

ASC 718 requires that compensation cost relating to stock-based payment transactions be recognized in the consolidated financial statements.

Compensation cost related to restricted common stock and restricted stock units issued by the Company are measured at its estimated fair value at the grant date, and is amortized and expensed over the vesting period on a straight-line basis.

Recent accounting pronouncements

Reference rate reform

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

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

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

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

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

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

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

The Company has transitioned from LIBOR to an alternative benchmark.

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

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

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

At the time of transition, the Company no longer had derivative contracts indexed to LIBOR and all LIBOR-based financing arrangements transitioned to alternative benchmark rates.

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

Debt with conversion and other options

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

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

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

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

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

The Company's adoption of ASU 2020-06 during the year ended December 31, 2024 did not have a material impact on the consolidated financial statements.

AG Mortgage Investment Trust Inc.

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Notes to Consolidated Financial Statements

Segment reporting

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

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

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

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

The Company's adoption of ASU 2023-07 during the year ended December 31, 2024 did not have a material impact on the consolidated financial statements.

Refer to Note 13 for additional details on segment reporting.

In December 2023, the FASB issued ASU 2023-09, "Improvements to Income Tax Disclosures (Topic 740)", which focuses on income tax disclosures around effective tax rates and cash income taxes paid.

This standard requires entities to provide additional information about federal, state and foreign income taxes and reconciling items in the rate reconciliation table, and to disclose further disaggregation of income taxes paid (net of refunds received) by federal (national), state and foreign taxes by jurisdiction.

For public business entities, the ASU is effective for annual periods beginning after December 15, 2024, with early adoption permitted.

The guidance should be applied prospectively, but entities have the option to apply it retrospectively for each period presented.

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

Expense Disaggregation

In November 2024, the FASB issued ASU 2024-03, "Income Statement - Reporting Comprehensive Income Expense Disaggregation Disclosures (Subtopic 220- 40)", and in January 2025, the FASB issued ASU 2025-01, "Income Statement - Reporting Comprehensive Income - Expense Disaggregation Disclosures (Subtopic 220-40):

Clarifying the Effective Date".

This standard requires public companies to disclose additional information about specific expense categories in the notes to financial statements at interim and annual reporting periods.

The new standard, as clarified by ASU 2025-01, is effective for annual reporting periods beginning after December 15, 2026, and interim reporting periods beginning after December 15, 2027, with early adoption permitted.

The Company is currently evaluating the potential impact upon adoption, but does not expect the adoption of the new standard to have a material effect on its consolidated financial statements.

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements

Residential mortgage loans

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Residential mortgage loans, at fair value (4)

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

Agency-Eligible Loans $ 101,570 $ 908 $ 102,478 $ 31 $ ( 364 ) $ 102,145 6.89 % 6.58 % 4.95

Home Equity Loans 99,863 1,625 101,488 2,509 ( 33 ) 103,964 10.35 % 9.89 % 4.30

Non-Agency Loans 13,098 ( 273 ) 12,825 101 ( 647 ) 12,279 7.54 % 4.72 % 3.76

Re- and Non-Performing Loans 2,016 ( 1,168 ) 848 981 — 1,829 N/A 103.24 % 1.37

10 unchanged sentences

Residential mortgage loans, at fair value

Non-Agency Loans (4) $ 406,294 $ ( 7,902 ) $ 398,392 $ 2,775 $ ( 30,006 ) $ 371,161 5.36 % 5.54 % 6.14

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

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

(1) As of December 31, 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 December 31, 2024 was 5.80 % and 8.86 %, respectively.

(2) This is based on projected life.

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

(4) During the year ended December 31, 2024, the Company transferred $ 1.5 billion of Residential Mortgage Loans, at fair value, to Securitized Residential Mortgage Loans, at fair value, in connection with 4 securitizations executed during the period.

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

(4) Includes fair value of $ 46.8 million and $ 18.2 million of Non-Agency Loans and Agency-Eligible Loans, respectively, classified as held for sale and presented in the "Residential mortgage loans held for sale, at fair value" line item on the consolidated balance sheets as of December 31, 2022.

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements

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

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

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

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

December 31, 2024

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

Loan Count (1) Current 30-59 Days 60-89 Days 90+ Days

Securitized residential mortgage loans

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Residential mortgage loans

Non-Agency Loans $ 92,033 170 74.79 % 730 $ 83,582 $ 1,010 $ 615 $ 6,826

Agency-Eligible Loans 101,570 214 101,062 508 — —

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

Home Equity Loans 99,863 1,292 99,838 25 — —

Non-Agency Loans $ 13,098 24 $ 4,967 $ 1,275 $ 1,162 $ 5,694

Re- and Non-Performing Loans (1) 2,016 N/A N/A N/A N/A N/A

Total Residential mortgage loans $ 216,547 1,530 $ 205,867 $ 1,808 $ 1,162 $ 5,694

1 unchanged sentence

$ 6,781,862 18,876 $ 6,522,024 $ 102,528 $ 38,657 $ 116,637

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

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

December 31, 2023

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

Loan Count (1) Current 30-59 Days 60-89 Days 90+ Days

Securitized residential mortgage loans

3 unchanged sentences

Residential mortgage loans

Non-Agency Loans $ 406,294 655 71.22 % 734 $ 399,036 $ 4,967 $ 1,404 $ 887

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

Re- and Non-Performing Loans (1) 3,520 N/A N/A N/A N/A N/A N/A N/A

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

Total Residential mortgage loans $ 306,987 706 $ 295,081 $ 1,861 $ 615 $ 6,826

1 unchanged sentence

$ 6,124,045 15,661 $ 5,896,344 $ 87,248 $ 36,268 $ 101,581

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

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

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

(2) As of December 31, 2024, the Company had securitized residential mortgage loans and residential mortgage loans that were 90+ days delinquent with a fair value of $ 51.9 million and loans in the process of foreclosure with a fair value of $ 57.9 million.

As of December 31, 2023, the Company had securitized residential mortgage loans and residential mortgage loans that were 90+ days delinquent with a fair value of $ 41.7 million and loans in the process of foreclosure with a fair value of $ 51.8 million.

(4) Represents the original LTV or, for Re- and Non-Performing Loans and Non-Agency Loans acquired from WMC, the LTV at acquisition.

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

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

As of December 31, 2024 and 2023, 9.6 % 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 year ended December 31, 2024, the Company purchased residential mortgage loans as detailed below (in thousands).

Unpaid Principal Balance Fair Value

December 31, 2024 December 31, 2023

Unpaid Principal Balance Fair Value Unpaid Principal Balance Fair Value

Residential mortgage loan purchases

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

Agency-Eligible Loans 640,798 642,010

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

Residential mortgage loans acquired from WMC (1)

Securitized Non-Agency Loans (1) — — 1,057,830 971,781

Agency-Eligible Loans 1,407,588 1,432,492 640,798 642,010

Home Equity Loans 281,374 288,885 — —

Non-Agency Loans (1) 23,506 23,796 584,534 593,689

Total $ 1,712,468 $ 1,745,173 $ 2,283,162 $ 2,207,480

(1) During the year ended December 31, 2023, the Company acquired $ 971.8 million and $ 6.0 million of Securitized Non-Agency Loans and Non-Agency Loans, respectively.

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

5 unchanged sentences

Year Ended December 31, 2024

Non-Agency Loans 587 $ 330,742 $ 1,960 $ ( 13,272 )

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

Home Equity Loans 2,389 184,595 3,719 —

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

Re- and Non-Performing Loans 74 13,493 1,427 ( 271 )

Year Ended December 31, 2023

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

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

Non-Agency Loans 587 330,742 1,960 ( 13,272 )

Re- and Non-Performing Loans 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.

8 unchanged sentences

Variable interest entities

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

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

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

2 unchanged sentences

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

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

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

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

14 unchanged sentences

Total Equity (5) $ 661,921 $ 585,515

(1) As of December 31, 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 securitized debt based on the fair value as of December 31, 2024 was 5.78 % and 5.29 %, respectively.

(2) This is based on projected life.

19 unchanged sentences

Total Equity (4) $ 54,303 $ 70,717

(1) As of December 31, 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 securitized debt based on the fair value as of December 31, 2024 was 6.63 % 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 December 31, 2023 and 2022, the Company had outstanding financing arrangements of $ 44.9 million and $ 34.2 million, respectively, collateralized by $ 67.1 million and $ 66.4 million of the Company's retained interests in the RPL/NPL VIEs, respectively.

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

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements

(4) As of December 31, 2024 and 2023, the Company had outstanding financing arrangements of $ 31.8 million and $ 44.9 million, respectively, collateralized by $ 51.0 million and $ 67.1 million of the Company's retained interests in the RPL/NPL VIEs, respectively.

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

Revolving Mortgage Investment Trust 2015-1QR2

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

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

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

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

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

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

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

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 December 31, 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.

Legacy WMC Commercial loans

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

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

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

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

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

December 31, 2024 Premium /

6 unchanged sentences

Total $ 67,204 $ ( 563 ) $ 66,641 $ 364 $ 67,005 8.44 % 10.04 % 0.50 63.69 %

December 31, 2023 Premium /

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

Loan (1)(2)(3) Unpaid Principal Balance Coupon Yield (4) Life (Years) (5)

Loan A (8) $ 7,259 $ ( 137 ) $ 7,122 $ 12 $ 7,134 9.55 % 10.16 % 1.44 5/6/2025 61.63 % IL, FL

Loan B (8) 13,206 ( 249 ) 12,957 22 12,979 9.55 % 10.16 % 1.44 5/6/2025 75.33 % CA

Loan C (8) 24,535 ( 463 ) 24,072 40 24,112 9.55 % 10.16 % 1.44 5/6/2025 77.22 % NY

Loan D (9) 22,204 ( 147 ) 22,057 21 22,078 8.72 % 8.17 % 1.69 8/6/2025 42.50 % CT

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

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

1 unchanged sentence

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

(4) As of December 31, 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 December 31, 2024 was 10.04 %.

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

4 unchanged sentences

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

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

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

AG Mortgage Investment Trust Inc.

5 unchanged sentences

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, 2024 Gains Losses Coupon (1) Yield (2)

Non-Agency RMBS

7 unchanged sentences

Legacy WMC CMBS (6) 100,896 ( 41,879 ) 59,017 2,577 ( 8,809 ) 52,785 5.13 % 16.74 %

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

Agency RMBS Interest Only (5) N/A N/A 20,517 908 ( 429 ) 20,996 4.32 % 10.35 %

10 unchanged sentences

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

Non-Agency RMBS Interest Only (5) N/A N/A 1,116 1 ( 34 ) 1,083 0.35 % 16.04 %

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

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

Legacy WMC Other Securities (7) N/A N/A 1,174 — ( 18 ) 1,156 N/A 18.16 %

Agency RMBS Interest Only (5) N/A N/A 16,714 115 ( 1,135 ) 15,694 3.74 % 10.20 %

Total as of December 31, 2023 229,642 ( 82,605 ) 168,582 5,251 ( 11,012 ) 162,821 3.54 % 14.01 %

$ 31,713 $ ( 6,875 ) $ 47,447 $ 2,276 $ ( 6,004 ) $ 43,719 2.37 % 10.20 %

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

(2) As of December 31, 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 real estate securities based on the fair value of the underlying securities as of December 31, 2024 was 12.11 %.

(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.

3 unchanged sentences

As of December 31, 2024, the notional balances for GCAT Non-Agency RMBS Interest Only, Non-Agency RMBS Interest Only and Agency RMBS Interest Only line items were $ 85.6 million, $ 242.0 million and $ 107.2 million, respectively.

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

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 December 31, 2024, there are Legacy WMC CMBS with an unpaid principal balance of $ 23.5 million and a fair value of $ 6.0 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.

3 unchanged sentences

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

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

December 31, 2024 Non-Agency RMBS Legacy WMC CMBS Agency RMBS

Weighted Average Life (1)

Fair Value Amortized

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

Cost Fair Value Amortized Cost Fair Value Amortized

Less than or equal to one year $ 2,983 $ 2,901 $ 14,731 $ 14,945 $ — $ —

4 unchanged sentences

$ 127,579 $ 128,458 $ 52,785 $ 59,016 $ 20,996 $ 20,517

December 31, 2022 Non-Agency RMBS Agency RMBS

Weighted Average Life (1)

Fair Value Amortized Cost Fair Value Amortized Cost

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

Weighted Average Life (1) Fair Value Amortized

Cost Fair Value Amortized Cost Fair Value Amortized

Cost Fair Value Amortized Cost

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

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

2 unchanged sentences

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

$ 24,595 $ 27,676 $ 19,124 $ 19,771

(1) This is based on projected life.

6 unchanged sentences

Year ended December 31, 2024

11 $ 286,356 $ 1,341 $ ( 2,899 )

Agency RMBS 6 $ 543,172 $ 10,172 $ —

Non-Agency RMBS 16 61,679 3,352 ( 569 )

CMBS 1 1,531 — ( 62 )

Other Securities 1 763 — ( 227 )

Year ended December 31, 2023

18 526,258 736 ( 35,240 )

Agency RMBS 5 $ 266,298 $ 391 $ ( 2,899 )

Non-Agency RMBS 6 20,058 950 —

Unconsolidated variable interest entities

GCAT Securitizations

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

1 unchanged sentence

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

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

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

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

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.

1 unchanged sentence

See Note 10 for additional details on the MATH transaction.

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements

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

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

December 31, 2024 December 31, 2023

4 unchanged sentences

Total retained interest in unconsolidated VIEs (2) (3) $ 43,794 $ 40,315 $ 43,794 $ 37,533

Assets transferred to unconsolidated VIEs December 31, 2024 December 31, 2023

Total unpaid principal balance of loans outstanding (4) $ 386,029 $ 450,366

Weighted average coupon on loans outstanding 6.05 % 5.67 %

Percent of unpaid principal balance greater than 90 days delinquent (5) 2.50 % 1.94 %

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

3 unchanged sentences

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

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

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

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

(3) As of December 31, 2024 and 2023, the Company held securities exposed to the first loss of the securitization with a fair value $ 3.2 million and $ 4.1 million, respectively.

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

(5) As of December 31, 2024, 1.30 % of loans were 90+ days delinquent, 0.34 % of loans were REO, and 0.86 % of loans were in the process of foreclosure.

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

Co-Sponsored Securitizations

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.

During the year ended December 31, 2024, the Company sold Non-Agency RMBS from the Co-Sponsored Securitizations for proceeds of $ 20.3 million.

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements

The following table summarizes the Company’s investment in Co-Sponsored unconsolidated VIEs and information regarding the residential mortgage loans transferred to the Company’s unconsolidated VIEs as of December 31, 2024 (in thousands).

December 31, 2024

Current Face Fair Value

Retained interest in unconsolidated VIEs

Non-Agency Securities $ 48,598 $ 47,334

Non-Agency RMBS Interest Only (1) N/A 855

Total retained interest in unconsolidated VIEs (2) (3) $ 48,598 $ 48,189

Assets transferred to unconsolidated VIEs December 31, 2024

Total unpaid principal balance of loans outstanding (4) $ 695,007

1 unchanged sentence

Percent of unpaid principal balance greater than 90 days delinquent (5) 0.05 %

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

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

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

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

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

As of December 31, 2024, the notional balances for Non-Agency RMBS Interest Only line item was $ 50.4 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 December 31, 2024, the Company held securities exposed to the first loss of the securitization with a fair value of $ 3.3 million.

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

(5) As of December 31, 2024, 0.05 % of loans were 90+ days delinquent.

Fair value measurements

18 unchanged sentences

Legacy WMC CMBS — 52,785 — 52,785

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

Agency RMBS — 20,996 — 20,996

10 unchanged sentences

Residential mortgage loans — 777 316,854 317,631

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

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

Agency Interest Only — 19,124 — 19,124

Legacy WMC CMBS — 50,553 5,796 56,349

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

Agency RMBS — 15,694 — 15,694

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

5 unchanged sentences

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

(1) As of December 31, 2024, the Company applied a reduction in fair value of $ 11.4 million and $ 35.0 thousand 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.

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

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

3 unchanged sentences

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

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

AG Mortgage Investment Trust Inc.

5 unchanged sentences

The evaluation considers the underlying characteristics of each loan, which are observable inputs, including:

coupon, maturity date, loan age, reset date, collateral type, periodic and life cap, geography, and prepayment speeds.

coupon, maturity date, loan age, reset date, collateral type, periodic and life cap, geography, and historical prepayment speeds.

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

19 unchanged sentences

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

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

The Company transferred $ 1.6 million of residential mortgage loans and $ 5.8 million of CMBS from Level 3 to Level 2 of the fair value hierarchy during the year ended December 31, 2024.

The Company did not have any transfers from Level 2 to Level 3 of the fair value hierarchy during the year ended December 31, 2024.

The Company did not have any transfers during the year ended December 31, 2023.

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

11 unchanged sentences

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 ) — — ( 5,796 ) — — — — —

Purchases 1,746,012 — 95,395 — — — — — —

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

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

Issuances of Securitized Debt — — — — — — — ( 1,372,097 ) —

2 unchanged sentences

Principal repayments ( 710,639 ) — ( 1,847 ) — — — — 657,092 —

Principal funding 2,070 — — — — — — — —

Included in net income:

9 unchanged sentences

Equity in earnings/(loss) from affiliates — — — — — — 2,246 — —

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements

Year Ended December 31, 2023

Loans (1) Non-Agency

RMBS Derivative Assets (2) AG Arc Securitized

Loans (1) Legacy WMC Commercial Loans Non-Agency

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

Debt Derivative Liabilities (2)

1 unchanged sentence

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

Transfers from MATH (6) — — 16,408 — — — — — —

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

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

13 unchanged sentences

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

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

(1) Includes Securitized residential mortgage loans.

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

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

(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.

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

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

AG Mortgage Investment Trust Inc.

24 unchanged sentences

- 38.75 % - 44.01 % ( 9.62 %)

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

Legacy WMC Commercial Loans

Yield 8.06 % - 9.63 % ( 9.11 %)

8.16 % - 10.13 % ( 9.47 %)

Discounted Cash Flow Credit Spread $ 67,005 377 bps - 512 bps ( 467 bps)

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

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

100.00 % - 100.00 % ( 100.00 %)

Loan-to-Value 42.50 % - 77.22 % ( 63.69 %)

42.50 % - 77.22 % ( 63.61 %)

Non-Agency RMBS

8 unchanged sentences

Legacy WMC CMBS

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

Consensus Pricing Offered Quotes $ — N/A $ 5,796 55.20 - 55.20 ( 55.20 )

Legacy WMC Other Securities

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

Consensus Pricing Offered Quotes $ — N/A $ 1,156 6,821.32 - 6,821.32 ( 6,821.32 )

Derivative Assets (3)

32 unchanged sentences

(1) Amounts are weighted based on fair value.

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

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

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

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

7 unchanged sentences

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

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

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

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

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

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

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

December 31, 2023

Carrying Value (1) Estimated Fair Value

December 31, 2024 December 31, 2023

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

Legacy WMC Convertible Notes (2) $ — $ — $ 85,266 $ 84,525

Senior Unsecured Notes 95,721 100,715 — —

Financing arrangements 50,122 50,711 62,972 63,175

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

(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.

8 unchanged sentences

Securitized Residential Mortgage Loans (3)

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

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

Non-Agency Loans (4) $ 370,103 $ 370,913 Jan - July 2025 6.47 % 0.16 $ 654,320 $ 301,205

Re- and Non-Performing Loans 31,798 31,798 Feb - Mar 2025 6.54 % 0.18 50,974 44,928

Residential Mortgage Loans (5)

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

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

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

Agency-Eligible Loans 95,688 95,688 July 2025 6.19 % 0.57 102,145 200,617

Home Equity Loans (4) 87,440 87,440 June 2025 6.92 % 0.44 103,962 —

Non-Agency Loans 7,615 7,615 Apr - June 2025 6.46 % 0.16 9,666 77,345

Legacy WMC Commercial Loans (4) 47,222 47,222 Mar 2025 7.49 % 0.23 67,005 48,032

Non-Agency RMBS 78,978 78,978 Jan - May 2025 5.58 % 0.09 109,881 51,251

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

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

Legacy WMC CMBS 20,416 20,416 Feb 2025 6.30 % 0.12 52,752 31,620

Agency RMBS 2,038 2,038 Jan 2025 5.33 % 0.05 2,760 12,594

Total Financing Arrangements $ 741,298 $ 742,108 6.45 % 0.24 $ 1,153,465 $ 767,592

3 unchanged sentences

Total Securitized Debt $ 5,890,821 $ 5,491,967 5.14 % 6.01 N/A $ 4,711,623

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

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

Senior Unsecured Notes

February 2029 Senior Unsecured Notes 34,500 33,028 Feb 2029 10.79 % 4.22 N/A $ —

May 2029 Senior Unsecured Notes 65,000 62,693 May 2029 10.52 % 4.48 N/A —

Total Senior Unsecured Notes $ 99,500 $ 95,721 10.61 % 4.39 N/A $ —

Total Financing $ 6,731,619 $ 6,329,796 5.38 % 5.45 $ 1,153,465 $ 5,564,481

3 unchanged sentences

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

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

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

(4) As of December 31, 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 6.87 %, 6.78 %, and 7.13 %, 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, Agency-Eligible Loans, and Home Equity Loans.

(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.

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

(7) As of December 31, 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 December 31, 2024 was 5.25 %.

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

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

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

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

As of December 31, 2024, the notional balance on interest only classes of Securitized debt was $ 1.2 billion.

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

1 unchanged sentence

Legacy WMC Convertible Notes

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

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

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

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

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

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

33.7952 shares of WMC common stock.

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

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

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

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

interest was paid semiannually.

During the year ended December 31, 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 years ended December 31, 2024 and 2023 (in thousands).

December 31, 2024 December 31, 2023

Coupon interest expense

$ 3,805 $ 404

Amortization expense

Total interest expense $ 4,717 $ 498

Senior Unsecured Notes

The Company’s Senior Unsecured Notes consist of $ 34.5 million principal amount 9.500 % Senior Notes due February 2029 ("February 2029 Senior Unsecured Notes") and $ 65.0 million principal amount 9.500 % Senior Notes due May 2029 ("May 2029 Senior Unsecured Notes" and together with the February 2029 Senior Unsecured Notes, the "Senior Unsecured Notes").

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 as of December 31, 2024 ($ in thousands).

Principal Amount (1) Carrying Value First Pay Date Maturity

Date (2) Redemption Date (3) Rate (4)

February 2029 Senior Unsecured Notes

$ 34,500 $ 33,028 May 15, 2024 February 15, 2029 February 15, 2026 9.500 %

May 2029 Senior Unsecured Notes

65,000 62,693 August 15, 2024 May 15, 2029 May 15, 2026 9.500 %

(1) The Senior Unsecured Notes were issued at 100 % of the principal amount.

(2) The Company has the option to redeem the Senior Unsecured Notes earlier than the maturity date.

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

(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 year ended December 31, 2024 (in thousands).

There was no interest expense incurred during the year ended December 31, 2023 as the Senior Unsecured Notes were issued during 2024.

December 31, 2024

Coupon interest expense

Amortization expense

Total interest expense $ 7,430

Contractual maturities

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

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

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

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements

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

4 unchanged sentences

Residential Mortgage Loans

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

Agency-Eligible Loans — — 95,688 — 95,688

Home Equity Loans — — 87,440 — 87,440

Non-Agency Loans — — 7,615 — 7,615

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

3 unchanged sentences

Total Financing Arrangements $ 304,206 $ 161,783 $ 275,309 $ — $ 741,298

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

Senior Unsecured Notes

February 2029 Senior Unsecured Notes $ — $ — $ — $ 34,500 $ 34,500

May 2029 Senior Unsecured Notes — — — 65,000 65,000

Total Senior Unsecured Notes $ — $ — $ — $ 99,500 $ 99,500

Counterparties

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

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements

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

The following table presents information as of December 31, 2024 and 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).

8 unchanged sentences

BofA Securities, Inc $ 135,141 82 25.0 % $ 131,128 236 24.8 %

Goldman Sachs Bank USA 92,220 118 17.1 % 73,893 9 14.0 %

Barclays Capital Inc.

75,516 20 14.0 % 81,047 85 15.3 %

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

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

Various (2) 81,855 211 15.2 % 69,637 577 13.2 %

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

(1) As of December 31, 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.

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

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

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

Financial Covenants

5 unchanged sentences

As of December 31, 2024, the Company is in compliance with all of its financial covenants.

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements

Other assets and liabilities

15 unchanged sentences

(1) Refer to Note 10 for more information.

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements

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

All notional amounts are denominated in USD.

Balance Sheet Location December 31, 2024 December 31, 2023

2 unchanged sentences

Pay Fix/Receive Float Interest Rate Swap Agreements (2) (3) Other liabilities 5,000 ( 4 ) 338,000 —

Short TBAs Other assets — — 40,000 650

Short TBAs Other liabilities — — 9,000 ( 63 )

2 unchanged sentences

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

(2) As of December 31, 2024, the Company applied a reduction in fair value of $ 11.4 million and $ 35.0 thousand 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 December 31, 2024, the Company's pay fix/receive float interest rate swaps had a weighted average pay-fixed rate of 3.48 %, a weighted average receive-variable rate of 4.49 %, and a weighted average years to maturity of 4.86 years.

27 unchanged sentences

Derivative activity

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

Amount Buys or Covers (1) Sales or Shorts Ending

The following table present information about the Company’s derivatives for the years ended December 31, 2024 and 2023 (in thousands).

Amount Additions (1) Settlement, Termination, or Expiration (2) Ending

Amount Derivative

1 unchanged sentence

Year Ended December 31, 2024

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

Short TBAs ( 9,000 ) ( 121,000 ) 130,000 — — —

4 unchanged sentences

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

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

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

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

(2) Includes $ 60.0 million of interest rate swaps that matured during the year ended December 31, 2024.

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

14 unchanged sentences

Diluted $ 1.23 $ 1.68

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

The following tables detail the Company's common stock dividends declared during the years ended December 31, 2024 and 2023.

40 unchanged sentences

The expense is calculated in accordance with applicable tax regulations.

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

The Company recognized estimated excise tax expense of $ 0.1 million during the year ended December 31, 2024 which is recorded in the "Non-investment related expenses" line item on the consolidated statement of operations.

The Company did no t recognize any excise tax during the year ended December 31, 2023.

REIT Net Operating Loss and Net Capital Loss Carryforwards

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

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

As of December 31, 2023, the Company had federal net operating loss ("NOL") carryforwards of $ 2.1 million which were fully utilized to offset taxable ordinary income and reduce its REIT distribution requirements for the year ended December 31, 2024.

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.

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

The Company used $ 2.1 million of these NOLs to reduce its REIT distribution requirements for the year ended December 31, 2024.

As of December 31, 2024, the remaining NOL carryforwards obtained in the Merger is $ 319.4 million.

As of December 31, 2024 and 2023, the Company had estimated net capital loss ("NCL") carryforwards of $ 278.9 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.

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

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

In connection with the Merger, the Company obtained NCL carryforwards of $ 143.1 million, of which

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements

a majority expire between 2027 and 2028.

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

Taxable REIT Subsidiaries

10 unchanged sentences

December 31, 2023

Income Tax Expense $ 250 $ 163

Tax Expense $ 112 $ 250

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.

10 unchanged sentences

As of December 31, 2024 and 2023, the Company’s TRSs had an estimated gross NOL carryforward of $ 130.5 million and $ 134.0 million, respectively.

This includes NOL carryforwards generated prior to 2018 of $ 7.8 million which will expire between 2033 and 2037.

The NOL carryforwards as of December 31, 2024 generated prior to 2018 includes $ 4.6 million which will expire between 2033 and 2037.

The remaining net operating losses can be carried forward indefinitely.

20 unchanged sentences

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

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

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

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

12 unchanged sentences

Management fee to affiliate (1) $ 7,533 $ 7,711

(1) For the year ended December 31, 2023, the Manager agreed to waive its right to receive management fees of $ 0.6 million pursuant to the MITT Management Agreement Amendment executed in connection with the Merger.

(1) For the year ended December 31, 2024 and 2023, the Manager agreed to waive its right to receive management fees of $ 1.8 million and $ 0.6 million pursuant to the MITT Management Agreement Amendment executed in connection with the Merger.

As of December 31, 2024 and 2023, the Company recorded management fees payable of $ 2.3 million and $ 1.5 million, respectively.

6 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 year ended December 31, 2023, the Company did no t incur any incentive fee expense.

During the years ended December 31, 2024 and 2023, the Company did no t incur any incentive fee expense.

Termination fee

18 unchanged sentences

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

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements

Restricted stock grants

Equity Incentive Plans

Effective on April 15, 2020 upon the approval of the Company's stockholders at its 2020 annual meeting of stockholders, the 2020 Equity Incentive Plan provides for a maximum of 666,666 shares of common stock to be issued.

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 December 31, 2023, 464,234 shares of common stock were available to be awarded under the 2020 Equity Incentive Plan.

Since inception of the 2020 Equity Incentive Plan and through December 31, 2023, the Company has granted an aggregate of 176,470 shares of restricted common stock to its independent directors under its 2020 Equity Incentive Plan, all of which have vested.

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

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

Manager Equity Incentive Plans

Following approval of the Company's stockholders at its 2021 annual meeting of stockholders, the AG Mortgage Investment Trust, Inc.

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

Following the execution of the Third Amendment to the management agreement in November 2021 related to the incentive fee, the Company's compensation committee no longer expects to continue its historical practice of making periodic equity grants to the Manager pursuant to the 2021 Manager Equity Incentive Plan.

Restricted Stock Awards and Restricted Stock Units

The following table presents information with respect to the Company’s restricted stock and restricted stock units for the years ended December 31, 2023 and 2022.

Year Ended December 31, 2023 Year Ended December 31, 2022

Shares of Restricted Stock and Restricted Stock Units Weighted Average Grant Date Fair Value Shares of Restricted Stock Weighted Average Grant Date Fair Value

Unvested at beginning of year — $ — — $ —

Granted (1)(2) 87,711 5.63 47,367 6.75

Vested ( 61,749 ) 5.67 ( 47,367 ) 6.75

Forfeited — — — —

Unvested at end of year 25,962 $ 5.55 — $ —

(1) The grant date fair value of restricted stock awards is established as the average of the high and low prices of the Company's common stock at the grant date.

(2) The grant date fair value of restricted stock units issued in connection with the WMC acquisition is based on the closing market price of the Company's common stock at the grant date.

Equity based compensation of $ 0.4 million and $ 0.3 million was expensed during the years ended December 31, 2023 and 2022, respectively.

Compensation costs related to restricted stock awards represent the grant date fair value of the restricted stock vested.

Compensation costs related to restricted stock units issued in connection with the WMC acquisition to certain of the Company’s independent directors are amortized into expense over the vesting period on a straight-line basis.

Director compensation

As of December 31, 2023, the Company's Board of Directors consisted of six independent directors.

The annual base director's fee for each independent director is $ 150,000 , $ 70,000 of which is payable on a quarterly basis in cash and $ 80,000 of which is payable on a quarterly basis in shares of restricted common stock.

The number of shares of restricted common stock to be issued each quarter to each independent director is determined based on the average of the high and low prices of the

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements

Company’s common stock on the New York Stock Exchange on the last trading day of each fiscal quarter.

To the extent that any fractional shares would otherwise be issuable and payable to each independent director, a cash payment is made to each independent director in lieu of any fractional shares.

All directors’ fees are paid pro rata (and restricted common stock grants determined) on a quarterly basis in arrears, and shares issued are fully vested and non-forfeitable.

These shares may not be sold or transferred by such director during the time of their service as an independent member of the Company’s Board of Directors.

In addition to the annual base director's fee, the non-executive chair of the Board receives an annual fee of $ 60,000 , of which $ 30,000 is payable in cash and $ 30,000 is payable in shares of restricted common stock, the chair of the Audit Committee receives an annual fee of $ 25,000 , and the chairs of the Compensation and Nominating and Corporate Governance Committees each receive an annual fee of $ 10,000 .

As part of the WMC acquisition, two independent board members who previously served on WMC's board of directors were appointed to the Company's board of directors.

Investments in debt and equity of affiliates

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The Company is one investor, amongst other investors managed by affiliates of TPG Angelo Gordon, in such entities and has applied the equity method of accounting for such investments.

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements

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

11 unchanged sentences

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

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

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

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

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Investments in debt and equity of affiliates / Equity in earnings/(loss) from affiliates $ 47,454 $ ( 613 ) $ 46,841 $ 3,141 $ 58,761 $ ( 3,658 ) $ 55,103 $ ( 1,390 )

(1) As of December 31, 2023, MATH, through its wholly owned subsidiary MATT, only holds risk-retention tranches from past securitizations which continue to pay down and the Company does not expect MATT to acquire additional investments.

(1) As of December 31, 2024 and 2023, MATH, through its wholly owned subsidiary MATT, only holds risk-retention tranches from past securitizations which continue to pay down and the Company does not expect MATT to acquire additional investments.

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

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

Transactions with affiliates

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

The Company received payment for the full amount from Arc Home during year ended December 31, 2023.

The Company received payment for the full amount from Arc Home during the year ended December 31, 2023.

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

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See Note 7 and Note 12 for more detail.

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

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

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

Transactions under the Company's Affiliated Transaction Policy

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(1) As of the transaction date.

(2) The Company submitted an offer to purchase the securities from an affiliate in a competitive bidding process, which allowed the Company to confirm third-party market pricing and best execution.

(2) The Company submitted an offer to purchase the securities from an affiliate of the Manager in a competitive bidding process, which allowed the Company to confirm third-party market pricing and best execution.

(3) Pricing was based on valuations prepared by third-party pricing vendors in accordance with the Company's policy.

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Subsequent to this transaction, MATH, through its wholly owned subsidiary MATT, only holds risk-retention tranches from past securitizations which continue to pay down and the Company does not expect MATT to acquire additional investments.

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements

Stock repurchase programs

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

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

The table below details the Company's share repurchases under the 2015 Repurchase Program during the year ended December 31, 2022.

Three Months Ended (1) Total Number of Shares Purchased Weighted Average Price Paid per Share (2) Total Number of Shares Purchased as Part of Publicly Announced Program Maximum Approximate Dollar Value that May Yet Be Purchased Under the Program (2)

March 31, 2022 — $ — — $ 11,043,506

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

2022 Total 1,433,851 $ 7.70 1,433,851 $ —

(1) Based on trade date.

(2) Includes brokerage commissions and clearing fees.

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

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

The Company may repurchase shares of its common stock from time to time in compliance with SEC regulations and other legal requirements.

The extent to which the Company repurchases its shares, and the timing, manner, price, and amount of any such repurchases, will depend upon a variety of factors including market conditions and other corporate considerations as determined by the Company’s management, as well as the limits of the 2022 Repurchase Program and the Company's liquidity and business strategy.

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements

well as the limits of the 2022 Repurchase Program and the Company's liquidity and business strategy.

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

The table below details the Company's share repurchases under the 2022 Repurchase Program during the years ended December 31, 2023 and 2022.

The table below details the Company's share repurchases under the 2022 Repurchase Program during the year ended December 31, 2023.

The Company did no t repurchase common stock during the year ended December 31, 2024.

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2023 Total 1,110,281 $ 5.72 1,110,281 $ 1,461,810

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

December 31, 2022 852,927 5.68 852,927 7,817,003

2022 Total 1,237,514 $ 5.81 1,237,514 $ 7,817,003

(1) Based on trade date.

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

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements

On February 22, 2021, the Company's Board of Directors authorized a stock repurchase program (the "Preferred Repurchase Program") pursuant to which the Company's Board of Directors granted a repurchase authorization to acquire shares of its Series A Preferred Stock, Series B Preferred Stock, and Series C Preferred Stock having an aggregate value of up to $ 20.0 million.

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The cost of the acquisition by the Company of shares of its own stock in excess of the aggregate par value of the shares first reduces additional paid-in capital, to the extent available, with any residual cost applied against retained earnings.

Restricted stock grants

Equity Incentive Plan

As of December 31, 2024, 259,010 shares of common stock were available to be awarded under the 2020 Equity Incentive Plan.

Since inception of the 2020 Equity Incentive Plan and through December 31, 2024, the Company has granted an aggregate of 249,284 shares of restricted common stock to its independent directors under its 2020 Equity Incentive Plan, all of which have vested.

Through December 31, 2024, the two independent directors have also been granted an aggregate of 2,410 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.

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements

On December 18, 2024, the Company granted an aggregate of 130,000 restricted shares of common stock to certain employees of the Manager, including certain of the Company's executive officers, under the 2020 Equity Incentive Plan.

These awards vest ratably in three annual installments beginning in January 2026, subject to continued employment with the Manager.

Manager Equity Incentive Plan

Following approval of the Company's stockholders at its 2021 annual meeting of stockholders, the AG Mortgage Investment Trust, Inc.

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

Restricted Stock Awards and Restricted Stock Units

The following table presents information with respect to the Company’s restricted stock and restricted stock units for the years ended December 31, 2024 and 2023.

Year Ended December 31, 2024 Year Ended December 31, 2023

Shares of Restricted Stock and Restricted Stock Units Weighted Average Grant Date Fair Value Shares of Restricted Stock and Restricted Stock Units Weighted Average Grant Date Fair Value

Unvested at beginning of year 25,962 $ 5.55 — $ —

Granted (1)(2) 205,224 6.83 87,711 5.63

Vested ( 101,186 ) 6.34 ( 61,749 ) 5.67

Forfeited — — — —

Unvested at end of year 130,000 $ 6.95 25,962 $ 5.55

(1) The grant date fair value of restricted stock awards issued to the Company's independent directors is established as the average of the high and low prices of the Company's common stock at the grant date.

(2) The grant date fair value of the restricted stock awards issued to certain employees of the Manager and the restricted stock units issued are based on the closing market price of the Company's common stock at the grant date.

Equity based compensation of $ 0.7 million and $ 0.4 million was expensed during the years ended December 31, 2024 and 2023, respectively.

Compensation costs related to restricted stock awards issued to the Company's independent directors represent the grant date fair value of the restricted stock as the shares issued are fully vested and non-forfeitable.

Compensation costs related to any unvested restricted stock and restricted stock units are amortized into expense over the vesting period on a straight-line basis.

Director compensation

As of December 31, 2024, the Company's Board of Directors consisted of six independent directors.

The number of shares of restricted common stock to be issued each quarter to each independent director is determined based on the average of the high and low prices of the Company’s common stock on the New York Stock Exchange on the last trading day of each fiscal quarter.

To the extent that any fractional shares would otherwise be issuable and payable to each independent director, a cash payment is made to each independent director in lieu of any fractional shares.

All directors’ fees are paid pro rata (and restricted common stock grants determined) on a quarterly basis in arrears, and shares issued are fully vested and non-forfeitable.

These shares may not be sold or transferred by such director during the time of their service as an independent member of the Company’s Board of Directors.

As part of the WMC acquisition, two independent board members who previously served on WMC's board of directors were appointed to the Company's board of directors.

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements

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 years ended December 31, 2023 and 2022.

Since inception of the program, the Company has issued approximately 2.2 million shares of common stock under the Equity Distribution Agreements for gross proceeds of $ 48.3 million.

The Company has 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 (the "Equity Distribution Agreements").

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

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

Shelf registration statement

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

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

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

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

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

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

Preferred stock

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Shares of the Company’s Preferred Stock are redeemable at $ 25.00 per share plus accumulated and unpaid dividends (whether or not declared) exclusively at the Company’s option.

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.

(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.

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

Under such circumstances, holders of the Company's Series A Preferred Stock, Series B

Under such circumstances, holders of the Company's Series A Preferred Stock, Series B Preferred Stock, and Series C Preferred Stock voting together as a single class with the holders of all other classes or series of its preferred stock upon which like voting rights have been conferred and are exercisable and which are entitled to vote as a class with the Company's Series A Preferred Stock, Series B Preferred Stock, and Series C Preferred Stock will be entitled to vote to elect two additional directors to the Company’s Board of Directors until all unpaid dividends have been paid or declared and set apart for payment.

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements

Preferred Stock, and Series C Preferred Stock voting together as a single class with the holders of all other classes or series of its preferred stock upon which like voting rights have been conferred and are exercisable and which are entitled to vote as a class with the Company's Series A Preferred Stock, Series B Preferred Stock, and Series C Preferred Stock will be entitled to vote to elect two additional directors to the Company’s Board of Directors until all unpaid dividends have been paid or declared and set apart for payment.

In addition, certain material and adverse changes to the terms of any series of the Company's Series A Preferred Stock, Series B Preferred Stock, and Series C Preferred Stock cannot be made without the affirmative vote of holders of at least two-thirds of the outstanding shares of the series of the Company's Series A Preferred Stock, Series B Preferred Stock, and Series C Preferred Stock whose terms are being changed.

holders of at least two-thirds of the outstanding shares of the series of the Company's Series A Preferred Stock, Series B Preferred Stock, and Series C Preferred Stock whose terms are being changed.

Commitments and Contingencies

4 unchanged sentences

Non-Agency and Agency-Eligible Loans (1) Various $ 67,169 $ — $ 67,169

Home Equity Loans (2) Various 107,606 99,863 7,743

Total $ 174,775 $ 99,863 $ 74,912

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

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

(2) The remaining commitment amount represents the undrawn portion of a borrowers' home equity line of credit.

Segment Reporting

The Company operates its business as a single operating and reportable segment, Loans and Securities, as its business focuses on acquiring, investing in and financing residential mortgage-related assets in the U.S.

mortgage market.

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

The Company obtains its residential mortgage loans through Arc Home or through other third-party origination partners.

The Company finances its acquired loans through various financing lines on a short-term basis and utilizes TPG Angelo Gordon’s proprietary securitization platform to secure long-term, non-recourse, non-mark-to-market financing as market conditions permit.

The Company’s Chief Operating Decision Maker (“CODM”) is its Chief Executive Officer.

The CODM manages the business and reviews financial information presented on a consolidated basis.

The CODM uses consolidated net income reported on the consolidated statements of operations as the primary measure to make resource allocation decisions and evaluate the performance of the Company.

Operating expenses include management fees, non-investment related expenses, investment related expenses and transaction related expenses.

The CODM is regularly provided operating expenses as presented on the consolidated statements of operations when evaluating the Company’s net income.

There is no difference between segment assets and total consolidated assets as presented on the consolidated balance sheets.

As the Company operates as a single segment, the accounting policies utilized by the segment are consistent with those included in the Consolidated Financial Statements here within.

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements

Investments in unconsolidated equity method affiliates

1 unchanged sentence

December 31, 2024 December 31, 2023

AG Arc (1) Non-QM Loans (2) Re/Non-Performing Securities (3) Total

AG Arc (1) Non-QM Securities (2) Re/Non-Performing Securities (3) Total

Loans and real estate securities, at fair value $ 427,345 $ 28,307 $ 10,864 $ 466,516 $ 218,399

14 unchanged sentences

(3) As of December 31, 2024, the Company has an approximate 22.7 % interest in the entity which holds Re/Non-Performing Securities.

(4) On July 31, 2024, Arc Home sold substantially all of its MSR portfolio to an unrelated third-party consisting of $ 5.8 billion of unpaid principal balance.

(5) Arc Home, as an issuer, has the unilateral right to repurchase Ginnie Mae pool loans it has previously sold or loans in pools it acquired in an MSR purchase (generally loans that are more than 90 days past due).

6 unchanged sentences

December 31, 2024 December 31, 2023

AG Arc (1) Non-QM Loans (2) Land Related Financing (3) Re/Non-Performing Securities (4) Total

AG Arc (1) Non-QM Securities (2) Re/Non-Performing Securities (3) Total

Net Interest Income

13 unchanged sentences

Refer to Note 2 and Note 10 for more information on this accounting policy.

(2) As of December 31, 2023, the Company has an approximate 47.0 % interest in MATH.

(2) As of December 31, 2024 and 2023, the Company has an approximate 47.0 % interest in MATH.

During 2023, the Company increased its ownership in MATH from 44.6 % to 47.0 %.

See Note 10 for more information on this transaction.

(3) The Company has an approximate 47.5 % and 50 % interest in LOT SP I LLC and LOT SP II LLC, respectively.

(3) The Company has an approximate 22.7 % interest in the entity which holds Re/Non-Performing Securities.

(4) "Net unrealized gain/(loss)" at AG Arc includes changes in the fair value of investments held by Arc Home and the change in fair value of the Company's investment in AG Home.

As of December 31, 2024, the fair value of the Company's investment in Arc Home was calculated using a valuation multiple of 0.95 x book value, which increased from 0.89 x book value as of December 31, 2023.

As of December 31, 2022, the fair value of the Company's investment in Arc Home was calculated using a valuation multiple of 0.94 x book value.

(5) "Other income/(loss), net" at AG Arc includes servicing revenue.

1 unchanged sentence

Subsequent Events

On January 26, 2024, the Company completed the issuance of $ 34.5 million aggregate principal amount of its 9.500 % Senior Notes due 2029 for net proceeds of approximately $ 32.8 million in a public offering pursuant to the Company’s effective registration statement on Form S-3 (File No.

333-255931) filed with the SEC pursuant to Rule 424(b) under the Securities Act.

The Company repurchased $ 7.1 million of aggregate principal amount of its outstanding Legacy WMC Convertible Notes.

The Company executed a rated Non-Agency securitization, in which loans with a total unpaid principal balance of $ 377.5 million were securitized, converting financing from recourse financing with mark-to-market margin calls to non-recourse financing without mark-to-market margin calls.

The Company announced that on February 14, 2025 its Board of Directors declared first quarter 2025 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 $ 0.693062 per share, respectively.

The dividends will be paid on March 17, 2025 to holders of record on February 28, 2025.

On January 15, 2025, the Company sold Re/Non-Performing Loans and Non-Agency Loans for gross proceeds of $ 9.2 million and $ 11.4 million, respectively.

These loans were recorded within the "Securitized residential mortgage loans, at fair value" and "Residential mortgage loans, at fair value" line items on the consolidated balance sheets as of December 31, 2024, respectively.

On February 27, 2025, the Company executed a rated Non-Agency securitization, in which loans with a total unpaid principal balance of $ 423.3 million were securitized, converting financing from recourse financing with mark-to-market margin calls to non-recourse financing without mark-to-market margin calls.

CHANGES IN AND DISAGREEMENTS WITH ACCOUNTANTS ON ACCOUNTING AND FINANCIAL DISCLOSURE

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

What changed 10-K

Item 8. Financial Statements and Supplementary Data