TPG Mortgage Investment Trust, Inc. 10-K

ITEM 8. FINANCIAL STATEMENTS AND SUPPLEMENTARY DATA Index to Financial Statements Page Reports of Independent Registered Public Accounting Firm (PCAOB ID 34 ) 86 Report of Independent Registered Public Accounting Firm (PCAOB ID 238 ) 86 Consolidated Balance Sheets as of December 31, 2024 and December 31, 2023 87 Consolidated Statements of Operations for the years ended December 31, 2024 and December 31, 2023 88 Consolidated Statements of Stockholders’ Equity for the years ended December 31, 2024 and December 31, 2023 89 Consolidated Statements of Cash Flows for the years ended December 31, 2024 and December 31, 2023 90 Notes to Consolidated Financial Statements 92 Note 1. Organization 92 Note 2. Summary of Significant Accounting Policies 95 Note 3. Loans 105 Note 4. Real Estate Securities 110 Note 5. Fair Value Measurements 113 Note 6. Financing 120 Note 7. Other Assets and Liabilities 123 Note 8. Earnings Per Share 125 Note 9. Income Taxes 126 Note 10. Related Party Transactions 128 Note 11. Equity 132 Note 12. Commitments and Contingencies 136 Note 13. Segment Reporting 136 Note 14. Investments in Unconsolidated Equity Method Affiliates 137 Note 1 5 . Subsequent Events 138 All financial statement schedules are omitted because they are not applicable or the required information is included in the consolidated financial statements and the notes thereto. 82 ­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 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 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. 83 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. 84 ­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 (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. /s/ DELOITTE & TOUCHE LLP New York, New York March 4, 2025 We have served as the Company's auditor since 2024. 85 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. 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. 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. 86 AG Mortgage Investment Trust, Inc. and Subsidiaries Consolidated Balance Sheets (in thousands, except per share data) December 31, 2024 December 31, 2023 Assets Securitized residential mortgage loans, at fair value - $ 705,294 and $ 645,876 pledged as collateral, respectively (1) $ 6,197,678 $ 5,358,281 Residential mortgage loans, at fair value - $ 215,773 and $ 315,225 pledged as collateral, respectively 220,217 317,631 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 201,360 162,821 Investments in debt and equity of affiliates 46,841 55,103 Cash and cash equivalents 118,662 111,534 Restricted cash 19,906 14,039 Other assets 41,940 40,716 Total Assets $ 6,913,609 $ 6,126,428 Liabilities Securitized debt, at fair value (1) $ 5,491,967 $ 4,711,623 Financing arrangements 742,108 767,592 Convertible senior unsecured notes — 85,266 Senior unsecured notes 95,721 — Dividend payable 5,632 1,472 Other liabilities (2) 34,758 32,107 Total Liabilities 6,370,186 5,598,060 Commitments and Contingencies (Note 12) Stockholders' Equity Preferred stock - $ 227,991 aggregate liquidation preference 220,472 220,472 Common stock, par value $ 0.01 per share; 450,000 shares of common stock authorized and 29,640 and 29,437 shares issued and outstanding at December 31, 2024 and December 31, 2023, respectively 296 294 Additional paid-in capital 824,380 823,715 Retained earnings/(deficit) ( 501,725 ) ( 516,113 ) Total Stockholders' Equity 543,423 528,368 Total Liabilities & Stockholders' Equity $ 6,913,609 $ 6,126,428 (1) These balances relate to certain residential mortgage loans which were securitized resulting in the Company consolidating the variable interest entities that were created to facilitate these securitizations as the Company was determined to be the primary beneficiary. See Note 3 for additional details. (2) Refer to Note 7 and Note 10 for additional details on amounts payable to affiliates. The accompanying notes are an integral part of these consolidated financial statements. 87 AG Mortgage Investment Trust, Inc. and Subsidiaries Consolidated Statements of Operations (in thousands, except per share data) Years Ended December 31, 2024 December 31, 2023 Net Interest Income Interest income $ 408,495 $ 260,329 Interest expense 342,603 212,500 Total Net Interest Income 65,892 47,829 Other Income/(Loss) Net interest component of interest rate swaps 7,617 6,680 Net realized gain/(loss) ( 2,918 ) 7,697 Net unrealized gain/(loss) 16,956 1,450 Bargain purchase gain — 30,190 Total Other Income/(Loss) 21,655 46,017 Expenses Management fee to affiliate (1) 7,533 7,711 Non-investment related expenses (1) 10,732 10,077 Investment related expenses (1) 13,522 9,808 Transaction related expenses (1) 3,164 11,076 Total Expenses 34,951 38,672 Income/(loss) before equity in earnings/(loss) from affiliates 52,596 55,174 Equity in earnings/(loss) from affiliates 3,141 ( 1,390 ) Net Income/(Loss) 55,737 53,784 Dividends on preferred stock ( 19,353 ) ( 18,344 ) Net Income/(Loss) Available to Common Stockholders $ 36,384 $ 35,440 Earnings/(Loss) Per Share of Common Stock Basic $ 1.23 $ 1.68 Diluted $ 1.23 $ 1.68 Weighted Average Number of Shares of Common Stock Outstanding Basic 29,487 21,095 Diluted 29,514 21,097 (1) Refer to Note 10 for additional details on related party transactions. The accompanying notes are an integral part of these consolidated financial statements. 88 AG Mortgage Investment Trust, Inc. and Subsidiaries Consolidated Statements of Stockholders' Equity (in thousands) Common Stock Preferred Stock Additional Paid-in Capital Retained Earnings/(Deficit) Shares Amount Total 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 and amortization of equity based compensation 61 1 — 379 — 380 Common dividends declared — — — — ( 15,063 ) ( 15,063 ) Preferred dividends declared — — — — ( 18,344 ) ( 18,344 ) Net Income/(Loss) — — — — 53,784 53,784 Balance at December 31, 2023 29,437 $ 294 $ 220,472 $ 823,715 $ ( 516,113 ) $ 528,368 Balance at January 1, 2024 29,437 $ 294 $ 220,472 $ 823,715 $ ( 516,113 ) $ 528,368 Grant of restricted stock and amortization of equity based compensation 203 2 — 665 — 667 Common dividends declared (1) — — — — ( 22,137 ) ( 22,137 ) Preferred dividends declared (2) — — — — ( 19,212 ) ( 19,212 ) Net Income/(Loss) — — — — 55,737 55,737 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. 89 AG Mortgage Investment Trust, Inc. and Subsidiaries Consolidated Statements of Cash Flows (in thousands) Years Ended December 31, 2024 December 31, 2023 Cash Flows from Operating Activities Net income/(loss) $ 55,737 $ 53,784 Adjustments to reconcile net income/(loss) to net cash provided by (used in) operating activities: Net amortization of premium/(discount) 10,722 8,925 Net realized (gain)/loss 2,918 ( 7,697 ) Net unrealized (gain)/loss ( 16,956 ) ( 1,450 ) Grant of restricted stock and amortization of equity based compensation 667 380 Equity in (earnings)/loss from affiliates ( 3,141 ) 1,390 Distributions of income from investments in debt and equity of affiliates 1,493 814 Bargain purchase gain — ( 30,190 ) Change in operating assets/liabilities: Other assets 10,199 2,186 Other liabilities ( 5,800 ) ( 8 ) Net cash provided by (used in) operating activities 55,839 28,134 Cash Flows from Investing Activities Purchases of residential mortgage loans ( 1,755,347 ) ( 1,233,977 ) Purchases of real estate securities ( 654,089 ) ( 294,422 ) Investments in debt and equity of affiliates — ( 21,573 ) Proceeds from sales of residential mortgage loans 355,229 418,415 Proceeds from sales of real estate securities 607,144 286,356 Principal repayments on residential mortgage loans 711,161 348,356 Principal repayments on real estate securities 22,056 13,736 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 Net settlement of interest rate swaps and other instruments ( 12,449 ) 8,191 Net settlement of TBAs 24 ( 65 ) Cash and restricted cash provided by WMC Merger — 6,189 Cash flows provided by other investing activities 4,195 2,162 Net cash provided by (used in) investing activities ( 713,131 ) ( 433,505 ) Cash Flows from Financing Activities Repurchase of common stock — ( 6,352 ) 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 ) — 90 Years Ended 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 Principal repayments on securitized debt ( 657,751 ) ( 370,316 ) Net collateral received from (paid to) derivative counterparty — ( 9,026 ) Dividends paid on common stock ( 17,977 ) ( 17,437 ) Dividends paid on preferred stock ( 19,212 ) ( 18,344 ) Net cash provided by (used in) financing activities 670,287 432,141 Net change in cash and cash equivalents and restricted cash 12,995 26,770 Cash and cash equivalents and restricted cash, Beginning of Year 125,573 98,803 Cash and cash equivalents and restricted cash, End of Year $ 138,568 $ 125,573 Supplemental disclosure of cash flow information: Cash paid for interest $ 308,272 $ 190,222 Cash paid for income taxes $ 141 $ 231 Supplemental disclosure of non-cash financing and investing activities: Common stock dividends declared but not paid $ 5,632 $ 1,472 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 The following table provides a reconciliation of cash and cash equivalents and restricted cash reported within the consolidated balance sheets that sum to the total of the same such amounts shown in the consolidated statements of cash flows: December 31, 2024 December 31, 2023 Cash and cash equivalents $ 118,662 $ 111,534 Restricted cash 19,906 14,039 Total cash, cash equivalents and restricted cash shown in the consolidated statements of cash flows $ 138,568 $ 125,573 The accompanying notes are an integral part of these consolidated financial statements. 91 AG Mortgage Investment Trust Inc. and Subsidiaries Notes to Consolidated Financial Statements 1. Organization AG Mortgage Investment Trust, Inc. (the "Company" or "MITT") is a residential mortgage REIT with a focus on investing in a diversified risk-adjusted portfolio of residential mortgage-related assets in the U.S. mortgage market. The Company’s investment activities primarily include acquiring and securitizing newly-originated residential mortgage loans within the non-agency segment of the housing market. The Company obtains its 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, Agency-Eligible Loans, and Home Equity Loans. The Company may invest in other types of residential mortgage loans and other mortgage related assets. The Company also invests in Residential Investments through its unconsolidated ownership interests in affiliates which are included in the "Investments in debt and equity of affiliates" line item on its consolidated balance sheets. The Company's asset classes are primarily comprised of the following: Asset Class Description Residential Investments Non-Agency Loans (1) • Non-Agency Loans are loans that do not conform to the underwriting guidelines of a government-sponsored enterprise ("GSE"). 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 Financial Protection Bureau. Agency-Eligible Loans (1) • Agency-Eligible Loans are loans that are underwritten in accordance with GSE guidelines and are primarily secured by investment properties, but are not guaranteed by a GSE. Although these loans are underwritten in accordance with GSE guidelines and can be delivered to Fannie Mae and Freddie Mac, the Company includes these loans within its Non-Agency securitizations. 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) • Performing, re-performing, and non-performing loans are residential mortgage loans collateralized by a first lien mortgaged property. Non-Agency RMBS (2) • Non-Agency Residential Mortgage-Backed Securities ("RMBS") represent fixed- and floating-rate RMBS issued by entities other than U.S. GSEs or agencies of the U.S. government. Agency RMBS (2) • Agency RMBS represent interests in pools of residential mortgage loans guaranteed by a GSE such as Fannie Mae or Freddie Mac, or an agency of the U.S. Government such as Ginnie Mae. Legacy WMC Commercial Investments (3) Commercial Loans • Commercial loans represent first lien commercial mortgage loan participations. CMBS (2) • 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. 92 AG Mortgage Investment Trust Inc. and Subsidiaries 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. The Company conducts its operations to qualify and be taxed as a real estate investment trust ("REIT") under the Internal Revenue Code of 1986, as amended (the "Code"). The Company is externally managed by AG REIT Management, LLC, a Delaware limited liability company (the "Manager"), a wholly-owned subsidiary of Angelo, Gordon & Co., L.P. ("TPG Angelo Gordon"), a diversified credit and real estate investing platform within TPG Inc. ("TPG"). 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, its wholly-owned subsidiaries, and certain variable interest entities. All intercompany balances and transactions have been eliminated in consolidation. WMC Acquisition On December 6, 2023 (the "Closing Date"), the Company completed its acquisition of WMC, a Delaware corporation. WMC was an externally managed mortgage REIT that focused on investing in, financing and managing a portfolio of residential mortgage loans, real estate related securities, and commercial real estate loans. On the Closing Date, WMC merged with and into AGMIT Merger Sub, LLC, a Delaware limited liability company and wholly owned subsidiary of the Company ("Merger Sub"), with Merger Sub continuing as the surviving company (the "Merger"). As contemplated by the Agreement and Plan of Merger, dated as of August 8, 2023 (the "Merger Agreement"), the certificate of merger was filed with the Secretary of State of the State of Delaware, and the Merger was effective at 8:15 a.m., Eastern Time, on the Closing Date (the "Effective Time"). Pursuant to the terms and subject to the conditions set forth in the Merger Agreement, at the Effective Time, each outstanding share of WMC common stock, par value $ 0.01 per share ("WMC Common Stock"), was converted into the right to receive the following (the "Per Share Merger Consideration"): (i) from MITT, 1.498 shares of MITT common stock; and (ii) from the Manager, a cash amount equal to $ 0.92 (the "Per Share Additional Manager Consideration"). No fractional shares of MITT common stock were issued in the Merger, and the value of any fractional interests to which a former holder of WMC Common Stock was otherwise entitled was paid in cash. Pursuant to the Merger Agreement, the amount of the Per Share Additional Manager Consideration was reduced by the smallest amount (rounded to the nearest cent) necessary to cause the Per Share Additional Manager Consideration to be less than 10 % of the total value of the Per Share Merger Consideration received by a holder of WMC Common Stock under the Merger Agreement. Pursuant to the previously disclosed amendment to the Company's management agreement, dated as of August 8, 2023, by and between MITT and the Manager (the "MITT Management Agreement Amendment"), which became effective on the Closing Date and amends the existing management agreement, dated as of June 29, 2011 (as amended, the "Existing MITT Management Agreement"), (i) the Manager will waive its right to seek reimbursement from MITT for any expenses otherwise reimbursable by MITT under the Existing MITT Management Agreement in an amount equal to approximately $ 1.3 million, which is the excess of $ 7.0 million over the aggregate Per Share Additional Manager Consideration paid by the Manager to the holders of WMC Common Stock under the Merger Agreement, and (ii) the Manager’s base management fee will be reduced by $ 0.6 million for the first four quarters following the Effective Time, beginning with the fiscal quarter in which the Effective Time occurred (i.e., resulting in an aggregate $ 2.4 million waiver of base management fees). Additionally, each outstanding share of WMC’s restricted common stock and each WMC restricted stock unit (each, a "WMC Equity Award") vested in full immediately prior to the Effective Time and, as of the Effective Time, was considered outstanding for all purposes of the Merger Agreement, including the right to receive the Per Share Merger Consideration, except that WMC Equity Awards granted to certain members of the WMC board of directors at WMC’s 2023 annual stockholders’ meeting (collectively, the "2023 WMC Director Awards") were treated as follows: (i) for M. Christian Mitchell and Lisa G. Quateman, who were appointed to the MITT board of directors as of the Effective Time, the 2023 WMC Director 93 AG Mortgage Investment Trust Inc. and Subsidiaries 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 on December 6, 2023 to support continued growth of the Company and to create efficiency and scale for stockholders. The Company accounted for this transaction in accordance with Accounting Standards Codification ("ASC") 805, "Business Combinations" using the acquisition method of accounting , which requires, among other things, that the assets acquired and liabilities assumed be recognized at fair value as of the acquisition date. The following table summarizes the allocation of the total consideration paid to acquire the assets and assume the liabilities of WMC (in thousands, except exchange ratio and per share amounts). Consideration WMC shares outstanding at December 5, 2023 (1) 6,143 Exchange Ratio 1.498 Shares of MITT Common Stock Issued 9,202 MITT Common Stock Price as of December 5, 2023 $ 5.56 MITT Total Consideration (2) $ 51,163 Assets Securitized residential mortgage loans (3) $ 971,781 Residential mortgage loans (3) 6,046 Commercial loans 78,459 Non-Agency RMBS 48,200 CMBS 56,301 Other securities 1,159 Agency RMBS 745 Cash and cash equivalents 5,316 Restricted cash 873 Other assets 24,654 Total Assets $ 1,193,534 Liabilities Securitized debt $ 837,317 Financing arrangements 171,170 Convertible senior unsecured notes 85,172 Other liabilities 18,522 Total Liabilities $ 1,112,181 Net Assets Acquired $ 81,353 Bargain purchase gain $ 30,190 (1) For time-based restricted stock units granted by WMC that fully vested as of the Closing Date, the fair value of the Company’s common stock issued in the satisfaction of these units was included in equity consideration transferred as no post acquisition service was required. (2) MITT Total Consideration does not include the Per Share Additional Manager Consideration paid by the Manager to former holders of WMC Common Stock. (3) The unpaid principal balance of residential mortgage loans acquired in connection with the Merger was $ 1.1 billion. 94 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. Critical estimates included, but were not limited to, future expected cash flows related to these assets and liabilities and the applicable discount rates. These estimates were based on assumptions that management believes to be reasonable; however, actual results may differ from these estimates. The assessment of fair value 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. The Company incurred transaction costs of $ 6.0 million during the year ended December 31, 2023 which were included in the "Transaction related expenses" line item in the consolidated statements of operations. At acquisition, the Company recognized a bargain purchase gain of $ 30.2 million which is separately recorded in the consolidated statements of operations. The bargain purchase gain represents the amount by which the fair value of the net assets acquired in the acquisition 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. The results of WMC's operations have been included in the Company's consolidated statements of operations for the year ended December 31, 2023 from the Closing Date and represent $ 6.5 million of interest income and $ 49 thousand of net income/(loss) available to common stockholders. The results of WMC's operations exclude the bargain purchase gain and the Company's $ 6.0 million of transaction related expenses recognized in connection with the acquisition, however include the management fee and expense reimbursement waivers provided by the Manager pursuant to the MITT Management Agreement Amendment of $ 0.6 million and $ 0.3 million, respectively. Unaudited Supplemental Pro Forma Financial Information The following table presents unaudited pro forma combined interest income and net income/(loss) available to common stockholders for the 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 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. 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. 2. 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"). In the opinion of management, all adjustments considered necessary for a fair presentation for the annual period of the Company’s financial position, results of operations and cash flows have been included and are of a normal and recurring nature. Use of estimates 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 95 AG Mortgage Investment Trust Inc. and Subsidiaries Notes to Consolidated Financial Statements may differ from those estimates. Valuation of financial instruments The fair value of the financial instruments that the Company records at fair value is determined by the Manager, subject to oversight of the Company’s Board of Directors, and in accordance with the provisions of ASC 820, "Fair Value Measurements and Disclosures." When possible, the Company determines fair value using third-party data sources. ASC 820 establishes a hierarchy that prioritizes the inputs to valuation techniques giving the highest priority to readily available unadjusted quoted prices in active markets for identical assets (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements) when market prices are not readily available or reliable. The three levels of the hierarchy under ASC 820 are described below: • Level 1 – Quoted prices in active markets for identical assets or liabilities. • Level 2 – Prices determined using other significant observable inputs. These may include quoted prices for similar assets and liabilities in active markets. • Level 3 – Prices determined using significant unobservable inputs. In situations where quoted prices or observable inputs are unavailable (for example, when there is little or no market activity for an investment at the end of the period), unobservable inputs may be used. Unobservable inputs reflect the Company’s assumptions about the factors that market participants would use in pricing an asset or liability, and would be based on the best information available. Transfers between levels are assumed to occur at the beginning of the reporting period. Accounting for loans Investments in loans are recorded in accordance with ASC 310-10, "Receivables" and are classified as held-for-investment when the Company has the intent and ability to hold such loans for the foreseeable future or to maturity/payoff. Loans are classified as held for sale upon the Company determining that it intends to sell or liquidate the loan in the short-term and certain criteria have been met. Loans held-for-sale are accounted for under ASC 948-310, "Financial services—mortgage banking." Loans meeting all criteria for reclassification are presented separately on the consolidated balance sheets in the "Residential mortgage loans held for sale" line item. Estimated costs incurred to sell the loans are included within the fair value of the loans held for sale. Transfers between held-for-investment and held-for-sale occur once the Company's intent to sell the loans changes. The Company has chosen to make a fair value election pursuant to ASC 825 for its loan portfolio. 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 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. At purchase, the Company may aggregate its residential mortgage loans into pools based on common risk characteristics. Once a pool of loans is assembled, its composition is maintained. The Company accrues interest income on its loan portfolio. Loans are typically moved to non-accrual status and income recognition is suspended if the loan becomes 90 days or more delinquent. A loan is written off when it is no longer realizable and/or legally discharged. Accounting for real estate securities Investments in real estate securities are recorded in accordance with ASC 320-10, "Investments – Debt and Equity Securities" or ASC 325-40, "Beneficial Interests in Securitized Financial Assets." The Company has chosen to make a fair value election pursuant to ASC 825, "Financial Instruments" for its real estate securities portfolio. 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 96 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 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. Arc Home From time to time, the Company acquires newly originated residential mortgage loans from Arc Home. 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 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. See the "Accounting for derivative financial instruments - Forward purchase commitments" policy below and Note 10 for additional detail. Investment consolidation An entity is a variable interest entity ("VIE") if the equity investors (i) do not have sufficient equity at risk for the entity to finance its activities without additional subordinated financial support, (ii) are unable to direct the entity’s activities or (iii) are not exposed to the entity’s losses or entitled to its residual returns. VIEs within the scope of Accounting Standards Codification ("ASC") 810-10, "Consolidation" are required to be consolidated by their primary beneficiary. The primary beneficiary of a VIE is determined to be the party that has both the power to direct the activities of a VIE that most significantly impact the VIE’s economic performance and the obligation to absorb losses or the right to receive benefits from the VIE that could potentially be significant to the VIE. This determination can sometimes involve complex and subjective analyses. Further, ASC 810-10 also requires ongoing assessments of whether an enterprise is the primary beneficiary of a VIE. In accordance with ASC 810-10, all transferees, including variable interest entities, must be evaluated for consolidation. If the Company determines that consolidation is not required, it will then assess whether the transfer of the underlying assets would qualify as a sale, should be accounted for as secured financings under GAAP, or should be accounted for as an equity method investment, depending on the circumstances. A Special Purpose Entity ("SPE") is an entity designed to fulfill a specific limited need of the company that organized it. SPEs are often used to facilitate transactions that involve securitizing financial assets or resecuritizing previously securitized financial assets. The objective of such transactions may include obtaining non-recourse financing, obtaining liquidity or refinancing the underlying securitized financial assets on improved terms. Securitization involves transferring assets to an SPE to convert all or a portion of those assets into cash before they would have been realized in the normal course of business through the SPE’s issuance of debt or equity instruments. Investors in an SPE usually have recourse only to the assets in the SPE and depending on the overall structure of the transaction, may benefit from various forms of credit enhancement, such as over-collateralization in the form of excess assets in the SPE, priority with respect to receipt of cash flows relative to holders of other debt or equity instruments issued by the SPE, or a line of credit or other form of liquidity agreement that is designed with the objective of ensuring that investors receive principal and/or interest cash flow on the investment in accordance with the terms of their investment agreement. 97 AG Mortgage Investment Trust Inc. and Subsidiaries Notes to Consolidated Financial Statements The Company enters into securitization transactions collateralized by its Non-Agency Loans/Agency-Eligible Loans and re- and non-performing loans (the trusts in which these loans are deposited are referred to as "Non-Agency VIEs" and "RPL/NPL VIEs", respectively), which may result in the Company consolidating the respective VIEs that are created to facilitate these securitizations. Based on the evaluations of each VIE, the Company may conclude that the VIEs should be consolidated and, as a result, transferred assets of these VIEs would be determined to be secured borrowings. Upon consolidation, the Company elected the fair value option pursuant to ASC 825 for the assets and liabilities of the Non-Agency VIEs and RPL/NPL VIEs. Electing the fair value option allows the Company to record changes in fair value in the consolidated statement of operations, which, in management's view, more appropriately reflects the results of operations for a particular reporting period as all activities will be recorded in a similar manner. The Company applied the guidance under ASC 810-10 (Measuring the Financial Assets and the Financial Liabilities of a Consolidated Collateralized Financing Entity) whereby the Company determines whether the fair value of the assets or liabilities of the Non-Agency VIEs and RPL/NPL VIEs are more observable as a basis for measuring the less observable financial instruments. The Company has determined that the fair value of the liabilities of the Non-Agency VIEs and RPL/NPL VIEs are more observable since the prices for these liabilities are more easily determined as similar instruments trade more frequently on a relative basis than the individual assets of the VIEs. See Note 3 for more detail regarding the Non-Agency VIEs and RPL/NPL VIEs and Note 5 for more detail related to the Company's determination of fair value for the assets and liabilities included within these VIEs. Transfers of financial assets The Company may periodically enter into transactions in which it transfers assets to a third-party. Upon a transfer of financial assets, the Company will sometimes retain or acquire senior or subordinated interests in the related assets. Pursuant to ASC 860-10, "Transfers and Servicing" a determination must be made as to whether a transferor has surrendered control over transferred financial assets. That determination must consider the transferor’s continuing involvement in the transferred financial asset, including all arrangements or agreements made contemporaneously with, or in contemplation of, the transfer, even if they were not entered into at the time of the transfer. The financial components approach under ASC 860-10 limits the circumstances in which a financial asset, or portion of a financial asset, should be derecognized when the transferor has not transferred the entire original financial asset to an entity that is not consolidated with the transferor in the financial statements being presented and/or when the transferor has continuing involvement with the transferred financial asset. It defines the term "participating interest" to establish specific conditions for reporting a transfer of a portion of a financial asset as a sale. Under ASC 860-10, after a transfer of financial assets that meets the criteria for treatment as a sale—legal isolation, ability of transferee to pledge or exchange the transferred assets without constraint and transferred control—an entity recognizes the financial and servicing assets it acquired or retained and the liabilities it has incurred, derecognizes financial assets it has sold and derecognizes liabilities when extinguished. The transferor would then determine the gain or loss on sale of financial assets by allocating the carrying value of the underlying mortgage between securities or loans sold and the interests retained based on their fair value. The gain or loss on sale is the difference between the cash proceeds from the sale and the amount allocated to the securities or loans sold. When a transfer of financial assets does not qualify for sale accounting, ASC 860-10 requires the transfer to be accounted for as a secured borrowing with a pledge of collateral. From time to time, the Company may securitize mortgage loans it holds if such financing is available. These transactions will be recorded in accordance with ASC 860-10 and will be accounted for as either a "sale" and the loans will be removed from the consolidated balance sheets or as a "financing" and will be classified as "Securitized residential mortgage loans, at fair value" on the consolidated balance sheets, depending upon the structure of the securitization transaction. ASC 860-10 is a standard that may require the Company to exercise significant judgment in determining whether a transaction should be recorded as a "sale" or a "financing." Accounting for business combinations When the assets acquired and liabilities assumed constitute a business, the acquisition is a business combination. Business combinations are accounted for under ASC 805, "Business Combinations" using the acquisition method which requires, among other things, that the assets acquired and liabilities assumed be recognized at fair value as of the acquisition date. Goodwill is calculated as the excess of the consideration transferred over the net assets acquired that meet the criteria for separate recognition and represents the estimated future economic benefits arising from these and other assets acquired that could not be individually identified or do not qualify for recognition as a separate asset. Likewise, a bargain purchase gain is recognized in current earnings when the aggregate fair value of the consideration transferred is less than the fair value of the identifiable net assets acquired. Acquisition related costs recognized in connection with a business combination are expensed as incurred. The results of operations of acquired businesses are included from the date of acquisition. 98 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). If the initial accounting for a business combination is incomplete by the end of the reporting period in which the combination occurs, a measurement-period adjustment will be recognized during the period in which the amount of the adjustment is determined, including the effect on earnings of any amounts that would have been recorded in previous periods if the accounting had been completed at the acquisition date. Cash and cash equivalents Cash is comprised of cash on deposit with financial institutions. The Company classifies highly liquid investments with original maturities of three months or less from the date of purchase as cash equivalents. Cash equivalents may include cash invested in money market funds. Cash and cash equivalents are carried at cost, which approximates fair value. As of December 31, 2024 the Company held $ 118.7 million of cash and cash equivalents, of which $ 118.0 million were cash equivalents. As of December 31, 2023, the Company held $ 111.5 million of cash and cash equivalents, of which $ 95.7 million were cash equivalents. The Company places its cash with high credit quality institutions to minimize credit risk exposure. 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. "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. Restricted cash Restricted cash includes cash pledged as collateral for clearing and executing trades, derivatives, and financing arrangements, as well as restricted cash deposited into accounts held at certain consolidated trusts. Restricted cash is not available to the Company for general corporate purposes. Restricted cash may be returned to the Company when the related collateral requirements are exceeded or at the maturity of the derivative or financing arrangement. Restricted cash is carried at cost, which approximates fair value. Restricted cash also includes variation margin pledged on centrally cleared derivatives. Refer to the "Accounting for derivative financial instruments" policy below for additional detail. Accounting for real estate owned Real Estate Owned ("REO") represents real estate property acquired by the Company through foreclosure and classified as held for sale. Upon completion of a foreclosure, the Company initially records an REO at fair value less estimated costs to sell the property. In subsequent periods, REO is reported at the lower of the current carrying amount or fair value less estimated selling costs. REO is included in the "Other assets" line item on the consolidated balance sheets. Any gains or losses recognized on foreclosure as well as realized gains or losses on the disposition of REO are reported by the Company in "Net realized gain/(loss)" line item on the consolidated statements of operations. Financing arrangements The Company finances the acquisition of certain assets within its portfolio through the use of financing arrangements. Financing arrangements primarily include repurchase agreements, but may also include revolving facilities. Repurchase agreements are treated as collateralized financing transactions and carried at their contractual amounts, including accrued interest, as specified in the respective agreements. The carrying amount of the Company’s repurchase agreements and revolving facilities approximates fair value. The Company pledges certain loans or securities as collateral under financing arrangements with financial institutions, the terms and conditions of which are negotiated on a transaction-by-transaction basis. The amounts available to be borrowed under repurchase agreements and revolving facilities are dependent upon the fair value of the loans or securities pledged as collateral, which can fluctuate with changes in interest rates, type of security and liquidity conditions within the banking, mortgage finance, and real estate industries. 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. The fair value of financial instruments pledged as collateral on the Company’s financing arrangements represents the Company’s fair value of such instruments which may differ from the fair value assigned to the collateral by its counterparties. 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 99 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. As of December 31, 2024 and 2023, the Company had met all margin call requirements. Accounting for convertible senior unsecured notes Convertible senior unsecured notes ("Legacy WMC Convertible Notes") were assumed in connection with the WMC acquisition and initially recorded at fair value in accordance with ASC 805, "Business Combinations." The Legacy WMC Convertible Notes are carried at amortized cost on the Company’s consolidated balance sheets. Interest on the notes is payable semiannually until such time as the notes mature or are converted into shares of the Company’s common stock. The difference between the carrying value and the principal of the Legacy WMC Convertible Notes is amortized into interest expense over the life of the Legacy WMC Convertible Notes. Accounting for 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 Derivative contracts The Company enters into derivative contracts as a means of mitigating interest rate risk rather than to enhance returns. The Company accounts for derivative financial instruments in accordance with ASC 815-10, "Derivatives and Hedging." ASC 815-10 requires an entity to recognize all derivatives as either assets or liabilities on the balance sheet and to measure those instruments at fair value with corresponding changes in fair value recognized in the "Net unrealized gain/loss" line item in consolidated statement of operations. The Company records derivative asset and liability positions on a gross basis with respect to its counterparties. During the period in which the Company unwinds a derivative, it records a realized gain/(loss) in the "Net realized gain/(loss)" line item in the consolidated statement of operations. As of December 31, 2024 and 2023, the Company did not have any interest rate derivatives designated as hedges for accounting purposes. Interest rate swaps The Company uses interest rate swaps to mitigate its exposure to potential interest rate mismatches between the interest earned on its investments and its borrowing costs on financing arrangements caused by fluctuations in short-term interest rates. Interest rate swaps generally involve the receipt of variable-rate amounts from a counterparty in exchange for the Company making fixed-rate payments over the life of the interest rate swap without exchange of the underlying notional amount. Variation margin The Company may exchange cash "variation margin" with the counterparties to its derivative instruments on a daily basis based upon changes in the fair value of such derivative instruments as measured by the Chicago Mercantile Exchange ("CME") and the London Clearing House, the central clearinghouses ("CCPs") through which those derivatives are cleared. In addition, the CCPs require market participants to deposit and maintain an "initial margin" amount which is determined by the CCPs and is generally intended to be set at a level sufficient to protect the CCPs from the maximum estimated single-day price movement in that market participant’s contracts. Receivables recognized for the right to reclaim cash initial margin posted in respect of derivative instruments are included in the "Restricted cash" line item in the consolidated balance sheets. The daily exchange of variation margin associated with a CCP instrument is legally characterized as the daily settlement of the derivative instrument itself, as opposed to a pledge of collateral. Accordingly, the Company accounts for the daily receipt or payment of variation margin associated with its centrally cleared derivative instruments as a direct reduction to the carrying value of the derivative asset or liability, respectively. The daily receipt or payment is included as a settlement of the derivative in cash flows from investing activities on the consolidated statement of cash flows. The carrying amount of centrally cleared derivative instruments reflected in the Company’s consolidated balance sheets approximates the unsettled fair value of such instruments. As variation margin is exchanged on a one-day lag, the unsettled fair value of such instruments represents the change in fair value that occurred on the last day of the 100 AG Mortgage Investment Trust Inc. and Subsidiaries Notes to Consolidated Financial Statements reporting period. To-be-announced securities A to-be-announced security ("TBA") is a forward contract for the purchase or sale of Agency RMBS at a predetermined price, face amount, issuer, coupon and stated maturity on an agreed-upon future date. The specific Agency RMBS delivered into or received from the contract upon the settlement date, published each month by the Securities Industry and Financial Markets Association, are not known at the time of the transaction. The Company may also choose, prior to settlement, to move the settlement of these securities out to a later date by entering into an offsetting short or long position (referred to as a pair off), net settling the paired off positions for cash, simultaneously purchasing or selling a similar TBA contract for a later settlement date. This transaction is commonly referred to as a dollar roll. The Agency RMBS purchased or sold for a forward settlement date are typically priced at a discount to Agency RMBS for settlement in the current month. This difference, or discount, is referred to as the price drop. The price drop is the economic equivalent of net interest carry income on the underlying Agency RMBS over the roll period (interest income less implied financing cost) and is commonly referred to as dollar roll income/(loss). Consequently, forward purchases of Agency RMBS and dollar roll transactions represent a form of off-balance sheet financing. Dollar roll income is recognized in the consolidated statement of operations in the line item "Net unrealized gain/(loss)." Forward purchase commitments The Company may enter into forward purchase commitments with counterparties whereby the Company commits to purchasing residential mortgage loans at a particular price. Actual loan purchases are contingent upon successful loan closings. The counterparties deliver the committed loans on either a mandatory basis or best-efforts basis. 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. Earnings/(Loss) per share In accordance with ASC 260, "Earnings per Share," the Company calculates basic income/(loss) per share by dividing net income/(loss) available to common stockholders for the period by weighted-average shares of the Company’s common stock outstanding for that period. Diluted income per share takes into account the effect of dilutive instruments, such as stock options, warrants, unvested restricted stock and unvested restricted stock units using the average share price for the period in determining the number of incremental shares that are to be added to the weighted-average number of shares outstanding. Potential dilutive shares are excluded from the calculation if they have an anti-dilutive effect in the period. Interest income recognition Interest income on the Company’s loan and securities portfolio is accrued based on the actual coupon rate and the outstanding principal balance of such loans or securities. The Company has elected to record interest in accordance with ASC 835-30-35-2, "Imputation of Interest," using the effective interest method for all loans and securities accounted for under the fair value option in accordance with ASC 825, "Financial Instruments." As such, premiums and discounts are amortized or accreted into interest income over the lives of the loans or securities in accordance with ASC 310-20, "Nonrefundable Fees and Other Costs," ASC 320-10 or ASC 325-40, as applicable. Total interest income is recorded in the "Interest income" line item on the consolidated statement of operations. For Agency RMBS, exclusive of interest-only securities, prepayments of the underlying collateral are estimated on a quarterly basis, which directly affect the speed at which the Company amortizes premiums on its securities. If actual and anticipated cash flows differ from previous estimates, the Company records an adjustment in the current period to the amortization of premiums for the impact of the cumulative change in the effective yield retrospectively through the reporting date. Similarly, the Company also reassesses cash flows on at least a quarterly basis for the remaining loans and real estate securities recorded on its consolidated balance sheets. In estimating these cash flows, there are a number of assumptions made that are uncertain and subject to judgments and assumptions based on subjective and objective factors and contingencies. These include the rate and timing of principal and interest receipts (including assumptions of prepayments, repurchases, defaults and liquidations), the pass-through or coupon rate and interest rate fluctuations. In addition, interest payment shortfalls due to delinquencies on the underlying mortgage loans have to be estimated. Differences between previously estimated cash flows and current actual and anticipated cash flows are recognized prospectively through an adjustment of the yield over the remaining life of the security based on the current amortized cost of the investment. 101 AG Mortgage Investment Trust Inc. and Subsidiaries Notes to Consolidated Financial Statements Realized gains and losses Realized gains or losses on sales of loans, securities, and derivatives are included in the "Net realized gain/(loss)" line item on the consolidated statement of operations. The cost of loans, securities, and derivatives sold is calculated using a first in, first out ("FIFO") basis. Realized gains and losses are recorded in earnings at the time of disposition. Manager compensation The management agreement, as amended, provides for payment to the Manager of a management fee, an incentive fee, and reimbursements of certain expenses incurred by the Manager or its affiliates on behalf of the Company. The management fee, incentive fee, and reimbursements are accrued and expensed during the period for which they are earned or for which the expenses are incurred, respectively. 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. For a more detailed discussion on the fees payable under the management agreement, see Note 10. Transaction related expenses The Company incurs transaction related expenses associated with purchasing and securitizing residential mortgage loans. In accordance with ASC 825 "Financial Instruments," nonrefundable fees and costs associated with originating or acquiring loans that are carried at fair value shall be recognized in earnings as incurred. In addition, the Company incurred transaction related expenses in connection with the WMC acquisition. In accordance with ASC 805, "Business Combinations," acquisition related costs are expensed as incurred. Transaction related expenses are accrued and expensed during the period in which they are incurred and are included in the "Transaction related expenses" line item on the consolidated statement of operations. Income taxes The Company conducts its operations to qualify and be taxed as a REIT. Accordingly, the Company generally will not be subject to federal or state corporate income tax to the extent that the Company makes qualifying distributions to its stockholders, and provided that it satisfies on a continuing basis, through actual investment and operating results, the REIT requirements including certain asset, income, distribution and stock ownership tests. If the Company fails to qualify as a REIT, and does not qualify for certain statutory relief provisions, it will be subject to U.S. federal, state and local income taxes and may be precluded from qualifying as a REIT for the four taxable years following the year in which the Company fails to qualify as a REIT. The dividends paid deduction of a REIT for qualifying dividends to its stockholders is computed using the Company’s taxable income/(loss) as opposed to net income/(loss) reported on the Company’s GAAP financial statements. Taxable income/(loss), generally, will differ from net income/(loss) reported on the financial statements because the determination of taxable income/(loss) is based on tax principles and not financial accounting principles. Cash distributions declared by the Company that do not exceed its current or accumulated earnings and profits will be considered ordinary income to stockholders for income tax purposes unless all or a portion of a distribution is designated by the Company as a capital gain dividend. Distributions in excess of the Company’s current and accumulated earnings and profits will be characterized as return of capital or capital gains. 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. The Company elected to treat certain domestic subsidiaries as taxable REIT subsidiaries ("TRSs") and may elect to treat other subsidiaries as TRSs. In general, a TRS is utilized to hold assets and engage in activities that the Company cannot hold or engage in directly. Generally, a TRS may engage in any real estate or non-real estate-related business. 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 102 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. federal, state and local corporate income taxes. The Company’s financial results are generally not expected to reflect provisions for current or deferred income taxes, except for any activities conducted through one or more TRSs that are subject to corporate income taxation. The Company believes that it will operate in a manner that will allow it to qualify for taxation as a REIT. As a result of the Company’s expected REIT qualification, it does not generally expect to pay federal or state corporate income tax. Many of the REIT requirements, however, are highly technical and complex. The Company evaluates uncertain income tax positions, if any, in accordance with ASC 740, "Income Taxes." The Company classifies interest and penalties, if any, related to unrecognized tax benefits as a component of provision for income taxes. Dividends on Preferred Stock 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. However, undeclared preferred stock dividends are reflected in earnings per share as discussed in ASC 260-10-45-11. Preferred stock dividends that are not declared accumulate and are added to the liquidation preference as of the scheduled payment date for the respective series of the preferred stock. The undeclared and unpaid dividends on the Company’s preferred stock accrue without interest, and if dividends on the Company's preferred stock are in arrears, the Company cannot pay cash dividends with respect to its common stock. Offering costs The Company has incurred offering costs in connection with common stock offerings, registration statements, preferred stock offerings, and exchanges. Where applicable, the offering costs were paid out of the proceeds of the respective offerings. Offering costs in connection with common stock offerings and costs in connection with registration statements have been accounted for as a reduction of additional paid-in capital. Offering costs in connection with preferred stock offerings have been accounted for as a reduction of their respective gross proceeds. Exchange costs in connection with the Company's preferred stock exchanges have been accounted for as a reduction to the Company's retained earnings. 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 Debt with conversion and other options 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's adoption of ASU 2020-06 during the year ended December 31, 2024 did not have a material impact on the consolidated financial statements. 103 AG Mortgage Investment Trust Inc. and Subsidiaries 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. Income taxes 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. 104 AG Mortgage Investment Trust Inc. and Subsidiaries Notes to Consolidated Financial Statements 3. Loans Residential mortgage loans The tables below detail information regarding the Company’s residential mortgage loan portfolio as of December 31, 2024 and 2023 ($ in thousands). The gross unrealized gains/(losses) in the table below represent inception to date gains/(losses). Unpaid Principal Balance Gross Unrealized Weighted Average December 31, 2024 Premium (Discount) Amortized Cost Gains Losses Fair Value Coupon Yield (1) Life (Years) (2) Securitized residential mortgage loans, at fair value (3)(4) Non-Agency Loans (5) $ 6,382,814 $ 5,817 $ 6,388,631 $ 28,767 $ ( 372,801 ) $ 6,044,597 5.59 % 5.68 % 8.12 Re- and Non-Performing Loans 182,501 ( 11,515 ) 170,986 — ( 17,905 ) 153,081 3.43 % 6.55 % 5.53 Total Securitized residential mortgage loans, at fair value $ 6,565,315 $ ( 5,698 ) $ 6,559,617 $ 28,767 $ ( 390,706 ) $ 6,197,678 5.53 % 5.70 % 8.05 Residential mortgage loans, at fair value (4) 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 Total Residential mortgage loans, at fair value $ 216,547 $ 1,092 $ 217,639 $ 3,622 $ ( 1,044 ) $ 220,217 8.54 % 8.39 % 4.54 Total as of December 31, 2024 $ 6,781,862 $ ( 4,606 ) $ 6,777,256 $ 32,389 $ ( 391,750 ) $ 6,417,895 5.62 % 5.79 % 7.93 Unpaid Principal Balance Gross Unrealized Weighted Average December 31, 2023 Premium (Discount) Amortized Cost Gains Losses Fair Value Coupon Yield (1) Life (Years) (2) Securitized residential mortgage loans, at fair value (3) Non-Agency Loans (5) $ 5,599,960 $ ( 32,250 ) $ 5,567,710 $ 29,603 $ ( 422,144 ) $ 5,175,169 5.19 % 5.51 % 10.37 Re- and Non-Performing Loans 217,098 ( 17,465 ) 199,633 199 ( 16,720 ) 183,112 3.88 % 6.30 % 6.10 Total Securitized residential mortgage loans, at fair value $ 5,817,058 $ ( 49,715 ) $ 5,767,343 $ 29,802 $ ( 438,864 ) $ 5,358,281 5.14 % 5.54 % 10.21 Residential mortgage loans, at fair value 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 Total Residential mortgage loans, at fair value $ 306,987 $ 2,740 $ 309,727 $ 8,478 $ ( 574 ) $ 317,631 7.99 % 8.08 % 3.29 Total as of December 31, 2023 $ 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. Typically, actual maturities are shorter than stated contractual maturities. Maturities are affected by the lives of the underlying mortgage loans, periodic payments of principal, and prepayments of principal. (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. 105 AG Mortgage Investment Trust Inc. and Subsidiaries Notes to Consolidated Financial Statements 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) Current 30-59 Days 60-89 Days 90+ Days Securitized residential mortgage loans Non-Agency Loans $ 6,382,814 16,087 $ 6,183,680 $ 86,606 $ 33,793 $ 78,735 Re- and Non-Performing Loans 182,501 1,259 132,477 14,114 3,702 32,208 Total Securitized residential mortgage loans $ 6,565,315 17,346 $ 6,316,157 $ 100,720 $ 37,495 $ 110,943 Residential mortgage loans Agency-Eligible Loans 101,570 214 101,062 508 — — 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 Total as of December 31, 2024 $ 6,781,862 18,876 $ 6,522,024 $ 102,528 $ 38,657 $ 116,637 Unpaid Principal Balance Aging by Unpaid Principal Balance (1)(2) December 31, 2023 Loan Count (1) Current 30-59 Days 60-89 Days 90+ Days Securitized residential mortgage loans Non-Agency Loans $ 5,599,960 13,460 $ 5,446,631 $ 68,242 $ 30,873 $ 54,214 Re- and Non-Performing Loans 217,098 1,495 154,632 17,145 4,780 40,541 Total Securitized residential mortgage loans $ 5,817,058 14,955 $ 5,601,263 $ 85,387 $ 35,653 $ 94,755 Residential mortgage loans Agency-Eligible Loans 212,350 536 211,499 851 — — Non-Agency Loans $ 92,033 170 $ 83,582 $ 1,010 $ 615 $ 6,826 Re- and Non-Performing Loans (1) 2,604 N/A N/A N/A N/A N/A Total Residential mortgage loans $ 306,987 706 $ 295,081 $ 1,861 $ 615 $ 6,826 Total as of December 31, 2023 $ 6,124,045 15,661 $ 5,896,344 $ 87,248 $ 36,268 $ 101,581 (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. 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). December 31, 2024 December 31, 2023 Unpaid Principal Balance Fair Value Unpaid Principal Balance Fair Value Residential mortgage loan purchases 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. 106 AG Mortgage Investment Trust Inc. and Subsidiaries Notes to Consolidated Financial Statements During the years ended December 31, 2024 and 2023, the Company sold residential mortgage loans as detailed below ($ in thousands). Number of Loans Proceeds Realized Gains Realized Losses Year Ended December 31, 2024 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 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. The following is a summary of the geographic concentration of credit risk as of December 31, 2024 and 2023 and includes states where the exposure is greater than 5% of the fair value of the Company's residential mortgage loan portfolio. Geographic Concentration of Credit Risk (1) December 31, 2024 December 31, 2023 California 35 % 38 % New York 11 % 13 % Florida 11 % 10 % Texas 6 % 6 % New Jersey 5 % 5 % (1) Excludes the Re- and Non-Performing Loans subcategory of Residential mortgage loans above as there may be limited data available regarding the underlying collateral of these residual positions. Variable interest entities 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. In a securitization transaction, a pool of loans is transferred to a wholly-owned subsidiary of the Company and the loans are deposited into a newly created securitization trust. The securitization trust issues various classes of mortgage pass-through certificates backed by the cash flows from the underlying residential mortgage loans (the "Certificates"). As the sponsor of the securitization, the Company retains certain Certificates issued by the securitization trusts in order to satisfy risk retention rules, which generally require the sponsor to retain at least 5 % of the fair value of the Certificates issued in the securitization . The Company's continuing involvement in these 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. 107 AG Mortgage Investment Trust Inc. and Subsidiaries Notes to Consolidated Financial Statements The following table details certain information related to the assets and liabilities of the Non-Agency VIEs as of December 31, 2024 and 2023 ($ in thousands). December 31, 2024 December 31, 2023 Carrying Value Weighted Average Carrying Value Weighted Average Yield (1) Life (Years) (2) Yield (1) Life (Years) (2) Assets Securitized residential mortgage loans, at fair value (3) $ 6,044,597 5.68 % 8.12 $ 5,175,169 5.51 % 10.37 Other assets 30,922 25,105 Total Assets $ 6,075,519 $ 5,200,274 Liabilities Securitized debt, at fair value (3) (4) $ 5,391,413 5.17 % 6.05 $ 4,597,490 4.94 % 7.52 Other liabilities 22,185 17,269 Total Liabilities $ 5,413,598 $ 4,614,759 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. Typically, actual maturities are shorter than stated contractual maturities. Maturities are affected by the contractual lives of the underlying mortgages, periodic payments of principal, and prepayments of principal. (3) Securitized residential mortgage loans in Non-Agency VIEs include loans that were considered to be Agency-Eligible prior to the Company's securitization. (4) 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. (5) As of December 31, 2024 and 2023, the Company had outstanding financing arrangements of $ 370.9 million and $ 301.2 million, respectively, collateralized by $ 654.3 million and $ 578.8 million of the Company's retained interests in the Non-Agency VIEs, respectively. See Note 6 for more detail regarding the Company's financing arrangements. The following table details certain information related to the assets and liabilities of the RPL/NPL VIEs as of December 31, 2024 and 2023 ($ in thousands). December 31, 2024 December 31, 2023 Carrying Value Weighted Average Carrying Value Weighted Average Yield (1) Life (Years) (2) Yield (1) Life (Years) (2) Assets Securitized residential mortgage loans, at fair value $ 153,081 6.55 % 5.53 $ 183,112 6.30 % 6.10 Restricted cash 10 10 Other assets 2,064 2,056 Total Assets $ 155,155 $ 185,178 Liabilities Securitized debt, at fair value (3) $ 100,554 3.34 % 3.59 $ 114,133 3.25 % 3.77 Other liabilities 298 328 Total Liabilities $ 100,852 $ 114,461 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. Typically, actual maturities are shorter than stated contractual maturities. Maturities are affected by the contractual lives of the underlying mortgages, periodic payments of principal, and prepayments of principal. (3) The holders of the securitized debt have no recourse to the general credit of the Company. The Company has no obligation to provide any other explicit or implicit support to the RPL/NPL VIEs. 108 AG Mortgage Investment Trust Inc. and Subsidiaries 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 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 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). December 31, 2024 Premium / (Discount) 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 $ ( 64 ) $ 7,195 $ 41 $ 7,236 8.71 % 10.69 % 0.42 5/6/2025 61.63 % IL, FL Loan B (8) 13,206 ( 116 ) 13,090 74 13,164 8.71 % 10.69 % 0.42 5/6/2025 75.33 % CA Loan C (8) 24,535 ( 215 ) 24,320 137 24,457 8.71 % 10.69 % 0.42 5/6/2025 77.22 % NY Loan D (9) 22,204 ( 168 ) 22,036 112 22,148 7.89 % 8.73 % 0.68 8/6/2025 42.50 % CT Total $ 67,204 $ ( 563 ) $ 66,641 $ 364 $ 67,005 8.44 % 10.04 % 0.50 63.69 % December 31, 2023 Premium / (Discount) 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. (2) Each commercial loan investment is a first mortgage loan. (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. Maturities are affected by prepayments of principal. (6) Represents maturity date of the last possible extension option. (7) Represents the LTV at acquisition. (8) Loans A, B, and C have a floating rate coupon equal to 4.20 % plus one-month SOFR and are collateralized by hotels. (9) Loan D has a floating rate coupon equal to 3.38 % plus one-month SOFR and is collateralized by a retail property. 109 AG Mortgage Investment Trust Inc. and Subsidiaries Notes to Consolidated Financial Statements 4. Real Estate Securities The following tables detail the Company’s real estate securities portfolio as of December 31, 2024 and 2023 ($ in thousands). The gross unrealized gains/(losses) in the tables below represent inception to date unrealized gains/(losses). Current Face Premium / (Discount) Amortized Cost Gross Unrealized Fair Value Weighted Average December 31, 2024 Gains Losses Coupon (1) Yield (2) Non-Agency RMBS GCAT Non-Agency RMBS (4) GCAT Non-Agency Securities $ 43,794 $ ( 1,884 ) $ 41,910 $ — $ ( 5,431 ) $ 36,479 4.94 % 6.12 % GCAT Non-Agency RMBS Interest Only (5) N/A N/A 2,271 1,565 — 3,836 0.38 % 36.66 % Total GCAT Non-Agency RMBS 43,794 ( 1,884 ) 44,181 1,565 ( 5,431 ) 40,315 2.68 % 7.69 % Non-Agency Securities 79,524 ( 6,011 ) 73,513 2,206 ( 742 ) 74,977 5.94 % 7.77 % Non-Agency RMBS Interest Only (5) N/A N/A 10,764 1,539 ( 16 ) 12,287 2.28 % 27.60 % Total Non-Agency RMBS 123,318 ( 7,895 ) 128,458 5,310 ( 6,189 ) 127,579 3.08 % 9.40 % Legacy WMC CMBS (6) 100,896 ( 41,879 ) 59,017 2,577 ( 8,809 ) 52,785 5.13 % 16.74 % Agency RMBS Interest Only (5) N/A N/A 20,517 908 ( 429 ) 20,996 4.32 % 10.35 % Total as of December 31, 2024 $ 224,214 $ ( 49,774 ) $ 207,992 $ 8,795 $ ( 15,427 ) $ 201,360 3.62 % 11.58 % Current Face Premium / (Discount) Amortized Cost Gross Unrealized Weighted Average December 31, 2023 Gains Losses Fair Value Coupon (1) Yield (2) Non-Agency RMBS GCAT Non-Agency RMBS (4) GCAT Non-Agency Securities $ 43,794 $ ( 2,281 ) $ 41,513 $ — $ ( 8,971 ) $ 32,542 4.67 % 5.99 % GCAT Non-Agency RMBS Interest Only (5) N/A N/A 2,541 2,450 — 4,991 — % 37.74 % Total GCAT Non-Agency RMBS 43,794 ( 2,281 ) 44,054 2,450 ( 8,971 ) 37,533 2.20 % 10.21 % Non-Agency Securities 82,390 ( 33,399 ) 48,991 2,139 ( 124 ) 51,006 4.99 % 9.11 % Non-Agency RMBS Interest Only (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 % (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. Refer to the "Unconsolidated variable interest entities" section below for additional details on these securities. (5) 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 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, 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. 110 AG Mortgage Investment Trust Inc. and Subsidiaries Notes to Consolidated Financial Statements 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, 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 Less than or equal to one year $ 2,983 $ 2,901 $ 14,731 $ 14,945 $ — $ — Greater than one year and less than or equal to five years 16,277 13,197 38,054 44,071 676 667 Greater than five years and less than or equal to ten years 71,588 75,990 — — 20,320 19,850 Greater than ten years 36,731 36,370 — — — — Total as of December 31, 2024 $ 127,579 $ 128,458 $ 52,785 $ 59,016 $ 20,996 $ 20,517 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 — — Greater than five years and less than or equal to ten years 38,792 40,539 — — 14,997 16,036 1,156 1,174 Greater than ten years 46,199 48,953 — — — — — — Total as of December 31, 2023 $ 89,622 $ 94,161 $ 56,349 $ 56,533 $ 15,694 $ 16,714 $ 1,156 $ 1,174 (1) This is based on projected life. Typically, actual maturities are shorter than stated contractual maturities. Maturities are affected by the contractual lives of the underlying mortgages, periodic payments of principal and prepayments of principal. In connection with the WMC acquisition in 2023, the Company acquired $ 48.2 million of Non-Agency RMBS, $ 56.3 million of CMBS, $ 1.2 million of Other Securities, and $ 0.7 million of Agency RMBS. For additional information on the WMC acquisition, refer to Note 1. The Company sold real estate securities during the years ended December 31, 2024 and 2023, as detailed below ($ in thousands). Number of Securities Proceeds Realized Gains Realized Losses Year ended December 31, 2024 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 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. Upon evaluating its investment in the VIE, the Company determined it was not the primary beneficiary and, as a result, did not consolidate the securitization trust. The Company has a 40.9 % interest in the retained subordinate tranches which represents its continuing involvement in the securitization trust. 111 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. The Company's Non-Agency RMBS includes the non-risk retention bonds from these securitizations acquired from MATH. Upon evaluating its investment in these VIEs, the Company determined it was not the primary beneficiary and, as a result, did not consolidate the securitization trusts sponsored by MATH. The Company has a 57.7 % interest in the non-risk retention bonds recorded on its consolidated balance sheets and a 47.0 % interest in the risk retention bonds through its investment in MATH which together represent its continuing involvement in the securitization trusts. See Note 10 for additional details on the MATH transaction. 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 Current Face Fair Value Current Face Fair Value Retained interest in unconsolidated VIEs GCAT Non-Agency Securities $ 43,794 $ 36,479 $ 43,794 $ 32,542 GCAT Non-Agency RMBS Interest Only (1) N/A 3,836 N/A 4,991 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. The notional balance is used solely to determine interest distributions on the interest only classes of securities. As of December 31, 2024 and 2023, the notional balances for GCAT Non-Agency RMBS Interest Only line item were $ 85.6 million and $ 98.3 million, respectively. (2) Maximum loss exposure from the Company’s involvement with unconsolidated VIEs pertains to the fair value of the securities retained from these VIEs. The Company has no obligation to provide any other explicit or implicit support to the securitization trust. (3) As of 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. 112 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 Weighted average coupon on loans outstanding 7.29 % Percent of unpaid principal balance greater than 90 days delinquent (5) 0.05 % (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. 5. Fair value measurements The fair value of the Company's financial instruments is determined in accordance with the provisions of ASC 820, "Fair Value Measurements and Disclosures." When possible, the Company determines fair value using third-party data sources. ASC 820 establishes a hierarchy that prioritizes the inputs to valuation techniques. Level 1 inputs are observable inputs that reflect quoted prices for identical assets or liabilities in active markets. Level 2 inputs are observable inputs other than quoted prices and may include quoted prices for similar assets and liabilities in active markets. Level 3 inputs are significant unobservable inputs. In situations where quoted prices or observable inputs are unavailable (for example, when there is little or no market activity for an investment at the end of the period), unobservable inputs may be used and reflect the Company’s assumptions about the factors that market participants would use in pricing an asset or liability, and would be based on the best information available. In certain cases, inputs used to measure fair value fall into different levels of the fair value hierarchy. In such cases, the level at which the fair value measurement falls is determined based on the lowest level input that is significant to the fair value measurement. 113 AG Mortgage Investment Trust Inc. and Subsidiaries Notes to Consolidated Financial Statements The following tables present the Company’s financial instruments measured at fair value on a recurring basis as of December 31, 2024 and 2023 (in thousands). Fair Value as of December 31, 2024 Level 1 Level 2 Level 3 Total Assets: Securitized residential mortgage loans $ — $ — $ 6,197,678 $ 6,197,678 Residential mortgage loans — 1,829 218,388 220,217 Legacy WMC Commercial loans — — 67,005 67,005 Non-Agency RMBS — 12,046 115,533 127,579 Legacy WMC CMBS — 52,785 — 52,785 Agency RMBS — 20,996 — 20,996 Derivative assets (1) — 11,414 204 11,618 Cash equivalents (2) 117,979 — — 117,979 AG Arc (3) — — 30,778 30,778 Total Assets Measured at Fair Value $ 117,979 $ 99,070 $ 6,629,586 $ 6,846,635 Liabilities: Securitized debt $ — $ — $ ( 5,491,967 ) $ ( 5,491,967 ) Derivative liabilities (1) — ( 38 ) ( 336 ) ( 374 ) Total Liabilities Measured at Fair Value $ — $ ( 38 ) $ ( 5,492,303 ) $ ( 5,492,341 ) Fair value as of December 31, 2023 Level 1 Level 2 Level 3 Total Assets: Securitized residential mortgage loans $ — $ — $ 5,358,281 $ 5,358,281 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 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 Cash equivalents (2) 95,749 — — 95,749 AG Arc (3) — — 33,574 33,574 Total Assets Measured at Fair Value $ 95,749 $ 128,546 $ 5,820,669 $ 6,044,964 Liabilities: Securitized debt $ — $ — $ ( 4,711,623 ) $ ( 4,711,623 ) Derivative liabilities (1) — ( 7,783 ) ( 7 ) ( 7,790 ) 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. Derivative assets and liabilities are included in the "Other assets" and "Other liabilities" line items on the consolidated balance sheets, respectively. Refer to Note 7 for more information on the Company's derivatives. (2) The Company classifies highly liquid investments with original maturities of three months or less from the date of purchase as cash equivalents. Cash equivalents may include cash invested in money market funds and are carried at cost, which approximates fair value. (3) The table above includes the Company's investment in AG Arc, which is included in its "Investments in debt and equity of affiliates" line item on the consolidated balance sheets, as the Company has chosen to elect the fair value option with respect to its investment pursuant to ASC 825. 114 AG Mortgage Investment Trust Inc. and Subsidiaries Notes to Consolidated Financial Statements The valuation of the Company’s residential mortgage loans, securitized debt relating to the Non-Agency VIEs and RPL/NPL VIEs, commercial loans, certain securities, and forward purchase commitments is determined by the Manager using third-party pricing services where available, valuation analyses from third-party pricing service providers, or model-based pricing. Third-party pricing service providers conduct independent valuation analyses based on a review of source documents, available market data, and comparable investments. The analyses provided by valuation service providers are reviewed and considered by the Manager. 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 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. The variables considered most significant to the determination of the fair value of the Company's residential mortgage loans, securitized debt, commercial loans, certain securities, and forward purchase commitments include market-implied discount rates, projections of default rates, delinquency rates, prepayment rates, loss severity, loan-to-value ratios, recovery rates, reperformance rates, timeline to liquidation, and, for forward purchase commitments, pull-through rates. The Company and third-party pricing service providers use loan level data and macro-economic inputs to generate loss adjusted cash flows and other information in determining the fair value. Because of the inherent uncertainty of such valuation, the fair value established for mortgage loans, securitized debt, commercial loans, certain securities, and forward purchase commitments held by the Company may differ from the fair value that would have been established if a ready market existed for these mortgage loans. Fair values for the Company’s securities and derivatives may be based upon prices obtained from third-party pricing services or broker quotations. The valuation methodology of the Company’s third-party pricing services incorporates commonly used market pricing methods, including a spread measurement to various indices, which are observable inputs. The evaluation also considers the underlying characteristics of each investment, which are also observable inputs, including: coupon, maturity date, loan age, reset date, collateral type, periodic and life cap, geography, and prepayment speeds. The Company collects and considers current market intelligence on all major markets, including benchmark security evaluations and bid-lists from various sources, when available. As part of the Company’s risk management process, the Company reviews and analyzes all prices obtained by comparing prices to recently completed transactions involving the same or similar investments on or near the reporting date. If, in the opinion of the Manager, one or more prices reported to the Company are not reliable or unavailable, the Manager reviews the fair value based on characteristics of the investment it receives from the issuer and available market information. The Company's investment in Arc Home is evaluated on a periodic basis using a market approach. In applying the market approach, fair value is determined by multiplying Arc Home's book value by a relevant valuation multiple observed based on a range of comparable public entities or transactions, adjusted by management as appropriate for differences between the investment and the referenced comparables. The evaluation also considers the underlying financial performance of Arc Home, general economic conditions, and relevant trends within the mortgage banking industry. Changes in the market environment and other events that may occur over the life of these investments may cause the gains or losses ultimately realized to be different than the valuations currently estimated. The significant unobservable inputs used in the fair value measurement of the Company’s loans and securities are yields, prepayment rates, probability of default, and loss severity in the event of default. Significant increases (decreases) in any of those inputs in isolation would result in a significantly lower (higher) fair value measurement. Generally, a change in the assumption used for the probability of default is accompanied by a directionally similar change in the assumption used for the loss severity and a directionally opposite change in the assumption used for prepayment rates. The significant unobservable input used in the fair value measurement of the Company’s investment in Arc Home is the book value multiple. Significant increases (decreases) in the multiple applied would result in a significantly higher (lower) fair value measurement. The Company did not have any transfers of assets or liabilities between Levels 1 and 2 of the fair value hierarchy during the years ended December 31, 2024 and 2023. 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. Transfers out of the Level 3 category of the fair value hierarchy occur due to instruments exhibiting indications of increased levels of market transparency. Indications of increases or decreases in levels of market transparency include a change in observable transactions or executable quotes involving these instruments or similar instruments. Changes in these indications could impact price transparency, and thereby cause a change in level designations in future periods. 115 AG Mortgage Investment Trust Inc. and Subsidiaries Notes to Consolidated Financial Statements The following tables present additional information about the Company’s assets and liabilities which are measured at fair value on a recurring basis for which the Company has utilized Level 3 inputs to determine fair value (in thousands). Year Ended December 31, 2024 Residential Mortgage 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) 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 — — — — — — Issuances of Securitized Debt — — — — — — — ( 1,372,097 ) — Capital distributions — — — — — — ( 5,042 ) — — Proceeds from sales or settlements ( 355,229 ) — ( 20,289 ) — ( 762 ) ( 2,739 ) — — 1,379 Principal repayments ( 710,639 ) — ( 1,847 ) — — — — 657,092 — Principal funding 2,070 — — — — — — — — Included in net income: Net premium and discount amortization (4) 14,839 434 17 — ( 185 ) — — ( 30,310 ) — Net realized gain/(loss) 6,352 — ( 87 ) — ( 227 ) 2,739 — — ( 1,379 ) Net unrealized gain/(loss) 42,253 268 4,811 — 18 ( 968 ) — ( 35,029 ) ( 329 ) Equity in earnings/(loss) from affiliates — — — — — — 2,246 — — Other (5) ( 3,098 ) — — — — — — — — Ending Balance $ 6,416,066 $ 67,005 $ 115,533 $ — $ — $ 204 $ 30,778 $ ( 5,491,967 ) $ ( 336 ) Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held as of December 31, 2024: Net premium and discount amortization (4) 14,753 434 17 — — — — ( 30,310 ) — Net unrealized gain/(loss) 41,011 268 4,811 — — 204 — ( 35,029 ) ( 336 ) Equity in earnings/(loss) from affiliates — — — — — — 2,246 — — 116 AG Mortgage Investment Trust Inc. and Subsidiaries Notes to Consolidated Financial Statements Year Ended December 31, 2023 Residential Mortgage 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) Beginning balance $ 4,127,843 $ — $ 14,917 $ — $ — $ 98 $ 39,680 $ ( 3,262,352 ) $ ( 9 ) 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 ) — Capital distributions — — — — — — ( 626 ) — — Proceeds from sales or settlements ( 417,909 ) — — — — ( 5,289 ) — — 4,293 Principal repayments ( 342,996 ) ( 12,250 ) — — — — — 364,920 — Included in net income: Net premium and discount amortization (4) 3,631 ( 1 ) ( 217 ) 60 15 — — ( 13,098 ) — Net realized gain/(loss) ( 11,937 ) — — — — 5,289 — — ( 4,293 ) Net unrealized gain/(loss) 111,642 95 1,600 148 ( 18 ) 1,074 — ( 89,369 ) 2 Equity in earnings/(loss) from affiliates — — — — — — ( 5,480 ) — — Other (5) ( 1,766 ) — — — — — — — — Ending Balance $ 5,675,135 $ 66,303 $ 37,533 $ 5,796 $ 1,156 $ 1,172 $ 33,574 $ ( 4,711,623 ) $ ( 7 ) Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held as of December 31, 2023: Net premium and discount amortization (4) 2,857 ( 1 ) ( 217 ) 60 15 — — ( 13,098 ) — Net unrealized gain/(loss) 101,037 95 1,600 148 ( 18 ) 1,172 — ( 87,578 ) ( 7 ) Equity in earnings/(loss) from affiliates — — — — — — ( 5,480 ) — — (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) 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. 117 AG Mortgage Investment Trust Inc. and Subsidiaries Notes to Consolidated Financial Statements The following table presents a summary of quantitative information about the significant unobservable inputs used in the fair value measurement of investments for which the Company has utilized Level 3 inputs to determine fair value as of December 31, 2024 and 2023 ($ in thousands). December 31, 2024 December 31, 2023 Valuation Technique Unobservable Input Fair Value Range (Weighted Average) (1) Fair Value Range (Weighted Average) (1) Securitized Residential Mortgage Loans Yield 5.75 % - 11.18 % ( 6.26 %) 5.67 % - 9.47 % ( 6.23 %) Discounted Cash Flow Projected Collateral Prepayments $ 6,197,678 4.95 % - 14.48 % ( 8.87 %) $ 5,358,281 3.02 % - 10.47 % ( 4.72 %) Projected Collateral Losses 0.00 % - 2.02 % ( 0.08 %) 0.02 % - 1.88 % ( 0.16 %) Projected Collateral Severities - 19.30 % - 26.00 % ( 19.34 %) - 13.44 % - 26.00 % ( 17.38 %) Residential Mortgage Loans Yield 6.44 % - 15.63 % ( 7.76 %) 6.13 % - 18.75 % ( 6.64 %) Discounted Cash Flow Projected Collateral Prepayments $ 218,388 1.29 % - 32.03 % ( 17.65 %) $ 316,854 3.89 % - 34.35 % ( 24.88 %) Projected Collateral Losses 0.00 % - 26.56 % ( 1.00 %) 0.00 % - 12.72 % ( 0.15 %) Projected Collateral Severities - 25.96 % - 25.00 % ( 16.59 %) - 38.75 % - 44.01 % ( 9.62 %) 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 Yield 5.86 % - 25.00 % ( 7.90 %) 6.23 % - 14.00 % ( 9.70 %) Discounted Cash Flow Projected Collateral Prepayments $ 115,533 7.37 % - 14.50 % ( 11.46 %) $ 37,533 4.55 % - 5.26 % ( 4.93 %) Projected Collateral Losses 0.00 % - 0.18 % ( 0.04 %) 0.17 % - 0.28 % ( 0.25 %) Projected Collateral Severities 10.00 % - 25.00 % ( 18.17 %) 10.00 % - 10.00 % ( 10.00 %) Legacy WMC CMBS Consensus Pricing Offered Quotes $ — N/A $ 5,796 55.20 - 55.20 ( 55.20 ) Legacy WMC Other Securities Consensus Pricing Offered Quotes $ — N/A $ 1,156 6,821.32 - 6,821.32 ( 6,821.32 ) Derivative Assets (3) Yield 6.59 % - 7.70 % ( 6.72 %) 6.29 % - 8.32 % ( 6.81 %) Discounted Cash Flow Projected Collateral Prepayments $ 204 11.52 % - 25.78 % ( 19.09 %) $ 1,172 18.20 % - 33.78 % ( 27.00 %) Projected Collateral Losses 0.02 % - 2.73 % ( 0.71 %) 0.00 % - 0.82 % ( 0.14 %) Projected Collateral Severities 10.00 % - 10.00 % ( 10.00 %) 10.00 % - 10.00 % ( 10.00 %) Pull Through Percentages 65.00 % - 100.00 % ( 89.33 %) 60.00 % - 100.00 % ( 92.21 %) AG Arc Comparable Multiple Book Value Multiple $ 30,778 0.95 x - 0.95 x ( 0.95 x) $ 33,574 0.89 x - 0.89 x ( 0.89 x) Securitized Debt Yield 5.11 % - 25.00 % ( 5.86 %) 4.92 % - 15.00 % ( 5.72 %) Discounted Cash Flow Projected Collateral Prepayments $ ( 5,491,967 ) 4.95 % - 14.48 % ( 8.85 %) $ ( 4,711,623 ) 3.02 % - 10.47 % ( 4.66 %) Projected Collateral Losses 0.00 % - 0.50 % ( 0.07 %) 0.02 % - 0.40 % ( 0.15 %) Projected Collateral Severities 10.00 % - 26.00 % ( 19.63 %) 3.71 % - 26.00 % ( 17.76 %) Derivative Liabilities (3) Yield 6.58 % - 6.96 % ( 6.67 %) 6.47 % - 7.00 % ( 6.51 %) Discounted Cash Flow Projected Collateral Prepayments $ ( 336 ) 9.00 % - 26.94 % ( 18.34 %) $ ( 7 ) 27.36 % - 34.44 % ( 34.30 %) Projected Collateral Losses 0.01 % - 1.36 % ( 0.17 %) 0.00 % - 0.02 % ( 0.00 %) Projected Collateral Severities 10.00 % - 10.00 % ( 10.00 %) 10.00 % - 10.00 % ( 10.00 %) Pull Through Percentages 65.00 % - 100.00 % ( 90.48 %) 60.00 % - 100.00 % ( 99.22 %) (1) Amounts are weighted based on fair value. (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. 118 AG Mortgage Investment Trust Inc. and Subsidiaries Notes to Consolidated Financial Statements Other Fair Value Disclosures Short-term financing arrangements The fair value of certain of the Company's financing arrangements approximates the carrying value due to the floating interest rates that are based on an index plus a spread, which is typically consistent with those demanded in the market, and the short-term maturities of generally one year or less. These financing agreements are classified as Level 2. Legacy WMC Convertible Notes and fixed-rate long-term financing arrangements The following table presents the carrying value and estimated fair value of the Company's Legacy WMC Convertible Notes, 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. 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. 119 AG Mortgage Investment Trust Inc. and Subsidiaries Notes to Consolidated Financial Statements 6. Financing The following table presents a summary of the Company's financing as of December 31, 2024 and 2023 ($ in thousands). December 31, 2024 December 31, 2023 Weighted Average Collateral Fair Value (1)(2) Current Face Carrying Value Stated Maturity Funding Cost Life (Years) Carrying Value Financing Arrangements by Asset Type Securitized Residential Mortgage Loans (3) 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) 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 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 Securitized debt, at fair value (6)(7) Non-Agency Loans (8) $ 5,779,890 $ 5,391,413 N/A 5.17 % 6.05 N/A $ 4,597,490 Re- and Non-Performing Loans 110,931 100,554 N/A 3.34 % 3.59 N/A 114,133 Total Securitized Debt $ 5,890,821 $ 5,491,967 5.14 % 6.01 N/A $ 4,711,623 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 (1) The Company also had $ 10.6 million and $ 1.7 million of cash pledged under repurchase agreements as of December 31, 2024 and 2023, respectively. (2) Under the terms of the Company’s financing agreements, the Company's financing counterparties may, in certain cases, sell or re-hypothecate the pledged collateral. (3) Amounts pledged as collateral under Securitized residential mortgage loans include certain of the Company's retained interests in securitizations. Refer to Note 3 for more information on the Non-Agency VIEs and RPL/NPL VIEs. (4) 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, 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, 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. For additional information on the WMC acquisition, refer to Note 1. Legacy WMC Convertible Notes In connection with the WMC acquisition, the Merger Sub assumed, and the Company guaranteed, $ 86.25 million aggregate principal amount of Legacy WMC Convertible Notes. The Legacy WMC Convertible Notes had an interest rate of 6.75 % and 120 AG Mortgage Investment Trust Inc. and Subsidiaries Notes to Consolidated Financial Statements 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). Years Ended December 31, 2024 December 31, 2023 Coupon interest expense $ 3,805 $ 404 Amortization expense 912 94 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 $ 6,926 Amortization expense 504 Total interest expense $ 7,430 Contractual maturities 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. 121 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 Financing Arrangements by Asset Type Securitized Residential Mortgage Loans Non-Agency Loans $ 245,874 $ 42,229 $ 82,000 $ — $ 370,103 Re- and Non-Performing Loans — 31,798 — — 31,798 Residential Mortgage Loans 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 Non-Agency RMBS 56,294 20,118 2,566 — 78,978 Legacy WMC CMBS — 20,416 — — 20,416 Agency RMBS 2,038 — — — 2,038 Total Financing Arrangements $ 304,206 $ 161,783 $ 275,309 $ — $ 741,298 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 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). December 31, 2024 December 31, 2023 Counterparty Stockholders' Equity at Risk Weighted Average Maturity (days) Percentage of Stockholders' Equity Stockholders' Equity at Risk Weighted Average Maturity (days) Percentage of Stockholders' Equity 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 % JP Morgan Securities, LLC (1) (1) (1) 46,642 134 8.8 % Various (2) 81,855 211 15.2 % 69,637 577 13.2 % (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. Financial Covenants The Company’s financing arrangements generally include customary representations, warranties, and covenants, but may also contain more restrictive supplemental terms and conditions. Although specific to each financing arrangement, typical supplemental terms include requirements of minimum equity and liquidity, leverage ratios, and performance triggers. In addition, some of the financing arrangements contain cross default features, whereby default under an agreement with one lender simultaneously causes default under agreements with other lenders. To the extent that the Company fails to comply with the covenants contained in these financing arrangements or is otherwise found to be in default under the terms of such agreements, the counterparty has the right to accelerate amounts due under the associated agreement. Financings pursuant to financing arrangements are generally recourse to the Company. As of December 31, 2024, the Company is in compliance with all of its financial covenants. 122 AG Mortgage Investment Trust Inc. and Subsidiaries Notes to Consolidated Financial Statements 7. Other assets and liabilities The following table details certain information related to the Company's "Other assets" and "Other liabilities" line items on its consolidated balance sheets as of December 31, 2024 and 2023 (in thousands). December 31, 2024 December 31, 2023 Other assets Interest receivable $ 34,930 $ 30,315 Real estate owned 3,537 5,644 Derivative assets, at fair value 204 1,321 Other assets 3,269 3,187 Due from broker — 249 Total Other assets $ 41,940 $ 40,716 Other liabilities Due to affiliates (1) $ 4,275 $ 3,252 Interest payable 28,294 23,715 Derivative liabilities, at fair value 340 70 Accrued expenses 1,698 4,874 Due to broker 48 196 Total Other liabilities $ 34,758 $ 32,107 (1) Refer to Note 10 for more information. Derivatives 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). Balance Sheet Location December 31, 2024 December 31, 2023 Derivatives and Other Instruments (1) Notional Fair Value Notional Fair Value Pay Fix/Receive Float Interest Rate Swap Agreements (2) (3) Other assets $ 337,550 $ — $ 165,000 $ 149 Pay Fix/Receive Float Interest Rate Swap Agreements (2) (3) Other liabilities 5,000 ( 4 ) 338,000 — Short TBAs Other liabilities — — 9,000 ( 63 ) Forward Purchase Commitments Other assets 30,581 204 70,145 1,172 Forward Purchase Commitments Other liabilities 35,398 ( 336 ) 2,566 ( 7 ) (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. 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. (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. As of December 31, 2023, the Company's pay fix/receive float interest rate swaps had a weighted average pay-fixed rate of 3.65 %, a weighted average receive-variable rate of 5.38 %, and a weighted average years to maturity of 4.01 years. Derivative and other instruments eligible for offset are presented gross on the consolidated balance sheets as of December 31, 2024 and 2023, if applicable. The Company has not offset or netted any derivatives or other instruments with any financial instruments or cash collateral posted or received. The Company must post cash or securities as collateral on its derivative instruments when their fair value declines. This typically occurs when prevailing market rates change adversely, with the severity of the change also dependent on the term of the derivatives involved. The posting of collateral is generally bilateral, meaning that if the fair value of the Company’s derivatives increases, its counterparty must post collateral. As of December 31, 2024, the Company's restricted cash balance included $ 9.3 million of collateral related to certain derivatives, of which $ 0.7 million represents cash collateral posted by the Company and $ 8.6 million represents amounts related to variation margin. As of December 31, 2023, the Company's restricted cash balance included $ 12.3 million of collateral related to certain derivatives, of which $ 10.7 million represents cash collateral posted by the Company and $ 1.6 million represents amounts related to variation margin. 123 AG Mortgage Investment Trust Inc. and Subsidiaries Notes to Consolidated Financial Statements The following table summarizes total income related to derivatives and other instruments for the years ended December 31, 2024 and 2023 (in thousands). Years Ended December 31, 2024 December 31, 2023 Included within Net interest component of interest rate swaps Interest Rate Swaps $ 7,617 $ 6,680 Included within Net unrealized gain/(loss) Interest Rate Swaps 11,977 ( 24,828 ) Short TBAs 63 ( 713 ) Forward Purchase Commitments ( 1,298 ) 1,076 10,742 ( 24,465 ) Included within Net realized gain/(loss) Interest Rate Swaps ( 22,265 ) 20,403 Long TBAs — 5 Short TBAs 24 ( 70 ) Forward Purchase Commitments 1,360 996 ( 20,881 ) 21,334 Total income/(loss) $ ( 2,522 ) $ 3,549 Derivative activity The following table present information about the Company’s derivatives for the years ended December 31, 2024 and 2023 (in thousands). Beginning Notional Amount Additions (1) Settlement, Termination, or Expiration (2) Ending Notional Amount Derivative Asset Derivative Liability Year Ended December 31, 2024 Short TBAs ( 9,000 ) ( 121,000 ) 130,000 — — — Interest Rate Swaps 503,000 1,067,300 ( 1,227,750 ) 342,550 — ( 4 ) Year Ended December 31, 2023 Long TBAs $ — $ 10,000 $ ( 10,000 ) $ — $ — $ — Short TBAs (3) ( 40,000 ) ( 69,000 ) 100,000 ( 9,000 ) — ( 63 ) 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 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. 124 AG Mortgage Investment Trust Inc. and Subsidiaries Notes to Consolidated Financial Statements 8. Earnings per share The following table presents a reconciliation of the earnings and shares used in calculating basic and diluted earnings per share for the years ended December 31, 2024 and 2023 (in thousands, except per share data). Years Ended December 31, 2024 December 31, 2023 Numerator: Net Income/(Loss) $ 55,737 $ 53,784 Dividends on preferred stock ( 19,353 ) ( 18,344 ) Net Income/(Loss) Available to Common Stockholders $ 36,384 $ 35,440 Denominator: Basic weighted average common shares outstanding 29,487 21,095 Diluted weighted average common shares outstanding 29,514 21,097 Earnings/(Loss) Per Share Basic $ 1.23 $ 1.68 Diluted $ 1.23 $ 1.68 Dividends The following tables detail the Company's common stock dividends declared during the years ended December 31, 2024 and 2023. Year Ended December 31, 2024 Year Ended December 31, 2023 Declaration Date Record Date Payment Date Cash Dividend Per Share Declaration Date Record Date Payment Date Cash Dividend Per Share 3/15/2024 3/29/2024 4/30/2024 $ 0.18 3/15/2023 3/31/2023 4/28/2023 $ 0.18 6/13/2024 6/28/2024 7/31/2024 0.19 6/15/2023 6/30/2023 7/31/2023 0.18 9/16/2024 9/30/2024 10/31/2024 0.19 9/15/2023 9/29/2023 10/31/2023 0.18 12/16/2024 12/31/2024 1/31/2025 0.19 10/24/2023 11/3/2023 11/8/2023 0.08 11/20/2023 11/30/2023 1/2/2024 0.05 12/15/2023 12/29/2023 1/31/2024 0.05 Total $ 0.75 Total $ 0.72 125 AG Mortgage Investment Trust Inc. and Subsidiaries Notes to Consolidated Financial Statements The following tables detail the Company's preferred stock dividends declared and paid during the years ended December 31, 2024 and 2023. 2024 Cash Dividend Per Share Declaration Date Record Date Payment Date 8.25 % Series A 8.00 % Series B 8.000 % Series C 2/16/2024 2/29/2024 3/18/2024 $ 0.51563 $ 0.50 $ 0.50 5/2/2024 5/31/2024 6/17/2024 0.51563 0.50 0.50 8/1/2024 8/30/2024 9/17/2024 0.51563 0.50 0.50 11/4/2024 11/29/2024 12/17/2024 0.51563 0.50 0.733117 Total $ 2.06252 $ 2.00 $ 2.233117 2023 Cash Dividend Per Share Declaration Date Record Date Payment Date 8.25 % Series A 8.00 % Series B 8.000 % Series C 2/16/2023 2/28/2023 3/17/2023 $ 0.51563 $ 0.50 $ 0.50 5/4/2023 5/31/2023 6/20/2023 0.51563 0.50 0.50 7/31/2023 8/31/2023 9/18/2023 0.51563 0.50 0.50 11/3/2023 11/30/2023 12/18/2023 0.51563 0.50 0.50 Total $ 2.06252 $ 2.00 $ 2.00 9. Income taxes The Company conducts its operations to qualify and be taxed as a REIT. As a REIT, the Company is not subject to federal income tax to the extent that it makes qualifying distributions to its stockholders, and provided it satisfies on a continuing basis, through actual investment and operating results, the REIT requirements including certain asset, income, distribution, and stock ownership tests. The state and local tax jurisdictions for which the Company is subject to tax-filing obligations recognize the Company’s status as a REIT, and therefore, the Company generally does not pay income tax in such jurisdictions. The Company may, however, be subject to certain minimum state and local tax filing fees as well as certain excise, franchise, or business taxes. On December 6, 2023, the Company acquired WMC, an externally managed mortgage REIT. Refer to "WMC Acquisition" in Note 1 for additional information related to the Merger. The Merger is intended to qualify as a reorganization within the meaning of Section 368(a) of the Internal Revenue Code. Excise Tax Excise tax represents a non-deductible 4% tax on the required amount of the Company’s ordinary income and net capital gains not distributed during the year. The expense is calculated in accordance with applicable tax regulations. 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, 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 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 126 AG Mortgage Investment Trust Inc. and Subsidiaries 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 The Company elected to treat certain domestic subsidiaries as taxable REIT subsidiaries ("TRSs"). The Company’s financial results are generally not expected to reflect provisions for current or deferred income taxes, except for any activities conducted through one or more TRSs that are subject to corporate income taxation. Currently, the Company has wholly owned domestic TRSs that are taxable as corporations and subject to U.S. federal, state, and local income tax on net income at the applicable corporate rates. The federal statutory rate for the years ended December 31, 2024 and 2023 was 21%. The Company’s effective tax rate differs from its combined U.S. federal, state, and local corporate statutory tax rate primarily due to income earned at the REIT, which is not subject to tax, due to the deduction for qualifying distributions made by the Company, and any change in the valuation allowance as disclosed in further detail below. The tax expense attributable to its TRSs is recorded in the "Non-investment related expenses" line item on the consolidated statement of operations. The below table details the tax expense attributable to its TRSs for the years ended December 31, 2024 and 2023 (in thousands). Years Ended December 31, 2024 December 31, 2023 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. The following table discloses the components of the Company’s deferred tax assets and deferred tax liabilities, if applicable, as of December 31, 2024 and 2023 (in thousands). Years Ended December 31, 2024 December 31, 2023 Deferred tax assets Net operating loss carryforwards $ 27,411 $ 28,142 Capital loss carryforwards (1) 7,426 8,367 GAAP/tax basis differences ( 100 ) 744 Total deferred tax assets $ 34,737 $ 37,253 Less: valuation allowance ( 34,737 ) ( 37,253 ) Net deferred tax assets $ — $ — (1) The capital loss carryforwards outstanding as of December 31, 2024 expire between 2025 and 2029. 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. 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. In assessing the realizability of deferred tax assets, the Company considers whether it is more likely than not that some portion or all of the deferred tax assets will not be realized. The ultimate realization of deferred tax assets is dependent upon the generation of future taxable income during periods in which temporary differences become deductible. The Company concluded it is more likely than not the deferred tax asset will not be realized and established a valuation allowance of $ 34.7 million and $ 37.3 million as of December 31, 2024 and 2023, respectively. Uncertain Income Tax Positions Based on its analysis of any potential uncertain income tax positions, the Company concluded it did not have any uncertain tax positions that meet the recognition or measurement criteria of ASC 740 as of December 31, 2024 and 2023. The Company’s and WMC's federal income tax returns for the last three tax years are open to examination by the Internal Revenue Service. There are no ongoing U.S. federal, state or local tax examinations related to the Company. In the event that the Company incurs income tax related interest and penalties, its policy is to classify them as a component of provision for income taxes. The Company did no t incur any interest or penalties during the years ended December 31, 2024 and 2023. 127 AG Mortgage Investment Trust Inc. and Subsidiaries Notes to Consolidated Financial Statements 10. Related party transactions Manager The Company has entered into a management agreement with the Manager, which provided for an initial term and will be deemed renewed automatically each year for an additional one-year period, subject to certain termination rights. The Company is externally managed and advised by the Manager. Pursuant to the terms of the management agreement, which became effective July 6, 2011 (upon the consummation of the Company’s initial public offering (the "IPO")), the Manager provides the Company with its management team, including its officers, along with appropriate support personnel. Each of the Company’s officers is an employee of TPG Angelo Gordon. The Company does not have any employees. The Manager has delegated to TPG Angelo Gordon the overall responsibility of its day-to-day duties and obligations arising under the Company’s management agreement. Below is a description of the fees and reimbursements provided in the management agreement. On November 1, 2023, TPG completed the acquisition of TPG Angelo Gordon (the "TPG Transaction"), pursuant to which TPG Angelo Gordon, including the Manager, became indirect subsidiaries of TPG. Pursuant to the management agreement with the Manager, the closing of the TPG Transaction resulted in an assignment of the management agreement. The independent directors of the Company's Board of Directors unanimously consented to such assignment on July 31, 2023 in advance of the TPG Transaction closing. There were no changes to the management agreement in connection with the TPG Transaction and the assignment of the management agreement became effective upon the closing of the TPG Transaction. In connection with the Merger with WMC, which was completed on December 6, 2023, and contemporaneously with the execution of the Merger Agreement, on August 8, 2023, the Company and the Manager entered into the MITT Management Agreement Amendment, pursuant to which (i) the Manager’s base management fee will be reduced by $ 0.6 million for the first four quarters following the Effective Time, beginning with the fiscal quarter in which the Effective Time occurs (i.e., resulting in an aggregate $ 2.4 million waiver of base management fees), and (ii) the Manager will waive its right to seek reimbursement from the Company for any expenses otherwise reimbursable by the Company under the management agreement in an amount equal to approximately $ 1.3 million, which is the excess of $ 7.0 million over the aggregate Per Share Additional Manager Consideration paid by the Manager to the holders of WMC Common Stock under the Merger Agreement. The MITT Management Agreement Amendment became effective automatically upon the closing of the Merger. Management fee The Manager is entitled to a management fee equal to 1.50 % per annum, calculated and paid quarterly, of the Company’s Stockholders’ Equity. For purposes of calculating the management fee, "Stockholders’ Equity" means the sum of the net proceeds from any issuances of equity securities (including preferred securities) since inception (allocated on a pro rata daily basis for such issuances during the fiscal quarter of any such issuance, and excluding any future equity issuance to the Manager), plus the Company’s retained earnings at the end of such quarter (without taking into account any non-cash equity compensation expense or other non-cash items incurred in current or prior periods), less any amount that the Company pays for repurchases of its common stock, excluding any unrealized gains, losses or other non-cash items that have impacted stockholders’ equity as reported in the Company’s financial statements prepared in accordance with GAAP, regardless of whether such items are included in other comprehensive income or loss, or in net income, and excluding one-time events pursuant to changes in GAAP, and certain other non-cash charges after discussions between the Manager and the Company’s independent directors and after approval by a majority of the Company’s independent directors. Stockholders’ Equity, for purposes of calculating the management fee, could be greater or less than the amount of stockholders’ equity shown on the Company’s financial statements. The below table details the management fees incurred during the years ended December 31, 2024 and 2023 (in thousands). Years Ended Consolidated statements of operations line item: December 31, 2024 December 31, 2023 Management fee to affiliate (1) $ 7,533 $ 7,711 (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. The management fee payable is included within the "Due to affiliates" item within the "Other liabilities" line item on the consolidated balance sheets. 128 AG Mortgage Investment Trust Inc. and Subsidiaries Notes to Consolidated Financial Statements Incentive fee The Manager is entitled to an annual incentive fee with respect to each applicable fiscal year, which will be equal to 15 % of the amount by which the Company's cumulative adjusted net income from November 22, 2021 exceeds the cumulative hurdle amount, which represents an 8 % return (cumulative, but not compounding) on an equity hurdle base consisting of the sum of (i) $ 341.5 million and (ii) the gross proceeds of any subsequent public or private common stock offerings by the Company. The annual incentive fee will be payable in cash, or, at the option of the Company's Board of Directors, shares of common stock or a combination of cash and shares. During the years ended December 31, 2024 and 2023, the Company did no t incur any incentive fee expense. Termination fee Upon the occurrence of (i) the Company’s termination of the management agreement without cause or (ii) the Manager’s termination of the management agreement upon a breach by the Company of any material term of the management agreement, the Manager will be entitled to a termination fee equal to three times the average annual management fee during the 24-month period prior to such termination, calculated as of the end of the most recently completed fiscal quarter. As of December 31, 2024 and 2023, no event of termination of the management agreement had occurred. Expense reimbursement The Company is required to reimburse the Manager or its affiliates for operating expenses which are incurred by the Manager or its affiliates on behalf of the Company, including expenses relating to legal, accounting, due diligence, and other services. The Company’s reimbursement obligation is not subject to any dollar limitation; however, the reimbursement is subject to an annual budget process which combines guidelines from the management agreement with oversight by the Company’s Board of Directors. The Company reimburses the Manager or its affiliates for the Company’s allocable share of the compensation, including, without limitation, annual base salary, bonus, any related withholding taxes, and employee benefits paid to (i) the Company’s chief financial officer based on the percentage of time spent on Company affairs, (ii) the Company’s general counsel based on the percentage of time spent on the Company’s affairs, and (iii) other corporate finance, tax, accounting, internal audit, legal, risk management, operations, compliance, and other non-investment personnel of the Manager and its affiliates who spend all or a portion of their time managing the Company’s affairs based upon the percentage of time devoted by such personnel to the Company’s affairs. In their capacities as officers or personnel of the Manager or its affiliates, they devote such portion of their time to the Company’s affairs as is necessary to enable the Company to operate its business. The below table details the expense reimbursement incurred during the years ended December 31, 2024 and 2023 (in thousands). Years Ended Consolidated statements of operations line item: December 31, 2024 December 31, 2023 Non-investment related expenses (1) $ 5,715 $ 5,095 Investment related expenses 477 467 Transaction related expenses 608 896 Expense reimbursements to Manager or its affiliates $ 6,800 $ 6,458 (1) For the years ended December 31, 2024 and 2023, the Manager agreed to waive its right to receive expense reimbursements of $ 1.1 million and $ 1.7 million, respectively. As of December 31, 2024 and 2023, the Company recorded a reimbursement payable to the Manager or its affiliates of $ 1.7 million and $ 1.5 million, respectively. The reimbursement payable to the Manager or its affiliates is included within the "Due to affiliates" item within the "Other liabilities" line item on the consolidated balance sheets. Investments in debt and equity of affiliates The Company invests in credit sensitive residential assets through affiliated entities which hold an ownership interest in the assets. The Company is one investor, amongst other investors managed by affiliates of TPG Angelo Gordon, in such entities and has applied the equity method of accounting for such investments. 129 AG Mortgage Investment Trust Inc. and Subsidiaries Notes to Consolidated Financial Statements Arc Home On December 9, 2015, the Company, alongside private funds managed by TPG Angelo Gordon, through AG Arc, one of the Company’s indirect affiliates, formed Arc Home. The Company has an approximate 44.6 % interest in AG Arc. Arc Home originates residential mortgage loans and retains the mortgage servicing rights associated with certain loans it originates. Arc Home is led by an external management team. The Company has chosen to make a fair value election with respect to its investment in AG Arc pursuant to ASC 825. The Company elected to treat its investment in AG Arc as a taxable REIT subsidiary. MATH On August 29, 2017, the Company, alongside private funds managed by TPG Angelo Gordon, formed MATH to conduct a residential mortgage investment strategy. MATH in turn sponsored the formation of Mortgage Acquisition Trust I LLC ("MATT") to purchase predominantly Non-QM Loans. MATT made an election to be treated as a REIT beginning with the 2018 tax year. As of December 31, 2024, the Company has an approximate 47.0 % interest in MATH. Refer to the "MATH Transaction" section below for additional details on the Company's increase in ownership interest during 2023. As of December 31, 2024, 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. LOTS 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 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"). During the year ended December 31, 2023, the Land Related Financing assets held within LOTS paid off in full. 130 AG Mortgage Investment Trust Inc. and Subsidiaries Notes to Consolidated Financial Statements Summary of investments in debt and equity of affiliates and related earnings The below table summarizes the components of the "Investments in debt and equity of affiliates" line item on the Company's consolidated balance sheets as of December 31, 2024 and 2023 and the "Equity in earnings/(loss) from affiliates" line item on the Company's consolidated statements of operations for the years ended December 31, 2024 and 2023 (in thousands). December 31, 2024 December 31, 2023 Assets Liabilities Equity Net Income/(Loss) Assets Liabilities Equity Net Income/(Loss) Non-QM Securities (1) $ 13,304 $ — $ 13,304 $ 1,289 $ 15,257 $ — $ 15,257 $ 3,992 Land Related Financing — — — — — — — 758 Re/Non-Performing Securities 2,462 ( 588 ) 1,874 711 7,569 ( 3,605 ) 3,964 782 Residential investments - Fair value / Net income /(loss) $ 15,766 $ ( 588 ) $ 15,178 $ 2,000 $ 22,826 $ ( 3,605 ) $ 19,221 $ 5,532 AG Arc - Fair value / Net income/(loss) (2) 30,778 — 30,778 1,141 33,574 — 33,574 ( 6,922 ) Cash and Other assets/(liabilities) 910 ( 25 ) 885 — 2,361 ( 53 ) 2,308 — 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, 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 Transactions with Red Creek Asset Management LLC In connection with the Company’s investments in residential mortgage loans, the Company engages asset managers to provide advisory, consultation, asset management, and other services. The Company engaged Red Creek Asset Management LLC (the "Asset Manager"), a related party of the Manager and direct subsidiary of TPG Angelo Gordon, as the asset manager for certain of its residential mortgage loans. The Company pays the Asset Manager asset management fees which are assessed periodically by a third-party valuation firm. The below details the fees paid by the Company to the Asset Manager during the years ended December 31, 2024 and 2023 (in thousands). Years Ended December 31, 2024 December 31, 2023 Fees paid to Asset Manager $ 2,744 $ 2,833 As of December 31, 2024 and 2023, the Company recorded asset management fees payable of $ 0.2 million and $ 0.2 million, respectively. Asset management fees payable are included within the "Due to affiliates" item within the "Other liabilities" line item on the consolidated balance sheets. Transactions with Arc Home Arc Home may sell loans to the Company, third-parties, or affiliates of the Manager. The below table details the unpaid principal balance of Non-Agency Loans and Agency-Eligible Loans sold to the Company and private funds under the management of TPG Angelo Gordon during the years ended December 31, 2024 and 2023 (in thousands). Years Ended December 31, 2024 December 31, 2023 Residential mortgage loans sold by Arc Home to the Company $ 432,543 $ 674,955 Residential mortgage loans sold by Arc Home to private funds under the management of TPG Angelo Gordon 429,107 331,382 131 AG Mortgage Investment Trust Inc. and Subsidiaries Notes to Consolidated Financial Statements In connection with the sale of loans from Arc Home to the Company, the Company eliminates any intra-entity profits or losses typically recognized through the "Equity in earnings/(loss) from affiliates" line item on the Company's consolidated statement of operations and adjusts the cost basis of the underlying loans resulting in unrealized gains or losses on the underlying loans. The table below summarizes intra-entity profits eliminated during the years ended December 31, 2024 and 2023 (in thousands). Years Ended December 31, 2024 December 31, 2023 Intra-Entity Profits Eliminated $ 1,107 $ 1,442 As of December 31, 2022, the Company recorded a $ 0.5 million receivable from Arc Home related to certain loans purchased from Arc Home which was recorded within the "Other assets" line item on the consolidated balance sheets. The Company received payment for the full amount from Arc Home during the 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. Actual loan purchases are contingent upon successful loan closings. These commitments to purchase mortgage loans are classified as derivatives. From time to time, the Company may determine that certain loans it has previously committed to purchase will be sold to third parties and, as a result, the derivative will be settled on a net basis with Arc Home. See Note 7 and Note 12 for more detail. Transactions under the Company's Affiliated Transaction Policy The below table details transactions where the Company purchased or sold assets from or to an affiliate of the Manager ($ in millions). The transactions were executed in accordance with the Company's Affiliated Transaction Policy. Refer to the "Transactions with Arc Home" section above for additional information related to transactions with Arc Home, which are excluded from the table below. Date Transaction Fair Value (1) Pricing Methodology June 2023 Purchase of Real Estate Securities $ 0.3 Competitive bidding process (2) November 2023 Purchase of Real Estate Securities (4) 4.8 Third party pricing vendors (3) November 2023 Purchase of MATH (4) 0.9 Third party pricing vendors (3) (1) As of the transaction date. (2) The Company submitted an offer to purchase the securities from an affiliate 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. (4) Refer to the "MATH Transaction" below. MATH Transaction In November 2023, the Company's 44.6 % allocation of certain bonds retained from past securitizations and held through its investment in MATH was transferred directly to the Company and the Company purchased an additional 13.1 % of these bonds from other funds managed by TPG Angelo Gordon who were invested in MATH alongside the Company. These bonds are currently recorded in the Company's "Real estate securities, at fair value" line item on the consolidated balance sheets. Additionally, the Company purchased an additional interest in MATH from other funds managed by TPG Angelo Gordon, increasing its ownership interest in MATH from 44.6 % to 47.0 %. Subsequent to this transaction, MATH, through its wholly owned subsidiary MATT, only holds risk-retention tranches from past securitizations which continue to pay down and the Company does not expect MATT to acquire additional investments. 11. Equity Stock repurchase programs 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. 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 132 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 year ended December 31, 2023. The Company did no t repurchase common stock during the year ended December 31, 2024. 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) 2023 March 31, 2023 923,261 $ 5.68 923,261 $ 2,569,940 June 30, 2023 187,020 5.93 187,020 1,461,810 September 30, 2023 — — — 1,461,810 December 31, 2023 — — — 1,461,810 2023 Total 1,110,281 $ 5.72 1,110,281 $ 1,461,810 (1) Based on trade date. (2) Includes brokerage commissions and clearing fees. On May 4, 2023, the Company's Board of Directors authorized a stock repurchase program (the "2023 Repurchase Program") to repurchase up to $ 15.0 million of the Company’s outstanding common stock on substantially the same terms as the 2022 Repurchase Program. As of December 31, 2024, the full $ 15.0 million authorized amount remains available for repurchase under the 2023 Repurchase Program. This authorization is in addition to the amount remaining under the 2022 Repurchase Program. On February 22, 2021, the Company's Board of Directors authorized a stock repurchase program (the "Preferred Repurchase Program") pursuant to which the Company's Board of Directors granted a repurchase authorization to acquire shares of its Series A Preferred Stock, Series B Preferred Stock, and Series C Preferred Stock having an aggregate value of up to $ 20.0 million. No share repurchases under the Preferred Repurchase Program have been made since its authorization. Shares of stock repurchased by the Company under any repurchase program, if any, will be cancelled and, until reissued by the Company, will be deemed to be authorized but unissued shares of its stock as required by Maryland law. The cost of the 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 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, 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. On December 6, 2023, in connection with the WMC acquisition, the Company granted an aggregate 25,962 restricted stock units to the Company's two independent directors added to the Company's Board of Directors who previously served on WMC's board of directors. Through 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. 133 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. 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, 2024, there were no shares or awards issued under the 2021 Manager Plan. Following the execution of the Third Amendment to the management agreement in November 2021 related to the incentive fee, the Company's compensation committee no longer expects to continue its historical practice of making periodic equity grants to the Manager pursuant to the 2021 Manager Equity Incentive Plan. 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 annual base director's fee for each independent director is $ 150,000 , $ 70,000 of which is payable on a quarterly basis in cash and $ 80,000 of which is payable on a quarterly basis in shares of restricted common stock. The number of shares of restricted common stock to be issued each quarter to each independent director is determined based on the average of the high and low prices of the Company’s common stock on the New York Stock Exchange on the last trading day of each fiscal quarter. To the extent that any fractional shares would otherwise be issuable and payable to each independent director, a cash payment is made to each independent director in lieu of any fractional shares. All directors’ fees are paid pro rata (and restricted common stock grants determined) on a quarterly basis in arrears, and shares issued are fully vested and non-forfeitable. These shares may not be sold or transferred by such director during the time of their service as an independent member of the Company’s Board 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. 134 AG Mortgage Investment Trust Inc. and Subsidiaries Notes to Consolidated Financial Statements Equity distribution agreements 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 March 26, 2024, the Company filed a new shelf registration statement, registering up to $ 1.0 billion of its securities, including capital stock (the "2024 Registration Statement"). The 2024 Registration Statement was declared effective on April 9, 2024 and will generally remain effective for three years . Upon effectiveness of the 2024 Registration Statement, the Company's previous S-3 registration statement filed in 2021 was terminated. Preferred stock The Company is authorized to designate and issue up to 50.0 million shares of preferred stock, par value $ 0.01 per share, in one or more classes or series. As of December 31, 2024 and 2023, there were 1.7 million, 3.7 million, and 3.7 million of Series A Preferred Stock, Series B Preferred Stock, and Series C Preferred Stock, respectively, issued and outstanding. The following table includes a summary of preferred stock issued and outstanding as of December 31, 2024 ($ and shares in thousands). Preferred Stock Series Issuance Date Shares Outstanding Carrying Value Aggregate Liquidation Preference (1) Optional Redemption Date (2) Rate (3) Series A Preferred Stock August 3, 2012 1,663 $ 40,110 $ 41,580 August 3, 2017 8.25 % Series B Preferred Stock September 27, 2012 3,728 90,187 93,191 September 17, 2017 8.00 % Series C Preferred Stock September 17, 2019 3,729 90,175 93,220 September 17, 2024 (4) Total 9,120 $ 220,472 $ 227,991 (1) The Company's Preferred Stock has a liquidation preference of $ 25.00 per share. (2) Shares have no stated maturity and are not subject to any sinking fund or mandatory redemption. 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. (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 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 135 AG Mortgage Investment Trust Inc. and Subsidiaries Notes to Consolidated Financial Statements 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. 12. Commitments and Contingencies From time to time, the Company may become involved in various claims and legal actions arising in the ordinary course of business. As of December 31, 2024, the Company was not involved in any material legal proceedings. The below table details the Company's outstanding commitments as of December 31, 2024 (in thousands). Commitment Type Date of Commitment Total Commitment Funded Commitment Remaining Commitment 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. 13. 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. 136 AG Mortgage Investment Trust Inc. and Subsidiaries Notes to Consolidated Financial Statements 14. Investments in unconsolidated equity method affiliates The following table details the summarized balance sheets for the Company’s unconsolidated ownership interests in affiliates accounted for using the equity method as of December 31, 2024 and 2023 (in thousands). December 31, 2024 December 31, 2023 AG Arc (1) Non-QM Securities (2) Re/Non-Performing Securities (3) Total Assets Loans and real estate securities, at fair value $ 427,345 $ 28,307 $ 10,864 $ 466,516 $ 218,399 Mortgage servicing rights, at fair value (4) 2,080 — — 2,080 84,980 Cash and cash equivalents 17,211 1,265 671 19,147 20,326 Restricted cash 597 — — 597 337 Other assets (5) 26,220 477 7 26,704 38,974 Total Assets $ 473,453 $ 30,049 $ 11,542 $ 515,044 $ 363,016 Liabilities Financing arrangements $ 385,335 $ — $ 2,594 $ 387,929 $ 185,386 Other liabilities (5) 19,072 87 42 19,201 45,531 Total Liabilities 404,407 87 2,636 407,130 230,917 Total Members' Equity Total Member's equity 69,046 29,962 8,906 107,914 132,099 Total Liabilities & Members' Equity $ 473,453 $ 30,049 $ 11,542 $ 515,044 $ 363,016 The Company's Investments in debt and equity of affiliates $ 30,778 $ 14,043 $ 2,020 $ 46,841 $ 55,103 (1) As of December 31, 2024, the Company has an approximate 44.6 % interest in AG Arc. (2) As of December 31, 2024, the Company has an approximate 47.0 % interest in MATH. (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). When Arc Home determines there is more than a trivial benefit to repurchase the loans, it records the loans on its consolidated balance sheets as an asset and a corresponding liability. As of December 31, 2024 and 2023, Other assets and Other liabilities included loans eligible to be repurchased in the amount of $ 1.7 million and $ 31.5 million, respectively. 137 AG Mortgage Investment Trust Inc. and Subsidiaries Notes to Consolidated Financial Statements The following table details the summarized statements of operations for the Company’s unconsolidated ownership interests in affiliates accounted for using the equity method for the years ended December 31, 2024 and 2023 (in thousands). Years Ended December 31, 2024 December 31, 2023 AG Arc (1) Non-QM Securities (2) Re/Non-Performing Securities (3) Total Net Interest Income Interest income $ 18,709 $ 5,547 $ 4,084 $ 28,340 $ 27,567 Interest expense 18,335 — 1,151 19,486 15,687 Total Net Interest Income 374 5,547 2,933 8,854 11,880 Other Income/(Loss) Net realized gain/(loss) 21,901 — 420 22,321 5,332 Net unrealized gain/(loss) (4) 12,083 ( 2,427 ) — 9,656 ( 1,810 ) Other income/(loss), net (5) 15,834 — 40 15,874 24,490 Total Other Income 49,818 ( 2,427 ) 460 47,851 28,012 Expenses 45,133 367 255 45,755 38,089 Net Income/(Loss) $ 5,059 $ 2,753 $ 3,138 $ 10,950 $ 1,803 The Company's Equity in earnings/(loss) from affiliates $ 1,141 $ 1,289 $ 711 $ 3,141 $ ( 1,390 ) (1) The Company has an approximate 44.6 % interest in AG Arc. The Company's equity in earnings/(loss) from AG Arc does not include $ 1.1 million and $ 1.4 million of gains recorded by Arc Home in connection with the sale of residential mortgage loans to the Company for the years ended December 31, 2024 and 2023, respectively. Refer to Note 2 and Note 10 for more information on this accounting policy. (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 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. Refer to Note 2 and Note 10 for more detail on the Company’s investments in unconsolidated equity method affiliates. 15. Subsequent Events 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. 138 ITEM 9. CHANGES IN AND DISAGREEMENTS WITH ACCOUNTANTS ON ACCOUNTING AND FINANCIAL DISCLOSURE None.