What changed in this filing

/stocks — the workspaceLOADING

Item 1. Financial Statements

2025-05-07 compared with 2024-11-06 · 424 added, 720 removed, 931 unchanged (55% of the section changed)

4 unchanged sentences

(in thousands, except per share data)

September 30, 2024 December 31, 2023

March 31, 2025 December 31, 2024

Securitized residential mortgage loans, at fair value - $ 708,079 and $ 705,294 pledged as collateral, respectively (1)

14 unchanged sentences

Senior unsecured notes 95,898 95,721

Convertible senior unsecured notes — 85,266

Dividend payable 5,932 5,632

6 unchanged sentences

Common stock, par value $ 0.01 per share;

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

450,000 shares of common stock authorized and 29,659 and 29,640 shares issued and outstanding at March 31, 2025 and December 31, 2024, respectively

Additional paid-in capital 824,587 824,380

11 unchanged sentences

(in thousands, except per share data)

Three Months Ended Nine Months Ended

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

Three Months Ended

March 31, 2025 March 31, 2024

Net Interest Income

28 unchanged sentences

Consolidated Statements of Stockholders’ Equity (Unaudited)

(in thousands)

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

Common Stock Preferred

Stock Additional

Paid-in Capital Retained

Earnings/(Deficit)

Shares Amount Total

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

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

Common dividends declared — — — — ( 5,604 ) ( 5,604 )

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

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

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

Common Stock Preferred

Stock Additional

Paid-in Capital Retained

Earnings/(Deficit)

Shares Amount Total

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

Grant of restricted stock 14 — — 87 — 87

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

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

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

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

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

(in thousands, except per share data)

For the Three Months Ended March 31, 2025 and March 31, 2024

Common Stock Preferred

5 unchanged sentences

Grant of restricted stock and amortization of equity based compensation 19 1 — 207 — 208

Common dividends declared — — — — ( 16,505 ) ( 16,505 )

Common dividends declared ($ 0.20 per share)

— — — — ( 5,932 ) ( 5,932 )

Preferred dividends declared (1) — — — — ( 5,306 ) ( 5,306 )

Net Income/(Loss) — — — — 11,477 11,477

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

Balance at March 31, 2025 29,659 $ 297 $ 220,472 $ 824,587 $ ( 501,486 ) $ 543,870

Common Stock Preferred

4 unchanged sentences

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

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

Grant of restricted stock 45 1 — 260 — 261

Common dividends declared — — — — ( 10,960 ) ( 10,960 )

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

Common dividends declared ($ 0.18 per share)

— — — — ( 5,301 ) ( 5,301 )

Preferred dividends declared (2) — — — — ( 4,586 ) ( 4,586 )

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

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

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

(1) Dividends totaling $ 0.51563 , $ 0.50 , and $ 0.693062 per share of Series A Preferred Stock, Series B Preferred Stock, and Series C Preferred Stock outstanding were declared, respectively.

(2) Dividends totaling $ 0.51563 , $ 0.50 , and $ 0.50 per share of Series A Preferred Stock, Series B Preferred Stock, and Series C Preferred Stock outstanding were declared, respectively.

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

3 unchanged sentences

(in thousands)

Nine Months Ended

September 30, 2024 September 30, 2023

Three Months Ended

March 31, 2025 March 31, 2024

Cash Flows from Operating Activities

14 unchanged sentences

Purchases of real estate securities ( 26,064 ) ( 127,991 )

Investments in debt and equity of affiliates — ( 4,107 )

Proceeds from sales of residential mortgage loans 20,428 —

9 unchanged sentences

Cash Flows from Financing Activities

Repurchase of common stock — ( 6,352 )

Net borrowings under (repayments of) financing arrangements 67,868 ( 30,295 )

2 unchanged sentences

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

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

Deferred financing costs paid ( 9 ) ( 142 )

1 unchanged sentence

Principal repayments on securitized debt ( 171,109 ) ( 124,596 )

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

Dividends paid on common stock ( 5,632 ) ( 1,472 )

1 unchanged sentence

Net cash provided by (used in) financing activities 293,377 227,320

Nine Months Ended

September 30, 2024 September 30, 2023

Net change in cash and cash equivalents and restricted cash ( 9,351 ) ( 8,939 )

1 unchanged sentence

Cash and cash equivalents and restricted cash, End of Period $ 129,217 $ 116,634

Three Months Ended

March 31, 2025 March 31, 2024

Supplemental disclosure of cash flow information:

Cash paid for interest on financing arrangements and securitized debt $ 230,581 $ 133,716

Cash paid for income taxes $ 141 $ 225

Cash paid for interest $ 84,764 $ 72,178

Cash paid for taxes $ 71 $ 121

Supplemental disclosure of non-cash financing and investing activities:

3 unchanged sentences

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

September 30, 2024 September 30, 2023

March 31, 2025 March 31, 2024

Cash and cash equivalents $ 115,549 $ 100,287

5 unchanged sentences

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2024

March 31, 2025

AG Mortgage Investment Trust, Inc.

2 unchanged sentences

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

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

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.

8 unchanged sentences

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

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

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

Agency-Eligible Loans (1)

9 unchanged sentences

GSEs or agencies of the U.S.

Non-Agency RMBS are primarily secured by Non-Agency, Agency-Eligible, and Home Equity Loans.

Agency RMBS (2)

2 unchanged sentences

Legacy WMC Commercial Investments (3)

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

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

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

2 unchanged sentences

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2024

March 31, 2025

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

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

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

(3) These 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.

3 unchanged sentences

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

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

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

All intercompany balances and transactions have been eliminated in consolidation.

WMC Acquisition

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

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

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

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

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

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

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

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

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

Pursuant to the previously disclosed amendment to the Company's management agreement, dated as of August 8, 2023, by and between MITT and the Manager (the "MITT Management Agreement Amendment"), which became effective on the Closing Date and amends the existing management agreement, dated as of June 29, 2011 (as amended, the "Existing MITT Management Agreement"), (i) the Manager will waive its right to seek reimbursement from MITT for any expenses otherwise reimbursable by MITT under the Existing MITT Management Agreement in an amount equal to approximately $ 1.3 million, which is the excess of $ 7.0 million over the aggregate Per Share Additional Manager Consideration paid by the Manager to the holders of WMC Common Stock under the Merger Agreement, and (ii) the Manager’s base management fee will be reduced by $ 0.6 million for the first four quarters following the Effective Time, beginning with the fiscal quarter in which the Effective Time occurred (i.e., resulting in an aggregate $ 2.4 million waiver of base management fees).

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

Christian Mitchell and Lisa G.

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

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2024

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

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

Purchase Price Allocation

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

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

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

Consideration

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

Exchange Ratio 1.498

Shares of MITT Common Stock Issued 9,202

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

MITT Total Consideration (2) $ 51,163

Securitized residential mortgage loans (3) $ 971,781

Residential mortgage loans (3) 6,046

Commercial loans 78,459

Non-Agency RMBS 48,200

Other securities 1,159

Agency RMBS 745

Cash and cash equivalents 5,316

Restricted cash 873

Other assets 24,654

Total Assets $ 1,193,534

Securitized debt $ 837,317

Financing arrangements 171,170

Convertible senior unsecured notes 85,172

Other liabilities 18,522

Total Liabilities $ 1,112,181

Net Assets Acquired $ 81,353

Bargain purchase gain $ 30,190

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

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2024

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

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

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

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

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

however, actual results may differ from these estimates.

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

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

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

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

The Company incurred transaction costs of $ 4.9 million and $ 1.1 million during the third and fourth quarters of 2023, respectively, which were included in the "Transaction related expenses" line item in the consolidated statements of operations.

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

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

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

Unaudited Supplemental Pro Forma Financial Information

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

Nine months ended September 30, 2023

Interest income $ 239,249

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

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

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

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.

Summary of significant accounting policies

3 unchanged sentences

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

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2024

Significant accounting policies

5 unchanged sentences

Investment consolidation

An entity is a 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.

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.

3 unchanged sentences

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.

If the Company determines that

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

March 31, 2025

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.

10 unchanged sentences

See Note 3 for more detail regarding the Non-Agency VIEs and RPL/NPL VIEs and Note 5 for more detail related to the Company's determination of fair value for the assets and liabilities included within these VIEs.

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

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2024

Debt issuance costs

Debt issuance costs are costs incurred by the Company in connection with the issuance of Senior Unsecured Notes (as defined below) 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.

March 31, 2025

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."

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 nine months ended September 30, 2024 did not have a material impact on the consolidated financial statements.

Segment reporting

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

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

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

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

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

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 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.

Expense disaggregation

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

Clarifying the Effective Date".

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

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

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

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2024

March 31, 2025

Residential mortgage loans

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

The tables below detail information regarding the Company’s residential mortgage loan portfolio as of March 31, 2025 and December 31, 2024 ($ in thousands).

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

Unpaid Principal Balance Gross Unrealized Weighted Average

September 30, 2024

March 31, 2025

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

9 unchanged sentences

Total Residential mortgage loans, at fair value $ 255,501 $ 5,885 $ 261,386 $ 7,927 $ ( 75 ) $ 269,238 9.76 % 9.16 % 3.98

Total as of September 30, 2024

Total as of March 31, 2025

$ 7,054,653 $ 8,421 $ 7,063,074 $ 68,193 $ ( 319,786 ) $ 6,811,481 5.78 % 5.81 % 7.74

8 unchanged sentences

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

3 unchanged sentences

$ 6,781,862 $ ( 4,606 ) $ 6,777,256 $ 32,389 $ ( 391,750 ) $ 6,417,895 5.62 % 5.79 % 7.93

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

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

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

(1) The weighted average yields are calculated based on the amortized cost of the underlying loans.

(2) This is based on projected life.

3 unchanged sentences

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

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

Refer to Note 13 for additional details.

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2024

March 31, 2025

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

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

September 30, 2024

March 31, 2025

Current 30-59 Days 60-89 Days 90+ Days (2)

9 unchanged sentences

Total Residential mortgage loans $ 255,501 2,749 $ 253,503 $ — $ — $ 193

Total as of September 30, 2024

Total as of March 31, 2025

$ 7,054,653 20,702 $ 6,799,728 $ 106,855 $ 39,880 $ 106,385

8 unchanged sentences

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

4 unchanged sentences

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

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

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

As of September 30, 2024 and December 31, 2023, 10.2 % and 12.0 %, respectively, of the unpaid principal balance of the Company's securitized residential mortgage loans and residential mortgage loans were adjustable rate mortgages.

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

Three Months Ended Nine Months Ended

September 30, 2024

September 30, 2023

September 30, 2024

September 30, 2023

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

(2) Represents loans that either have a delinquency status greater than 90 days or are in the process of foreclosure.

As of March 31, 2025, the $ 106.4 million of unpaid principal balance included securitized residential mortgage loans and residential mortgage loans that were 90+ days delinquent with a fair value of $ 43.0 million and loans in the process of foreclosure with a fair value of $ 58.6 million.

As of December 31, 2024, the $ 116.6 million of unpaid principal balance included 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 March 31, 2025 and December 31, 2024, 8.7 % and 9.6 %, respectively, of the unpaid principal balance of the Company's securitized residential mortgage loans and residential mortgage loans were adjustable rate mortgages.

During the three months ended March 31, 2025 and 2024, the Company purchased residential mortgage loans, as detailed below (in thousands).

Three Months Ended

March 31, 2025

March 31, 2024

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

Agency-Eligible Loans $ 361,538 $ 366,768 $ 268,086 $ 271,084

6 unchanged sentences

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2024

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

Three Months Ended Nine Months Ended

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

September 30, 2024

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

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

September 30, 2023

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

March 31, 2025

During the three months ended March 31, 2025, the Company sold residential mortgage loans as detailed below ($ in thousands).

The Company did not sell any residential mortgage loans during the three months ended March 31, 2024.

Three Months Ended March 31, 2025

Number of Loans Proceeds Realized Gains Realized Losses

Non-Agency Loans 21 $ 11,336 $ 341 $ ( 1,152 )

Re- and Non-Performing Loans 88 9,092 832 ( 1,149 )

Total 109 $ 20,428 $ 1,173 $ ( 2,301 )

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

The following is a summary of the geographic concentration of credit risk as of September 30, 2024 and December 31, 2023 and includes states where the exposure is greater than 5% of the fair value of the Company's residential mortgage loan portfolio.

Geographic Concentration of Credit Risk (1) September 30, 2024 December 31, 2023

The following is a summary of the geographic concentration of credit risk as of March 31, 2025 and December 31, 2024 and includes states where the exposure is greater than 5% of the fair value of the Company's residential mortgage loan portfolio.

Geographic Concentration of Credit Risk (1) March 31, 2025 December 31, 2024

California 34 % 35 %

3 unchanged sentences

New Jersey 5 % 5 %

Other 35 % 32 %

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

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

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.

1 unchanged sentence

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

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

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

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

2 unchanged sentences

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2024

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

September 30, 2024 December 31, 2023

March 31, 2025

The following table details certain information related to the assets and liabilities of the Non-Agency VIEs as of March 31, 2025 and December 31, 2024 ($ in thousands).

March 31, 2025 December 31, 2024

Carrying Value Weighted Average Carrying Value Weighted Average

7 unchanged sentences

Total Equity (5) $ 673,923 $ 661,921

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

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

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

(1) The weighted average yields are calculated based on the amortized cost of the underlying loans or securities.

(2) This is based on projected life.

4 unchanged sentences

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

(5) As of September 30, 2024 and December 31, 2023, the Company had outstanding financing arrangements of $ 364.6 million and $ 301.2 million, respectively, collateralized by $ 661.5 million and $ 578.8 million of the Company's retained interests in the Non-Agency VIEs, respectively.

(5) As of March 31, 2025 and December 31, 2024, the Company had outstanding financing arrangements of $ 393.4 million and $ 370.9 million, respectively, collateralized by $ 666.3 million and $ 654.3 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.

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2024

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

September 30, 2024 December 31, 2023

The following table details certain information related to the assets and liabilities of the RPL/NPL VIEs as of March 31, 2025 and December 31, 2024 ($ in thousands).

March 31, 2025 December 31, 2024

Carrying Value Weighted Average Carrying Value Weighted Average

8 unchanged sentences

Total Equity (4) $ 44,952 $ 54,303

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

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

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

(1) The weighted average yields are calculated based on the amortized cost of the underlying loans or securities.

(2) This is based on projected life.

3 unchanged sentences

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

(4) As of September 30, 2024 and December 31, 2023, the Company had outstanding financing arrangements of $ 42.7 million and $ 44.9 million, respectively, collateralized by $ 66.3 million and $ 67.1 million of the Company's retained interests in the RPL/NPL VIEs, respectively.

(4) As of March 31, 2025 and December 31, 2024, the Company had outstanding financing arrangements of $ 27.4 million and $ 31.8 million, respectively, collateralized by $ 41.8 million and $ 51.0 million of the Company's retained interests in the RPL/NPL VIEs, respectively.

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

Revolving Mortgage Investment Trust 2015-1QR2

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

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

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

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

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

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

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2024

March 31, 2025

Legacy WMC Commercial loans

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

The tables below detail information regarding the Company's Legacy WMC Commercial loan portfolio as of March 31, 2025 and December 31, 2024 ($ in thousands).

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

September 30, 2024 Premium /

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

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

March 31, 2025 Premium /

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

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

Loan A (8) $ 7,259 $ ( 29 ) $ 7,230 $ — $ ( 242 ) $ 6,988 8.52 % 10.29 % 0.25 5/6/2025 61.63 % IL, FL

4 unchanged sentences

December 31, 2024 Premium /

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

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

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

Loan (1)(2)(3) Unpaid Principal Balance Gains Losses 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

6 unchanged sentences

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

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

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

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

Refer to Note 14 for additional details regarding Loan A, Loan B, and Loan C.

(4) The weighted average yields are calculated based on the amortized cost of the underlying loans.

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

1 unchanged sentence

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

Refer to Note 14 for additional details regarding Loan A, Loan B, and Loan C.

(7) Represents the LTV at acquisition.

5 unchanged sentences

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2024

March 31, 2025

Real Estate Securities

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

The following tables detail the Company’s real estate securities portfolio as of March 31, 2025 and December 31, 2024 ($ in thousands).

The Company’s real estate securities include its interest in VIEs in which the Company has concluded that it is not the primary beneficiary and, as a result, did not consolidate the VIEs.

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

1 unchanged sentence

Amortized Cost Gross Unrealized Fair Value (1) Weighted Average

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

March 31, 2025 Gains Losses Coupon (2) Yield (3) Life

Non-Agency RMBS

7 unchanged sentences

Legacy WMC CMBS (8) 100,865 ( 40,779 ) 60,086 3,523 ( 9,318 ) 54,291 7.43 % 17.15 % 1.61

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

Agency RMBS Interest Only (6) N/A N/A 18,299 179 ( 458 ) 18,020 4.25 % 9.85 % 6.14

Total as of September 30, 2024

Total as of March 31, 2025

$ 246,790 $ ( 48,983 ) $ 230,290 $ 8,557 $ ( 13,946 ) $ 224,901 4.44 % 10.96 % 5.04

11 unchanged sentences

Legacy WMC CMBS (8) 100,896 ( 41,879 ) 59,017 2,577 ( 8,809 ) 52,785 5.13 % 16.74 % 1.77

Legacy WMC Other Securities (7) N/A N/A 1,174 — ( 18 ) 1,156 N/A 18.16 % 7.33

Agency RMBS Interest Only (6) N/A N/A 20,517 908 ( 429 ) 20,996 4.32 % 10.35 % 6.55

Total as of December 31, 2024 $ 224,214 $ ( 49,774 ) $ 207,992 $ 8,795 $ ( 15,427 ) $ 201,360 3.62 % 11.58 % 5.20

$ 229,642 $ ( 82,605 ) $ 168,582 $ 5,251 $ ( 11,012 ) $ 162,821 3.54 % 14.01 % 6.37

(1) The fair value of the securities held from unconsolidated VIEs represents the Company’s maximum loss exposure in unconsolidated VIEs.

The Company has no obligation to provide any other explicit or implicit support to unconsolidated VIEs.

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

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

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

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

(3) The weighted average yields are calculated based on the amortized cost of the underlying securities.

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

1 unchanged sentence

(5) 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.

These securities were retained from rated Non-QM Loan securitizations the Company participated in alongside private funds managed by TPG Angelo Gordon.

The Company’s interest in the retained tranches represents its continuing involvement in these securitization trusts.

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

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

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

As of March 31, 2025, the notional balance of the GCAT Non-Agency RMBS Interest Only, Non-Agency RMBS Interest Only and Agency RMBS Interest Only line items were $ 81.9 million, $ 257.5 million and $ 93.1 million, respectively.

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

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

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

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2024

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

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

March 31, 2025

(7) For certain non-Agency RMBS, the Company acted as a co-sponsor alongside an unrelated third party of rated securitizations.

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 and represents the Company’s continuing involvement in these securitization trusts.

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

As of March 31, 2025, the Company’s Non-Agency Securities and Non-Agency RMBS Interest Only includes $ 71.3 million and $ 2.8 million, respectively, of retained securities from these transactions.

As of December 31, 2024, the Company’s Non-Agency Securities and Non-Agency RMBS Interest Only includes $ 47.3 million and $ 0.9 million, respectively, of retained securities from these transactions.

(8) As of March 31, 2025, there are Legacy WMC CMBS with an unpaid principal balance of $ 23.5 million and a fair value of $ 6.5 million which are on non-accrual or cost recovery status.

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.

The following tables summarize the Company's real estate securities according to their projected weighted average life classifications as of March 31, 2025 and December 31, 2024 (in thousands).

March 31, 2025 Non-Agency RMBS Legacy WMC CMBS Agency RMBS

Weighted Average Life (1)

Fair Value Amortized

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

Cost Fair Value Amortized Cost Fair Value Amortized

Less than or equal to one year $ 3,194 $ 2,746 $ 15,783 $ 21,186 $ — $ —

2 unchanged sentences

Greater than ten years 30,676 30,001 — — — —

Total as of September 30, 2024

Total as of March 31, 2025

$ 152,590 $ 151,905 $ 54,291 $ 60,086 $ 18,020 $ 18,299

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

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

Weighted Average Life (1)

Fair Value Amortized

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

Cost Fair Value Amortized Cost Fair Value Amortized

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

6 unchanged sentences

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

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

Three Months Ended Nine Months Ended

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

September 30, 2024

The Company sold real estate securities during the three months ended March 31, 2025 and 2024, as detailed below ($ in thousands).

Three Months Ended

Number of Securities Proceeds Realized Gains Realized Losses

March 31, 2025

Agency RMBS 1 $ 1,894 $ 241 $ —

Non-Agency RMBS 1 778 37 —

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

September 30, 2023

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

Unconsolidated variable interest entities

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.

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2024

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

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

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

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

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

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

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

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

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

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

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

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

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

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

(1) As of the date of the securitization.

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

September 30, 2024 December 31, 2023

Current Face Fair Value Current Face Fair Value

Retained interest in unconsolidated VIEs

GCAT Non-Agency Securities $ 43,794 $ 37,424 $ 43,794 $ 32,542

GCAT Non-Agency RMBS Interest Only (1) N/A 3,469 N/A 4,991

Non-Agency Securities 69,217 69,497 — —

Non-Agency RMBS Interest Only (1) N/A 781 — —

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

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

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

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

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

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

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

(3) As of September 30, 2024 and December 31, 2023, the Company held securities exposed to the first loss of the securitization with a fair value of $ 6.2 million and $ 4.1 million, respectively.

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

Assets transferred to unconsolidated VIEs:

September 30, 2024 December 31, 2023

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

Weighted average coupon on loans outstanding 6.81 % 5.67 %

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

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

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

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

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2024

March 31, 2024

Non-Agency RMBS 7 19,318 1,160 ( 409 )

Fair value measurements

10 unchanged sentences

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2024

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

Fair Value at September 30, 2024

March 31, 2025

The following tables present the Company’s financial instruments measured at fair value on a recurring basis as of March 31, 2025 and December 31, 2024 (in thousands).

Fair Value at March 31, 2025

Level 1 Level 2 Level 3 Total

4 unchanged sentences

Legacy WMC CMBS — 54,291 — 54,291

Legacy WMC Other Securities — — 998 998

Agency RMBS — 18,020 — 18,020

13 unchanged sentences

Legacy WMC CMBS — 52,785 — 52,785

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

Agency RMBS — 20,996 — 20,996

6 unchanged sentences

Total Liabilities Measured at Fair Value $ — $ ( 38 ) $ ( 5,492,303 ) $ ( 5,492,341 )

(1) As of September 30, 2024, the Company applied a reduction in fair value of $ 5.2 million and $ 2.9 million to its interest rate swap assets and liabilities, respectively, related to variation margin with a corresponding increase or decrease in restricted cash.

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

(1) As of March 31, 2025, the Company applied a reduction in fair value of $ 6.4 million and $ 2.2 million to its interest rate swap assets and liabilities, respectively, related to variation margin with a corresponding increase or decrease in restricted cash.

As of December 31, 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, net of collateral posted by the Company's derivative counterparties.

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

7 unchanged sentences

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2024

March 31, 2025

pricing services where available, valuation analyses from third-party pricing service providers, or model-based pricing.

2 unchanged sentences

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

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

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

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

2 unchanged sentences

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.

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

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.

13 unchanged sentences

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

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

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

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

The Company did not have any transfers of assets or liabilities between Levels 1 and 2 of the fair value hierarchy during the three months ended March 31, 2025 and 2024.

The Company did not have any transfers of assets or liabilities between Levels 2 and 3 of the fair value hierarchy during the three months ended March 31, 2025 and 2024.

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

5 unchanged sentences

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2024

March 31, 2025

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

Three Months Ended September 30, 2024

Three Months Ended March 31, 2025

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

Transfers (3):

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

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

Issuances of Securitized Debt — — — — — — — ( 355,794 ) —

Capital distributions — — — — — — ( 4,561 ) — —

Proceeds from sales or settlements ( 159,963 ) — — — — ( 802 ) — — 460

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

Principal funding 171 — — — — — — — —

Included in net income:

Net premium and discount amortization (4) 2,679 50 41 — ( 51 ) — — ( 7,334 ) —

Net realized gain/(loss) 1,144 — — — — 802 — — ( 460 )

Net unrealized gain/(loss) 193,094 72 3,215 ( 91 ) ( 159 ) ( 297 ) — ( 172,421 ) 535

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

Other (5) ( 223 ) — — — — — — — —

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

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

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

Net unrealized gain/(loss) 194,100 72 3,215 ( 91 ) ( 159 ) 146 — ( 172,421 ) ( 25 )

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

Three Months Ended September 30, 2023

Loans (1) Non-Agency

RMBS Derivative Assets (2) AG Arc Securitized

3 unchanged sentences

Issuances of Securitized Debt — — — — — ( 408,670 ) —

Capital distributions — — — ( 224 ) — —

Proceeds from sales or settlements ( 20,428 ) — — ( 258 ) — — 298

Principal repayments ( 187,597 ) — ( 1,094 ) — — 170,775 —

Principal funding 2,381 — — — — — —

Included in net income:

5 unchanged sentences

Ending Balance $ 6,809,796 $ 65,504 $ 141,118 $ — $ 32,242 $ ( 5,836,691 ) $ —

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

Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held as of March 31, 2025

Net premium and discount amortization (3) 1,830 270 ( 692 ) — — ( 6,807 ) —

1 unchanged sentence

Equity in earnings/(loss) from affiliates — — — — 1,464 — —

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

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

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

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

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

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2024

Nine Months Ended September 30, 2024

Three Months Ended March 31, 2024

Loans (1) Legacy WMC Commercial Loans Non-Agency

2 unchanged sentences

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

Transfers (3):

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

Purchases 287,617 — — — — — — — —

3 unchanged sentences

Principal repayments ( 140,625 ) — — — — — — 124,587 —

Principal funding 171 — — — — — — — —

Included in net income:

5 unchanged sentences

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

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

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

Net unrealized gain/(loss) 208,835 322 4,990 ( 5,097 ) ( 10 ) 149 — ( 188,779 ) ( 25 )

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

Nine Months Ended September 30, 2023

Loans (1) Non-Agency

RMBS 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 948,164 — — — — —

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

Capital distributions — — — ( 626 ) — —

Proceeds from sales or settlements ( 307,725 ) — ( 4,232 ) — — 2,505

Principal repayments ( 260,367 ) — — — 288,760 —

Included in net income:

Net premium and discount amortization (4) 2,014 ( 274 ) — — ( 8,862 ) —

Net realized gain/(loss) ( 11,109 ) — 4,232 — — ( 2,505 )

Net unrealized gain/(loss) ( 13,286 ) ( 147 ) 542 — 25,346 ( 1,649 )

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

Other (5) ( 3,665 ) — — — — —

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

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

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

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

1 unchanged sentence

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

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

(1) Includes Securitized residential mortgage loans.

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

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

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

3 unchanged sentences

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2024

The following table presents a summary of quantitative information about the significant unobservable inputs used in the fair value measurement of investments for which the Company has utilized Level 3 inputs to determine fair value as of September 30, 2024 and December 31, 2023 ($ in thousands).

September 30, 2024 December 31, 2023

March 31, 2025

The following table presents a summary of quantitative information about the significant unobservable inputs used in the fair value measurement of investments for which the Company has utilized Level 3 inputs to determine fair value as of March 31, 2025 and December 31, 2024 ($ in thousands).

March 31, 2025 December 31, 2024

Valuation Technique Unobservable Input Fair Value Range

37 unchanged sentences

10.00 % - 25.00 % ( 18.17 %)

Legacy WMC CMBS

Consensus Pricing Offered Quotes $ 636 6.06 - 6.06 ( 6.06 )

$ 5,796 55.20 - 55.20 ( 55.20 )

Legacy WMC Other Securities

Consensus Pricing Offered Quotes $ 998 5,883.06 - 5,883.06 ( 5,883.06 )

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

Derivative Assets (3)

Yield 6.04 % - 7.34 % ( 6.23 %)

6.29 % - 8.32 % ( 6.81 %)

Discounted Cash Flow Projected Collateral Prepayments $ 149 12.69 % - 28.58 % ( 21.61 %)

$ 1,172 18.20 % - 33.78 % ( 27.00 %)

Projected Collateral Losses 0.02 % - 3.47 % ( 0.88 %)

0.00 % - 0.82 % ( 0.14 %)

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

10.00 % - 10.00 % ( 10.00 %)

Pull Through Percentages 60.00 % - 100.00 % ( 74.29 %)

60.00 % - 100.00 % ( 92.21 %)

Yield N/A 6.59 % - 7.70 % ( 6.72 %)

Discounted Cash Flow Projected Collateral Prepayments $ — N/A $ 204 11.52 % - 25.78 % ( 19.09 %)

Projected Collateral Losses N/A 0.02 % - 2.73 % ( 0.71 %)

Projected Collateral Severities N/A 10.00 % - 10.00 % ( 10.00 %)

Pull Through Percentages N/A 60.00 % - 100.00 % ( 89.33 %)

Comparable Multiple Book Value Multiple $ 32,242 1.00 x - 1.00 x ( 1.00 x)

10 unchanged sentences

Derivative Liabilities (3)

Yield 6.04 % - 6.54 % ( 6.06 %)

6.47 % - 7.00 % ( 6.51 %)

Discounted Cash Flow Projected Collateral Prepayments $ ( 25 ) 16.91 % - 27.25 % ( 24.09 %)

$ ( 7 ) 27.36 % - 34.44 % ( 34.30 %)

Projected Collateral Losses 0.01 % - 1.66 % ( 0.09 %)

0.00 % - 0.02 % ( 0.00 %)

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

10.00 % - 10.00 % ( 10.00 %)

Pull Through Percentages 60.00 % - 100.00 % ( 75.97 %)

60.00 % - 100.00 % ( 99.22 %)

Yield N/A 6.58 % - 6.96 % ( 6.67 %)

Discounted Cash Flow Projected Collateral Prepayments $ — N/A $ ( 336 ) 9.00 % - 26.94 % ( 18.34 %)

Projected Collateral Losses N/A 0.01 % - 1.36 % ( 0.17 %)

Projected Collateral Severities N/A 10.00 % - 10.00 % ( 10.00 %)

Pull Through Percentages N/A 65.00 % - 100.00 % ( 90.48 %)

(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 September 30, 2024 and December 31, 2023.

(2) Represents the proportion of the principal expected to be collected relative to the loan balances as of March 31, 2025 and December 31, 2024.

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

2 unchanged sentences

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2024

Other Fair Value Disclosures

Short-term financing arrangements

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

These financing agreements are classified as Level 2.

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

The following table presents the carrying value and estimated fair value of the Company's Legacy WMC Convertible Notes, Senior Unsecured Notes, and fixed-rate financing arrangements with original contractual maturities of greater than one year as of September 30, 2024 and December 31, 2023 (in thousands).

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

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

September 30, 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 95,548 120,536 — —

Financing arrangements 53,335 53,964 62,972 63,175

(1) The Legacy WMC Convertible Notes, Senior Unsecured Notes, and fixed-rate long-term financing arrangements are recorded at amortized cost in the Company's consolidated balance sheets.

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

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2024

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

September 30, 2024

March 31, 2025

The following table presents a summary of the Company's financing as of March 31, 2025 and December 31, 2024 ($ in thousands).

March 31, 2025

December 31, 2024

3 unchanged sentences

Securitized Residential Mortgage Loans (4)

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

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

Non-Agency Loans (5) $ 392,859 $ 393,359 Apr - Jul 2025 6.18 % 0.19 $ 666,297 $ 370,913

Re- and Non-Performing Loans 27,433 27,433 Apr - May 2025 6.56 % 0.09 41,782 31,798

Residential Mortgage Loans (6)

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

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

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

Agency-Eligible Loans 36,368 36,368 Jul 2025 6.17 % 0.33 38,935 95,688

Home Equity Loans (5) 186,629 186,629 Jun 2025 6.65 % 0.19 228,046 87,440

Non-Agency Loans — — N/A N/A N/A — 7,615

Legacy WMC Commercial Loans (5) 41,936 41,936 Mar 2026 7.72 % 0.98 65,504 47,222

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

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

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

Non-Agency RMBS 99,534 99,534 Apr - June 2025 5.26 % 0.20 134,193 78,978

Legacy WMC CMBS 20,559 20,559 Apr 2025 6.10 % 0.04 54,258 20,416

Agency RMBS 736 736 Apr 2025 4.94 % 0.08 1,033 2,038

Total Financing Arrangements $ 806,054 $ 806,554 6.27 % 0.23 $ 1,230,048 $ 742,108

3 unchanged sentences

Total Securitized Debt $ 6,122,132 $ 5,836,691 5.18 % 6.02 N/A $ 5,491,967

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

Senior Unsecured Notes (10)

3 unchanged sentences

Total Financing $ 7,027,686 $ 6,739,143 5.38 % 5.47 $ 1,230,048 $ 6,329,796

(1) The Company also had $ 3.3 million and $ 1.7 million of cash pledged under repurchase agreements as of September 30, 2024 and December 31, 2023, respectively.

(1) The Company also had $ 5.1 million and $ 10.6 million of cash pledged under repurchase agreements as of March 31, 2025 and December 31, 2024, 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) Financing arrangements are recorded at amortized cost in the Company's consolidated balance sheets.

The fair value of certain of the Company's financing arrangements approximates the carrying value due to their floating interest rates and short-term maturities of generally one year or less.

These financing arrangements are classified as Level 2 of the fair value hierarchy.

As of March 31, 2025, the Company had certain fixed-rate long-term financing arrangements which had an amortized cost and fair value of $ 46.7 million and $ 47.0 million, respectively.

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

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

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

(5) 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 6.56 %, 6.58 %, and 7.07 %, respectively.

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

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

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

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

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

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

(8) As of September 30, 2024, the amortized cost of Securitized debt in the Company's Non-Agency VIEs was $ 5.5 billion.

(8) The weighted average funding costs are calculated based on the amortized cost of the underlying securities.

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

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

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

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

Legacy WMC Convertible Notes

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

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

As of March 31, 2025, the notional value of interest only classes of Securitized debt was $ 1.8 billion.

(10) The Senior Unsecured Notes are recorded at amortized cost in the Company's consolidated balance sheets.

As of March 31, 2025, the fair value of the Senior Unsecured Notes was $ 100.2 million.

The fair value of the Senior Unsecured Notes is based upon prices obtained from third-party pricing services or broker quotations and are classified as Level 2 of the fair value hierarchy.

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2024

interest was paid semiannually.

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

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

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

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

September 30, 2024

Three Months Ended Nine Months Ended

Coupon interest expense

$ 1,097 $ 3,805

Amortization expense

Total interest expense $ 1,368 $ 4,717

March 31, 2025

Senior Unsecured Notes

1 unchanged sentence

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

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

Principal Amount (1) Carrying Value First Pay Date Maturity

The below table provides a summary of the Senior Unsecured Notes as of March 31, 2025 ($ in thousands).

Principal Amount (1) Carrying Value Maturity

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

February 2029 Senior Unsecured Notes

$ 34,500 $ 32,958 May 15, 2024 February 15, 2029 February 15, 2026 9.500 %

$ 34,500 $ 33,100 February 15, 2029 February 15, 2026 9.500 %

May 2029 Senior Unsecured Notes

65,000 62,590 August 15, 2024 May 15, 2029 May 15, 2026 9.500 %

$ 65,000 $ 62,798 May 15, 2029 May 15, 2026 9.500 %

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

2 unchanged sentences

(4) The Senior Unsecured Notes bear interest at a rate equal to 9.500 % per year, payable in cash quarterly in arrears on February 15, May 15, August 15 and November 15 of each year, beginning on the applicable first pay date.

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

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

September 30, 2024

Three Months Ended Nine Months Ended

The below table details the total interest expense incurred on the Senior Unsecured Notes during the three months ended March 31, 2025 and 2024 (in thousands).

Three Months Ended

March 31, 2025 March 31, 2024

Coupon interest expense

2 unchanged sentences

Total interest expense $ 2,540 $ 639

Legacy WMC Convertible Notes

In connection with the WMC acquisition, a wholly owned subsidiary of the Company 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 interest was paid semiannually.

During the three months ended March 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.

There was no interest expense incurred during the three months ended March 31, 2025 as the Legacy WMC Convertible Notes matured in September 2024.

The below table details the total interest expense incurred on the Legacy WMC Convertible Notes during the three months ended March 31, 2024 (in thousands).

Three Months Ended

March 31, 2024

Coupon interest expense

Amortization expense

Total interest expense $ 1,695

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2024

March 31, 2025

Contractual maturities

The following table allocates the current face of the Company's borrowings under financing arrangements, the Legacy WMC Convertible Notes, and Senior Unsecured Notes as of September 30, 2024 by contractual maturity (in thousands).

The following table allocates the current face of the Company's borrowings under financing arrangements and the Senior Unsecured Notes as of March 31, 2025 by contractual maturity (in thousands).

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

7 unchanged sentences

Home Equity Loans — 186,629 — — 186,629

Non-Agency Loans — — 7,674 — 7,674

Legacy WMC Commercial Loans — — 41,936 — 41,936

8 unchanged sentences

Counterparties

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

The following table presents information as of September 30, 2024 and December 31, 2023 with respect to each counterparty that provides the Company with financing for which the Company had greater than 5% of its stockholders’ equity at risk, excluding stockholders’ equity at risk under financing through affiliated entities ($ in thousands).

September 30, 2024

The Company had outstanding financing arrangements with six counterparties as of March 31, 2025 and December 31, 2024.

The following table presents information as of March 31, 2025 and December 31, 2024 with respect to each counterparty that provides the Company with financing for which the Company had greater than 5% of its stockholders’ equity at risk, excluding stockholders’ equity at risk under financing through affiliated entities ($ in thousands).

March 31, 2025

December 31, 2024

11 unchanged sentences

59,303 69 10.9 % 75,516 20 14.0 %

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

Various (1) 83,765 121 15.4 % 81,855 211 15.2 %

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

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

3 unchanged sentences

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

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

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2024

lender simultaneously causes default under agreements with other lenders.

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

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

March 31, 2025

financing arrangements are generally recourse to the Company.

As of March 31, 2025, the Company is in compliance with all of its financial covenants.

Other assets and liabilities

The following table details certain information related to the Company's "Other assets" and "Other liabilities" line items on its consolidated balance sheets as of September 30, 2024 and December 31, 2023 (in thousands).

September 30, 2024 December 31, 2023

The following table details certain information related to the Company's "Other assets" and "Other liabilities" line items on its consolidated balance sheets as of March 31, 2025 and December 31, 2024 (in thousands).

March 31, 2025 December 31, 2024

Interest receivable $ 37,545 $ 34,930

10 unchanged sentences

Due to broker 237 48

Taxes payable 149 103

Total Other liabilities $ 34,275 $ 34,758

(1) Refer to Note 10 for more information.

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

The following table presents information related to the Company's derivatives and other instruments and their balance sheet location as of March 31, 2025 and December 31, 2024 (in thousands).

Balance Sheet

Location September 30, 2024 December 31, 2023

Location March 31, 2025 December 31, 2024

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

1 unchanged sentence

Pay Fix/Receive Float Interest Rate Swap Agreements (2) (3) Other liabilities 208,000 ( 256 ) 5,000 ( 4 )

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

Forward Purchase Commitments

2 unchanged sentences

Other liabilities — — 35,398 ( 336 )

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

(2) As of September 30, 2024, the Company applied a reduction in fair value of $ 5.2 million and $ 2.9 million to its interest rate swap assets and liabilities, respectively, related to variation margin with a corresponding increase or decrease in restricted cash.

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

(1) As of March 31, 2025 and December 31, 2024, no derivatives held by the Company were designated as hedges for accounting purposes.

(2) As of March 31, 2025, the Company applied a reduction in fair value of $ 6.4 million and $ 2.2 million to its interest rate swap assets and liabilities, respectively, related to variation margin with a corresponding increase or decrease in restricted cash.

(3) As of March 31, 2025, the Company's pay fix/receive float interest rate swaps had a weighted average pay-fixed rate of 3.52 %, a weighted average receive-variable rate of 4.41 %, and a weighted average years to maturity of 4.68 years.

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.

2 unchanged sentences

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2024

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

March 31, 2025

Derivative and other instruments eligible for offset are presented gross on the consolidated balance sheets as of March 31, 2025 and December 31, 2024, if applicable.

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

2 unchanged sentences

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

As of September 30, 2024, the Company's restricted cash balance included $ 8.4 million of collateral related to certain derivatives, of which $ 6.1 million represents cash collateral posted by the Company and $ 2.3 million represents amounts related to variation margin.

As of March 31, 2025, the Company's restricted cash balance included $ 8.6 million of collateral related to certain derivatives, of which $ 4.4 million represents cash collateral posted by the Company and $ 4.2 million represents amounts related to variation margin.

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.

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

Three Months Ended Nine Months Ended

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

The following table summarizes total income related to derivatives and other instruments for the three months ended March 31, 2025 and 2024 (in thousands).

Three Months Ended

March 31, 2025 March 31, 2024

Included within Net interest component of interest rate swaps

5 unchanged sentences

( 6,404 ) 9,369

( 4,977 ) 345 2,401 ( 10,104 )

Included within Net realized gain/(loss)

Interest Rate Swaps 782 ( 3,141 )

Long TBAs — — — 5

Short TBAs — 10

1 unchanged sentence

742 ( 1,999 )

( 21,209 ) 8,226 ( 23,275 ) 20,618

Total income/(loss) $ ( 4,925 ) $ 9,270

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2024

Derivative Activity

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

Three Months Ended

Beginning Notional

Amount Buys or Covers Sales or Shorts Ending Notional

Amount Derivative

Asset Derivative

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

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

Nine Months Ended

The following table presents information about the Company’s derivatives for the three months ended March 31, 2025 and 2024 (in thousands).

Beginning Notional

Amount Buys or Covers Sales or Shorts (1)

Ending Notional

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

Amount Derivative

Asset Derivative

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

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

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

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

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

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

Three Months Ended March 31, 2025

Interest Rate Swaps $ 342,550 $ 103,000 $ ( 113,050 ) $ 332,500 $ — $ ( 256 )

Three Months Ended March 31, 2024

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

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

(1) Includes $ 60.0 million of interest rate swaps that matured during the three months ended March 31, 2024.

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

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

March 31, 2025

Earnings per share

The following table presents a reconciliation of the earnings and shares used in calculating basic and diluted earnings per share for the three and nine months ended September 30, 2024 and 2023 (in thousands, except per share data).

Three Months Ended Nine Months Ended

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

The following table presents a reconciliation of the earnings and shares used in calculating basic and diluted earnings per share for the three months ended March 31, 2025 and 2024 (in thousands, except per share data).

Three Months Ended

March 31, 2025 March 31, 2024

Net Income/(Loss) $ 11,477 $ 20,890

2 unchanged sentences

Basic weighted average common shares outstanding 29,659 29,453

Dilutive effect of restricted stock units 27 — 27 —

Diluted weighted average common shares outstanding 29,688 29,479

2 unchanged sentences

Diluted $ 0.21 $ 0.55

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2024

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

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

The following tables detail the Company's common stock dividends declared during the three months ended March 31, 2025 and 2024.

Three Months Ended March 31, 2025 Three Months Ended March 31, 2024

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

3/17/2025 3/31/2025 4/30/2025 $ 0.20 3/15/2024 3/29/2024 4/30/2024 $ 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

Total $ 0.56 Total $ 0.54

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

The following tables detail the Company's preferred stock dividends declared and paid during the three months ended March 31, 2025 and 2024.

2025 Cash Dividend Per Share

3 unchanged sentences

2/14/2025 2/28/2025 3/17/2025 $ 0.51563 $ 0.50 $ 0.693062

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

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

Total $ 1.54689 $ 1.50 $ 1.50

2024 Cash Dividend Per Share

3 unchanged sentences

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

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

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

Total $ 1.54689 $ 1.50 $ 1.50

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

2 unchanged sentences

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

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

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

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

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

The expense is calculated in accordance with applicable tax regulations.

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

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2024

March 31, 2025

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

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

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

The expense is calculated in accordance with applicable tax regulations.

The below table details excise tax expense for the three months ended March 31, 2025 and 2024, which is recorded in the “Non-investment related expenses” line item on the consolidated statement of operations (in thousands).

Three Months Ended

March 31, 2025 March 31, 2024

Excise tax expense $ 89 $ —

REIT Net Operating Loss and Net Capital Loss Carryforwards

As of September 30, 2024 and December 31, 2023, the Company had federal net operating loss ("NOL") carryforwards of $ 2.1 million and $ 2.1 million, respectively, that can be used to offset future taxable ordinary income and reduce its REIT distribution requirements.

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

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

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

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

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

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

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

In connection with the WMC acquisition, the Company obtained federal net operating loss ("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 WMC acquisition is limited under Section 382 of the Internal Revenue Code.

As of March 31, 2025 and December 31, 2024, the remaining NOL carryforwards obtained in the WMC acquisition was $ 319.4 million.

As of March 31, 2025 and December 31, 2024, the Company had estimated net capital loss ("NCL") carryforwards of $ 279.2 million and $ 278.9 million, respectively.

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

NCL carryforwards of $ 225.7 million were generated during the year ended December 31, 2020 and, if not utilized, will expire on December 31, 2025.

In connection with the WMC acquisition, the Company obtained NCL carryforwards.

As of March 31, 2025 and December 31, 2024, these estimated NCL carryforwards were $ 150.6 million, all of which expire by 2029.

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

Taxable REIT Subsidiaries

3 unchanged sentences

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

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

The federal statutory rate for the three months ended March 31, 2025 and 2024 was 21%.

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

1 unchanged sentence

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

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

Three Months Ended Nine Months Ended

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

The below table details the tax expense attributable to its TRSs for the three months ended March 31, 2025 and 2024 (in thousands).

Three Months Ended

March 31, 2025 March 31, 2024

Tax expense $ 28 $ 25

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

March 31, 2025

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

As of September 30, 2024 and December 31, 2023, the Company recorded a deferred tax asset of approximately $ 38.5 million and $ 37.3 million, respectively, relating to net operating loss carryforwards, capital loss carryforwards, and basis differences of certain investments held within TRSs.

As of March 31, 2025 and December 31, 2024, the Company recorded a deferred tax asset of approximately $ 33.3 million and $ 34.7 million, respectively, relating to net operating loss carryforwards, capital loss carryforwards, and basis differences of certain investments held within TRSs.

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

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

The Company concluded it is more likely than not the deferred tax asset will not be realized and established a full valuation allowance as of September 30, 2024 and December 31, 2023.

The Company concluded it is more likely than not the deferred tax asset will not be realized and established a full valuation allowance as of March 31, 2025 and December 31, 2024.

Uncertain Income Tax Positions

Based on its analysis of any potential uncertain income tax positions, the Company concluded it did not have any uncertain tax positions that meet the recognition or measurement criteria of ASC 740 as of September 30, 2024 and December 31, 2023.

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

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.

1 unchanged sentence

In the event that the Company incurs income tax related interest and penalties, its policy is to classify them as a component of provision for income taxes.

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

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2024

The Company did no t incur any interest or penalties during the three months ended March 31, 2025 and 2024.

Related party transactions

6 unchanged sentences

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

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

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

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

1 unchanged sentence

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.

In connection with the WMC acquisition, 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 WMC acquisition.

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 three and nine months ended September 30, 2024 and 2023 (in thousands).

Three Months Ended Nine Months Ended

Consolidated statements of operations line item:

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

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

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

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

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2024

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

March 31, 2025

repurchases of its common stock, excluding any unrealized gains, losses or other non-cash items that have impacted stockholders’ equity as reported in the Company’s financial statements prepared in accordance with GAAP, regardless of whether such items are included in other comprehensive income or loss, or in net income, and excluding one-time events pursuant to changes in GAAP, and certain other non-cash charges after discussions between the Manager and the Company’s independent directors and after approval by a majority of the Company’s independent directors.

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

The below table details the management fees incurred during the three months ended March 31, 2025 and 2024 (in thousands).

Three Months Ended

Consolidated statements of operations line item:

March 31, 2025 March 31, 2024

Management fee to affiliate (1) $ 2,327 $ 1,741

(1) For the three months ended March 31, 2024, the Manager agreed to waive its right to receive management fees of $ 0.6 million pursuant to the MITT Management Agreement Amendment executed in connection with the WMC acquisition.

As of March 31, 2025 and December 31, 2024, the Company recorded management fees payable of $ 2.3 million and $ 2.3 million, respectively.

The management fee payable is included within the "Due to affiliates" item within the "Other liabilities" line item on the consolidated balance sheets.

2 unchanged sentences

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

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

During the three months ended March 31, 2025 and 2024, the Company did not incur any incentive fee expense.

Termination fee

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

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

As of March 31, 2025 and December 31, 2024, no event of termination of the management agreement had occurred.

Expense reimbursement

2 unchanged sentences

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 the Company's 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.

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 three and nine months ended September 30, 2024 and 2023 (in thousands).

Three Months Ended Nine Months Ended

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

March 31, 2025

The below table details the expense reimbursement incurred during the three months ended March 31, 2025 and 2024 (in thousands).

Three Months Ended

Consolidated statements of operations line item:

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

March 31, 2025 March 31, 2024

Non-investment related expenses (1)

1 unchanged sentence

Investment related expenses

194 148 395 360

Transaction related expenses 260 68

Expense reimbursements to Manager or its affiliates $ 2,299 $ 1,846

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

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

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2024

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

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

As of March 31, 2025 and December 31, 2024, the Company recorded a reimbursement payable to the Manager or its affiliates of $ 2.3 million and $ 1.7 million, respectively.

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

Restricted stock grants

Equity Incentive Plans

Effective on April 15, 2020 upon the approval of the Company's stockholders at its 2020 annual meeting of stockholders, the Company's 2020 Equity Incentive Plan (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 September 30, 2024, 406,539 shares of common stock remained available to be awarded under the 2020 Equity Incentive Plan.

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

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

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

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

Manager Equity Incentive Plans

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

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

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

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

Director compensation

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

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

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 Company's Board of Directors 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 .

Investments in debt and equity of affiliates

1 unchanged sentence

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

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2024

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

4 unchanged sentences

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

On August 29, 2017, the Company, alongside private funds managed by TPG Angelo Gordon, formed MATH to conduct a residential mortgage investment strategy.

On August 29, 2017, the Company, alongside private funds managed by TPG Angelo Gordon, formed Mortgage Acquisition Holding I LLC ("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.

1 unchanged sentence

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.

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

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

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

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

During the year ended December 31, 2023, the Land Related Financing assets held within LOTS paid off in full.

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2024

March 31, 2025

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

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

September 30, 2024 December 31, 2023

The below table summarizes the components of the "Investments in debt and equity of affiliates" line item on the Company's consolidated balance sheets as of March 31, 2025 and December 31, 2024 (in thousands).

March 31, 2025 December 31, 2024

Assets Liabilities Equity Assets Liabilities Equity

6 unchanged sentences

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

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

Three Months Ended Nine Months Ended

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

The below table reconciles the net income/(loss) to the "Equity in earnings/(loss) from affiliates" line item on the Company's consolidated statements of operations for the three months ended March 31, 2025 and 2024 (in thousands).

Three Months Ended

March 31, 2025 March 31, 2024

Non-QM Securities $ ( 71 ) $ 2,205

Land Related Financing — 64 — 805

Re/Non-Performing Securities ( 120 ) 105

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

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

Three Months Ended Nine Months Ended

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

The below details the fees paid by the Company to the Asset Manager during the three months ended March 31, 2025 and 2024 (in thousands).

Three Months Ended

March 31, 2025 March 31, 2024

Fees paid to Asset Manager $ 640 $ 658

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

As of March 31, 2025 and December 31, 2024, the Company recorded asset management fees payable of $ 0.2 million and $ 0.2 million, respectively.

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

2 unchanged sentences

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2024

March 31, 2025

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

Three Months Ended Nine Months Ended

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

The below table details the unpaid principal balance of residential mortgage loans sold to the Company during the three months ended March 31, 2025 and 2024 (in thousands).

Three Months Ended

March 31, 2025 March 31, 2024

Residential mortgage loans sold by Arc Home to the Company $ 60,957 $ 79,791

Residential mortgage loans sold by Arc Home to private funds under the management of TPG Angelo Gordon 87,006 93,789 366,952 215,436

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

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

Three Months Ended Nine Months Ended

September 30, 2024

September 30, 2023

September 30, 2024

September 30, 2023

The table below summarizes intra-entity profits eliminated during the three months ended March 31, 2025 and 2024 (in thousands).

Three Months Ended

March 31, 2025

March 31, 2024

Intra-Entity Profits Eliminated $ 88 $ 201

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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.

There were no purchases or sales of assets from or to an affiliate of the Manager during three and nine months ended September 30, 2024.

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

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 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.

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2024

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.

See Note 7 and Note 12, if applicable, for more detail.

Stock repurchase programs

4 unchanged sentences

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

As of September 30, 2024, approximately $ 1.5 million of common stock remained authorized for future share repurchases under the 2022 Repurchase Program.

There were no repurchases during the three and nine months ended September 30, 2024.

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

Three Months Ended (1)

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

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

March 31, 2023 923,261 $ 5.68 923,261 $ 2,569,940

June 30, 2023 187,020 5.93 187,020 1,461,810

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

(1) Based on trade date.

(2) Includes brokerage commissions and clearing fees.

As of March 31, 2025, approximately $ 1.5 million of common stock remained authorized for future share repurchases under the 2022 Repurchase Program.

There were no repurchases during the three months ended March 31, 2025 and 2024.

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

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

As of March 31, 2025, 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.

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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.

The cost of the

AG Mortgage Investment Trust Inc.

1 unchanged sentence

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2024

March 31, 2025

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 Plans

As of March 31, 2025, 239,183 shares of common stock remained available to be awarded under the 2020 Equity Incentive Plan.

Since inception of the 2020 Equity Incentive Plan and through March 31, 2025, the Company has granted an aggregate of 268,313 shares of restricted common stock to its independent directors under its 2020 Equity Incentive Plan, all of which have vested.

Through March 31, 2025, the two independent directors have also been granted an aggregate of 3,208 dividend equivalent units.

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.

On May 5, 2025, following approval by the Company’s stockholders, the Company’s 2025 Equity Incentive Plan (the “2025 Equity Incentive Plan”) became effective.

As a result, no additional awards will be granted under the 2020 Equity Incentive Plan (although awards previously made under the 2020 Equity Incentive Plan will remain in effect subject to the terms of the 2020 Equity Incentive Plan and the applicable award agreement).

Refer to Note 14 for additional details.

Manager Equity Incentive Plans

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

As of March 31, 2025, there were no shares or awards issued under the 2021 Manager Plan.

Director compensation

As of March 31, 2025, the Company's Board of Directors consisted of six independent directors.

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.

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

March 31, 2025

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 .

In connection with the vote of the Company’s stockholders at the 2025 Annual Meeting, as of May 5, 2025, the size of the Company’s Board of Directors was reduced from eight to six members, including four independent directors.

Equity distribution agreements

On May 5, 2017, the Company has entered into an equity distribution agreement with each of Credit Suisse Securities (USA) LLC and JMP Securities LLC (collectively, the "Sales Agents"), which the Company refers to as the "Equity Distribution Agreements," pursuant to which the Company may sell up to $ 100.0 million aggregate offering price of shares of its common stock from time to time through the Sales Agents under the Securities Act of 1933.

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

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

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

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.

Refer to Note 13 for additional details.

(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 any of its equity distribution agreements then in effect during the three months ended March 31, 2025 and 2024.

Shelf registration statement

4 unchanged sentences

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

As of September 30, 2024 and December 31, 2023, there were 1.7 million, 3.7 million, and 3.7 million of Series A Preferred Stock, Series B Preferred Stock, and Series C Preferred Stock, respectively, issued and outstanding.

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

As of March 31, 2025 and December 31, 2024, 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 March 31, 2025 ($ and shares in thousands).

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

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

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

(3) 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.

6 unchanged sentences

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2024

March 31, 2025

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

3 unchanged sentences

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

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

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

As of March 31, 2025, the Company was not involved in any material legal proceedings.

The below table details the Company's outstanding commitments as of March 31, 2025 (in thousands).

Commitment type Date of Commitment Total Commitment Funded Commitment Remaining Commitment

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

Home Equity Loans (1) Various $ 231,632 $ 214,676 $ 16,956

Total $ 52,549 $ — $ 52,549

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

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

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

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

Segment Reporting

The Company operates its business as a single operating and reportable segment, Loans and Securities, as its business focuses on acquiring, investing in and financing residential mortgage-related assets in the U.S.

mortgage market.

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

The Company obtains its residential mortgage loans through Arc Home or through other third-party origination partners.

The Company finances its acquired loans through various financing lines on a short-term basis and utilizes TPG Angelo Gordon’s proprietary securitization platform to secure long-term, non-recourse, non-mark-to-market financing as market conditions permit.

The Company’s Chief Operating Decision Maker (“CODM”) is its Chief Executive Officer.

The CODM manages the business and reviews financial information presented on a consolidated basis.

The CODM uses consolidated net income reported on the consolidated statements of operations as the primary measure to make resource allocation decisions and evaluate the performance of the Company.

Operating expenses include management fees, non-investment related expenses, investment related expenses and transaction related expenses.

The CODM is regularly provided operating expenses as presented on the consolidated statements of operations when evaluating the Company’s net income.

There is no difference between segment assets and total consolidated assets as presented on the consolidated balance sheets.

As the Company operates as a single segment, the accounting policies utilized by the segment are consistent with those included in the consolidated financial statements here within.

Subsequent Events

The Company announced that on November 4, 2024, its Board of Directors declared fourth quarter 2024 preferred stock dividends on its Series A Preferred Stock, Series B Preferred Stock, and Series C Preferred Stock in the amount of $ 0.51563 , $ 0.50 and $ 0.725061 per share, respectively.

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

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

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

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

and Piper Sandler & Co.

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

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

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

The Company announced that on May 5, 2025, its Board of Directors declared second 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 $ 0.704864 per share, respectively.

The dividends will be paid on June 17, 2025 to holders of record on May 30, 2025.

In April 2025, the Company sold Agency-Eligible Loans for gross proceeds of $ 37.3 million.

These loans were recorded within the "Residential mortgage loans, at fair value" line item on the consolidated balance sheets as of March 31, 2025.

The maturity date for the Company's investments in Loan A, Loan B, and Loan C within the Legacy WMC Commercial Loan portfolio was May 6, 2025, reflecting the final extension option under current agreements.

The borrower is in default with respect to the maturity.

As a result, the lender on the Company’s financing arrangements on such Legacy WMC Commercial Loans are permitted to request a full repayment of the debt with respect to such assets.

A short-term forbearance agreement with

AG Mortgage Investment Trust Inc.

and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

March 31, 2025

such Legacy WMC Commercial Loan borrower is being negotiated;

however, there can be no assurances that any agreement will be executed.

The Company does not currently expect its lender to request a full repayment while the forbearance agreement continues to be negotiated or while the forbearance agreement is in effect.

2025 Equity Incentive Plan

On May 5, 2025, following approval by stockholders at the Company’s annual stockholders meeting, the 2025 Equity Incentive Plan became effective.

The maximum number of shares of the Company’s common stock that may be issued under the 2025 Equity Incentive Plan is 800,000 shares of common stock, plus 220,781 shares of common stock (which reflects the number of shares that remained available for issuance under the 2020 Equity Incentive Plan as of May 4, 2025), plus 130,000 shares of common stock that remain subject to outstanding awards under the 2020 Equity Incentive Plan but only to the extent that such shares become forfeited or otherwise lapse.

As a result of the adoption of the 2025 Equity Incentive Plan, no additional awards will be granted under the 2020 Equity Incentive Plan (although awards previously made under the 2020 Equity Incentive Plan will remain in effect subject to the terms of the 2020 Equity Incentive Plan and the applicable award agreement).

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

What changed 10-Q

Item 1. Financial Statements