TPG Mortgage Investment Trust, Inc. 10-Q

ITEM 1. FINANCIAL STATEMENTS AG Mortgage Investment Trust, Inc. and Subsidiaries Consolidated Balance Sheets (Unaudited) (in thousands, except per share data) March 31, 2025 December 31, 2024 Assets Securitized residential mortgage loans, at fair value - $ 708,079 and $ 705,294 pledged as collateral, respectively (1) $ 6,542,243 $ 6,197,678 Residential mortgage loans, at fair value - $ 266,981 and $ 215,773 pledged as collateral, respectively 269,238 220,217 Commercial loans, at fair value - $ 65,504 and $ 67,005 pledged as collateral, respectively 65,504 67,005 Real estate securities, at fair value - $ 189,484 and $ 165,393 pledged as collateral, respectively 224,901 201,360 Investments in debt and equity of affiliates 46,016 46,841 Cash and cash equivalents 115,549 118,662 Restricted cash 13,668 19,906 Other assets 46,101 41,940 Total Assets $ 7,323,220 $ 6,913,609 Liabilities Securitized debt, at fair value (1) $ 5,836,691 $ 5,491,967 Financing arrangements 806,554 742,108 Senior unsecured notes 95,898 95,721 Dividend payable 5,932 5,632 Other liabilities (2) 34,275 34,758 Total Liabilities 6,779,350 6,370,186 Commitments and Contingencies (Note 12) Stockholders’ Equity Preferred stock - $ 227,991 aggregate liquidation preference 220,472 220,472 Common stock, par value $ 0.01 per share; 450,000 shares of common stock authorized and 29,659 and 29,640 shares issued and outstanding at March 31, 2025 and December 31, 2024, respectively 297 296 Additional paid-in capital 824,587 824,380 Retained earnings/(deficit) ( 501,486 ) ( 501,725 ) Total Stockholders’ Equity 543,870 543,423 Total Liabilities and Stockholders’ Equity $ 7,323,220 $ 6,913,609 (1) These balances relate to certain residential mortgage loans which were securitized resulting in the Company consolidating the variable interest entities that were created to facilitate these securitizations as the Company was determined to be the primary beneficiary. The "Securitized debt, at fair value" is collateralized by the "Securitized residential mortgage loans, at fair value" held within the securitization trusts. See Note 3 and Note 6 for additional details. (2) Refer to Note 7 and Note 10 for additional details on amounts payable to affiliates. The accompanying notes are an integral part of these unaudited consolidated financial statements. 3 AG Mortgage Investment Trust, Inc. and Subsidiaries Consolidated Statements of Operations (Unaudited) (in thousands, except per share data) Three Months Ended March 31, 2025 March 31, 2024 Net Interest Income Interest income $ 109,130 $ 95,572 Interest expense 90,281 78,393 Total Net Interest Income 18,849 17,179 Other Income/(Loss) Net interest component of interest rate swaps 737 1,900 Net realized gain/(loss) 10 ( 1,103 ) Net unrealized gain/(loss) 802 10,014 Total Other Income/(Loss) 1,549 10,811 Expenses Management fee to affiliate (1) 2,327 1,741 Non-investment related expenses (1) 3,308 3,114 Investment related expenses (1) 3,410 3,283 Transaction related expenses (1) 1,061 999 Total Expenses 10,106 9,137 Income/(loss) before equity in earnings/(loss) from affiliates 10,292 18,853 Equity in earnings/(loss) from affiliates 1,185 2,037 Net Income/(Loss) 11,477 20,890 Dividends on preferred stock ( 5,304 ) ( 4,586 ) Net Income/(Loss) Available to Common Stockholders $ 6,173 $ 16,304 Earnings/(Loss) Per Share of Common Stock Basic $ 0.21 $ 0.55 Diluted $ 0.21 $ 0.55 Weighted Average Number of Shares of Common Stock Outstanding Basic 29,659 29,453 Diluted 29,688 29,479 (1) Refer to Note 10 for additional details on related party transactions. The accompanying notes are an integral part of these unaudited consolidated financial statements. 4 AG Mortgage Investment Trust, Inc. and Subsidiaries Consolidated Statements of Stockholders’ Equity (Unaudited) (in thousands, except per share data) For the Three Months Ended March 31, 2025 and March 31, 2024 Common Stock Preferred Stock Additional Paid-in Capital Retained Earnings/(Deficit) Shares Amount Total Balance at January 1, 2025 29,640 $ 296 $ 220,472 $ 824,380 $ ( 501,725 ) $ 543,423 Grant of restricted stock and amortization of equity based compensation 19 1 — 207 — 208 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 March 31, 2025 29,659 $ 297 $ 220,472 $ 824,587 $ ( 501,486 ) $ 543,870 Common Stock Preferred Stock Additional Paid-in Capital Retained Earnings/(Deficit) Shares Amount Total Balance at January 1, 2024 29,437 $ 294 $ 220,472 $ 823,715 $ ( 516,113 ) $ 528,368 Grant of restricted stock and amortization of equity based compensation 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 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. 5 AG Mortgage Investment Trust, Inc. and Subsidiaries Consolidated Statements of Cash Flows (Unaudited) (in thousands) Three Months Ended March 31, 2025 March 31, 2024 Cash Flows from Operating Activities Net income/(loss) $ 11,477 $ 20,890 Adjustments to reconcile net income/(loss) to net cash provided by (used in) operating activities: Net amortization of premium/(discount) 3,605 2,428 Net realized (gain)/loss ( 10 ) 1,103 Net unrealized (gain)/loss ( 802 ) ( 10,014 ) Grant of restricted stock and amortization of equity based compensation 208 194 Equity in (earnings)/loss from affiliates ( 1,185 ) ( 2,037 ) Distributions of income from investments in debt and equity of affiliates — 887 Change in operating assets/liabilities: Other assets 1,112 3,056 Other liabilities ( 2,408 ) ( 4,535 ) Net cash provided by (used in) operating activities 11,997 11,972 Cash Flows from Investing Activities Purchases of residential mortgage loans ( 497,417 ) ( 288,145 ) Purchases of real estate securities ( 26,064 ) ( 127,991 ) Proceeds from sales of residential mortgage loans 20,428 — Proceeds from sales of real estate securities 2,672 19,318 Principal repayments on residential mortgage loans 187,762 140,625 Principal repayments on real estate securities 2,404 869 Principal funding on residential mortgage loans ( 2,381 ) — Distributions received in excess of income from investments in debt and equity of affiliates 2,097 1,611 Net settlement of interest rate swaps and other instruments ( 6,436 ) 4,390 Net settlement of TBAs — 10 Cash flows provided by other investing activities 2,210 1,082 Net cash provided by (used in) investing activities ( 314,725 ) ( 248,231 ) Cash Flows from Financing Activities Net borrowings under (repayments of) financing arrangements 67,868 ( 30,295 ) Principal repayments on fixed-rate long-term financing arrangements ( 3,113 ) ( 2,895 ) Proceeds from issuance of senior unsecured notes — 32,763 Repurchases of convertible senior unsecured notes — ( 7,059 ) Deferred financing costs paid ( 9 ) ( 142 ) Proceeds from issuance of securitized debt 410,678 365,602 Principal repayments on securitized debt ( 171,109 ) ( 124,596 ) Dividends paid on common stock ( 5,632 ) ( 1,472 ) Dividends paid on preferred stock ( 5,306 ) ( 4,586 ) Net cash provided by (used in) financing activities 293,377 227,320 Net change in cash and cash equivalents and restricted cash ( 9,351 ) ( 8,939 ) Cash and cash equivalents and restricted cash, Beginning of Period 138,568 125,573 Cash and cash equivalents and restricted cash, End of Period $ 129,217 $ 116,634 6 Three Months Ended March 31, 2025 March 31, 2024 Supplemental disclosure of cash flow information: Cash paid for interest $ 84,764 $ 72,178 Cash paid for taxes $ 71 $ 121 Supplemental disclosure of non-cash financing and investing activities: Transfer from residential mortgage loans to securitized residential mortgage loans $ 430,970 $ 385,692 Common stock dividends declared but not paid $ 5,932 $ 5,301 Transfer from residential mortgage loans to other assets $ 3,743 $ 255 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: March 31, 2025 March 31, 2024 Cash and cash equivalents $ 115,549 $ 100,287 Restricted cash 13,668 16,347 Total cash, cash equivalents and restricted cash shown in the consolidated statements of cash flows $ 129,217 $ 116,634 The accompanying notes are an integral part of these unaudited consolidated financial statements. 7 AG Mortgage Investment Trust Inc. and Subsidiaries Notes to Consolidated Financial Statements (Unaudited) March 31, 2025 1. Organization AG Mortgage Investment Trust, Inc. (the "Company" or "MITT") is a residential mortgage REIT with a focus on investing in a diversified risk-adjusted portfolio of residential mortgage-related assets in the U.S. mortgage market. The Company’s investment activities primarily include acquiring and securitizing newly-originated residential mortgage loans within the non-agency segment of the housing market. The Company obtains its residential mortgage loans through Arc Home, LLC ("Arc Home"), a residential mortgage loan originator in which the Company owns an approximate 44.6 % interest, and through other third-party origination partners. On December 6, 2023, the Company acquired Western Asset Mortgage Capital Corporation ("WMC"), an externally managed mortgage REIT that focused on investing in, financing and managing a portfolio of residential mortgage loans, real estate related securities, and commercial real estate loans. The Company’s assets, excluding its ownership in Arc Home, include Residential Investments, Agency RMBS and Legacy WMC Commercial Investments. Currently, its Residential Investments primarily consist of newly originated Non-Agency Loans, Agency-Eligible Loans, and Home Equity Loans. The Company may invest in other types of residential mortgage loans and other mortgage related assets. The Company also invests in Residential Investments through its unconsolidated ownership interests in affiliates which are included in the "Investments in debt and equity of affiliates" line item on its consolidated balance sheets. The Company's asset classes are primarily comprised of the following: Asset Class Description Residential Investments Non-Agency Loans (1) • Non-Agency Loans are loans that do not conform to the underwriting guidelines of a government-sponsored enterprise ("GSE"). Non-Agency Loans consist of Qualified mortgage loans ("QM Loans") and Non-Qualified mortgage loans ("Non-QM Loans"). QM Loans are residential mortgage loans that comply with the Ability-To-Repay rules and related guidelines of the Consumer Financial Protection Bureau. Agency-Eligible Loans (1) • Agency-Eligible Loans are loans that are underwritten in accordance with GSE guidelines and are primarily secured by investment properties, but are not guaranteed by a GSE. Although these loans are underwritten in accordance with GSE guidelines and can be delivered to Fannie Mae and Freddie Mac, the Company includes these loans within its Non-Agency securitizations. Home Equity Loans (1) • Home Equity Loans are revolving lines of credit or closed-end loans secured primarily by a second lien on a residential mortgaged property which provide borrowers access to the equity in their home without the need to pay off their existing mortgage. Home Equity Loans that are structured as revolving lines of credit generally have an initial draw period of 3 to 5 years, and after the initial draw period ends, the loans generally convert to 15- or 25-year amortizing loans. Re- and Non-Performing Loans (1) • Performing, re-performing, and non-performing loans are residential mortgage loans collateralized by a first lien mortgaged property. Non-Agency RMBS (2) • Non-Agency Residential Mortgage-Backed Securities ("RMBS") represent fixed- and floating-rate RMBS issued by entities other than U.S. GSEs or agencies of the U.S. government. Non-Agency RMBS are primarily secured by Non-Agency, Agency-Eligible, and Home Equity Loans. Agency RMBS (2) • Agency RMBS represent interests in pools of residential mortgage loans guaranteed by a GSE such as Fannie Mae or Freddie Mac, or an agency of the U.S. Government such as Ginnie Mae. Legacy WMC Commercial Investments (3) Commercial Loans • Commercial loans represent first lien commercial mortgage loan participations. CMBS (2) • Commercial Mortgage-Backed Securities ("CMBS") represent investments of fixed-rate and floating-rate CMBS, secured by, or evidencing an ownership interest in, a single commercial mortgage loan or a pool of commercial mortgage loans. 8 AG Mortgage Investment Trust Inc. and Subsidiaries Notes to Consolidated Financial Statements (Unaudited) 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) 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. The Company conducts its operations to qualify and be taxed as a real estate investment trust ("REIT") under the Internal Revenue Code of 1986, as amended (the "Code"). The Company is externally managed by AG REIT Management, LLC, a Delaware limited liability company (the "Manager"), a wholly-owned subsidiary of Angelo, Gordon & Co., L.P. ("TPG Angelo Gordon"), a diversified credit and real estate investing platform within TPG Inc. ("TPG"). The Manager has delegated to TPG Angelo Gordon the overall responsibility of its day-to-day duties and obligations arising under the management agreement. The consolidated financial statements include the accounts of the Company, its wholly-owned subsidiaries, and certain variable interest entities. All intercompany balances and transactions have been eliminated in consolidation. 2. Summary of significant accounting policies Consolidation and basis of presentation The accompanying unaudited consolidated financial statements and related notes have been prepared on the accrual basis of accounting in accordance with accounting principles generally accepted in the United States of America ("GAAP") for interim financial reporting and the instructions to Form 10-Q and Rule 10-01 of Regulation S-X. In the opinion of management, all adjustments considered necessary for a fair statement of the Company’s financial position, results of operations, and cash flows have been included for the interim period and are of a normal and recurring nature. The operating results presented for interim periods are not necessarily indicative of the results that may be expected for any other interim period or for the entire year. Significant accounting policies There have been no significant changes to the Company's accounting policies included in Note 2 to the consolidated financial statements of the Company’s Form 10-K for the year ended December 31, 2024 . These unaudited consolidated financial statements and related notes should be read in conjunction with the consolidated financial statements and related notes for the year ended December 31, 2024 included in the Company’s Form 10-K. Use of estimates The preparation of consolidated financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the amounts reported in the consolidated financial statements and accompanying notes. Actual results may differ from those estimates. Investment consolidation An entity is a variable interest entity ("VIE") if the equity investors (i) do not have sufficient equity at risk for the entity to finance its activities without additional subordinated financial support, (ii) are unable to direct the entity’s activities or (iii) are not exposed to the entity’s losses or entitled to its residual returns. VIEs within the scope of Accounting Standards Codification ("ASC") 810-10, "Consolidation" are required to be consolidated by their primary beneficiary. The primary beneficiary of a VIE is determined to be the party that has both the power to direct the activities of a VIE that most significantly impact the VIE’s economic performance and the obligation to absorb losses or the right to receive benefits from the VIE that could potentially be significant to the VIE. This determination can sometimes involve complex and subjective analyses. Further, ASC 810-10 also requires ongoing assessments of whether an enterprise is the primary beneficiary of a VIE. In accordance with ASC 810-10, all transferees, including variable interest entities, must be evaluated for consolidation. If the Company determines that 9 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. SPEs are often used to facilitate transactions that involve securitizing financial assets or resecuritizing previously securitized financial assets. The objective of such transactions may include obtaining non-recourse financing, obtaining liquidity or refinancing the underlying securitized financial assets on improved terms. Securitization involves transferring assets to an SPE to convert all or a portion of those assets into cash before they would have been realized in the normal course of business through the SPE’s issuance of debt or equity instruments. Investors in an SPE usually have recourse only to the assets in the SPE and depending on the overall structure of the transaction, may benefit from various forms of credit enhancement, such as over-collateralization in the form of excess assets in the SPE, priority with respect to receipt of cash flows relative to holders of other debt or equity instruments issued by the SPE, or a line of credit or other form of liquidity agreement that is designed with the objective of ensuring that investors receive principal and/or interest cash flow on the investment in accordance with the terms of their investment agreement. The Company enters into securitization transactions collateralized by its Non-Agency Loans/Agency-Eligible Loans and re- and non-performing loans (the trusts in which these loans are deposited are referred to as "Non-Agency VIEs" and "RPL/NPL VIEs", respectively), which may result in the Company consolidating the respective VIEs that are created to facilitate these securitizations. Based on the evaluations of each VIE, the Company may conclude that the VIEs should be consolidated and, as a result, transferred assets of these VIEs would be determined to be secured borrowings. Upon consolidation, the Company elected the fair value option pursuant to ASC 825 for the assets and liabilities of the Non-Agency VIEs and RPL/NPL VIEs. Electing the fair value option allows the Company to record changes in fair value in the consolidated statement of operations, which, in management's view, more appropriately reflects the results of operations for a particular reporting period as all activities will be recorded in a similar manner. The Company applied the guidance under ASC 810-10 (Measuring the Financial Assets and the Financial Liabilities of a Consolidated Collateralized Financing Entity) whereby the Company determines whether the fair value of the assets or liabilities of the Non-Agency VIEs and RPL/NPL VIEs are more observable as a basis for measuring the less observable financial instruments. The Company has determined that the fair value of the liabilities of the Non-Agency VIEs and RPL/NPL VIEs are more observable since the prices for these liabilities are more easily determined as similar instruments trade more frequently on a relative basis than the individual assets of the VIEs. See Note 3 for more detail regarding the Non-Agency VIEs and RPL/NPL VIEs and Note 5 for more detail related to the Company's determination of fair value for the assets and liabilities included within these VIEs. Transfers of financial assets The Company may periodically enter into transactions in which it transfers assets to a third-party. Upon a transfer of financial assets, the Company will sometimes retain or acquire senior or subordinated interests in the related assets. Pursuant to ASC 860-10, "Transfers and Servicing", a determination must be made as to whether a transferor has surrendered control over transferred financial assets. That determination must consider the transferor’s continuing involvement in the transferred financial asset, including all arrangements or agreements made contemporaneously with, or in contemplation of, the transfer, even if they were not entered into at the time of the transfer. The financial components approach under ASC 860-10 limits the circumstances in which a financial asset, or portion of a financial asset, should be derecognized when the transferor has not transferred the entire original financial asset to an entity that is not consolidated with the transferor in the financial statements being presented and/or when the transferor has continuing involvement with the transferred financial asset. It defines the term "participating interest" to establish specific conditions for reporting a transfer of a portion of a financial asset as a sale. Under ASC 860-10, after a transfer of financial assets that meets the criteria for treatment as a sale—legal isolation, ability of transferee to pledge or exchange the transferred assets without constraint and transferred control—an entity recognizes the financial and servicing assets it acquired or retained and the liabilities it has incurred, derecognizes financial assets it has sold and derecognizes liabilities when extinguished. The transferor would then determine the gain or loss on sale of financial assets by allocating the carrying value of the underlying mortgage between securities or loans sold and the interests retained based on their fair value. The gain or loss on sale is the difference between the cash proceeds from the sale and the amount allocated to the securities or loans sold. When a transfer of financial assets does not qualify for sale accounting, ASC 860-10 requires the transfer to be accounted for as a secured borrowing with a pledge of collateral. From time to time, the Company may securitize mortgage loans it holds if such financing is available. These transactions will be recorded in accordance with ASC 860-10 and will be accounted for as either a "sale" and the loans will be removed from the 10 AG Mortgage Investment Trust Inc. and Subsidiaries Notes to Consolidated Financial Statements (Unaudited) 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 Income taxes In December 2023, the FASB issued ASU 2023-09, "Improvements to Income Tax Disclosures (Topic 740)", which focuses on income tax disclosures around effective tax rates and cash income taxes paid. This standard requires entities to provide additional information about federal, state and foreign income taxes and reconciling items in the rate reconciliation table, and to disclose further disaggregation of income taxes paid (net of refunds received) by federal (national), state and foreign taxes by jurisdiction. For public business entities, the ASU is effective for annual periods beginning after December 15, 2024, with early adoption permitted. The guidance should be applied prospectively, but entities have the option to apply it retrospectively for each period presented. The Company 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. 11 AG Mortgage Investment Trust Inc. and Subsidiaries Notes to Consolidated Financial Statements (Unaudited) March 31, 2025 3. Loans Residential mortgage loans 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 March 31, 2025 Premium (Discount) Amortized Cost Gains Losses Fair Value Coupon Yield (1) Life (Years) (2) Securitized residential mortgage loans, at fair value (3) Non-Agency Loans (4) $ 6,630,833 $ 12,496 $ 6,643,329 $ 60,266 $ ( 304,529 ) $ 6,399,066 5.67 % 5.68 % 7.94 Re- and Non-Performing Loans 168,319 ( 9,960 ) 158,359 — ( 15,182 ) 143,177 4.30 % 6.03 % 5.54 Total Securitized residential mortgage loans, at fair value $ 6,799,152 $ 2,536 $ 6,801,688 $ 60,266 $ ( 319,711 ) $ 6,542,243 5.64 % 5.69 % 7.88 Residential mortgage loans, at fair value Agency-Eligible Loans $ 38,463 $ 456 $ 38,919 $ 82 $ ( 66 ) $ 38,935 7.05 % 6.58 % 4.46 Home Equity Loans 214,676 6,426 221,102 6,945 ( 1 ) 228,046 10.25 % 9.25 % 3.91 Non-Agency Loans 557 17 574 6 ( 8 ) 572 6.77 % 3.54 % 3.04 Re- and Non-Performing Loans 1,805 ( 1,014 ) 791 894 — 1,685 N/A 115.68 % 1.28 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 March 31, 2025 $ 7,054,653 $ 8,421 $ 7,063,074 $ 68,193 $ ( 319,786 ) $ 6,811,481 5.78 % 5.81 % 7.74 Unpaid Principal Balance Gross Unrealized Weighted Average December 31, 2024 Premium (Discount) Amortized Cost Gains Losses Fair Value Coupon Yield (1) Life (Years) (2) Securitized residential mortgage loans, at fair value (3) Non-Agency Loans (4) $ 6,382,814 $ 5,817 $ 6,388,631 $ 28,767 $ ( 372,801 ) $ 6,044,597 5.59 % 5.68 % 8.12 Re- and Non-Performing Loans 182,501 ( 11,515 ) 170,986 — ( 17,905 ) 153,081 3.43 % 6.55 % 5.53 Total Securitized residential mortgage loans, at fair value $ 6,565,315 $ ( 5,698 ) $ 6,559,617 $ 28,767 $ ( 390,706 ) $ 6,197,678 5.53 % 5.70 % 8.05 Residential mortgage loans, at fair value Agency-Eligible Loans $ 101,570 $ 908 $ 102,478 $ 31 $ ( 364 ) $ 102,145 6.89 % 6.58 % 4.95 Home Equity Loans 99,863 1,625 101,488 2,509 ( 33 ) 103,964 10.35 % 9.89 % 4.30 Non-Agency Loans 13,098 ( 273 ) 12,825 101 ( 647 ) 12,279 7.54 % 4.72 % 3.76 Re- and Non-Performing Loans 2,016 ( 1,168 ) 848 981 — 1,829 N/A 103.24 % 1.37 Total Residential mortgage loans, at fair value $ 216,547 $ 1,092 $ 217,639 $ 3,622 $ ( 1,044 ) $ 220,217 8.54 % 8.39 % 4.54 Total as of December 31, 2024 $ 6,781,862 $ ( 4,606 ) $ 6,777,256 $ 32,389 $ ( 391,750 ) $ 6,417,895 5.62 % 5.79 % 7.93 (1) The weighted average yields are calculated based on the amortized cost of the underlying loans. (2) This is based on projected life. Typically, actual maturities are shorter than stated contractual maturities. Maturities are affected by the lives of the underlying mortgage loans, periodic payments of principal, and prepayments of principal. (3) Refer to the "Variable interest entities" section below for additional details related to the assets and liabilities of VIEs consolidated on the Company's consolidated balance sheets. (4) Securitized Non-Agency Loans include loans that were considered to be Agency-Eligible prior to the Company's securitization. 12 AG Mortgage Investment Trust Inc. and Subsidiaries Notes to Consolidated Financial Statements (Unaudited) 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) March 31, 2025 Current 30-59 Days 60-89 Days 90+ Days (2) Securitized residential mortgage loans Non-Agency Loans $ 6,630,833 16,811 $ 6,416,003 $ 94,457 $ 37,029 $ 83,344 Re- and Non-Performing Loans 168,319 1,142 130,222 12,398 2,851 22,848 Total Securitized residential mortgage loans $ 6,799,152 17,953 $ 6,546,225 $ 106,855 $ 39,880 $ 106,192 Residential mortgage loans Agency-Eligible Loans $ 38,463 93 $ 38,463 $ — $ — $ — Home Equity Loans 214,676 2,654 214,676 — — — Non-Agency Loans 557 2 364 — — 193 Re- and Non-Performing Loans (1) 1,805 N/A N/A N/A N/A N/A Total Residential mortgage loans $ 255,501 2,749 $ 253,503 $ — $ — $ 193 Total as of March 31, 2025 $ 7,054,653 20,702 $ 6,799,728 $ 106,855 $ 39,880 $ 106,385 Unpaid Principal Balance Loan Count (1) Aging by Unpaid Principal Balance (1) December 31, 2024 Current 30-59 Days 60-89 Days 90+ Days (2) Securitized residential mortgage loans Non-Agency Loans $ 6,382,814 16,087 $ 6,183,680 $ 86,606 $ 33,793 $ 78,735 Re- and Non-Performing Loans 182,501 1,259 132,477 14,114 3,702 32,208 Total Securitized residential mortgage loans $ 6,565,315 17,346 $ 6,316,157 $ 100,720 $ 37,495 $ 110,943 Residential mortgage loans Agency-Eligible Loans $ 101,570 214 $ 101,062 $ 508 $ — $ — Home Equity Loans 99,863 1,292 99,838 25 — — Non-Agency Loans 13,098 24 4,967 1,275 1,162 5,694 Re- and Non-Performing Loans (1) 2,016 N/A N/A N/A N/A N/A Total Residential mortgage loans $ 216,547 1,530 $ 205,867 $ 1,808 $ 1,162 $ 5,694 Total as of December 31, 2024 $ 6,781,862 18,876 $ 6,522,024 $ 102,528 $ 38,657 $ 116,637 (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) 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 Home Equity Loans 123,276 128,240 — — Non-Agency Loans — — 14,046 14,214 Total $ 484,814 $ 495,008 $ 282,132 $ 285,298 (1) Fair value represents purchase price at acquisition. 13 AG Mortgage Investment Trust Inc. and Subsidiaries Notes to Consolidated Financial Statements (Unaudited) 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 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 % New York 10 % 11 % Florida 10 % 11 % Texas 6 % 6 % 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 entered into securitization transactions collateralized by its Non-Agency Loans/Agency-Eligible Loans and re- and non-performing loans, of which the securitization trusts are considered VIEs. The Company was determined to be the primary beneficiary of the VIEs and, as a result, consolidated the assets and liabilities of the VIEs on its consolidated balance sheets. In a securitization transaction, a pool of loans is transferred to a wholly-owned subsidiary of the Company and the loans are deposited into a newly created securitization trust. The securitization trust issues various classes of mortgage pass-through certificates backed by the cash flows from the underlying residential mortgage loans (the "Certificates"). As the sponsor of the securitization, the Company retains certain Certificates issued by the securitization trusts in order to satisfy risk retention rules, which generally require the sponsor to retain at least 5% of the fair value of the Certificates issued in the securitization . The Company's continuing involvement in these securitization trusts represents its retained Certificates and the ability to purchase all of the outstanding Certificates upon the occurrence of certain events through an optional redemption right held by the Company. The Company has also engaged a related party of the Manager and direct subsidiary of TPG Angelo Gordon to act as the servicing administrator of certain securitization trusts. 14 AG Mortgage Investment Trust Inc. and Subsidiaries Notes to Consolidated Financial Statements (Unaudited) 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 Yield (1) Life (Years) (2) Yield (1) Life (Years) (2) Assets Securitized residential mortgage loans, at fair value (3) $ 6,399,066 5.68 % 7.94 $ 6,044,597 5.68 % 8.12 Other assets 35,021 30,922 Total Assets $ 6,434,087 $ 6,075,519 Liabilities Securitized debt, at fair value (3) (4) $ 5,736,457 5.21 % 6.06 $ 5,391,413 5.17 % 6.05 Other liabilities 23,707 22,185 Total Liabilities $ 5,760,164 $ 5,413,598 Total Equity (5) $ 673,923 $ 661,921 (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. Typically, actual maturities are shorter than stated contractual maturities. Maturities are affected by the contractual lives of the underlying mortgages, periodic payments of principal, and prepayments of principal. (3) Securitized residential mortgage loans in Non-Agency VIEs include loans that were considered to be Agency-Eligible prior to the Company's securitization. (4) The holders of the securitized debt have no recourse to the general credit of the Company. The Company has no obligation to provide any other explicit or implicit support to the Non-Agency VIEs. (5) As of 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. 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 Yield (1) Life (Years) (2) Yield (1) Life (Years) (2) Assets Securitized residential mortgage loans, at fair value $ 143,177 6.03 % 5.54 $ 153,081 6.55 % 5.53 Restricted cash 11 10 Other assets 2,291 2,064 Total Assets $ 145,479 $ 155,155 Liabilities Securitized debt, at fair value (3) $ 100,234 3.36 % 3.47 $ 100,554 3.34 % 3.59 Other liabilities 293 298 Total Liabilities $ 100,527 $ 100,852 Total Equity (4) $ 44,952 $ 54,303 (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. Typically, actual maturities are shorter than stated contractual maturities. Maturities are affected by the contractual lives of the underlying mortgages, periodic payments of principal, and prepayments of principal. (3) The holders of the securitized debt have no recourse to the general credit of the Company. The Company has no obligation to provide any other explicit or implicit support to the RPL/NPL VIEs. (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. 15 AG Mortgage Investment Trust Inc. and Subsidiaries Notes to Consolidated Financial Statements (Unaudited) March 31, 2025 Legacy WMC Commercial loans 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. March 31, 2025 Premium / (Discount) 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 Loan B (8) 13,206 ( 52 ) 13,154 — ( 440 ) 12,714 8.52 % 10.29 % 0.25 5/6/2025 75.33 % CA Loan C (8) 24,535 ( 99 ) 24,436 — ( 816 ) 23,620 8.52 % 10.29 % 0.25 5/6/2025 77.22 % NY Loan D (9) 22,204 ( 112 ) 22,092 90 — 22,182 7.69 % 8.80 % 0.43 8/6/2025 42.50 % CT Total $ 67,204 $ ( 292 ) $ 66,912 $ 90 $ ( 1,498 ) $ 65,504 8.24 % 9.80 % 0.31 63.43 % December 31, 2024 Premium / (Discount) 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 Loan B (8) 13,206 ( 116 ) 13,090 74 — 13,164 8.71 % 10.69 % 0.42 5/6/2025 75.33 % CA Loan C (8) 24,535 ( 215 ) 24,320 137 — 24,457 8.71 % 10.69 % 0.42 5/6/2025 77.22 % NY Loan D (9) 22,204 ( 168 ) 22,036 112 — 22,148 7.89 % 8.73 % 0.68 8/6/2025 42.50 % CT Total $ 67,204 $ ( 563 ) $ 66,641 $ 364 $ — $ 67,005 8.44 % 10.04 % 0.50 63.69 % (1) The Company has the contractual right to receive a balloon payment for each loan. (2) Each commercial loan investment is a first mortgage loan. (3) Each commercial loan has a current payment status. 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. Maturities are affected by prepayments of principal. (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. The total LTV on commercial loans is presented based on fair value. (8) Loans A, B, and C have a floating rate coupon equal to 4.20 % plus one-month SOFR and are collateralized by hotels. (9) Loan D has a floating rate coupon equal to 3.38 % plus one-month SOFR and is collateralized by a retail property. 16 AG Mortgage Investment Trust Inc. and Subsidiaries Notes to Consolidated Financial Statements (Unaudited) March 31, 2025 4. Real Estate Securities 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. Current Face Premium / (Discount) Amortized Cost Gross Unrealized Fair Value (1) Weighted Average March 31, 2025 Gains Losses Coupon (2) Yield (3) Life (Years) (4) Non-Agency RMBS GCAT Non-Agency RMBS (5) GCAT Non-Agency Securities $ 43,794 $ ( 1,792 ) $ 42,002 $ — $ ( 3,747 ) $ 38,255 4.99 % 6.09 % 6.12 GCAT Non-Agency RMBS Interest Only (6) N/A N/A 2,217 1,070 — 3,287 0.57 % 31.32 % 2.98 Total GCAT Non-Agency RMBS 43,794 ( 1,792 ) 44,219 1,070 ( 3,747 ) 41,542 2.85 % 7.35 % 4.07 Non-Agency Securities (7) 102,131 ( 6,412 ) 95,719 3,369 ( 413 ) 98,675 5.90 % 7.59 % 8.73 Non-Agency RMBS Interest Only (6)(7) N/A N/A 11,967 416 ( 10 ) 12,373 0.50 % 21.78 % 5.00 Total Non-Agency RMBS 145,925 ( 8,204 ) 151,905 4,855 ( 4,170 ) 152,590 3.35 % 8.64 % 5.55 Legacy WMC CMBS (8) 100,865 ( 40,779 ) 60,086 3,523 ( 9,318 ) 54,291 7.43 % 17.15 % 1.61 Agency RMBS Interest Only (6) N/A N/A 18,299 179 ( 458 ) 18,020 4.25 % 9.85 % 6.14 Total as of March 31, 2025 $ 246,790 $ ( 48,983 ) $ 230,290 $ 8,557 $ ( 13,946 ) $ 224,901 4.44 % 10.96 % 5.04 Current Face Premium / (Discount) Amortized Cost Gross Unrealized Fair Value (1) Weighted Average December 31, 2024 Gains Losses Coupon (2) Yield (3) Life (Years) (4) Non-Agency RMBS GCAT Non-Agency RMBS (5) GCAT Non-Agency Securities $ 43,794 $ ( 1,884 ) $ 41,910 $ — $ ( 5,431 ) $ 36,479 4.94 % 6.12 % 6.74 GCAT Non-Agency RMBS Interest Only (6) N/A N/A 2,271 1,565 — 3,836 0.38 % 36.66 % 3.16 Total GCAT Non-Agency RMBS 43,794 ( 1,884 ) 44,181 1,565 ( 5,431 ) 40,315 2.68 % 7.69 % 4.37 Non-Agency Securities (7) 79,524 ( 6,011 ) 73,513 2,206 ( 742 ) 74,977 5.94 % 7.77 % 10.77 Non-Agency RMBS Interest Only (6)(7) N/A N/A 10,764 1,539 ( 16 ) 12,287 2.28 % 27.60 % 4.65 Total Non-Agency RMBS 123,318 ( 7,895 ) 128,458 5,310 ( 6,189 ) 127,579 3.08 % 9.40 % 5.65 Legacy WMC CMBS (8) 100,896 ( 41,879 ) 59,017 2,577 ( 8,809 ) 52,785 5.13 % 16.74 % 1.77 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 (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. (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. Maturities are affected by prepayments of principal. (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. 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 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. 17 AG Mortgage Investment Trust Inc. and Subsidiaries Notes to Consolidated Financial Statements (Unaudited) 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 Less than or equal to one year $ 3,194 $ 2,746 $ 15,783 $ 21,186 $ — $ — Greater than one year and less than or equal to five years 40,675 38,731 38,508 38,900 648 642 Greater than five years and less than or equal to ten years 78,045 80,427 — — 17,372 17,657 Greater than ten years 30,676 30,001 — — — — Total as of March 31, 2025 $ 152,590 $ 151,905 $ 54,291 $ 60,086 $ 18,020 $ 18,299 December 31, 2024 Non-Agency RMBS Legacy WMC CMBS Agency RMBS Weighted Average Life (1) Fair Value Amortized Cost Fair Value Amortized Cost Fair Value Amortized Cost Less than or equal to one year $ 2,983 $ 2,901 $ 14,731 $ 14,945 $ — $ — Greater than one year and less than or equal to five years 16,277 13,197 38,054 44,071 676 667 Greater than five years and less than or equal to ten years 71,588 75,990 — — 20,320 19,850 Greater than ten years 36,731 36,370 — — — — Total as of December 31, 2024 $ 127,579 $ 128,458 $ 52,785 $ 59,016 $ 20,996 $ 20,517 (1) This is based on projected life. Typically, actual maturities are shorter than stated contractual maturities. Maturities are affected by the contractual lives of the underlying mortgages, periodic payments of principal and prepayments of principal. 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 — March 31, 2024 Non-Agency RMBS 7 19,318 1,160 ( 409 ) 5. Fair value measurements The fair value of the Company's financial instruments is determined in accordance with the provisions of ASC 820, "Fair Value Measurements and Disclosures." When possible, the Company determines fair value using third-party data sources. ASC 820 establishes a hierarchy that prioritizes the inputs to valuation techniques. Level 1 inputs are observable inputs that reflect quoted prices for identical assets or liabilities in active markets. Level 2 inputs are observable inputs other than quoted prices and may include quoted prices for similar assets and liabilities in active markets. Level 3 inputs are significant unobservable inputs. In situations where quoted prices or observable inputs are unavailable (for example, when there is little or no market activity for an investment at the end of the period), unobservable inputs may be used and reflect the Company’s assumptions about the factors that market participants would use in pricing an asset or liability, and would be based on the best information available. In certain cases, inputs used to measure fair value fall into different levels of the fair value hierarchy. In such cases, the level at which the fair value measurement falls is determined based on the lowest level input that is significant to the fair value measurement. 18 AG Mortgage Investment Trust Inc. and Subsidiaries Notes to Consolidated Financial Statements (Unaudited) 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 Assets: Securitized residential mortgage loans $ — $ — $ 6,542,243 $ 6,542,243 Residential mortgage loans — 1,685 267,553 269,238 Legacy WMC Commercial Loans — — 65,504 65,504 Non-Agency RMBS — 11,472 141,118 152,590 Legacy WMC CMBS — 54,291 — 54,291 Agency RMBS — 18,020 — 18,020 Derivative assets (1) — 6,410 — 6,410 Cash equivalents (2) 114,880 — — 114,880 AG Arc (3) — — 32,242 32,242 Total Assets Measured at Fair Value $ 114,880 $ 91,878 $ 7,048,660 $ 7,255,418 Liabilities: Securitized debt $ — $ — $ ( 5,836,691 ) $ ( 5,836,691 ) Derivative liabilities (1) — ( 2,506 ) — ( 2,506 ) Total Liabilities Measured at Fair Value $ — $ ( 2,506 ) $ ( 5,836,691 ) $ ( 5,839,197 ) Fair Value at December 31, 2024 Level 1 Level 2 Level 3 Total Assets: Securitized residential mortgage loans $ — $ — $ 6,197,678 $ 6,197,678 Residential mortgage loans — 1,829 218,388 220,217 Legacy WMC Commercial loans — — 67,005 67,005 Non-Agency RMBS — 12,046 115,533 127,579 Legacy WMC CMBS — 52,785 — 52,785 Agency RMBS — 20,996 — 20,996 Derivative assets (1) — 11,414 204 11,618 Cash equivalents (2) 117,979 — — 117,979 AG Arc (3) — — 30,778 30,778 Total Assets Measured at Fair Value $ 117,979 $ 99,070 $ 6,629,586 $ 6,846,635 Liabilities: Securitized debt $ — $ — $ ( 5,491,967 ) $ ( 5,491,967 ) Derivative liabilities (1) — ( 38 ) ( 336 ) ( 374 ) Total Liabilities Measured at Fair Value $ — $ ( 38 ) $ ( 5,492,303 ) $ ( 5,492,341 ) (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. Refer to Note 7 for more information on the Company's derivatives. (2) The Company classifies highly liquid investments with original maturities of three months or less from the date of purchase as cash equivalents. Cash equivalents may include cash invested in money market funds and are carried at cost, which approximates fair value. (3) The table above includes the Company's investment in AG Arc, which is included in its "Investments in debt and equity of affiliates" line item on the consolidated balance sheets, as the Company has chosen to elect the fair value option with respect to its investment pursuant to ASC 825. The valuation of the Company’s residential mortgage loans, securitized debt relating to the Non-Agency VIEs and RPL/NPL VIEs, commercial loans, certain securities, and forward purchase commitments is determined by the Manager using third-party 19 AG Mortgage Investment Trust Inc. and Subsidiaries Notes to Consolidated Financial Statements (Unaudited) March 31, 2025 pricing services where available, valuation analyses from third-party pricing service providers, or model-based pricing. Third-party pricing service providers conduct independent valuation analyses based on a review of source documents, available market data, and comparable investments. The analyses provided by valuation service providers are reviewed and considered by the Manager. The evaluation considers the underlying characteristics of each loan, which are observable inputs, including: coupon, maturity date, loan age, reset date, collateral type, periodic and life cap, geography, and historical prepayment speeds. The Company also considers loan servicing data, as available, forward interest rates, general economic conditions, home price index forecasts, and valuations of the underlying properties. The variables considered most significant to the determination of the fair value of the Company's residential mortgage loans, securitized debt, commercial loans, certain securities, and forward purchase commitments include market-implied discount rates, projections of default rates, delinquency rates, prepayment rates, loss severity, loan-to-value ratios, recovery rates, reperformance rates, timeline to liquidation, and, for forward purchase commitments, pull-through rates. The Company and third-party pricing service providers use loan level data and macro-economic inputs to generate loss adjusted cash flows and other information in determining the fair value. Because of the inherent uncertainty of such valuation, the fair value established for mortgage loans, securitized debt, commercial loans, certain securities, and forward purchase commitments held by the Company may differ from the fair value that would have been established if a ready market existed for these mortgage loans. Fair values for the Company’s securities and derivatives may be based upon prices obtained from third-party pricing services or broker quotations. The valuation methodology of the Company’s third-party pricing services incorporates commonly used market pricing methods, including a spread measurement to various indices, which are observable inputs. The evaluation also considers the underlying characteristics of each investment, which are also observable inputs, including: coupon, maturity date, loan age, reset date, collateral type, periodic and life cap, geography, and prepayment speeds. The Company collects and considers current market intelligence on all major markets, including benchmark security evaluations and bid-lists from various sources, when available. As part of the Company’s risk management process, the Company reviews and analyzes all prices obtained by comparing prices to recently completed transactions involving the same or similar investments on or near the reporting date. If, in the opinion of the Manager, one or more prices reported to the Company are not reliable or unavailable, the Manager reviews the fair value based on characteristics of the investment it receives from the issuer and available market information. The Company's investment in Arc Home is evaluated on a periodic basis using a market approach. In applying the market approach, fair value is determined by multiplying Arc Home's book value by a relevant valuation multiple observed based on a range of comparable public entities or transactions, adjusted by management as appropriate for differences between the investment and the referenced comparables. The evaluation also considers the underlying financial performance of Arc Home, general economic conditions, and relevant trends within the mortgage banking industry. Changes in the market environment and other events that may occur over the life of these investments may cause the gains or losses ultimately realized to be different than the valuations currently estimated. The significant unobservable inputs used in the fair value measurement of the Company’s loans and securities are yields, prepayment rates, probability of default, and loss severity in the event of default. Significant increases (decreases) in any of those inputs in isolation would result in a significantly lower (higher) fair value measurement. Generally, a change in the assumption used for the probability of default is accompanied by a directionally similar change in the assumption used for the loss severity and a directionally opposite change in the assumption used for prepayment rates. The significant unobservable input used in the fair value measurement of the Company’s investment in Arc Home is the book value multiple. Significant increases (decreases) in the multiple applied would result in a significantly higher (lower) fair value measurement. The Company did not have any transfers of assets or liabilities between Levels 1 and 2 of the fair value hierarchy during the 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. Transfers out of the Level 3 category of the fair value hierarchy occur due to instruments exhibiting indications of increased levels of market transparency. Indications of increases or decreases in levels of market transparency include a change in observable transactions or executable quotes involving these instruments or similar instruments. Changes in these indications could impact price transparency, and thereby cause a change in level designations in future periods. 20 AG Mortgage Investment Trust Inc. and Subsidiaries Notes to Consolidated Financial Statements (Unaudited) 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 March 31, 2025 Residential Mortgage Loans (1) Legacy WMC Commercial Loans Non-Agency RMBS Derivative Assets (2) AG Arc Securitized Debt Derivative Liabilities (2) Beginning balance $ 6,416,066 $ 67,005 $ 115,533 $ 204 $ 30,778 $ ( 5,491,967 ) $ ( 336 ) Purchases 494,769 — 25,963 — — — — Issuances of Securitized Debt — — — — — ( 408,670 ) — 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: Net premium and discount amortization (3) 1,891 270 ( 692 ) — — ( 6,807 ) — Net realized gain/(loss) ( 1,067 ) — — 258 — — ( 298 ) Net unrealized gain/(loss) 107,843 ( 1,771 ) 1,408 ( 204 ) — ( 100,022 ) 336 Equity in earnings/(loss) from affiliates — — — — 1,464 — — Other (4) ( 4,062 ) — — — — — — 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 March 31, 2025 Net premium and discount amortization (3) 1,830 270 ( 692 ) — — ( 6,807 ) — Net unrealized gain/(loss) 106,986 ( 1,771 ) 1,408 — — ( 100,022 ) — Equity in earnings/(loss) from affiliates — — — — 1,464 — — Three Months Ended March 31, 2024 Residential Mortgage Loans (1) Legacy WMC Commercial Loans Non-Agency RMBS Legacy WMC CMBS Legacy WMC Other Securities Derivative Assets (2) AG Arc Securitized Debt Derivative Liabilities (2) Beginning balance $ 5,675,135 $ 66,303 $ 37,533 $ 5,796 $ 1,156 $ 1,172 $ 33,574 $ ( 4,711,623 ) $ ( 7 ) Purchases 287,617 — — — — — — — — Issuances of Securitized Debt — — — — — — — ( 363,899 ) — Capital distributions — — — — — — ( 312 ) — — Proceeds from sales or settlements — — — — — ( 1,181 ) — — 49 Principal repayments ( 140,625 ) — — — — — — 124,587 — Included in net income: Net premium and discount amortization (3) 4,197 60 16 ( 63 ) ( 54 ) — — ( 7,578 ) — Net realized gain/(loss) 2 — — — — 1,181 — — ( 49 ) Net unrealized gain/(loss) 23,056 111 1,614 ( 2,465 ) 118 ( 700 ) — ( 22,429 ) ( 152 ) Equity in earnings/(loss) from affiliates — — — — — — ( 72 ) — — Other (4) ( 822 ) — — — — — — — — 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 March 31, 2024 Net premium and discount amortization (3) 4,197 60 16 ( 63 ) ( 54 ) — — ( 7,578 ) — Net unrealized gain/(loss) 23,056 111 1,614 ( 2,465 ) 118 472 — ( 22,429 ) ( 159 ) Equity in earnings/(loss) from affiliates — — — — — — ( 72 ) — — (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) Included in the "Interest income" and "Interest expense" line items on the consolidated statement of operations for assets and liabilities, respectively. (4) Includes transfers of residential mortgage loans to real estate owned as well as activity related to advances. 21 AG Mortgage Investment Trust Inc. and Subsidiaries Notes to Consolidated Financial Statements (Unaudited) 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 (Weighted Average) (1) Fair Value Range (Weighted Average) (1) Securitized Residential Mortgage Loans Yield 5.30 % - 15.22 % ( 5.92 %) 5.75 % - 11.18 % ( 6.26 %) Discounted Cash Flow Projected Collateral Prepayments $ 6,542,243 4.34 % - 14.75 % ( 9.33 %) $ 6,197,678 4.95 % - 14.48 % ( 8.87 %) Projected Collateral Losses 0.00 % - 1.78 % ( 0.10 %) 0.00 % - 2.02 % ( 0.08 %) Projected Collateral Severities - 35.94 % - 26.00 % ( 19.71 %) - 19.30 % - 26.00 % ( 19.34 %) Residential Mortgage Loans Yield 5.65 % - 12.23 % ( 7.72 %) 6.44 % - 15.63 % ( 7.76 %) Discounted Cash Flow Projected Collateral Prepayments $ 267,553 3.96 % - 38.26 % ( 20.25 %) $ 218,388 1.29 % - 32.03 % ( 17.65 %) Projected Collateral Losses 0.00 % - 5.72 % ( 0.95 %) 0.00 % - 26.56 % ( 1.00 %) Projected Collateral Severities - 24.84 % - 25.00 % ( 22.76 %) - 25.96 % - 25.00 % ( 16.59 %) Legacy WMC Commercial Loans Yield 7.87 % - 31.58 % ( 23.55 %) 8.06 % - 9.63 % ( 9.11 %) Discounted Cash Flow Credit Spread $ 65,504 360 bps - 2500 bps ( 1775 bps) $ 67,005 377 bps - 512 bps ( 467 bps) Recovery Percentage (2) 100.00 % - 100.00 % ( 100.00 %) 100.00 % - 100.00 % ( 100.00 %) Loan-to-Value 42.50 % - 77.22 % ( 63.43 %) 42.50 % - 77.22 % ( 63.69 %) Non-Agency RMBS Yield 5.43 % - 25.00 % ( 8.35 %) 5.86 % - 25.00 % ( 7.90 %) Discounted Cash Flow Projected Collateral Prepayments $ 141,118 7.78 % - 14.58 % ( 11.85 %) $ 115,533 7.37 % - 14.50 % ( 11.46 %) Projected Collateral Losses 0.00 % - 0.69 % ( 0.17 %) 0.00 % - 0.18 % ( 0.04 %) Projected Collateral Severities 10.00 % - 100.00 % ( 43.54 %) 10.00 % - 25.00 % ( 18.17 %) Derivative Assets (3) 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 %) AG Arc Comparable Multiple Book Value Multiple $ 32,242 1.00 x - 1.00 x ( 1.00 x) $ 30,778 0.95 x - 0.95 x ( 0.95 x) Securitized Debt Yield 4.86 % - 25.00 % ( 5.54 %) 5.11 % - 25.00 % ( 5.86 %) Discounted Cash Flow Projected Collateral Prepayments $ ( 5,836,691 ) 4.34 % - 14.75 % ( 9.31 %) $ ( 5,491,967 ) 4.95 % - 14.48 % ( 8.85 %) Projected Collateral Losses 0.00 % - 0.50 % ( 0.09 %) 0.00 % - 0.50 % ( 0.07 %) Projected Collateral Severities 10.00 % - 26.00 % ( 19.98 %) 10.00 % - 26.00 % ( 19.63 %) Derivative Liabilities (3) 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 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. 22 AG Mortgage Investment Trust Inc. and Subsidiaries Notes to Consolidated Financial Statements (Unaudited) March 31, 2025 6. Financing 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 Financing Weighted Average Collateral Fair Value (1)(2) Financing Current Face Carrying Value Stated Maturity Funding Cost Life (Years) Carrying Value Financing Arrangements by Asset Type (3) Securitized Residential Mortgage Loans (4) 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 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 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 Securitized debt, at fair value (7)(8) Non-Agency Loans (9) $ 6,013,277 $ 5,736,457 N/A 5.21 % 6.06 N/A $ 5,391,413 Re- and Non-Performing Loans 108,855 100,234 N/A 3.36 % 3.47 N/A 100,554 Total Securitized Debt $ 6,122,132 $ 5,836,691 5.18 % 6.02 N/A $ 5,491,967 Senior Unsecured Notes (10) February 2029 Senior Unsecured Notes $ 34,500 $ 33,100 Feb 2029 10.79 % 3.94 N/A $ 33,028 May 2029 Senior Unsecured Notes 65,000 62,798 May 2029 10.52 % 4.18 N/A 62,693 Total Senior Unsecured Notes $ 99,500 $ 95,898 10.61 % 4.10 N/A $ 95,721 Total Financing $ 7,027,686 $ 6,739,143 5.38 % 5.47 $ 1,230,048 $ 6,329,796 (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. (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. (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 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. 23 AG Mortgage Investment Trust Inc. and Subsidiaries Notes to Consolidated Financial Statements (Unaudited) March 31, 2025 Senior Unsecured Notes The Company’s Senior Unsecured Notes consist of $ 34.5 million principal amount 9.500 % Senior Notes due February 2029 ("February 2029 Senior Unsecured Notes") and $ 65.0 million principal amount 9.500 % Senior Notes due May 2029 ("May 2029 Senior Unsecured Notes" and together with the February 2029 Senior Unsecured Notes, the "Senior Unsecured Notes"). The February 2029 Senior Unsecured Notes were issued on January 26, 2024 in a public offering for net proceeds of approximately $ 32.8 million and the May 2029 Senior Unsecured Notes were issued on May 15, 2024 in a public offering for net proceeds of approximately $ 62.4 million. The below table provides a summary of the Senior Unsecured Notes as of 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 $ 33,100 February 15, 2029 February 15, 2026 9.500 % May 2029 Senior Unsecured Notes $ 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) The Company has the option to redeem the Senior Unsecured Notes earlier than the maturity date. (3) The Company may redeem the Senior Unsecured Notes in whole or in part at any time or from time to time at the Company’s option on or after the redemption date, upon not less than 30 days written notice to holders prior to the redemption date, at a redemption price equal to 100 % of the outstanding principal amount of the Senior Unsecured Notes to be redeemed plus accrued and unpaid interest to, but excluding, the redemption date. (4) The Senior Unsecured Notes bear interest at a rate equal to 9.500 % per year, payable in cash quarterly in arrears on February 15, May 15, August 15 and November 15 of each year, beginning on the applicable first pay date. The below table details the total interest expense incurred on the Senior Unsecured Notes during the three months ended March 31, 2025 and 2024 (in thousands). Three Months Ended March 31, 2025 March 31, 2024 Coupon interest expense $ 2,363 $ 592 Amortization expense 177 47 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 $ 1,373 Amortization expense 322 Total interest expense $ 1,695 24 AG Mortgage Investment Trust Inc. and Subsidiaries Notes to Consolidated Financial Statements (Unaudited) March 31, 2025 Contractual maturities 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. Within 30 Days Over 30 Days to 3 Months Over 3 Months to 12 Months Over 12 Months Total Financing Arrangements by Asset Type Securitized Residential Mortgage Loans Non-Agency Loans $ 47,236 $ 299,424 $ 46,199 $ — $ 392,859 Re- and Non-Performing Loans 16,292 11,141 — — 27,433 Residential Mortgage Loans Agency-Eligible Loans — — 36,368 — 36,368 Home Equity Loans — 186,629 — — 186,629 Legacy WMC Commercial Loans — — 41,936 — 41,936 Non-Agency RMBS 5,356 94,178 — — 99,534 Legacy WMC CMBS 20,559 — — — 20,559 Agency RMBS 736 — — — 736 Total Financing Arrangements $ 90,179 $ 591,372 $ 124,503 $ — $ 806,054 Senior Unsecured Notes February 2029 Senior Unsecured Notes $ — $ — $ — $ 34,500 $ 34,500 May 2029 Senior Unsecured Notes — — — 65,000 65,000 Total Senior Unsecured Notes $ — $ — $ — $ 99,500 $ 99,500 Counterparties The Company had outstanding financing arrangements with six 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 Counterparty Stockholders' Equity at Risk Weighted Average Maturity (days) Percentage of Stockholders' Equity Stockholders' Equity at Risk Weighted Average Maturity (days) Percentage of Stockholders' Equity BofA Securities, Inc. $ 136,105 75 25.0 % $ 135,141 82 25.0 % Goldman Sachs Bank USA 110,795 60 20.4 % 92,220 118 17.1 % Barclays Capital Inc. 59,303 69 10.9 % 75,516 20 14.0 % Various (1) 83,765 121 15.4 % 81,855 211 15.2 % (1) Certain retained interests in securitizations are held in WMC RR 2023-1 Trust, a wholly owned subsidiary of the Company. WMC RR 2023-1 Trust issued certificates which were sold to various third-party investors. Financial Covenants The Company’s financing arrangements generally include customary representations, warranties, and covenants, but may also contain more restrictive supplemental terms and conditions. Although specific to each financing arrangement, typical supplemental terms include requirements of minimum equity and liquidity, leverage ratios, and performance triggers. In addition, some of the financing arrangements contain cross default features, whereby default under an agreement with one lender simultaneously causes default under agreements with other lenders. To the extent that the Company fails to comply with the covenants contained in these financing arrangements or is otherwise found to be in default under the terms of such agreements, the counterparty has the right to accelerate amounts due under the associated agreement. Financings pursuant to 25 AG Mortgage Investment Trust Inc. and Subsidiaries Notes to Consolidated Financial Statements (Unaudited) 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. 7. Other assets and liabilities The following table details certain information related to the Company's "Other assets" and "Other liabilities" line items on its consolidated balance sheets as of March 31, 2025 and December 31, 2024 (in thousands). March 31, 2025 December 31, 2024 Other assets Interest receivable $ 37,545 $ 34,930 Real estate owned 5,449 3,537 Derivative assets, at fair value — 204 Other assets 3,033 3,269 Due from broker 74 — Total Other assets $ 46,101 $ 41,940 Other liabilities Due to affiliates (1) $ 4,762 $ 4,275 Interest payable 27,174 28,294 Derivative liabilities, at fair value 256 340 Accrued expenses 1,697 1,698 Due to broker 237 48 Taxes payable 149 103 Total Other liabilities $ 34,275 $ 34,758 (1) Refer to Note 10 for more information. Derivatives The following table presents information related to the Company's derivatives and other instruments and their balance sheet location as of March 31, 2025 and December 31, 2024 (in thousands). Balance Sheet Location March 31, 2025 December 31, 2024 Derivatives and Other Instruments (1) Notional Fair Value Notional Fair Value Pay Fix/Receive Float Interest Rate Swap Agreements (2) (3) Other assets $ 124,500 $ — $ 337,550 $ — Pay Fix/Receive Float Interest Rate Swap Agreements (2) (3) Other liabilities 208,000 ( 256 ) 5,000 ( 4 ) Forward Purchase Commitments Other assets — — 30,581 204 Forward Purchase Commitments Other liabilities — — 35,398 ( 336 ) (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. 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. (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. 26 AG Mortgage Investment Trust Inc. and Subsidiaries Notes to Consolidated Financial Statements (Unaudited) 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. The Company must post cash or securities as collateral on its derivative instruments when their fair value declines. This typically occurs when prevailing market rates change adversely, with the severity of the change also dependent on the term of the derivatives involved. The posting of collateral is generally bilateral, meaning that if the fair value of the Company’s derivatives increases, its counterparty must post collateral. As of 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 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 Interest Rate Swaps $ 737 $ 1,900 Included within Net unrealized gain/(loss) Interest Rate Swaps ( 6,536 ) 10,313 Short TBAs — ( 92 ) Forward Purchase Commitments 132 ( 852 ) ( 6,404 ) 9,369 Included within Net realized gain/(loss) Interest Rate Swaps 782 ( 3,141 ) Short TBAs — 10 Forward Purchase Commitments ( 40 ) 1,132 742 ( 1,999 ) Total income/(loss) $ ( 4,925 ) $ 9,270 Derivative Activity 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 Additions Settlement, Termination, or Expiration (1) Ending Notional Amount Derivative Asset Derivative Liability 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. 27 AG Mortgage Investment Trust Inc. and Subsidiaries Notes to Consolidated Financial Statements (Unaudited) March 31, 2025 8. Earnings per share The following table presents a reconciliation of the earnings and shares used in calculating basic and diluted earnings per share for the three months ended March 31, 2025 and 2024 (in thousands, except per share data). Three Months Ended March 31, 2025 March 31, 2024 Numerator: Net Income/(Loss) $ 11,477 $ 20,890 Dividends on preferred stock ( 5,304 ) ( 4,586 ) Net Income/(Loss) Available to Common Stockholders $ 6,173 $ 16,304 Denominator: Basic weighted average common shares outstanding 29,659 29,453 Diluted weighted average common shares outstanding 29,688 29,479 Earnings/(Loss) Per Share Basic $ 0.21 $ 0.55 Diluted $ 0.21 $ 0.55 Dividends 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 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 Declaration Date Record Date Payment Date 8.25 % Series A 8.00 % Series B 8.000 % Series C 2/14/2025 2/28/2025 3/17/2025 $ 0.51563 $ 0.50 $ 0.693062 2024 Cash Dividend Per Share Declaration Date Record Date Payment Date 8.25 % Series A 8.00 % Series B 8.000 % Series C 2/16/2024 2/29/2024 3/18/2024 $ 0.51563 $ 0.50 $ 0.50 9. Income taxes The Company conducts its operations to qualify and be taxed as a REIT. As a REIT, the Company is not subject to federal income tax to the extent that it makes qualifying distributions to its stockholders, and provided it satisfies on a continuing basis, through actual investment and operating results, the REIT requirements including certain asset, income, distribution, and stock ownership tests. The state and local tax jurisdictions for which the Company is subject to tax-filing obligations recognize the Company’s status as a REIT, and therefore, the Company generally does not pay income tax in such jurisdictions. The Company may, however, be subject to certain minimum state and local tax filing fees as well as certain excise, franchise, or business taxes. 28 AG Mortgage Investment Trust Inc. and Subsidiaries Notes to Consolidated Financial Statements (Unaudited) 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 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 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 The Company elected to treat certain domestic subsidiaries as taxable REIT subsidiaries ("TRSs"). The Company’s financial results are generally not expected to reflect provisions for current or deferred income taxes, except for any activities conducted through one or more TRSs that are subject to corporate income taxation. Currently, the Company has wholly owned domestic TRSs that are taxable as corporations and subject to U.S. federal, state, and local income tax on net income at the applicable corporate rates. The federal statutory rate for the three months ended March 31, 2025 and 2024 was 21%. The Company’s effective tax rate differs from its combined U.S. federal, state, and local corporate statutory tax rate primarily due to income earned at the REIT, which is not subject to tax, due to the deduction for qualifying distributions made by the Company, and any change in the valuation allowance as disclosed in further detail below. The tax expense attributable to its TRSs is recorded in the "Non-investment related expenses" line item on the consolidated statement of operations. The below table details the tax expense attributable to its TRSs for the three months ended March 31, 2025 and 2024 (in thousands). Three Months Ended March 31, 2025 March 31, 2024 Tax expense $ 28 $ 25 29 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 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 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 March 31, 2025 and December 31, 2024. The Company’s and WMC's federal income tax returns for the last three tax years are open to examination by the Internal Revenue Service. There are no ongoing U.S. federal, state or local tax examinations related to the Company. In the event that the Company incurs income tax related interest and penalties, its policy is to classify them as a component of provision for income taxes. The Company did no t incur any interest or penalties during the three months ended March 31, 2025 and 2024. 10. Related party transactions Manager The Company has entered into a management agreement with the Manager, which provided for an initial term and will be deemed renewed automatically each year for an additional one-year period, subject to certain termination rights. The Company is externally managed and advised by the Manager. Pursuant to the terms of the management agreement, which became effective July 6, 2011 (upon the consummation of the Company’s initial public offering (the "IPO")), the Manager provides the Company with its management team, including its officers, along with appropriate support personnel. Each of the Company’s officers is an employee of TPG Angelo Gordon. The Company does not have any employees. The Manager has delegated to TPG Angelo Gordon the overall responsibility of its day-to-day duties and obligations arising under the Company’s management agreement. Below is a description of the fees and reimbursements provided in the management agreement. On November 1, 2023, TPG completed the acquisition of TPG Angelo Gordon (the "TPG Transaction"), pursuant to which TPG Angelo Gordon, including the Manager, became indirect subsidiaries of TPG. Pursuant to the management agreement with the Manager, the closing of the TPG Transaction resulted in an assignment of the management agreement. The independent directors of the Company's Board of Directors unanimously consented to such assignment on July 31, 2023 in advance of the TPG Transaction closing. There were no changes to the management agreement in connection with the TPG Transaction and the assignment of the management agreement became effective upon the closing of the TPG Transaction. In connection with the 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 30 AG Mortgage Investment Trust Inc. and Subsidiaries Notes to Consolidated Financial Statements (Unaudited) 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. Incentive fee The Manager is entitled to an annual incentive fee with respect to each applicable fiscal year, which will be equal to 15 % of the amount by which the Company's cumulative adjusted net income from November 22, 2021 exceeds the cumulative hurdle amount, which represents an 8 % return (cumulative, but not compounding) on an equity hurdle base consisting of the sum of (i) $ 341.5 million and (ii) the gross proceeds of any subsequent public or private common stock offerings by the Company. The annual incentive fee will be payable in cash, or, at the option of the Company's Board of Directors, shares of common stock or a combination of cash and shares. During the 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 March 31, 2025 and December 31, 2024, no event of termination of the management agreement had occurred. Expense reimbursement The Company is required to reimburse the Manager or its affiliates for operating expenses which are incurred by the Manager or its affiliates on behalf of the Company, including expenses relating to legal, accounting, due diligence, and other services. The Company’s reimbursement obligation is not subject to any dollar limitation; however, the reimbursement is subject to an annual budget process which combines guidelines from the management agreement with oversight by the Company’s Board of Directors. The Company reimburses the Manager or its affiliates for the Company’s allocable share of the compensation, including, without limitation, annual base salary, bonus, any related withholding taxes, and employee benefits paid to (i) the Company’s chief financial officer based on the percentage of time spent on Company affairs, (ii) the Company’s general counsel based on the percentage of time spent on the Company’s affairs, and (iii) other corporate finance, tax, accounting, internal audit, legal, risk management, operations, compliance, and other non-investment personnel of the Manager and its affiliates who spend all or a portion of their time managing the Company’s affairs based upon the percentage of time devoted by such personnel to the Company’s affairs. In their capacities as officers or personnel of the Manager or its affiliates, they devote such portion of their time to the Company’s affairs as is necessary to enable the Company to operate its business. 31 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: March 31, 2025 March 31, 2024 Non-investment related expenses (1) $ 1,839 $ 1,664 Investment related expenses 200 114 Transaction related expenses 260 68 Expense reimbursements to Manager or its affiliates $ 2,299 $ 1,846 (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. Investments in debt and equity of affiliates The Company invests in credit sensitive residential assets through affiliated entities which hold an ownership interest in the assets. The Company is one investor, amongst other investors managed by affiliates of TPG Angelo Gordon, in such entities and has applied the equity method of accounting for such investments. Arc Home On December 9, 2015, the Company, alongside private funds managed by TPG Angelo Gordon, through AG Arc LLC, one of the Company’s indirect affiliates ("AG Arc"), formed Arc Home. The Company has an approximate 44.6 % interest in AG Arc. Arc Home originates residential mortgage loans and retains the mortgage servicing rights associated with certain loans it originates. Arc Home is led by an external management team. The Company has chosen to make a fair value election with respect to its investment in AG Arc pursuant to ASC 825. The Company elected to treat its investment in AG Arc as a taxable REIT subsidiary. MATH On August 29, 2017, the Company, alongside private funds managed by TPG Angelo Gordon, formed 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. MATT made an election to be treated as a REIT beginning with the 2018 tax year. The Company has an approximate 47.0 % interest in MATH. MATH, 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. 32 AG Mortgage Investment Trust Inc. and Subsidiaries Notes to Consolidated Financial Statements (Unaudited) 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 March 31, 2025 and December 31, 2024 (in thousands). March 31, 2025 December 31, 2024 Assets Liabilities Equity Assets Liabilities Equity Non-QM Securities (1) $ 12,362 $ — $ 12,362 $ 13,304 $ — $ 13,304 Re/Non-Performing Securities 717 — 717 2,462 ( 588 ) 1,874 Total Residential Investments 13,079 — 13,079 15,766 ( 588 ) 15,178 AG Arc, at fair value 32,242 — 32,242 30,778 — 30,778 Cash and Other assets/(liabilities) 721 ( 26 ) 695 910 ( 25 ) 885 Investments in debt and equity of affiliates $ 46,042 $ ( 26 ) $ 46,016 $ 47,454 $ ( 613 ) $ 46,841 (1) MATH, through its wholly owned subsidiary MATT, only holds risk-retention tranches from past securitizations which continue to pay down and the Company does not expect MATT to acquire additional investments. The below table reconciles the net income/(loss) to the "Equity in earnings/(loss) from affiliates" line item on the Company's consolidated statements of operations for the three months ended March 31, 2025 and 2024 (in thousands). Three Months Ended March 31, 2025 March 31, 2024 Non-QM Securities $ ( 71 ) $ 2,205 Re/Non-Performing Securities ( 120 ) 105 AG Arc (1) 1,376 ( 273 ) Equity in earnings/(loss) from affiliates $ 1,185 $ 2,037 (1) Earnings/(loss) recognized by AG Arc do not include the Company's portion of gains or losses recorded by Arc Home in connection with the sale of residential mortgage loans to the Company. Refer to "Transactions with Arc Home" below for more information on this accounting policy. Transactions with affiliates Transactions with Red Creek Asset Management LLC In connection with the Company’s investments in residential mortgage loans, the Company engages asset managers to provide advisory, consultation, asset management, and other services. The Company engaged Red Creek Asset Management LLC (the "Asset Manager"), a related party of the Manager and direct subsidiary of TPG Angelo Gordon, as the asset manager for certain of its residential mortgage loans. The Company pays the Asset Manager asset management fees which are assessed periodically by a third-party valuation firm. The below details the fees paid by the Company to the Asset Manager during the 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 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. 33 AG Mortgage Investment Trust Inc. and Subsidiaries Notes to Consolidated Financial Statements (Unaudited) 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 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 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 months ended March 31, 2025 and 2024 (in thousands). Three Months Ended March 31, 2025 March 31, 2024 Intra-Entity Profits Eliminated $ 88 $ 201 The Company enters into forward purchase commitments with Arc Home whereby the Company commits to purchase residential mortgage loans from Arc Home at a particular price on a best-efforts basis. Actual loan purchases are contingent upon successful loan closings. These commitments to purchase mortgage loans are classified as derivatives. From time to time, the Company may determine that certain loans it has previously committed to purchase will be sold to third parties and, as a result, the derivative will be settled on a net basis with Arc Home. See Note 7 and Note 12, if applicable, for more detail. 11. Equity Stock repurchase programs On August 3, 2022, the Company's Board of Directors authorized a stock repurchase program (the "2022 Repurchase Program") to repurchase up to $ 15.0 million of the Company’s outstanding common stock. The 2022 Repurchase Program does not have an expiration date and permits the Company to repurchase its shares through various methods, including open market repurchases, privately negotiated block transactions and Rule 10b5-1 plans. The Company may repurchase shares of its common stock from time to time in compliance with SEC regulations and other legal requirements. The extent to which the Company repurchases its shares, and the timing, manner, price, and amount of any such repurchases, will depend upon a variety of factors including market conditions and other corporate considerations as determined by the Company’s management, as well as the limits of the 2022 Repurchase Program and the Company's liquidity and business strategy. The 2022 Repurchase Program does not obligate the Company to acquire any particular amount of shares and may be modified or discontinued at any time. As of 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 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. On February 22, 2021, the Company's Board of Directors authorized a stock repurchase program (the "Preferred Repurchase Program") pursuant to which the Company's Board of Directors granted a repurchase authorization to acquire shares of the Company's 8.25 % Series A Cumulative Redeemable Preferred Stock ("Series A Preferred Stock"), 8.00 % Series B Cumulative Redeemable Preferred Stock ("Series B Preferred Stock"), and 8.000 % Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock ("Series C Preferred Stock") having an aggregate value of up to $ 20.0 million. No share repurchases under the Preferred Repurchase Program have been made since its authorization. Shares of stock repurchased by the Company under any repurchase program, if any, will be cancelled and, until reissued by the Company, will be deemed to be authorized but unissued shares of its stock as required by Maryland law. The cost of the 34 AG Mortgage Investment Trust Inc. and Subsidiaries Notes to Consolidated Financial Statements (Unaudited) 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 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 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. On December 6, 2023, in connection with the WMC acquisition, the Company granted an aggregate 25,962 restricted stock units to the Company's two independent directors added to the Company's Board of Directors who previously served on WMC's board of directors. Through March 31, 2025, the two independent directors have also been granted an aggregate of 3,208 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. 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. 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 March 31, 2025, 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 March 31, 2025, 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 35 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 The Company has entered into separate equity distribution agreements (the "2024 Equity Distribution Agreements") with each of BTIG, LLC, JonesTrading Institutional Services LLC, Keefe, Bruyette & Woods, Inc. and Piper Sandler & Co. (collectively, the "2024 Sales Agents"), pursuant to which the Company may sell up to $ 75.0 million aggregate offering price of shares of its common stock from time to time through an "at-the-market" equity offering program under which the 2024 Sales Agents will act as sales agent. Prior to entering into the 2024 Equity Distribution Agreements, effective November 6, 2024, the Company terminated the equity distribution agreements related to its prior at-the-market program (the "Equity Distribution Agreements"). At the time of such termination, $ 51.7 million remained unsold under the prior program. The Company did no t issue any shares of common stock under any of its equity distribution agreements then in effect during the three months ended March 31, 2025 and 2024. Shelf registration statement On March 26, 2024, the Company filed a new shelf registration statement, registering up to $ 1.0 billion of its securities, including capital stock (the "2024 Registration Statement"). The 2024 Registration Statement was declared effective on April 9, 2024 and will generally remain effective for three years . Upon effectiveness of the 2024 Registration Statement, the Company's previous S-3 registration statement filed in 2021 was terminated. Preferred stock The Company is authorized to designate and issue up to 50.0 million shares of preferred stock, par value $ 0.01 per share, in one or more classes or series. As of 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 Date (2) Rate (3) Series A Preferred Stock August 3, 2012 1,663 $ 40,110 $ 41,580 August 3, 2017 8.25 % Series B Preferred Stock September 27, 2012 3,728 90,187 93,191 September 17, 2017 8.00 % Series C Preferred Stock September 17, 2019 3,729 90,175 93,220 September 17, 2024 (4) Total 9,120 $ 220,472 $ 227,991 (1) The Company's Preferred Stock has a liquidation preference of $ 25.00 per share. (2) Shares have no stated maturity and are not subject to any sinking fund or mandatory redemption. Shares of the Company’s Preferred Stock are redeemable at $ 25.00 per share plus accumulated and unpaid dividends (whether or not declared) exclusively at the Company’s option. (3) Dividends are payable quarterly in arrears on the 17th day of each March, June, September, and December and holders are entitled to receive cumulative cash dividends at the respective stated rate per annum before holders of common stock are entitled to receive any cash dividends. (4) The initial dividend rate for the Series C Preferred Stock, from and including the date of original issue to, but not including, September 17, 2024, was 8.000 % per annum of the $ 25.00 per share liquidation preference. On and after September 17, 2024, dividends on the Series C Preferred Stock accumulate at a percentage of the $ 25.00 liquidation preference equal to an annual floating rate of the three-month CME Term SOFR (plus a tenor spread adjustment of 0.26161 %) plus a spread of 6.476 %. Pursuant to the terms of the Series C Preferred Stock, the Company has appointed a calculation agent to determine the floating rate. The calculation agent may also implement changes to the business day convention, the definition of business day, the dividend determination date, and any method for obtaining the substitute or successor base rate if such rate is unavailable on the relevant business day, in a manner that is consistent with industry accepted practices. 36 AG Mortgage Investment Trust Inc. and Subsidiaries Notes to Consolidated Financial Statements (Unaudited) 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). Under such circumstances, holders of the Company's Series A Preferred Stock, Series B Preferred Stock, and Series C Preferred Stock voting together as a single class with the holders of all other classes or series of its preferred stock upon which like voting rights have been conferred and are exercisable and which are entitled to vote as a class with the Company's Series A Preferred Stock, Series B Preferred Stock, and Series C Preferred Stock will be entitled to vote to elect two additional directors to the Company’s Board of Directors until all unpaid dividends have been paid or declared and set apart for payment. In addition, certain material and adverse changes to the terms of any series of the Company's Series A Preferred Stock, Series B Preferred Stock, and Series C Preferred Stock cannot be made without the affirmative vote of holders of at least two-thirds of the outstanding shares of the series of the Company's Series A Preferred Stock, Series B Preferred Stock, and Series C Preferred Stock whose terms are being changed. 12. Commitments and Contingencies From time to time, the Company may become involved in various claims and legal actions arising in the ordinary course of business. As of 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 Home Equity Loans (1) Various $ 231,632 $ 214,676 $ 16,956 (1) Represents the undrawn portion of a borrowers' home equity line of credit. 13. Segment Reporting The Company operates its business as a single operating and reportable segment, Loans and Securities, as its business focuses on acquiring, investing in and financing residential mortgage-related assets in the U.S. mortgage market. The Company’s investment activities primarily include acquiring and securitizing newly-originated residential mortgage loans within the non-agency segment of the housing market. The Company obtains its residential mortgage loans through Arc Home or through other third-party origination partners. The Company finances its acquired loans through various financing lines on a short-term basis and utilizes TPG Angelo Gordon’s proprietary securitization platform to secure long-term, non-recourse, non-mark-to-market financing as market conditions permit. The Company’s Chief Operating Decision Maker (“CODM”) is its Chief Executive Officer. The CODM manages the business and reviews financial information presented on a consolidated basis. The CODM uses consolidated net income reported on the consolidated statements of operations as the primary measure to make resource allocation decisions and evaluate the performance of the Company. Operating expenses include management fees, non-investment related expenses, investment related expenses and transaction related expenses. The CODM is regularly provided operating expenses as presented on the consolidated statements of operations when evaluating the Company’s net income. There is no difference between segment assets and total consolidated assets as presented on the consolidated balance sheets. As the Company operates as a single segment, the accounting policies utilized by the segment are consistent with those included in the consolidated financial statements here within. 14. Subsequent Events 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 37 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). 38