TABLE OF CONTENTS

	~~Page~~
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~~PART I.~~~~FINANCIAL INFORMATION~~
PART I. FINANCIAL INFORMATION

Item 1.		Financial Statements (unaudited)
		Consolidated Balance Sheets as of ~~September~~June 30, ~~2017~~2021 and December 31, ~~2016~~2020	13
		Consolidated Statements of Operations for the three and ~~nine~~six months ended ~~September~~June 30, ~~2017,~~2021 and ~~September~~June 30, ~~2016~~2020	24
		Consolidated Statements of Stockholders’ Equity for the ~~nine~~three and six months ended ~~September~~June 30, ~~2017,~~2021 and ~~September~~June 30, ~~2016~~2020	35
		Consolidated Statements of Cash Flows for the ~~nine~~six months ended ~~September~~June 30, ~~2017,~~2021 and ~~September~~June 30, ~~2016~~2020	46

		Notes to Consolidated Financial Statements (unaudited)	58

Item 2.		Management’s Discussion and Analysis of Financial Condition and Results of Operations	4147

Item 3.		Quantitative and Qualitative Disclosures About Market Risk	7077

Item 4.		Controls and Procedures	7481

PART II.OTHER INFORMATION			7482

Item 1.		Legal Proceedings	7482

Item 1A.		Risk Factors	7482

Item 2.		Unregistered Sales of Equity Securities and Use of Proceeds	7482

Item 3.		Defaults Upon Senior Securities	7482

Item 4.		Mine Safety Disclosures	7482

Item 5.		Other Information	7582

Item 6.		Exhibits	7583

PART I

ITEM 1. FINANCIAL STATEMENTS

AG Mortgage Investment Trust, Inc. and Subsidiaries

Consolidated Balance Sheets

(Unaudited)

September 30, 2017 December 31, 2016

Assets
Real estate securities, at fair value:
Agency - $1,857,336,576 and $972,232,174 pledged as collateral, respectively $ 2,057,208,953 $ 1,057,663,726
Non-Agency - $905,878,564 and $990,985,143 pledged as collateral, respectively 929,893,801 1,043,017,308
ABS - $35,918,646 and $21,231,956 pledged as collateral, respectively 53,223,788 21,231,956
CMBS - $208,535,553 and $201,464,058 pledged as collateral, respectively 211,835,559 211,652,660
Residential mortgage loans, at fair value - $20,767,883 and $31,031,107 pledged as collateral, respectively 23,867,531 38,195,576
Commercial loans, at fair value - $32,800,000 pledged as collateral 57,398,663 60,068,800
Investments in debt and equity of affiliates 89,081,520 72,215,919
Excess mortgage servicing rights, at fair value 2,680,564 412,648
Cash and cash equivalents 61,716,545 52,469,891
Restricted cash 40,853,714 26,583,527
Interest receivable 11,798,960 8,570,383
Receivable on unsettled trades - $0 and $3,057,814 pledged as collateral, respectively - 3,633,161
Receivable under reverse repurchase agreements - 22,680,000
Derivative assets, at fair value 1,027,846 3,703,366
Other assets 3,347,648 5,600,341
Due from broker 538,842 945,304
Total Assets $ 3,544,473,934 $ 2,628,644,566

Liabilities
Repurchase agreements $ 2,694,551,824 $ 1,900,509,806
Securitized debt, at fair value 17,221,071 21,491,710
Loan participation payable, at fair value - 1,800,000
Obligation to return securities borrowed under reverse repurchase agreements, at fair value - 22,365,000
Payable on unsettled trades 95,429,430 -
Interest payable 5,342,257 2,570,854
Derivative liabilities, at fair value 2,124,550 2,907,255
Dividend payable 16,208,929 13,157,573
Due to affiliates 4,377,194 3,967,622
Accrued expenses 799,895 1,068,779
Taxes payable 1,176,883 1,717,883
Due to broker 616,020 1,211,694
Total Liabilities 2,837,848,053 1,972,768,176
Commitments and Contingencies (Note 12)
Stockholders’ Equity
Preferred stock - $0.01 par value; 50,000,000 shares authorized:
8.25% Series A Cumulative Redeemable Preferred Stock, 2,070,000 shares issued and outstanding ($51,750,000 aggregate liquidation preference) 49,920,772 49,920,772
8.00% Series B Cumulative Redeemable Preferred Stock, 4,600,000 shares issued and outstanding ($115,000,000 aggregate liquidation preference) 111,293,233 111,293,233
Common stock, par value $0.01 per share; 450,000,000 shares of common stock authorized and 28,189,441 and 27,700,154 shares issued and outstanding at September 30, 2017 and December 31, 2016, respectively 281,896 277,002
Additional paid-in capital 585,395,566 576,276,322
Retained earnings/(deficit) (40,265,586 ) (81,890,939 )
Total Stockholders’ Equity 706,625,881 655,876,390

Total Liabilities & Stockholders’ Equity $ 3,544,473,934 $ 2,628,644,566

(in thousands, except per share data)


	June 30, 2021		December 31, 2020
Assets
Residential mortgage loans, at fair value - $502,956 and $46,571 pledged as collateral, respectively (1)	$	1,029,244	$	435,441
Real estate securities, at fair value:
Agency - $689,871 and $460,949 pledged as collateral, respectively	696,704		518,352
Non-Agency - $3,454 and $28,653 pledged as collateral, respectively	3,878		38,406

CMBS - $31,614 and $42,669 pledged as collateral, respectively	31,614		56,788
Commercial loans, at fair value	62,279		111,549
Commercial loans held for sale, at fair value	0		13,959
Investments in debt and equity of affiliates	135,868		150,667
Excess mortgage servicing rights, at fair value	2,608		3,158
Cash and cash equivalents	64,007		47,926
Restricted cash	23,708		14,392

Receivable on unsettled trades - $104,772 and $0 pledged as collateral, respectively	106,247		0


Other assets	12,133		9,407


Total Assets	$	2,168,290	$	1,400,045

Liabilities
Financing arrangements	$	1,207,468	$	564,047
Securitized debt, at fair value (1)	482,533		355,159

Payable on unsettled trades	0		51,136


Dividend payable	3,394		1,243

Other liabilities	9,018		18,755



Total Liabilities	1,702,413		990,340
Commitments and Contingencies (Note 12)	0		0
Stockholders’ Equity
Preferred stock - $227,991 and $246,610 aggregate liquidation preference as of June 30, 2021 and December 31, 2020, respectively	220,472		238,478
Common stock, par value $0.01 per share; 450,000 shares of common stock authorized and 16,164 and 13,811 shares issued and outstanding at June 30, 2021 and December 31, 2020, respectively (2)	162		138
Additional paid-in capital (2)	719,940		689,147
Retained earnings/(deficit)	(474,697)		(518,058)
Total Stockholders’ Equity	465,877		409,705

Total Liabilities & Stockholders’ Equity	$	2,168,290	$	1,400,045

(1)See Note 3 for details related to variable interest entities.

(2)Amounts have been adjusted to reflect the one-for-three reverse stock split effected July 22, 2021. See Note 2 and Note 11 for additional details.

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

AG Mortgage Investment Trust, Inc. and Subsidiaries

Consolidated Statements of Operations

(Unaudited)

Three Months Ended Three Months Ended Nine Months Ended Nine Months Ended
September 30, 2017 September 30, 2016 September 30, 2017 September 30, 2016
Net Interest Income
Interest income $ 33,592,587 $ 30,573,134 $ 92,773,014 $ 91,470,588
Interest expense 11,959,225 8,525,365 30,322,030 25,482,661
21,633,362 22,047,769 62,450,984 65,987,927

Other Income
Net realized gain/(loss) 22,286 9,578,488 (12,527,278 ) (8,725,255 )
Realized loss on periodic interest settlements of derivative instruments, net (2,147,452 ) (1,034,251 ) (5,614,971 ) (5,019,565 )
Unrealized gain/(loss) on real estate securities and loans, net 14,892,809 13,461,216 53,189,925 33,260,103
Unrealized gain/(loss) on derivative and other instruments, net 2,422,713 6,961,061 4,224,010 (4,792,369 )
Other income 2,325 341,345 34,207 368,731
15,192,681 29,307,859 39,305,893 15,091,645

Expenses
Management fee to affiliate 2,454,083 2,451,387 7,373,679 7,322,312
Other operating expenses 2,602,473 2,870,662 8,247,060 8,581,726
Servicing fees 22,991 121,806 184,993 359,150
Equity based compensation to affiliate 60,859 75,774 225,877 217,928
Excise tax 375,000 238,167 1,125,000 988,167
5,515,406 5,757,796 17,156,609 17,469,283

Income/(loss) before equity in earnings/(loss) from affiliates 31,310,637 45,597,832 84,600,268 63,610,289
Equity in earnings/(loss) from affiliates 4,700,800 534,133 9,699,962 1,154,390
Net Income/(Loss) 36,011,437 46,131,965 94,300,230 64,764,679

Dividends on preferred stock 3,367,354 3,367,354 10,102,062 10,102,062

Net Income/(Loss) Available to Common Stockholders $ 32,644,083 $ 42,764,611 $ 84,198,168 $ 54,662,617

Earnings/(Loss) Per Share of Common Stock
Basic $ 1.17 $ 1.54 $ 3.03 $ 1.95
Diluted $ 1.17 $ 1.54 $ 3.03 $ 1.95

Weighted Average Number of Shares of Common Stock Outstanding
Basic 27,841,452 27,802,124 27,756,357 28,036,809
Diluted 27,856,765 27,804,154 27,770,299 28,036,809

(in thousands, except per share data)


	Three Months Ended				Six Months Ended
	June 30, 2021		June 30, 2020		June 30, 2021		June 30, 2020
Net Interest Income
Interest income	$	14,228	$	13,369	$	26,347	$	53,637
Interest expense	5,294		8,613		9,355		28,584
Total Net Interest Income	8,934		4,756		16,992		25,053

Other Income/(Loss)
Net realized gain/(loss)	4,374		(91,609)		336		(242,752)
Net interest component of interest rate swaps	(1,573)		0		(2,314)		923
Unrealized gain/(loss), net	9,685		100,179		29,534		(208,032)


Other income/(loss), net	0		(155)		37		1,497
Total Other Income/(Loss)	12,486		8,415		27,593		(448,364)

Expenses
Management fee to affiliate	1,667		1,678		3,321		3,827
Other operating expenses	4,866		4,557		8,849		5,487
Restructuring related expenses	0		7,104		0		8,604

Excise tax	0		0		0		(815)
Servicing fees	672		566		1,287		1,145
Total Expenses	7,205		13,905		13,457		18,248

Income/(loss) before equity in earnings/(loss) from affiliates	14,215		(734)		31,128		(441,559)

Equity in earnings/(loss) from affiliates	1,278		3,434		27,614		(40,758)
Net Income/(Loss) from Continuing Operations	15,493		2,700		58,742		(482,317)
Net Income/(Loss) from Discontinued Operations	0		361		0		361
Net Income/(Loss)	15,493		3,061		58,742		(481,956)

Gain on Exchange Offers, net (Note 11)	114		0		472		0
Dividends on preferred stock (1)	(4,689)		(5,667)		(9,613)		(11,334)

Net Income/(Loss) Available to Common Stockholders	$	10,918	$	(2,606)	$	49,601	$	(493,290)

Earnings/(Loss) Per Share - Basic (2)
Continuing Operations	$	0.70	$	(0.27)	$	3.34	$	(45.14)
Discontinued Operations	0		0.03		0		0.03
Total Earnings/(Loss) Per Share of Common Stock (2)	$	0.70	$	(0.24)	$	3.34	$	(45.11)

Earnings/(Loss) Per Share - Diluted (2)
Continuing Operations	$	0.70	$	(0.27)	$	3.34	$	(45.14)
Discontinued Operations	0		0.03		0		0.03
Total Earnings/(Loss) Per Share of Common Stock (2)	$	0.70	$	(0.24)	$	3.34	$	(45.11)

Weighted Average Number of Shares of Common Stock Outstanding (2)
Basic	15,595		10,953		14,860		10,935
Diluted	15,595		10,953		14,860		10,935

(1)The three and six months ended June 30, 2020 include cumulative and undeclared dividends of $5.7 million on the Company's Preferred Stock as of June 30, 2020.

(2)Amounts have been adjusted to reflect the one-for-three reverse stock split effected July 22, 2021. See Note 2 and Note 11 for additional details.

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

AG Mortgage Investment Trust, Inc. and Subsidiaries

Consolidated Statements of Stockholders’ Equity

(Unaudited)

8.25 % Series A 8.00 % Series B
Cumulative Cumulative
Common Stock Redeemable Redeemable Additional Retained
Shares Amount Preferred Stock Preferred Stock Paid-in Capital Earnings/(Deficit) Total
Balance at January 1, 2016 28,286,210 $ 282,863 $ 49,920,772 $ 111,293,233 $ 584,581,995 $ (79,134,150 ) $ 666,944,713
Repurchase of common stock (614,695 ) (6,147 ) - - (8,723,881 ) - (8,730,028 )
Grant of restricted stock and amortization of equity based compensation 26,735 267 - - 307,567 - 307,834
Common dividends declared - - - - - (39,812,571 ) (39,812,571 )
Preferred Series A dividends declared - - - - - (3,202,062 ) (3,202,062 )
Preferred Series B dividends declared - - - - - (6,900,000 ) (6,900,000 )
Net Income/(Loss) - - - - - 64,764,679 64,764,679
Balance at September 30, 2016 27,698,250 $ 276,983 $ 49,920,772 $ 111,293,233 $ 576,165,681 $ (64,284,104 ) $ 673,372,565

Balance at January 1, 2017 27,700,154 $ 277,002 $ 49,920,772 $ 111,293,233 $ 576,276,322 $ (81,890,939 ) $ 655,876,390
Net proceeds from issuance of common stock 460,932 4,610 - - 8,713,545 - 8,718,155
Grant of restricted stock and amortization of equity based compensation 28,355 284 - - 405,699 - 405,983
Common dividends declared - - - - - (42,572,815 ) (42,572,815 )
Preferred Series A dividends declared - - - - - (3,202,062 ) (3,202,062 )
Preferred Series B dividends declared - - - - - (6,900,000 ) (6,900,000 )
Net Income/(Loss) - - - - - 94,300,230 94,300,230
Balance at September 30, 2017 28,189,441 $ 281,896 $ 49,920,772 $ 111,293,233 $ 585,395,566 $ (40,265,586 ) $ 706,625,881

(in thousands)


For the Three Months Ended June 30, 2021 and June 30, 2020
	Common Stock (1)			Preferred Stock		Additional Paid-in Capital (1)		Retained Earnings/(Deficit)
	Shares	Amount								Total
Balance at April 1, 2021	15,500	$	156	$	226,297	$	711,055	$	(482,203)	$	455,305
Net proceeds from issuance of common stock	227	2		—		3,098		—		3,100

Grant of restricted stock	6	—		—		80		—		80
Common dividends declared	—	—		—		—		(3,394)		(3,394)
Preferred dividends declared	—	—		—		—		(4,707)		(4,707)
Exchange Offers (Note 11)	431	4		(5,825)		5,707		114		0
Net Income/(Loss)	—	—		—		—		15,493		15,493
Balance at June 30, 2021	16,164	$	162	$	220,472	$	719,940	$	(474,697)	$	465,877


	Common Stock (1)			Preferred Stock		Additional Paid-in Capital (1)		Retained Earnings/(Deficit)
	Shares	Amount								Total
Balance at April 1, 2020	10,915	$	109	$	272,457	$	662,704	$	(576,605)	$	358,665
Net proceeds from issuance of common stock	334	4		—		3,495		—		3,499

Grant of restricted stock and amortization of equity based compensation	25	—		—		153		—		153


Net Income/(Loss)	—	—		—		—		3,061		3,061
Balance at June 30, 2020	11,274	$	113	$	272,457	$	666,352	$	(573,544)	$	365,378


For the Six Months Ended June 30, 2021 and June 30, 2020
	Common Stock (1)			Preferred Stock		Additional Paid-in Capital (1)		Retained Earnings/(Deficit)
	Shares	Amount								Total
Balance at January 1, 2021	13,811	$	138	$	238,478	$	689,147	$	(518,058)	$	409,705
Net proceeds from issuance of common stock	972	10		—		13,123		—		13,133

Grant of restricted stock	13	—		—		160		—		160
Common dividends declared	—	—		—		—		(6,185)		(6,185)
Preferred dividends declared	—	—		—		—		(9,668)		(9,668)
Exchange Offers (Note 11)	1,368	14		(18,006)		17,510		472		(10)
Net Income/(Loss)	—	—		—		—		58,742		58,742
Balance at June 30, 2021	16,164	$	162	$	220,472	$	719,940	$	(474,697)	$	465,877


	Common Stock (1)			Preferred Stock		Additional Paid-in Capital (1)		Retained Earnings/(Deficit)
	Shares	Amount								Total
Balance at January 1, 2020	10,913	$	109	$	272,457	$	662,401	$	(85,921)	$	849,046
Net proceeds from issuance of common stock	334	4		—		3,495		—		3,499
Grant of restricted stock and amortization of equity based compensation	27	—		—		456		—		456

Preferred dividends declared	—	—		—		—		(5,667)		(5,667)
Net Income/(Loss)	—	—		—		—		(481,956)		(481,956)
Balance at June 30, 2020	11,274	$	113	$	272,457	$	666,352	$	(573,544)	$	365,378

(1)Amounts have been adjusted to reflect the one-for-three reverse stock split effected July 22, 2021. See Note 2 and Note 11 for additional details.

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

AG Mortgage Investment Trust, Inc. and Subsidiaries

Consolidated Statements of Cash Flows

(Unaudited)

Nine Months Ended Nine Months Ended
September 30, 2017 September 30, 2016
Cash Flows from Operating Activities
Net income/(loss) $ 94,300,230 $ 64,764,679
Adjustments to reconcile net income/(loss) to net cash provided by (used in) operating activities:
Net amortization of premium 6,264,375 5,671,320
Net realized (gain)/loss 12,527,278 8,725,255
Unrealized (gains)/losses on real estate securities and loans, net (53,189,925 ) (33,260,103 )
Unrealized (gains)/losses on derivative and other instruments, net (4,224,010 ) 4,792,369
Equity based compensation to affiliate 225,877 217,928
Equity based compensation expense 180,106 89,906
Income from investments in debt and equity of affiliates in excess of distributions received (1,935,439 ) -
Change in operating assets/liabilities:
Interest receivable (3,230,086 ) 2,284,296
Other assets 69,909 334,590
Due from broker (6,084 ) 273,654
Interest payable 7,729,867 (1,200,911 )
Due to affiliates 409,572 180,446
Accrued expenses (256,610 ) (633,420 )
Taxes payable (541,000 ) (521,833 )
Net cash provided by (used in) operating activities 58,324,060 51,718,176

Cash Flows from Investing Activities
Purchase of real estate securities (1,572,649,795 ) (523,078,732 )
Origination of commercial loans - (10,428,437 )
Purchase of commercial loans (10,270,833 ) -
Purchase of U.S. Treasury securities - (358,417,649 )
Purchase of excess mortgage servicing rights (2,435,617 ) -
Investments in debt and equity of affiliates (14,861,310 ) (21,170,503 )
Proceeds from sales of real estate securities 467,285,986 278,119,764
Proceeds from sales of residential mortgage loans 13,760,936 35,606,480
Proceeds from sales of U.S. treasury securities - 487,081,984
Distribution received from investments in debt and equity of affiliates - 315,983
Principal repayments on real estate securities 319,138,675 291,000,339
Principal repayments on commercial loans 13,478,194 40,000,000
Principal repayments on residential mortgage loans 5,871,829 2,476,335
Net proceeds from/(payments made) on reverse repurchase agreements 22,680,932 (45,942,668 )
Net proceeds from/(payments made) on sales of securities borrowed under reverse repurchase agreements (22,413,242 ) 45,281,749
Net settlement of interest rate swaps and other instruments (13,728,973 ) (10,613,258 )
Net settlement of TBAs 3,002,891 445,586
Proceeds from redemption of FHLBC Stock - 8,013,900
Cash flows provided by/(used in) other investing activities 3,366,843 1,271,471
Restricted cash provided by/(used in) investing activities (21,212,643 ) (669,691 )
Net cash provided by/(used in) investing activities (808,986,127 ) 219,292,653

Cash Flows from Financing Activities
Repurchase of common stock - (9,928,615 )
Net proceeds from issuance of common stock 8,730,428 -
Borrowings under repurchase agreements 26,155,914,394 64,813,220,211
Borrowings under FHLBC advances - 147,215,991
Repayments of repurchase agreements (25,362,642,476 ) (64,621,819,962 )
Repayments of FHLBC advances - (544,109,991 )
Proceeds from transfer of loan participation - 1,564,266
Repayments of loan participation (1,800,000 ) -
Net collateral received from/(paid to) derivative counterparty 3,358,258 (4,324,597 )
Net collateral received from/(paid to) repurchase counterparty 5,971,639 (2,787,829 )
Dividends paid on common stock (39,521,460 ) (40,152,041 )
Dividends paid on preferred stock (10,102,062 ) (10,102,062 )
Net cash provided by/(used in) financing activities 759,908,721 (271,224,629 )

Net change in cash and cash equivalents 9,246,654 (213,800 )
Cash and cash equivalents, Beginning of Period 52,469,891 46,253,291
Cash and cash equivalents, End of Period $ 61,716,545 $ 46,039,491

Supplemental disclosure of cash flow information:
Cash paid for interest on repurchase agreements and FHLBC advances $ 26,763,198 $ 24,187,601
Cash paid for income tax $ 1,732,709 $ 1,580,020
Supplemental disclosure of non-cash financing and investing activities:
Principal repayments on real estate securities not yet received $ 479,994 $ 2,137,131
Common stock dividends declared but not paid $ 16,208,929 $ 13,156,669
Decrease in securitized debt $ 4,310,904 $ 5,706,520
Transfer from residential mortgage loans to other assets $ 2,305,814 $ 1,793,761
Transfer from investments in debt and equity of affiliates to CMBS $ - $ 3,103,111

(in thousands)


	Six Months Ended
	June 30, 2021		June 30, 2020
Cash Flows from Operating Activities
Net income/(loss)	$	58,742	$	(481,956)
Net (income)/loss from discontinued operations	0		(361)
Net income/(loss) from continuing operations	58,742		(482,317)
Adjustments to reconcile net income/(loss) to net cash provided by (used in) operating activities:
Net amortization of premium/(discount)	363		(3,926)
Net realized (gain)/loss	(336)		242,752
Unrealized (gain)/loss, net	(29,534)		208,032

Foreign currency (gain)/loss, net	(14)		(1,493)
Equity based compensation to affiliate	0		163
Equity based compensation expense	160		293
(Income)/Loss from investments in debt and equity of affiliates in excess of distributions received	(18,089)		42,037
Change in operating assets/liabilities:
Other assets	(1,741)		6,442
Other liabilities	325		(10,416)
Net cash provided by (used in) continuing operating activities	9,876		1,567
Net cash provided by (used in) discontinued operating activities	0		(726)
Net cash provided by (used in) operating activities	9,876		841

Cash Flows from Investing Activities
Purchase of real estate securities	(768,794)		(29,599)
Purchase of residential mortgage loans	(655,627)		(481,470)
Origination of commercial loans	(1,881)		(6,729)
Purchase of commercial loans	(3,377)		(12,471)


Investments in debt and equity of affiliates	(3,029)		(43,208)

Proceeds from sales of real estate securities	453,863		2,683,595
Proceeds from sales of residential mortgage loans	45,615		387,408
Proceeds from sales of commercial loans	74,579		34,200

Principal repayments on real estate securities	30,165		102,895
Principal repayments on excess MSRs	438		1,942
Principal repayments on commercial loans	195		0
Principal repayments on residential mortgage loans	33,651		37,390
Distributions received in excess of income from investments in debt and equity of affiliates	37,804		24,212


Net settlement of interest rate swaps and other instruments	11,518		(73,295)
Net settlement of TBAs	0		4,610
Cash flows provided by (used in) other investing activities	2,244		(1,056)


Net cash provided by (used in) investing activities	(742,636)		2,628,424

Cash Flows from Financing Activities
Net proceeds from issuance of common stock	13,133		3,499

Borrowings under financing arrangements	7,875,275		12,701,999
Repayments of financing arrangements	(7,231,853)		(15,339,611)

Deferred financing costs paid	(200)		0
Borrowing under secured debt	0		20,000
Repayments of secured debt	(10,000)		0
Proceeds from issuance of securitized debt	203,625		3,000
Principal repayments on securitized debt	(78,931)		(9,223)

Net collateral received from (paid to) repurchase counterparty	800		(44,413)
Dividends paid on common stock	(4,034)		(14,734)
Dividends paid on preferred stock	(9,668)		(5,667)
Net cash provided by continuing financing activities	758,147		(2,685,150)


	Six Months Ended
	June 30, 2021		June 30, 2020

Net change in cash and cash equivalents and restricted cash	25,387		(55,885)
Cash and cash equivalents and restricted cash, Beginning of Period	62,318		125,369
Effect of exchange rate changes on cash	10		(250)
Cash and cash equivalents and restricted cash, End of Period	$	87,715	$	69,234

Supplemental disclosure of cash flow information:
Cash paid for interest on financing arrangements	$	8,917	$	38,778
Cash paid for excise and income taxes	$	16	$	1,010

Supplemental disclosure of non-cash financing and investing activities:

Receivable on unsettled trades	$	106,247	$	0


Common stock dividends declared but not paid	$	3,394	$	0

Exchange Offers (Note 11)	$	18,006	$	0
Transfer of real estate securities in satisfaction of repurchase agreements	$	0	$	345,066
Change in repurchase agreements from transfer of real estate securities	$	0	$	344,685
Decrease in securitized debt	$	0	$	7,091
Transfer from residential mortgage loans to other assets	$	923	$	793


Transfer from investments in debt and equity of affiliates to CMBS	$	0	$	11,769

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


	June 30, 2021		June 30, 2020
Cash and cash equivalents	$	64,007	$	68,150
Restricted cash	23,708		1,084

Total cash and cash equivalents and restricted cash shown in the consolidated statements of cash flows	$	87,715	$	69,234

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

AG Mortgage Investment Trust Inc. and Subsidiaries

Notes to Consolidated Financial Statements ~~(unaudited)~~

~~September~~(Unaudited)

June 30, ~~2017~~

2021

1. Organization

AG Mortgage Investment Trust, Inc. (the ~~“Company”~~"Company") was incorporated in the state of Maryland on March 1, 2011. The Company is ~~focused on investing~~a mortgage REIT that opportunistically invests in ~~acquiring and managing~~ a diversified risk adjusted portfolio of ~~residential mortgage-backed securities, or RMBS, issued or guaranteed by a government-sponsored entity such as Fannie Mae or Freddie Mac (collectively, “GSEs”), or any~~credit investments and agency investments, which contains the asset classes further described below.

The Company's investment groups are primarily comprised of the ~~U.S. Government such as Ginnie Mae (collectively, “Agency RMBS”), and other real estate-related securities and financial assets, including Non-Agency RMBS, ABS, CMBS and loans (as defined below).~~

Non-Agency RMBS represent fixed- and floating-rate RMBS issued by entities or organizations other than a U.S. government-sponsored entity or agency of the U.S. government, including investment grade (AAA through BBB) and non-investment grade classes (BB and below). The mortgage loan collateral for Non-Agency RMBS consists of residential mortgage loans that do not generally conform to underwriting guidelines issued by U.S. government agencies or U.S. government-sponsored entities.

~~Asset Backed Securities (“ABS”) are securitized investments similar to the aforementioned investments except the underlying assets are diverse, not only representing real estate related assets.~~

Commercial Mortgage Backed Securities (“CMBS”) represent investments of fixed- and floating-rate CMBS, including investment grade (AAA through BBB) and non-investment grade classes (BB and below) secured by, or evidence an ownership interest in, a single commercial mortgage loan or a pool of commercial mortgage loans.

~~Collectively, the Company refers to Agency RMBS, Non-Agency RMBS, ABS and CMBS asset types as “real estate securities” or “securities”.~~

Commercial loans are secured by an interest in commercial real estate and represent a contractual right to receive money on demand or on fixed or determinable dates. Residential mortgage loans refer to performing, re-performing and non-performing loans secured by a first lien mortgage on residential mortgaged property located in any of the 50 states of the United States or in the District of Columbia. following:


Investment Groups						Description
Credit - Residential
Residential mortgage loans						•Residential mortgage loans represent pools of fixed- and adjustable-rate loans collateralized by Non-QM, re-performing, and non-performing mortgages. •Non-QM Loans are residential mortgage loans that are not deemed "qualified mortgage," or "QM," loans under the rules of the Consumer Finance Protection Bureau. •Performing, re-performing, and non-performing loans are residential mortgage loans collateralized by a first lien mortgaged property.
Non-Agency Residential Mortgage-Backed Securities ("RMBS")						•Non-Agency RMBS represent fixed- and floating-rate RMBS issued by entities other than U.S. government-sponsored entity ("GSE") or agency of the U.S. government. The mortgage loan collateral for Non-Agency RMBS consists of residential mortgage loans that do not generally conform to underwriting guidelines issued by a GSE or agency of the U.S. government.
Credit - Commercial
Commercial Mortgage-Backed Securities ("CMBS")						•CMBS represent investments of fixed- and floating-rate CMBS secured by, or evidencing an ownership interest in, a single commercial mortgage loan or a pool of commercial mortgage loans. Single-Asset/Single-Borrower securities are CMBS which securitize a single loan that is backed by a single asset (usually a large commercial property) or by a pool of cross collateralized mortgage obligations to a single borrower or related borrowers. Conduit CMBS are CMBS that are collateralized by commercial mortgage loans to multiple borrowers.
Commercial Loans						•Commercial loans are collateralized by an interest in commercial real estate and represent a contractual right to receive money on demand or on fixed or determinable dates.
Agency RMBS						•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.
Excess MSRs						•Excess MSRs represent the excess servicing spread related to mortgage servicing rights, whose underlying collateral is securitized in a trust held by a GSE or agency of the U.S. government ("Agency Excess MSR").

The Company refers to its residential and commercial mortgage loans as ~~“mortgage loans”~~"mortgage loans" or ~~“loans.”~~

"loans."

The Company refers to Agency RMBS, Non-Agency RMBS, and CMBS asset types as "real estate securities" or "securities."

Credit investments include loans, Non-Agency RMBS, and CMBS and agency investments include Agency RMBS and Agency Excess MSRs.

The Company conducts its business through 1 reportable segment, Securities and Loans, which reflects how the Company manages its business and analyzes and reports its results of operations. On November 15, 2019, the Company sold its portfolio of single-family rental properties ("SFR portfolio") to a third party, which was previously reported as a separate operating segment. The sale of the Company's SFR portfolio met the criteria for discontinued operations.

The Company is externally managed by AG REIT Management, LLC, a Delaware limited liability company (the ~~“Manager”~~"Manager"), a wholly-owned subsidiary of Angelo, Gordon & Co., L.P. (“("Angelo ~~Gordon”~~Gordon"), a privately-held, SEC-registered investment adviser, pursuant to a management agreement. The Manager ~~pursuant to a delegation agreement dated as of June 29, 2011,~~ has delegated to Angelo Gordon the overall responsibility of its day-to-day duties and obligations arising under the management agreement.

AG Mortgage Investment Trust Inc. and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2021

The Company conducts its operations to qualify and be taxed as a real estate investment trust ~~(“REIT”~~("REIT") under the Internal Revenue Code of 1986, as amended (the ~~“Code”~~"Code").

The consolidated financial statements include the accounts of the Company and its wholly-owned subsidiaries. All intercompany balances and transactions have been eliminated in consolidation.

COVID-19 Impact

The novel coronavirus ("COVID-19") pandemic has caused significant disruptions in the U.S. and world economies resulting in lost business revenues, significant increases in unemployment, changes in consumer behavior and significant reductions in liquidity and the fair value of many assets, including those in which the Company invests. Beginning in mid-March 2020, the global pandemic associated with COVID-19 and the related economic conditions caused financial and mortgage-related asset markets to come under extreme duress, resulting in credit spread widening, a sharp decrease in interest rates and unprecedented illiquidity in repurchase agreement financing and mortgage-backed securities ("MBS") markets. The illiquidity was exacerbated by inadequate demand for MBS among primary dealers due to balance sheet constraints. Refer to Note 2 "Financing arrangements" for further details related to the impact to the Company as a result of these economic conditions. Although market conditions have improved in quarters subsequent to March 2020, the full impact of COVID-19 on the mortgage REIT industry, credit markets, and, consequently, on the Company’s financial condition and results of operations for future periods remains uncertain.

2. Summary of significant accounting policies

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”~~("GAAP") for interim financial reporting and the instructions to Form 10-Q and Rule 10-01 of Regulation S-X. For all periods presented, all per share amounts and common shares outstanding have been adjusted on a retroactive basis to reflect the Company's one-for-three reverse stock split which was effected following the close of business on July 22, 2021. Certain prior period amounts have been reclassified to conform to the current period’s presentation. In the opinion of management, all adjustments considered necessary for a fair ~~statement for the interim period~~presentation 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.

Cash and cash equivalents

Cash is comprised of cash on deposit with financial institutions. The Company classifies highly liquid investments with original maturities of three months or less from the date of purchase as cash equivalents. ~~As of September 30, 2017~~Cash equivalents may include cash invested in money market funds. Cash and ~~December 31, 2016, the Company held no~~ cash ~~equivalents.~~equivalents are carried at cost, which approximates fair value. The Company places its cash with high credit quality institutions to minimize credit risk exposure. Cash pledged to the Company as collateral is unrestricted in use and, accordingly, is included as a component of ~~“Cash~~"Cash and cash ~~equivalents”~~equivalents" on the consolidated balance sheets. Any cash held by the Company as collateral is included in the ~~“Due to broker”~~"Other liabilities" line item on the consolidated balance sheets and in cash flows from financing activities on the consolidated statement of cash flows. Any cash due to the Company in the form of principal payments is included in the ~~“Due from broker”~~"Other assets" line item on the consolidated balance sheets and in cash flows from operating activities on the consolidated statement of cash flows.

~~AG Mortgage Investment Trust Inc. and Subsidiaries~~

~~Notes to Consolidated Financial Statements (unaudited)~~

~~September 30, 2017~~

Restricted cash

Restricted cash includes cash pledged as collateral for clearing and executing trades, derivatives, and ~~repurchase agreements and~~financing arrangements, as well as restricted cash deposited into accounts held at certain consolidated trusts. Restricted cash is not available to the Company for general corporate purposes. Restricted cash may be returned to the Company when the related collateral requirements are exceeded or at the maturity of the derivative or ~~repurchase agreement.~~financing arrangement. Restricted cash is carried at cost, which approximates fair value. ~~Restricted cash does not include variation margin on centrally cleared derivatives. See Note 7 for more detail.~~

~~Offering costs~~

The Company incurred offering costs in connection with common stock offerings. The offering costs were paid out of the proceeds of the respective offerings. Offering costs in connection with common stock offerings have been accounted for as a reduction of additional paid-in capital.

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.

AG Mortgage Investment Trust Inc. and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2021

Earnings/(Loss) per share

In accordance with the provisions of Accounting Standards Codification ~~(“ASC”~~("ASC") 260, ~~“Earnings~~"Earnings per Share,”" the Company calculates basic income/(loss) per share by dividing net income/(loss) available to common stockholders for the period by ~~weighted-average~~weighted average shares of the Company’s common stock outstanding for that period. Diluted income per share takes into account the effect of dilutive instruments, such as stock options, warrants, unvested restricted stock, and unvested restricted stock units, ~~but uses~~using the average share price for the period in determining the number of incremental shares that are to be added to the ~~weighted-average~~weighted average number of shares outstanding. ~~In periods in which the Company records a loss, potentially~~Potential dilutive ~~securities~~shares are excluded from the ~~diluted loss~~calculation if they have an anti-dilutive effect in the period.

Reverse stock split

On July 12, 2021, the Company announced that its board of directors approved a one-for-three reverse stock split of the Company's outstanding shares of common stock. The reverse stock split was effected following the close of business on July 22, 2021 (the "Effective Time"). At the Effective Time, every three issued and outstanding shares of the Company’s common stock were combined into one share of the Company’s common stock. No fractional shares were issued in connection with the reverse stock split. Instead, each stockholder holding fractional shares was entitled to receive, in lieu of such fractional shares, cash in an amount determined based on the closing price of the Company's common stock on the date of the Effective Time. The reverse stock split applied to all of the Company's outstanding shares of common stock and did not affect any stockholder’s ownership percentage of shares of the Company's common stock, except for immaterial changes resulting from the payment of cash for fractional shares. There was no change in the Company's authorized capital stock or par value of each share of common stock as a result of the reverse stock split. All per share ~~calculation, as their effect~~amounts and common shares outstanding for all periods presented in the unaudited consolidated financial statements have been adjusted on ~~loss per share is anti-dilutive.~~

a retroactive basis to reflect the Company's reverse stock split.

Valuation of financial instruments

The fair value of the financial instruments that the Company records at fair value ~~will be~~is determined by the Manager, subject to oversight of the Company’s ~~board~~Board of ~~directors,~~Directors, and in accordance with ASC 820, ~~“Fair~~"Fair Value Measurements and Disclosures.”" When possible, the Company determines fair value using ~~independent~~third-party data sources. ASC 820 establishes a hierarchy that prioritizes the inputs to valuation techniques giving the highest priority to readily available unadjusted quoted prices in active markets for identical assets (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements) when market prices are not readily available or reliable.

The three levels of the hierarchy under ASC 820 are described below:

•Level 1 – Quoted prices in active markets for identical assets or liabilities.

•Level 2 – Prices determined using other significant observable inputs. These may include quoted prices for similar securities, interest rates, prepayment speeds, credit risk, and others.

•Level 3 – Prices determined using significant unobservable inputs. In situations where quoted prices or observable inputs are unavailable (for example, when there is little or no market activity for an investment at the end of the period), unobservable inputs may be used. Unobservable inputs reflect the Company’s assumptions about the factors that market participants would use in pricing an asset or liability, and would be based on the best information available.

Transfers between levels are assumed to occur at the beginning of the reporting period.

Accounting for ~~real estate securities~~

loans

Investments in ~~real estate securities~~loans are recorded in accordance with ASC 320-10, “Investments – Debt and Equity Securities”, ASC 325-40, “Beneficial Interests in Securitized Financial Assets”, or ASC 310-30, “Loans and Debt Securities Acquired with Deteriorated Credit Quality”.310-10, "Receivables." The Company has chosen to make a fair value election pursuant to ASC 825 ~~“Financial Instruments”~~ for its ~~real estate securities~~loan portfolio. Real estate securities are recorded at fair market value on the consolidated balance sheets and the periodic change in fair market value is recorded in current period earnings on the consolidated statement of operations as a component of “Unrealized gain/(loss) on real estate securities and loans, net.” Real estate securities acquired through securitizations are shown in the line item “Purchase of real estate securities” on the consolidated statement of cash flows.

~~AG Mortgage Investment Trust Inc. and Subsidiaries~~

~~Notes to Consolidated Financial Statements (unaudited)~~

~~September 30, 2017~~

These investments meet the requirements to be classified as available for sale under ASC 320-10-25 which requires the securities to be carried at fair value on the consolidated balance sheets with changes in fair value recorded to other comprehensive income, a component of stockholders’ equity. Electing the fair value option allows the Company to record changes in fair value in the consolidated statement of operations, which, in ~~management’s~~management's view, more appropriately reflects the results of operations for a particular reporting period as all ~~securities~~loan activities will be recorded in a similar manner.

~~When the Company purchases securities with evidence of credit deterioration since origination, it will analyze to determine if the guidance found in ASC 310-30 is applicable.~~

The Company accounts for its securities under ASC 310 and ASC 325 and evaluates securities for other-than-temporary impairment (“OTTI”) on at least a quarterly basis. The determination of whether a security is other-than-temporarily impaired involves judgments and assumptions based on subjective and objective factors. When the fair value of a real estate security is less than its amortized cost at the balance sheet date, the security is considered impaired, and the impairment is designated as either “temporary” or “other-than-temporary.”

When a real estate security is impaired, an OTTI is considered to have occurred if (i) the Company intends to sell the security (i.e., a decision has been made as of the reporting date) or (ii) it is more likely than not that the Company will be required to sell the security before recovery of its amortized cost basis. If the Company intends to sell the security or if it is more likely than not that the Company will be required to sell the real estate security before recovery of its amortized cost basis, the entire amount of the impairment loss, if any, is recognized in earnings as a realized loss and the cost basis of the security is adjusted to its fair value. Additionally for securities accounted for under ASC 325-40 an OTTI is deemed to have occurred when there is an adverse change in the expected cash flows to be received and the fair value of the security is less than its carrying amount. In determining whether an adverse change in cash flows occurred, the present value of the remaining cash flows, as estimated at the initial transaction date (or the last date previously revised), is compared to the present value of the expected cash flows at the current reporting date. The estimated cash flows reflect those a “market participant” would use and include observations of current information and events, and assumptions related to fluctuations in interest rates, prepayment speeds and the timing and amount of potential credit losses. Cash flows are discounted at a rate equal to the current yield used to accrete interest income. Any resulting OTTI adjustments are reflected in the “Net realized gain/(loss)” line item on the consolidated statement of operations.

~~The determination as to whether an OTTI exists is subjective, given that~~ As such, determination is based on information available at the time of assessment as well as the Company’s estimate of the future performance and cash flow projections for the individual security. As a result, the timing and amount of an OTTI constitutes an accounting estimate that may change materially over time.

~~Increases in interest income may be recognized on a security on which the Company previously recorded an OTTI charge if the performance of such security subsequently improves.~~

Any remaining unrealized losses on securities at September 30, 2017 do not represent other than temporary impairment as the Company has the ability and intent to hold the securities to maturity or for a period of time sufficient for a forecasted market price recovery up to or above the amortized cost of the investment, and the Company is not required to sell the security for regulatory or other reasons. In addition, any unrealized losses on the Company’s Agency RMBS accounted for under ASC 320 are not due to credit losses given their explicit guarantee of principal and interest by the GSEs, but rather are due to changes in interest rates and prepayment expectations. See Note 3 for a summary of OTTI charges recorded.

~~Sales of securities~~

Sales of securities are driven by the Manager’s portfolio management process. The Manager seeks to mitigate risks including those associated with prepayments, defaults, severities, amongst others and will opportunistically rotate the portfolio into securities with more favorable attributes. Strategies may also be employed to manage net capital gains, which need to be distributed for tax purposes.

Realized gains or losses on sales of securities, loans and derivatives are included in the “Net realized gain/(loss)” line item on the consolidated statement of operations. The cost of positions sold is calculated using a first in, first out, or FIFO, basis. Realized gains and losses are recorded in earnings at the time of disposition.

~~AG Mortgage Investment Trust Inc. and Subsidiaries~~

~~Notes to Consolidated Financial Statements (unaudited)~~

~~September 30, 2017~~

~~Accounting for mortgage loans~~

~~Investments in mortgage~~ loans are recorded in accordance with ASC 310-10. At purchase, the Company aggregates its mortgage loans into pools based on common risk characteristics. Once a pool of loans is assembled, its composition is maintained. The Company has chosen to make a fair value election pursuant to ASC 825 for its mortgage loan portfolio. Loans are recorded at fair ~~market~~ value on the consolidated balance sheets and any periodic change in fair ~~market~~ value ~~will be~~is recorded in current period earnings on the consolidated statement of operations as a component of ~~“Unrealized~~"Unrealized gain/(loss), net." The Company recognizes certain upfront costs and fees relating to loans for which the fair value option has been elected in current period earnings as incurred and does not defer those costs, which is in accordance with ASC 825-10-25. Purchases and sales of loans are recorded on ~~real estate securities~~the settlement date, concurrent with the completion of due diligence and the removal of any contingencies. Prior to the

AG Mortgage Investment Trust Inc. and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2021

settlement date, the Company will include commitments to purchase loans ~~net.”~~

within the Commitments and Contingencies footnote to the financial statements.

The Company amortizes or accretes any premium or discount over the life of the ~~related loan~~loans utilizing the effective interest method. On at least a quarterly basis, the Company evaluates the collectability of both interest and principal ~~of each loan, if circumstances warrant,~~on its loans to determine whether they are impaired. A loan or pool of loans is impaired when, based on current information and events, it is probable that the Company will be unable to collect all amounts due according to the existing contractual terms. ~~When a loan is impaired, the amount of the loss accrual is calculated and recorded accordingly.~~ Income recognition is suspended for loans at the earlier of the date at which payments become 90-days past due or when, in the opinion of ~~management,~~the Manager, a full recovery of income and principal becomes doubtful. When the ultimate collectability of the principal of an impaired loan or pool of loans is in doubt, all payments are applied to principal under the cost recovery method. When the ultimate collectability of the principal of an impaired loan is not in doubt, contractual interest is recorded as interest income when received under the cash basis method until an accrual is resumed when the loan becomes contractually current and performance is demonstrated to be resumed. A loan is written off when it is no longer realizable and/or legally discharged.

Residential Mortgage Loans

At purchase, the Company may aggregate its residential mortgage loans into pools based on common risk characteristics. Once a pool of loans is assembled, its composition is maintained. When the Company purchases mortgage loans with evidence of credit deterioration since origination and it determines that it is probable it will not collect all contractual cash flows on those loans, it will apply the guidance found in ASC 310-30. Mortgage loans that are delinquent 60 or more days are considered non-performing.

The Company updates its estimate of the cash flows expected to be collected on at least a quarterly basis for loans accounted for under ASC 310-30. In estimating these cash flows, there are a number of assumptions that will be subject to uncertainties and contingencies including both the rate and timing of principal and interest receipts, and assumptions of prepayments, repurchases, defaults and liquidations. If based on the most current information and events it is probable that there is a significant increase in cash flows previously expected to be collected or if actual cash flows are significantly greater than cash flows previously expected, the Company will recognize these changes prospectively through an adjustment of the loan’s yield over its remaining life. The Company will adjust the amount of accretable yield by reclassification from the nonaccretable difference. The adjustment is accounted for as a change in estimate in conformity with ASC 250, ~~“Accounting~~"Accounting Changes and Error ~~Corrections”~~Corrections" with the amount of periodic accretion adjusted over the remaining life of the loan. ~~Decreases~~

Commercial Loans

Commercial loans are classified as held for sale upon the Company determining that it intends to sell or liquidate the loan in the short-term and certain criteria have been met. Commercial loans meeting all criteria for reclassification are presented separately on the consolidated balance sheets in the "Commercial loans held for sale" line item. Estimated costs incurred to sell a loan are included within the fair value of the loan.

Accounting for real estate securities

Investments in real estate securities are recorded in accordance with ASC 320-10, "Investments – Debt and Equity Securities," ASC 325-40, "Beneficial Interests in Securitized Financial Assets," or ASC 310-30, "Loans and Debt Securities Acquired with Deteriorated Credit Quality." The Company has chosen to make a fair value election pursuant to ASC 825, "Financial Instruments" for its real estate securities portfolio. Real estate securities are recorded at fair value on the consolidated balance sheets and the periodic change in fair value is recorded in current period earnings on the consolidated statement of operations as a component of "Unrealized gain/(loss), net." Purchases and sales of real estate securities are recorded on the trade date.

These investments meet the requirements to be classified as available for sale under ASC 320-10-25 which requires the securities to be carried at fair value on the consolidated balance sheets with changes in fair value recorded to other comprehensive income, a component of stockholders’ equity. Electing the fair value option allows the Company to record changes in fair value in the consolidated statement of operations, which, in management’s view, more appropriately reflects the results of operations for a particular reporting period as all securities activities will be recorded in a similar manner.

When the Company purchases securities with evidence of credit deterioration since origination, it will analyze the securities to determine if the guidance found in ASC 310-30 is applicable.

AG Mortgage Investment Trust Inc. and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2021

On January 1, 2020, the Company adopted ASU 2016-13, "Financial Instruments – Credit Losses" ("ASU 2016-13"). The impact of the guidance on accounting for the Company's debt securities and loans is limited to recognition of effective yield. The Company measures its debt securities and loans at fair value with any changes recognized through net income and it updates its estimate of the cash flows expected to be collected ~~from previously projected~~on these asset classes on at least a quarterly basis recognizing changes in cash flows which includes all cash flows originally expected to be collected by the investor plus any additional cash flows expected to be collected arising from changes in estimate after acquisition, are recognized as impairment. Increases in interest income ~~may be recognized~~prospectively through an adjustment of an asset’s yield over its remaining life.

Realized gains or losses on sales of securities, loans and derivatives are included in the "Net realized gain/(loss)" line item on the consolidated statement of operations. The cost of positions sold is calculated using a ~~loan on which~~first in, first out ("FIFO") basis. Realized gains and losses are recorded in earnings at the ~~Company previously recorded an OTTI charge if the performance~~time of ~~such loan subsequently improves.~~

disposition.

Investments in debt and equity of affiliates

The Company’s unconsolidated ownership interests in affiliates are accounted for using the equity method. ~~A majority~~Substantially all of the Company’s investments held through affiliated entities are comprised of real estate securities, loans, and ~~loans.~~its interest in AG Arc LLC. These ~~underlying~~types of investments may also be held directly by the Company. Certain entities have chosen to make a fair value election on their financial instruments and certain financing arrangements pursuant to ASC 825; as such, the Company will treat these ~~investments~~financial instruments and financing arrangements consistently with this election. ~~As of September 30, 2017 and~~

Arc Home

On December ~~31, 2016, these investments had a fair market value of $79.8 million and $69.0 million, respectively.~~

~~In December~~9, 2015, the Company, alongside private funds ~~under the management of~~managed by Angelo Gordon, through AG Arc LLC, one of the Company’s indirect subsidiaries (“("AG ~~Arc”~~Arc"), formed Arc Home LLC (“("Arc ~~Home”~~Home"). Arc Home originates conforming, Government, Jumbo, Non-QM, and other non-conforming residential mortgage loans and retains the mortgage servicing rights associated with the 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. ~~As of September 30, 2017 and December 31, 2016, the Company’s interest~~The Company elected to treat its investment in AG Arc ~~had~~as a ~~fair market value~~taxable REIT subsidiary. As a result, income or losses recognized by the Company from its investment in AG Arc are recorded in "Equity in earnings/(loss) from affiliates" line item on the Company's consolidated statement of ~~$17.8~~operations net of income taxes.

From time to time, the Company acquires newly originated Non-QM Loans from Arc Home with the intent to securitize the assets and obtain non-recourse financing. In connection with the sale of loans from Arc Home to the Company, gains or losses recorded by Arc Home are consolidated into AG Arc. In accordance with ASC 323-10, for loans acquired from Arc Home that remain on the Company's consolidated balance sheet at period end, the Company eliminates any profits or losses typically recognized through the "Equity in earnings/(loss) from affiliates" line item on the Company's consolidated statement of operations and adjusts the cost basis of the underlying loans accordingly. For the three and six months ended June 30, 2021, the Company eliminated $1.4 million and ~~$12.9~~$1.9 million ~~respectively. See Note 10 for additional detail.~~

Inof intra-entity profits recognized by Arc Home, respectively, and also decreased the cost basis of the underlying loans by the same amount in connection with loan sales to the Company. As the Company did not purchase any loans from Arc Home during three and six months ended June 30, 2020, it did 0t eliminate any intra-entity profits during the three and six months ended June 30, 2020.

MATH

On August 29, 2017, the Company, alongside private funds ~~under the management of~~managed by Angelo Gordon, formed Mortgage Acquisition Holding I LLC ~~(“MATH”~~("MATH") to conduct a residential mortgage investment strategy. MATH in turn sponsored the formation of an entity called Mortgage Acquisition Trust I LLC ~~(“MATT”~~("MATT")~~, which is expected~~ to ~~make~~purchase predominantly Non-QM Loans. MATT made an election to be treated as a ~~Real Estate Investment Trust~~real estate investment trust beginning with the 2018 tax year. As of June 30, 2021, MATT ~~intends~~primarily holds retained tranches from securitizations.

LOTS

On May 15, 2019 and November 14, 2019, the Company, alongside private funds managed by Angelo Gordon, formed LOT SP I LLC andLOT SP II LLC, respectively, (collectively, "LOTS"). LOTS were formed to ~~purchase residential~~originate first mortgage loans ~~that are not eligible~~to third-party land developers and home builders for ~~delivery to Fannie Mae, Freddie Mac or Ginnie Mae. In furtherance~~the acquisition and horizontal development of this business, MATH’s sponsoring funds, which include the Company, have agreed to provide up to $75.0 million of capital to MATH for use in this mortgage investment business. The Company’s share of MATH’s total capital commitment to MATT is $33.4 million. The Company will invest in MATT through MATH, and these indirect subsidiaries have chosen to make a fair value election on their respective financial instruments pursuant to ASC 825. As such, the Company will treat this investment consistently with this election. As of September 30, 2017, the Company had not funded any of its commitment to MATH.

land ("Land Related Financing").

AG Mortgage Investment Trust Inc. and Subsidiaries

Notes to Consolidated Financial Statements ~~(unaudited)~~

~~September~~(Unaudited)

June 30, ~~2017~~

~~The Company’s~~2021

Summary of investments in debt and equity of affiliates ~~are recorded at~~

The below tables reconcile the fair ~~market~~ value onof investments to the ~~consolidated balance sheets in the “Investments~~"Investments in debt and equity of ~~affiliates”~~affiliates" line item ~~and periodic changes in fair market value are recorded in current period earnings~~ on the Company's consolidated ~~statement~~balance sheets (in thousands).


	June 30, 2021						December 31, 2020
	Assets		Liabilities		Equity		Assets		Liabilities		Equity
Non-QM Loans (1)	$	77,683	$	(48,813)	$	28,870	$	153,200	$	(111,135)	$	42,065
Land Related Financing	17,857		0		17,857		22,824		0		22,824
Other (2)	44,445		(11,351)		33,094		41,940		(5,588)		36,352
Real Estate Securities and Loans, at fair value	$	139,985	$	(60,164)	$	79,821	$	217,964	$	(116,723)	$	101,241

AG Arc, at fair value	50,862		0		50,862		45,341		0		45,341

Cash and Other assets/(liabilities)	8,177		(2,992)		5,185		5,279		(1,194)		4,085

Investments in debt and equity of affiliates	$	199,024	$	(63,156)	$	135,868	$	268,584	$	(117,917)	$	150,667

(1)As of ~~operations as~~June 30, 2021 and December 31, 2020, Non-QM Loans excluded loans with an unpaid principal balance of $11.2 million and $17.3 million, respectively, whereby an affiliate of MATT has the right, but not the obligation, to repurchase loans from a ~~component~~trust that are 90 days or more delinquent at its discretion. These loans, which are eligible to be repurchased, would be recorded on the balance sheet of ~~“Equity~~MATT, an unconsolidated equity method investee of the Company, with a corresponding and offsetting liability.

(2)Certain loans held in securitized form are presented net of non-recourse securitized debt.

The below table reconciles the net income/(loss) to the "Equity in earnings/(loss) from ~~affiliates.” Capital contributions, distributions~~affiliates" line item on the Company's consolidated statements of operations (in thousands).


	Three Months Ended				Six Months Ended
	June 30, 2021		June 30, 2020		June 30, 2021		June 30, 2020
Non-QM Loans	$	1,275	$	(8,115)	$	15,921	$	(34,844)
AG Arc (1)	(2,706)		9,510		3,634		(516)
Land Related Financing	540		473		1,250		1,137
Other	2,169		1,566		6,809		(6,535)

Equity in earnings/(loss) from affiliates	$	1,278	$	3,434	$	27,614	$	(40,758)

(1)The earnings/(loss) at AG Arc during the three and ~~profits~~six months ended June 30, 2021 were primarily the result of $0.2 million and ~~losses~~$4.4 million, respectively, of ~~such entities are allocated~~net income related to Arc Home's lending and servicing operations and $(2.8) million and $(1.2) million, respectively, related to changes in ~~accordance~~the fair value of the MSR portfolio held by Arc Home. Earnings/(loss) recognized by AG Arc does not include the Company's portion of gains recorded by Arc Home in connection with the ~~terms~~sale of residential mortgage loans to the Company. For the three and six months ended June 30, 2021, the Company eliminated $1.4 million and $1.9 million, respectively, of intra-entity profits recognized by Arc Home and also decreased the cost basis of the ~~applicable agreements.~~

~~Excess mortgage servicing rights~~

~~The~~underlying loans the Company ~~has acquired~~purchased by the right to receive the excess servicing spread related to excess mortgage servicing rights (“Excess MSRs”). The Company has chosen to make a fair value election pursuant to ASC 825 for Excess MSRs. Excess MSRs are recorded at fair market value on the consolidated balance sheets and any periodic change in fair market value is recorded in current period earnings on the consolidated statement of operationssame amount, as ~~a component of “Unrealized gain/(loss) on derivative and other instruments, net.”~~

described above.

Investment consolidation and transfers of financial assets

For each investment made, the Company evaluates the underlying entity that issued the securities acquired or to which the Company makes a loan to determine the appropriate accounting. ~~A similar analysis will be performed for each entity with which the Company enters into an agreement for management, servicing or related services.~~ In performing the analysis, the Company refers to guidance in ASC 810-10, ~~“Consolidation.”~~"Consolidation." In situations where the Company is the transferor of financial assets, the Company refers to the guidance in ASC 860-10 ~~“Transfers~~"Transfers and Servicing.”

In variable interest entities ~~(“VIEs”~~("VIEs"), an entity is subject to consolidation under ASC 810-10 if the equity investors ~~either~~(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 ASC 810-10 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

AG Mortgage Investment Trust Inc. and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2021

economic performance and the obligation to absorb losses of the VIE that could potentially be significant to the VIE 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. ~~See Note 3 for more detail.~~

In February 2015, the FASB issued ASU 2015-02, “Consolidation (Topic 810): Amendments to the Consolidation Analysis.” This standard modifies existing consolidation guidance for reporting organizations that are required to evaluate whether they should consolidate certain legal entities. The company adopted ASU 2015-02 on January 1, 2016 using the modified retrospective approach, which did not require the restatement of prior periods to conform to the post-adoption presentation. The Company concluded the adoption of this guidance did not have a material impact on its financial statements.

The Company has entered into resecuritization transactions which result in the Company consolidating the VIEs that were created to facilitate the transactions and to which the underlying assets in connection with the resecuritization were transferred. In determining the accounting treatment to be applied to these resecuritization transactions, the Company evaluated whether the entities used to facilitate these transactions were VIEs and, if so, whether they should be consolidated. Based on its evaluation, the Company concluded that the VIEs should be consolidated. If the Company ~~had determined~~determines that consolidation ~~was~~is not required, it ~~would have~~will then ~~assessed~~assess whether the transfer of the underlying assets would qualify as a sale, or should be accounted for as secured financings under ~~GAAP.~~

GAAP, or should be accounted for as an equity method investment, depending on the circumstances. See Note 3 for more detail.

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 of certain of its residential mortgage loans, which results in the Company consolidating the respective VIEs that are created to facilitate these transactions and to which the underlying assets in connection with these securitizations are transferred ("Residential Mortgage Loan VIEs"). The Company has entered into securitization transactions on certain of its Non-QM Loans ("Non-QM VIEs"), as well as certain of its re- and non-performing loans ("RPL/NPL VIEs"). Based on the evaluations of each VIE, the Company concluded that the VIEs should be consolidated and, as a result, transferred assets of these VIEs were 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 Residential Mortgage Loan 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 ASU 2014-13, "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 Residential Mortgage Loan 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 Residential Mortgage Loan 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 Residential Mortgage Loan 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.

From time to time the Company purchases residual positions where it consolidates the securitization and the positions are recorded on the Company's books as residential mortgage loans. There may be limited data available regarding the underlying collateral of such securitizations.

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, 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”~~"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

AG Mortgage Investment Trust Inc. and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2021

by allocating the carrying value of the underlying mortgage between securities or loans sold and the interests retained based on their fair ~~values.~~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.

~~AG Mortgage Investment Trust Inc. and Subsidiaries~~

~~Notes to Consolidated Financial Statements (unaudited)~~

~~September 30, 2017~~

On February 12, 2016, the Company originated a $12.0 million commercial loan and at closing, transferred a 15% or $1.8 million interest in the loan to an unaffiliated third party. The Company, as transferor, evaluated the transfer under ASC 860-10, and concluded the transferred participation interest should be accounted for as a secured borrowing. The Company has recorded the $12.0 million commercial loan on its consolidated balance sheets as an asset in the “Commercial loans, at fair value” line item. The Company has recorded a $1.8 million liability in the “Loan participation payable, at fair value” line item representing the transfer of the participation interest. The Company has chosen to make a fair value election on the consolidated interest pursuant to ASC 825. The holder of the participation interest has no recourse to the general credit of the Company. The commercial loan was paid off in full in February 2017. The principal and interest due on the loan participation was paid from these proceeds. See Note 4 for more detail.

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”~~"sale" and the loans will be removed from the consolidated balance sheets or as a ~~“financing”~~"financing" and will be classified as ~~“real estate securities”~~"residential mortgage loans" 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”~~"sale" or a ~~“financing.”~~

"financing."

Interest income recognition

Interest income on the Company’s real estate securities portfolio and loan portfolio is accrued based on the actual coupon rate and the outstanding principal balance of such ~~securities.~~securities or loans. The Company has elected to record interest in accordance with ASC 835-30-35-2, "Imputation of Interest," using the effective interest method for all securities and loans accounted for under the fair value option ~~(ASC 825)~~in accordance with ASC 825, "Financial Instruments". As such, premiums and discounts are amortized or accreted into interest income over the lives of the securities or loans in accordance with ASC 310-20, ~~“Nonrefundable~~"Nonrefundable Fees and Other Costs,”" ASC 320-10 or ASC 325-40, as applicable. Total interest income is recorded in the ~~“Interest income”~~"Interest income" line item on the consolidated statement of operations.

~~On at least a quarterly basis for securities accounted for under ASC 320-10 and ASC 310-20 (generally~~

For Agency RMBS, exclusive of interest-only ~~securities),~~securities, prepayments of the underlying collateral ~~must be~~are estimated on a quarterly basis, which directly affect the speed at which the Company amortizes premiums on its securities. If actual and anticipated cash flows differ from previous estimates, the Company ~~recognizes a “catch-up”~~records an adjustment in the current period to the amortization of premiums for the impact of the cumulative change in the effective yield retrospectively through the reporting date.

Similarly, the Company also reassesses the cash flows on at least a quarterly basis for securities ~~accounted for under ASC 325-40 (generally~~and loans, including Non-Agency RMBS, ~~ABS,~~ CMBS, interest-only securities, Non-QM Loans, and ~~interest-only securities).~~Excess MSRs. In estimating these cash flows, there are a number of assumptions made that ~~will be~~are uncertain and subject to ~~uncertainties~~judgments and assumptions based on subjective and objective factors and contingencies. These include the rate and timing of principal and interest receipts (including assumptions of prepayments, repurchases, defaults, and liquidations), the pass-through or coupon rate and interest rate fluctuations. In addition, interest payment shortfalls due to delinquencies on the underlying mortgage loans have to be estimated. Differences between previously estimated cash flows and current actual and anticipated cash flows are recognized prospectively through an adjustment of the yield over the remaining life of the security based on the current amortized cost of the ~~investment as adjusted for credit impairment, if any.~~

Interest income on the Company’s loan portfolio is accrued based on the actual coupon rate and the outstanding principal balance of such loans. The Company has elected to record interest in accordance with ASC 835-30-35-2 using the effective interest method for all loans accounted for under the fair value option (ASC 825). Any amortization will be reflected as an adjustment to interest income in the consolidated statement of operations.

investment.

For security and loan investments purchased with evidence of deterioration of credit quality for which it is probable, at acquisition, that the Company will be unable to collect all contractually required payments receivable, the Company will apply the provisions of ASC 310-30. For purposes of income recognition, the Company aggregates loans that have common risk characteristics into pools and uses a composite interest rate and expectation of cash flows expected to be collected for the pool. ASC 310-30 addresses accounting for differences between contractual cash flows and cash flows expected to be collected from an investor’s initial investment in loans or debt securities (loans) acquired in a transfer if those differences are attributable, at least in part, to credit quality. ASC 310-30 limits the yield that may be accreted (accretable yield) to the excess of the investor’s estimate of undiscounted expected principal, interest and other cash flows (cash flows expected at acquisition to be collected) over the investor’s initial investment in the loan. ASC 310-30 requires that the excess of contractual cash flows over cash flows expected to be collected (nonaccretable difference) not be recognized as an adjustment of yield, loss accrual or valuation allowance. Subsequent ~~increases~~changes in cash flows expected to be collected generally should be recognized prospectively through an adjustment of the loan’s yield over its remaining life. ~~Decreases in cash flows expected to be collected should be recognized as impairment.~~

The Company’s accrual of interest, discount accretion and premium amortization for U.S. federal and other tax purposes differs from the financial accounting treatment of these items as described above.

~~AG Mortgage Investment Trust Inc. and Subsidiaries~~

~~Notes to Consolidated Financial Statements (unaudited)~~

~~September 30, 2017~~

~~Repurchase agreements and FHLBC Advances~~

Financing arrangements

The Company finances the acquisition of certain assets within its portfolio through the use of financing arrangements. Financing arrangements include repurchase agreements. Prior to March 31, 2016, the Company also financed its Agency RMBS portfolio with advances from the Federal Home Loan Bank of Cincinnati (“FHLBC Advances”) (see the following paragraph regarding the current status of the FHLBC Advances).agreements and revolving facilities. Repurchase agreements ~~are,~~ and ~~while the Company had them, FHLBC Advances were~~revolving facilities are treated as collateralized financing transactions and carried at ~~primarily~~ their contractual amounts, including accrued interest, as specified in the respective agreements. The carrying amount of the Company’s repurchase agreements and ~~FHLBC Advances~~revolving facilities approximates fair value.

In July 2015, the Company’s wholly-owned captive insurance subsidiary, MITT Insurance Company LLC (“MITT Insurance”), was granted membership in the Federal Home Loan Bank (“FHLB”) system, specifically in the FHLB of Cincinnati (“FHLBC”). However, in January 2016, the Federal Housing Finance Agency, the FHFA, issued RIN 2590-AA39, Members of Federal Home Loan Banks (“the Final Rule”), which expressly excludes captive insurance companies, such as MITT Insurance (“Excluded Captives”), from being eligible for membership in the FHLBC. The Final Rule prevents the FHLBC from making any new advances or extending any existing advances

AG Mortgage Investment Trust Inc. and Subsidiaries

Notes to Excluded Captives, subject to a defined grace period. Upon the termination of membership, the FHLB must liquidate all outstanding advances to Excluded Captives and settle all other business transactions in accordance with the Final Rule. In addition, all FHLB stock held by the terminated Excluded Captive will be repurchased or redeemed at the FHLB’s discretion. Therefore, MITT Insurance must completely wind down all business relationships with the FHLBC, including the repayment of all outstanding advances, prior to or simultaneously with the termination of MITT Insurance’s membership with the FHLBC. As a result of the Final Rule, MITT Insurance exited all FHLBC Advances and as of SeptemberConsolidated Financial Statements (Unaudited)

June 30, ~~2017, the Company had no outstanding advances with the FHLBC. See the “Other investments” section below for a discussion on FHLBC stock.~~

2021

The Company pledges certain securities, loans, or ~~loans~~properties as collateral under ~~repurchase agreements~~financing arrangements with financial institutions, the terms and conditions of which are negotiated on a transaction-by-transaction basis. The amounts available to be borrowed under repurchase agreements and revolving facilities are dependent upon the fair value of the securities or loans pledged as collateral, which ~~fluctuates~~can fluctuate with changes in interest rates, type of security and liquidity conditions within the banking, mortgage finance, and real estate industries. ~~In response to declines in~~If the fair value of pledged assets declines due to changes in market conditions, lenders ~~may~~typically would require the Company to post additional securities as collateral, or pay down borrowings or establish cash margin accounts with the counterparties in order to re-establish ~~agreed upon~~the agreed-upon collateral requirements, referred to as margin calls. The fair value of financial instruments pledged as collateral on the Company’s financing arrangements represents the Company’s fair value of such instruments which may differ from the fair value assigned to the collateral by its counterparties. The Company maintains a level of liquidity in order to meet these obligations. If the fair value of pledged assets increases due to changes in market conditions, counterparties may be required to return collateral to us in the form of securities or cash or post additional collateral to us. Financings pursuant to repurchase agreements and revolving facilities are generally recourse to the Company. As of ~~September~~June 30, ~~2017~~2021 and December 31, ~~2016,~~2020, the Company ~~has~~had met all margin call requirements.

~~Other investments~~

~~At September 30, 2017~~

Forbearance and ~~December 31, 2016~~Reinstatement Agreements

In connection with the market disruption created by the COVID-19 pandemic, in March 2020, the Company ~~owned FHLBC stock totaling $2,000.~~received notifications of alleged events of default and deficiency notices from several of its financing counterparties. The Company ~~has chosen to make~~engaged in discussions with its financing counterparties and, as a ~~fair value election~~result, entered into a series of forbearance agreements (collectively, the "Forbearance Agreement") with certain of its financing counterparties (the "Participating Counterparties") pursuant to ~~ASC 825~~which each Participating Counterparty agreed to forbear from exercising its rights and remedies with respect to events of default and any and all other defaults under the applicable financing arrangement (each, a “Bilateral Agreement”) for ~~its stock investment in FHLBC~~the period ending June 15, 2020.

On June 10, 2020, the Company and the Participating Counterparties entered into a reinstatement agreement (the “Reinstatement Agreement”), pursuant to which ~~is recorded in~~ the ~~“Other assets” line item~~Forbearance Agreement was terminated and each Participating Counterparty permanently waived all existing and prior events of default under the applicable Bilateral Agreements. Pursuant to the Reinstatement Agreement, the Bilateral Agreements were reinstated with certain amendments to reflect current market terms (i.e., increased haircuts and higher coupons), updated financial covenants and various reporting requirements from the Company to the Participating Counterparties, releases, certain netting obligations and cross-default provisions. As a result of the Reinstatement Agreement, default interest on the Company’s ~~consolidated balance sheets. When evaluating FHLBC stock for impairment,~~outstanding borrowings under the Bilateral Agreements ceased to accrue as of June 10, 2020, all cash margin was applied to outstanding balances owed by the Company, ~~considers~~and principal and interest payments on the ~~ultimate recoverability~~underlying collateral were permitted to flow to and be used by the Company, just as it was prior to the Forbearance Agreements. In addition, pursuant to the terms of the ~~par value rather than recognizing temporary declines in value. As~~Reinstatement Agreement, the security interests granted to Participating Counterparties as additional collateral under the Forbearance Agreement have been terminated and released. The Company also agreed to pay the reasonable fees and out-of-pocket expenses of ~~September 30, 2017,~~counsel and other professional advisors for the Participating Counterparties and the collateral agent.

Concurrently, on June 10, 2020, the Company ~~had~~entered a separate reinstatement agreement with one of its financing counterparties on substantially the same terms as those set forth in the Reinstatement Agreement.

Dividends on Preferred Stock

Holders of the Company’s 8.25% Series A Cumulative Redeemable Preferred Stock ("Series A Preferred Stock"), 8.00% Series B Cumulative Redeemable Preferred Stock ("Series B Preferred Stock"), and 8.000% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock ("Series C Preferred Stock") are entitled to receive cumulative cash dividends at a rate of 8.25%, 8.00% and 8.000% per annum, respectively, of the $25.00 per share liquidation preference for each series. On and after September 17, 2024, dividends on the Series C Preferred Stock will accumulate at a percentage of the $25.00 liquidation preference equal to an annual floating rate of the then three-month LIBOR plus a spread of 6.476% per annum. If the Company’s Board of Directors does not ~~recognized~~declare a dividend in a given period, an ~~impairment charge related~~accrual is not recorded on the balance sheet. However, undeclared preferred stock dividends are reflected in earnings per share as discussed in ASC 260-10-45-11. Preferred stock dividends that are not declared accumulate and are added to the liquidation preference as of the scheduled payment date for the respective series of the preferred stock. The undeclared and unpaid dividends on the Company’s preferred stock accrue without interest, and if dividends on the Company's preferred stock are in arrears, the Company cannot pay cash dividends with respect to its ~~FHLBC~~common stock. ~~The Company is entitled to a quarterly dividend~~See Note 11 for further detail on the ~~weighted average shares of stock it holds during the period~~Company’s Preferred Stock.

AG Mortgage Investment Trust Inc. and ~~records the dividend in “Interest income” on its consolidated statement of operations. For the three and nine months ended September~~Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2017, the Company recorded an immaterial amount of dividend income on its FHLBC stock. For the three and nine months ended September 30, 2016, the Company recorded dividend income on its FHLBC stock of approximately $0.0 million and $0.1 million, respectively.

2021

Accounting for derivative financial instruments

Derivative contracts

The Company enters into derivative contracts as a means of mitigating interest rate risk or foreign currency risk rather than to enhance returns. The Company accounts for derivative financial instruments in accordance with ASC 815-10, ~~“Derivatives~~"Derivatives and Hedging.”" ASC 815-10 requires an entity to recognize all derivatives as either assets or liabilities on the balance sheet and to measure those instruments at fair value. Additionally, if or when hedge accounting is elected, the fair value adjustments will affect either other comprehensive income in stockholders’ equity until the hedged item is recognized in earnings or net income depending on whether the derivative instrument is designated and qualifies as a hedge for accounting purposes and, if so, the nature of the hedging activity. As of ~~September~~June 30, ~~2017~~2021 and December 31, ~~2016,~~2020, the Company did not have any interest rate derivatives designated as hedges. All derivatives have been recorded at fair value in accordance with ASC 820-10, with corresponding changes in value recognized in the consolidated statement of operations. The Company records derivative asset and liability positions on a gross basis with respect to its counterparties. The Company records the daily receipt or payment of variation margin associated with the Company’s centrally cleared derivative instruments on a net basis. Refer to Note 7 for a discussion of this accounting treatment. During the period in which the Company unwinds a derivative, it records a realized gain/(loss) in the ~~“Net~~"Net realized gain/(loss)”" line item in the consolidated statement of operations.

~~AG Mortgage Investment Trust Inc. and Subsidiaries~~

~~Notes to Consolidated Financial Statements (unaudited)~~

~~September 30, 2017~~

To-be-announced securities

A to-be-announced security ~~(“TBA”~~("TBA") is a forward contract for the purchase or sale of Agency RMBS at a predetermined price, face amount, issuer, coupon and stated maturity on an agreed-upon future date. The specific Agency RMBS delivered into or received from the contract upon the settlement date, published each month by the Securities Industry and Financial Markets Association, are not known at the time of the transaction. The Company may also choose, prior to settlement, to move the settlement of these securities out to a later date by entering into an offsetting short or long position (referred to as a pair off), net settling the paired off positions for cash, simultaneously purchasing or selling a similar TBA contract for a later settlement date. This transaction is commonly referred to as a dollar roll. The Agency RMBS purchased or sold for a forward settlement date are typically priced at a discount to Agency RMBS for settlement in the current month. This difference, or discount, is referred to as the price drop. The price drop is the economic equivalent of net interest carry income on the underlying Agency RMBS over the roll period (interest income less implied financing cost) and is commonly referred to as dollar roll income/(loss). Consequently, forward purchases of Agency RMBS and dollar roll transactions represent a form of off-balance sheet financing. Dollar roll income is recognized in the consolidated statement of operations in the line item ~~“Unrealized~~"Unrealized gain/(loss) ~~on derivative and other instruments,~~, net.”

The Company presents the purchase or sale of TBAs net of the corresponding payable or receivable, respectively, until the settlement date of the transaction. Contracts for the purchase or sale of Agency RMBS are accounted for as derivatives if they do not qualify for the “regular way” security trade scope exception found in ASC 815-10. To be eligible for this scope exception, the contract must meet the following conditions: (1) there is no other way to purchase or sell that security, (2) delivery of that security and settlement will occur within the shortest period possible for that type of security, and (3) it is probable at inception and throughout the term of the individual contract that the contract will not settle net and will result in physical delivery of a security when it is issued. Unrealized gains and losses associated with TBA contracts not meeting the regular-way exception and not designated as hedging instruments are recognized in the consolidated statement of operations in the line item “Unrealized gain/(loss) on derivative and other instruments, net.”

~~U.S. Treasury securities~~

Variation margin

The Company may ~~purchase long or sell short U.S. Treasury securities~~exchange cash "variation margin" with the counterparties to ~~help mitigate the potential impact of~~its derivative instruments on a daily basis based upon changes in ~~interest rates. The Company may finance its purchase~~the fair value of U.S. Treasury securities with overnight repurchase agreements. The Company may borrow securities to cover short sales of U.S. Treasury securities through overnight reverse repurchase agreements, which are accounted forsuch derivative instruments as ~~borrowing transactions,~~measured by the Chicago Mercantile Exchange ("CME") and the ~~Company recognizes~~London Clearing House ("LCH"), the central clearinghouses ("CCPs") through which those derivatives are cleared. In addition, the CCPs require market participants to deposit and maintain an ~~obligation~~"initial margin" amount which is determined by the CCPs and is generally intended to ~~return the borrowed securities~~be set at fair value on its consolidated balance sheets based on the value of the underlying borrowed securities as of the reporting date. Interest income and expense associated with purchases and short sales of U.S. Treasury securities are recognized in “Interest income” and “Interest expense”, respectively, on the consolidated statement of operations. Realized and unrealized gains and losses associated with purchases and short sales of U.S. Treasury securities are recognized in “Net realized gain/(loss)” and “Unrealized gain/(loss) on derivative and other instruments, net,” respectively, on the consolidated statement of operations. As of September 30, 2017, and December 31, 2016, the Company had no positions in U.S. Treasury securities.

~~Short positions in U.S. Treasury securities through reverse repurchase agreements~~

The Company may sell short U.S. Treasury securities to help mitigate the potential impact of changes in interest rates. The Company may borrow securities to cover short sales of U.S. Treasury securities under reverse repurchase agreements, which are accounted for as borrowing transactions, and the Company recognizes an obligation to return the borrowed securities at fair value on its consolidated balance sheets based on the value of the underlying borrowed securities as of the reporting date. The Company establishes haircuts to ensure the market value of the underlying assets remaina level sufficient to protect the ~~Company~~CCPs from the maximum estimated single-day price movement in that market participant’s contracts.

Receivables recognized for the right to reclaim cash initial margin posted in respect of derivative instruments are included in the ~~event~~"Restricted cash" line item in the consolidated balance sheets. The daily exchange of ~~a default by a counterparty. Realized and unrealized gains and losses~~variation margin associated with ~~purchases and short sales~~a CCP instrument is legally characterized as the daily settlement of ~~U.S. Treasury securities are recognized~~the derivative instrument itself, as opposed to a pledge of collateral. Accordingly, the Company accounts for the daily receipt or payment of variation margin associated with its centrally cleared derivative instruments as a direct reduction to the carrying value of the derivative asset or liability, respectively. The carrying amount of centrally cleared derivative instruments reflected in ~~“Net realized gain/(loss)” and “Unrealized gain/(loss)~~the Company’s consolidated balance sheets approximates the unsettled fair value of such instruments. As variation margin is exchanged on ~~derivative and other~~a one-day lag, the unsettled fair value of such instruments ~~net,” respectively,~~represents the change in fair value that occurred on the ~~consolidated statement~~last day of ~~operations.~~

the reporting period.

Manager compensation

The management agreement provides for payment to the Manager of a management ~~fee.~~fee as well as a reimbursement of certain expenses incurred by the Manager or its affiliates on behalf of the Company. The management fee isand reimbursement are accrued and expensed during the period for which ~~it is calculated~~they are earned or for which the expenses are incurred, respectively. The management fee and ~~earned.~~reimbursement are included in the "Management fee" and "Other operating expenses" line items, respectively, on the consolidated statement of operations. For a more detailed discussion on the fees payable under the management agreement, see Note 10.

AG Mortgage Investment Trust Inc. and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2021

Income taxes

The Company conducts its operations to qualify and be taxed as a REIT. Accordingly, the Company will generally not be subject to federal or state corporate income tax to the extent that the Company makes qualifying distributions to its stockholders, and provided that it satisfies on a continuing basis, through actual investment and operating results, the REIT requirements including certain asset, income, distribution and stock ownership tests. If the Company fails to qualify as a REIT, and does not qualify for certain statutory relief provisions, it will be subject to U.S. federal, state and local income taxes and may be precluded from qualifying as a REIT for the four taxable years following the year in which the Company fails to qualify as a REIT.

~~AG Mortgage Investment Trust Inc. and Subsidiaries~~

~~Notes to Consolidated Financial Statements (unaudited)~~

~~September 30, 2017~~

The dividends paid deduction of a REIT for qualifying dividends to its stockholders is computed using the Company’s taxable income/(loss) as opposed to net income/(loss) reported on the Company’s GAAP financial statements. Taxable income/(loss), generally, will differ from net income/(loss) reported on the financial statements because the determination of taxable income/(loss) is based on tax principles and not financial accounting principles.

Cash distributions declared by the Company that do not exceed its current or accumulated earnings and profits will be considered ordinary income to stockholders for income tax purposes unless all or a portion of a distribution is designated by the Company as a capital gain dividend. Distributions in excess of the Company’s current and accumulated earnings and profits will be characterized as return of capital or capital gains.

The Company elected to treat certain domestic subsidiaries as taxable REIT subsidiaries ~~(“TRSs”~~("TRSs") and may elect to treat other subsidiaries as TRSs. In general, a TRS may hold assets and engage in activities that the Company cannot hold or engage in directly and generally may engage in any real estate or non-real estate-related business.

A domestic TRS may declare dividends to the Company which will be included in the Company’s taxable income/(loss) ~~and~~which may necessitate a distribution to stockholders. Conversely, if the Company retains earnings at the domestic TRS level, no distribution is required and the Company can increase book equity of the consolidated entity. A domestic TRS is subject to U.S. federal, state and local corporate income taxes.

The Company elected to treat one of its foreign subsidiaries as a TRS and, accordingly, taxable income generated by this foreign TRS may not be subject to local income taxation, but generally will be included in the Company’s taxable income on a current basis as Subpart F income, whether or not distributed.

The Company’s financial results are generally not expected to reflect provisions for current or deferred income taxes, except for any activities conducted through one or more TRSs that are subject to corporate income taxation. The Company believes that it will operate in a manner that will allow it to qualify for taxation as a REIT. As a result of the Company’s expected REIT qualification, it does not generally expect to pay federal or state corporate income tax. Many of the REIT requirements, however, are highly technical and complex. ~~If the Company were to fail to meet the REIT requirements, it would be subject to federal income taxes and applicable state and local taxes.~~

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

The Company evaluates uncertain income tax positions, if any, in accordance with ASC 740, ~~“Income~~"Income Taxes.”" The Company classifies interest and penalties, if any, related to unrecognized tax benefits as a component of provision for income taxes. See Note 9 for further details.

~~Stock-based compensation~~

Deal related performance fees

The Company ~~applies the provisions~~may incur deal related performance fees, payable to Arc Home and third-party operators, on certain of ~~ASC 718, “Compensation—Stock Compensation” with regard to~~ its ~~equity incentive plans. ASC 718 covers a wide range of share-based compensation arrangements including stock options, restricted stock plans, performance-based awards, stock appreciation rights~~CMBS, Excess MSRs, and ~~employee stock purchase plans. ASC 718 requires that compensation cost relating to stock-based payment transactions be recognized in financial statements. Compensation cost is measured~~Land Related Financing. The deal related performance fees are based on ~~the fair value of the equity or liability instruments issued.~~

~~Compensation cost related to restricted common shares issued to the Company’s directors is measured at its estimated fair value at the grant date, and is amortized~~these investments meeting certain performance hurdles. The fees are accrued and expensed ~~over~~during the ~~vesting~~ period ~~on a straight-line basis. Compensation cost related to restricted common shares~~for which they are incurred and ~~restricted stock units issued to~~are included in the ~~Manager is initially measured at estimated fair value at the grant date,~~"Other operating expenses" and is remeasured on subsequent dates to the extent the awards are unvested. Restricted stock units granted to the Manager do not entitle the participant the rights of a shareholder of the Company’s common stock, such as dividend and voting rights, until shares are issued"Equity in settlement of the vested units. The restricted stock units are not considered to be participating shares. Restricted stock units are measured at fair value reduced by the present value of the dividends expected to be paidearnings/(loss) from affiliates" line items on the underlying shares during the requisite service period, discounted at an assumed risk free rate. The Company has elected to use the straight-line method to amortize compensation expense for restricted stock units.

consolidated statement of operations.

AG Mortgage Investment Trust Inc. and Subsidiaries

Notes to Consolidated Financial Statements ~~(unaudited)~~

~~September~~(Unaudited)

June 30, ~~2017~~

~~Recent accounting pronouncements~~

In May 2014, the FASB issued Accounting Standards Update (“ASU”) 2014-09, “Revenue from Contracts with Customers” (Topic 606) (“ASU 2014-09”). ASU 2014-09 is a comprehensive new revenue recognition model requiring a company to recognize revenue to depict the transfer of goods or services to a customer at an amount reflecting the consideration it expects to receive in exchange for those goods or services. In adopting ASU 2014-09, companies may use either a full retrospective or a modified retrospective approach. Additionally, this guidance requires improved disclosures regarding the nature, amount, timing and uncertainty of revenue and cash flows arising from contracts with customers. In August 2015, the FASB deferred the effective date of the new revenue recognition standard by one year. The new standard is effective for the first interim period within annual reporting periods beginning after December 15, 2017 and early adoption is permitted. 2021

Offering costs

The Company has ~~concluded~~incurred offering costs in connection with common stock offerings, registration statements, preferred stock offerings, and exchanges. Where applicable, the ~~guidance will not~~offering costs were paid out of the proceeds of the respective offerings. Offering costs in connection with common stock offerings and costs in connection with registration statements have been accounted for as a ~~material impact on its consolidated financial statements.~~

reduction of additional paid-in capital. Offering costs in connection with preferred stock offerings have been accounted for as a reduction of their respective gross proceeds. Exchange costs in connection with the Company's preferred stock exchanges have been accounted for as a reduction to the Company's retained earnings.

Recent accounting pronouncements

In ~~January 2016, the~~March 2020, FASB issued ASU ~~2016-01, “Recognition~~2020-04, "Reference Rate Reform (Topic 848): Facilitation of the Effects of Reference Rate Reform on Financial Reporting." This ASU provides temporary optional guidance intended to ease the burden of reference rate reform on financial reporting. This ASU was effective upon its issuance on March 12, 2020 and ~~Measurement of Financial Assets and Financial Liabilities” (“ASU 2016-01”). The amendments in this ASU affect~~applies to all entities that ~~hold financial assets~~have contracts, hedging relationships and other transactions that reference LIBOR and certain other reference rates that are expected to be discontinued. However, it cannot be applied to contract modifications that occur after December 31, 2022. With certain exceptions, this ASU also cannot be applied to hedging relationships entered into or ~~owe financial liabilities,~~evaluated after that date. The guidance provides optional expedients and ~~address certain aspects of recognition, measurement, presentation,~~exceptions for applying existing guidance to contract modifications, hedging relationships and ~~disclosure of financial instruments. The classification and measurement guidance of investments in debt securities and loans~~other transactions that are ~~not~~expected to be affected by ~~the amendments in this ASU. ASU 2016-01 is effective for public business entities for fiscal years,~~reference rate reform and interim periods within those fiscal years, beginning after December 15, 2017. Early adoption is not permitted for public business entities, except for a provision related to financial statements of fiscal years or interim periods that have not yet been issued, to recognize in other comprehensive income, the change in fair value of a liability resulting from a change in the instrument-specific credit risk measured using the fair value option. Entities should apply the amendments in this ASU by recording a cumulative-effect adjustment to equity as of the beginning of the fiscal year of adoption.meet certain scope guidance. The Company is currently evaluating the ~~impact this ASU will have on its consolidated financial statements.~~

In June 2016, the FASB issued ASU 2016-13, “Financial Instruments – Credit Losses,” (“ASU 2016-13”). ASU 2016-13 introduces a new model related to the accounting for credit losses on instruments, specifically, financial assets subject to credit losses and measured at amortized cost and certain off-balance sheet credit exposures. ASU 2016-13 amends the current guidance, requiring an OTTI charge only when fair value is below the amortized cost of an asset. The length of time the fair value of an available-for-sale debt security has been below the amortized cost will no longer impact the determination of whether a credit loss exists. As such, it is no longer an other-than-temporary model. In addition, credit losses on available-for-sale debt securities will now be limited to the difference between the security’s amortized cost basis and its fair value. The new debt security model will also require the use of an allowance to record estimated credit losses. The new guidance also expands the disclosure requirements regarding an entity’s assumptions, and models. In addition, public entities will need to disclose the amortized cost balance for each class of financial asset by credit quality indicator, disaggregated by the year of origination (i.e., by vintage year). ASU 2016-13 is effective for fiscal years beginning after December 15, 2019, and interim periods within those fiscal years. The Company is currently evaluating its method of adoption and the impact this ASU will have on its consolidated financial statements.

In August 2016, the FASB issued ASU 2016-15, “Classification of Certain Cash Receipts and Cash Payments”, (“ASU 2016-15”). ASU 2016-15 addresses eight specific cash flow issues with the objective of reducing existing diversity of how certain cash receipts and cash payments are presented. These specific issues include debt prepayment and debt extinguishment costs, settlement of zero-coupon debt, proceeds from the settlement of insurance claims, and beneficial interests in securitization transactions, among others. ASU 2016-15 is effective for fiscal years beginning after December 15, 2017, and interim periods within those fiscal years. The Company is currently assessing the impacteffect this guidance will have on its consolidated financial statements. ~~Adoption of this standard may reclassify certain items on~~

3. Loans

Residential mortgage loans

For the ~~consolidated statement of cash flows but does not affect the consolidated statement of operations or consolidated balance sheets.~~

In November 2016, the FASB issued ASU 2016-18, Statement of Cash Flows (Topic 230): Restricted Cash. The amendments in this update require that a statement of cash flows explain the change during the period in the total of cash, cash equivalents, and amounts generally described as restricted cash or restricted cash equivalents. The ASU is effective for public business entities for fiscal years beginning after December 15, 2017, including interim periods within those fiscal years. The Company is currently evaluating the impact that the adoption of this standard will have on its consolidated financial statements. Adoption of this standard will requirethree months ended June 30, 2021, the Company ~~to reconcile changes in cash, cash equivalents,~~purchased Non-QM Loans with a gross aggregate unpaid principal balance and ~~restricted cash on~~a gross acquisition fair value of $426.8 million and $446.2 million, respectively. For the six months ended June 30, 2021, the Company purchased Non-QM Loans with a gross aggregate unpaid principal balance and a gross acquisition fair value of $625.2 million and $654.7 million, respectively. A portion of these loans were purchased from Arc Home. See Note 10 for more detail.

For the three and six months ended June 30, 2021, the Company sold 367 loans for total proceeds of $45.6 million and 1 residual position where the Company previously consolidated ~~statement~~the securitization for total proceeds of ~~cash flows but does not affect~~$1.6 million, which was unsettled as of quarter end, recording realized gains of $8.1 million and realized losses of $0.4 million. For the ~~consolidated statement~~three months ended June 30, 2020, the Company sold 2,357 loans for total proceeds of ~~operations or consolidated balance sheets.~~

~~In March 2017,~~$382.8 million, recording realized gains of $1.4 million and realized losses of $55.5 million. For the ~~FASB issued ASU 2017-08, “Premium Amortization~~six months ended June 30, 2020, the Company sold 2,358 loans for total proceeds of Purchased Callable Debt Securities” (“ASU 2017-08”). The amendments in this update require purchase premiums for investments in debt securities that are noncontingently callable by the issuer (at a fixed price$391.5 million, recording realized gains of $1.4 million and preset date) to be amortized to the earliest call date. Previously, purchase premiums for such investments were permitted to be amortized to the instrument’s maturity date. ASU 2017-08 is effective for public business entities for fiscal years beginning after December 15, 2018 and interim periods within those years. The Company is currently assessing the impact this guidance will have on its consolidated financial statements.

~~In May 2017, the FASB issued ASU 2017-09, “Compensation – Stock Compensation (Topic 718): Scope~~realized losses of Modification Accounting.” This ASU provides clarity and reduces both diversity in practice and cost and complexity when applying the guidance in Topic 718 to a change to the terms or conditions of a share-based payment award. This update provides guidance about which changes to the terms or conditions of a share-based payment award require an entity to apply modification accounting in Topic 718. The ASU is effective fiscal years beginning after December 15, 2017, including interim periods within those fiscal years. The Company is currently assessing the impact of this guidance.

$58.6 million.

AG Mortgage Investment Trust Inc. and Subsidiaries

Notes to Consolidated Financial Statements ~~(unaudited)~~

~~September~~(Unaudited)

June 30, ~~2017~~

~~3. Real Estate Securities~~

2021

The ~~following tables detail~~table below details information regarding the Company’s ~~real estate securities~~residential mortgage loan portfolio as of ~~September~~June 30, ~~2017~~2021 and December 31, ~~2016. The~~2020 ($ in thousands):


							Gross Unrealized						Weighted Average
	Unpaid Principal Balance		Premium (Discount)		Amortized Cost		Gains		Losses		Fair Value		Coupon		Yield		Life (Years) (1)
Non-QM Loans	$	621,095	$	26,556	$	647,651	$	8,473	$	(972)	$	655,152	4.86	%	3.61	%	3.85
Re- and Non-Performing Loans	415,942		(52,530)		363,412		15,947		(5,267)		374,092		3.59	%	6.00	%	6.98
Total at June 30, 2021 (2)	$	1,037,037	$	(25,974)	$	1,011,063	$	24,420	$	(6,239)	$	1,029,244	4.36	%	4.48	%	5.11

Re- and Non-Performing Loans at December 31, 2020 (3)	$	500,980	$	(69,007)	$	431,973	$	13,640	$	(10,172)	$	435,441	3.58	%	5.69	%	6.67

(1)This is based on projected life. Typically, actual maturities are shorter than stated contractual maturities. Maturities are affected by the lives of the underlying mortgages, periodic payments of principal, and prepayments of principal.

(2)As of June 30, 2021, the Company’s ~~Agency RMBS are~~residential mortgage ~~pass-through certificates or collateralized mortgage obligations (“CMOs”) representing interests in or obligations backed by pools~~loan portfolio was comprised of 3,825 loans with original loan balances between $5.6 thousand and $3.7 million. Additionally, the Company had residential mortgage loans ~~issued or guaranteed by Fannie Mae, Freddie Mac or Ginnie Mae.~~ that were in the process of foreclosure with a fair value of $28.9 million.

(3)As of December 31, 2020, the Company’s residential mortgage loan portfolio was comprised of 3,273 conventional loans with original loan balances between $5.6 thousand and $3.4 million. Additionally, the Company had residential mortgage loans that were in the process of foreclosure with a fair value of $37.1 million.

The table below details information regarding the Company’s residential mortgage loans as of June 30, 2021 and December 31, 2020 (in thousands):


	June 30, 2021				December 31, 2020
	Fair Value		Unpaid Principal Balance		Fair Value		Unpaid Principal Balance
Non-QM Loans	$	655,152	$	621,095	$	0	$	0
Re-Performing	267,853		291,301		312,733		347,359
Non-Performing	99,689		116,520		113,976		134,129
Other (1)	6,550		8,121		8,732		19,492
	$	1,029,244	$	1,037,037	$	435,441	$	500,980

(1)Represents residual positions where the Company consolidates a securitization and the positions are recorded in the Company's consolidated balance sheets as residential mortgage loans. There may be limited data available regarding the underlying collateral of such securitizations.

The Company’s ~~Non-Agency RMBS, ABS and CMBS portfolios are primarily not issued or guaranteed by Fannie Mae, Freddie Mac or any agency~~residential mortgage loan portfolio consisted of mortgage loans on residential real estate located throughout the United States. The following is a summary of the ~~U.S. Government and are therefore subject to~~geographic concentration of credit ~~risk. The principal and interest payments on Agency RMBS securities have an explicit guarantee by either an agency of the U.S. government or a U.S government-sponsored entity.~~

~~The following table details~~risk within the Company’s ~~real estate securities~~residential mortgage loan portfolio as of ~~September~~June 30, ~~2017:~~

Premium / Gross Unrealized (1) Weighted Average
Current Face (Discount) Amortized Cost Gains Losses Fair Value Coupon (2) Yield
Agency RMBS:
30 Year Fixed Rate $ 1,676,807,359 $ 74,022,732 $ 1,750,830,091 $ 11,807,760 $ (2,255,633 ) $ 1,760,382,218 3.77 % 3.11 %
Fixed Rate CMO 54,267,762 427,733 54,695,495 904,953 - 55,600,448 3.00 % 2.79 %
ARM 183,361,500 (1,019,214 ) 182,342,286 3,918,224 - 186,260,510 2.35 % 2.83 %
Interest Only 493,398,549 (438,168,547 ) 55,230,002 2,065,371 (2,329,596 ) 54,965,777 2.85 % 6.51 %
Credit Securities:
Non-Agency RMBS 1,090,004,702 (220,692,385 ) 869,312,317 59,663,549 (1,944,549 ) 927,031,317 4.55 % 6.27 %
Non-Agency RMBS Interest Only 384,799,372 (381,467,836 ) 3,331,536 151,223 (620,275 ) 2,862,484 0.21 % 8.62 %
ABS 53,497,625 (264,964 ) 53,232,661 234,954 (243,827 ) 53,223,788 8.34 % 8.73 %
CMBS 209,691,239 (49,523,424 ) 160,167,815 1,055,860 (1,359,640 ) 159,864,035 5.52 % 6.11 %
CMBS Interest Only 1,948,722,955 (1,900,990,296 ) 47,732,659 4,249,838 (10,973 ) 51,971,524 0.43 % 6.66 %
Total $ 6,094,551,063 $ (2,917,676,201 ) $ 3,176,874,862 $ 84,051,732 $ (8,764,493 ) $ 3,252,162,101 2.54 % 4.35 %

(1) The Company has chosen to make a fair value election pursuant to ASC 825 for our real estate securities portfolio. Unrealized gains and losses are recognized in current period earnings in the unrealized gain/(loss) on real estate securities and loans, net line item in the consolidated statement of operations. The gross unrealized stated above represents inception to date unrealized gains/(losses).

~~(2) Equity residual investments and principal only securities with a zero coupon rate are excluded from this calculation.~~

~~The following table details the Company’s real estate securities portfolio as of December 31, 2016:~~

Premium / Gross Unrealized (1) Weighted Average
Current Face (Discount) Amortized Cost Gains Losses Fair Value Coupon (2) Yield
Agency RMBS:
30 Year Fixed Rate $ 713,234,586 $ 28,338,222 $ 741,572,808 $ 3,672,057 $ (5,517,144 ) $ 739,727,721 3.64 % 2.99 %
Fixed Rate CMO 62,570,005 531,431 63,101,436 595,962 - 63,697,398 3.00 % 2.80 %
ARM 208,592,111 (1,633,175 ) 206,958,936 4,385,116 - 211,344,052 2.35 % 2.84 %
Interest Only 416,902,327 (375,843,483 ) 41,058,844 3,033,926 (1,198,215 ) 42,894,555 2.70 % 8.26 %
Credit Securities:
Non-Agency RMBS 1,255,224,713 (235,346,323 ) 1,019,878,390 28,705,591 (9,328,119 ) 1,039,255,862 4.31 % 6.03 %
Non-Agency RMBS Interest Only 449,759,113 (446,027,313 ) 3,731,800 33,512 (3,866 ) 3,761,446 0.25 % 12.47 %
ABS 22,025,000 (357,022 ) 21,667,978 100,247 (536,269 ) 21,231,956 5.43 % 6.32 %
CMBS 217,935,976 (56,549,776 ) 161,386,200 959,842 (2,830,108 ) 159,515,934 5.15 % 6.16 %
CMBS Interest Only 1,967,685,636 (1,916,198,928 ) 51,486,708 1,001,503 (351,485 ) 52,136,726 0.41 % 6.48 %
Total $ 5,313,929,467 $ (3,003,086,367 ) $ 2,310,843,100 $ 42,487,756 $ (19,765,206 ) $ 2,333,565,650 2.18 % 4.76 %

~~(2) Equity residual investments and principal only securities with a zero coupon rate are excluded from this calculation.~~

The following table presents the gross unrealized losses and fair value of the Company’s real estate securities by length of time that such securities have been in a continuous unrealized loss position on September 30, 20172021 and December 31, ~~2016:~~

Less than 12 months Greater than 12 months
As of Fair Value Unrealized
Losses Fair Value Unrealized
Losses
September 30, 2017 $ 449,405,332 $ (5,631,244 ) $ 143,555,637 $ (3,133,249 )
December 31, 2016 756,302,518 (12,017,743 ) 203,287,535 (7,747,463 )

As described in Note 2, the Company evaluates securities for OTTI on at least a quarterly basis. The determination of whether a security is other-than-temporarily impaired involves judgments and assumptions based on subjective and objective factors. When the fair value of a real estate security is less than its amortized cost at the balance sheet date, the security is considered impaired, and the impairment is designated2020, excluding any loans classified as ~~either “temporary” or “other-than-temporary.”~~

Other above:


Geographic Concentration of Credit Risk	June 30, 2021		December 31, 2020
Percentage of fair value of mortgage loans secured by properties in the following states representing 5% or more of fair value:
California	36	%	17	%
Florida	13	%	11	%
New York	11	%	10	%
New Jersey	5	%	6	%

AG Mortgage Investment Trust Inc. and Subsidiaries

Notes to Consolidated Financial Statements ~~(unaudited)~~

~~September~~(Unaudited)

June 30, ~~2017~~

~~For~~2021

The following is a summary of the changes in the accretable portion of the discount for the Company’s re-performing and non-performing loan portfolios for the three and six months ended ~~September~~June 30, ~~2017 the Company recognized an OTTI charge of $2.0 million on its securities,~~2021 and 2020, which is ~~included in~~determined by the “Net realized gain/(loss)” line item on the consolidated statement of operations. The Company recorded $2.0 million of OTTI due to an adverse change in cash flows on certain securities where the fair valuesexcess of the ~~securities were less than their carrying amounts. Of the $2.0 million~~Company’s estimate of ~~OTTI recorded, $0.7 million related~~undiscounted principal expected to ~~securities where OTTI was not recognized~~be collected in ~~a prior year.~~

For the nine months ended September 30, 2017 the Company recognized an OTTI charge of $6.5 million on its securities, which is included in the “Net realized gain/(loss)” line item on the consolidated statement of operations. Of this amount, $1.9 million was recognized on three securities in an unrealized loss position which the Company demonstrated intent to sell, and the charge represents a write-down of cost to fair value asexcess of the reporting date. The Company recorded $4.6 million of OTTI due to an adverse change in cash flows on certain securities where the fair values of the securities were less than their carrying amounts. Of the $4.6 million of OTTI recorded, $1.8 million related to securities where OTTI was not recognized in a prior year.

For the three months ended September 30, 2016 the Company recognized an OTTI charge of $1.0 million on its securities, which is included in the “Net realized gain/(loss)” line item on the consolidated statement of operations. The Company recorded $1.0 million of OTTI due to an adverse change in cash flows on certain securities where the fair values of the securities were less than their carrying amounts. Of the $1.0 million of OTTI recorded, $0.4 million related to securities where OTTI was not recognized in a prior year.

For the nine months ended September 30, 2016 the Company recognized an OTTI charge of $13.4 million on its securities, which is included in the “Net realized gain/(loss)” line item on the consolidated statement of operations. The Company recorded $13.4 million of OTTI due to an adverse change in cash flows on certain securities where the fair values of the securities were less than their carrying amounts. Of the $13.4 million of OTTI recorded, $6.0 million related to securities where OTTI was not recognized in a prior year.

The decline in value of the remaining real estate securities is solely due to market conditions and not the credit quality of the assets. The investments in any remaining unrealized loss positions are not considered other than temporarily impaired because the Company currently has the ability and intent to hold the investments to maturity or for a period of time sufficient for a forecasted market price recovery up to or beyond theamortized cost of the ~~investments~~mortgage loan (in thousands). The table excludes residual positions where the Company consolidates a securitization and the ~~Company is not required to sell~~positions are recorded in the ~~investments for regulatory or other reasons.~~

Company's consolidated balance sheets as residential mortgage loans.


	Three Months Ended				Six Months Ended
	June 30, 2021		June 30, 2020		June 30, 2021		June 30, 2020
Beginning Balance	$	55,003	$	50,291	$	56,907	$	41,472
Additions	0		0		0		15,250
Accretion	(789)		(1,021)		(2,351)		(3,290)
Reclassifications from/(to) non-accretable difference	2,955		2,230		2,677		(1,850)
Disposals	(5,497)		(14,213)		(5,561)		(14,295)
Ending Balance	$	51,672	$	37,287	$	51,672	$	37,287

Variable interest entities

The following table details ~~weighted average life broken out by Agency RMBS, Agency Interest-Only (“IO”)~~certain information related to the assets and ~~Credit Securities~~liabilities of the Residential Loan VIEs as of ~~September~~June 30, ~~2017:~~

Agency RMBS (1) Agency IO Credit Securities (2)
Weighted Average Life (3) Fair Value Amortized Cost Weighted
Average
Coupon Fair Value Amortized
Cost Weighted
Average
Coupon Fair Value Amortized Cost Weighted
Average
Coupon (4)
Less than or equal to 1 year $ - $ - - $ - $ - - $ 93,754,194 $ 93,920,244 1.62 %
Greater than one year and less than or equal to five years 241,860,958 237,037,781 2.50 % 30,432,477 31,393,317 2.38 % 435,916,455 420,829,214 1.09 %
Greater than five years and less than or equal to ten years 1,709,144,728 1,699,698,089 3.77 % 24,533,300 23,836,685 4.28 % 455,084,524 428,855,357 2.83 %
Greater than ten years 51,237,490 51,132,002 3.50 % - - - 210,197,975 190,172,173 5.80 %
Total $ 2,002,243,176 $ 1,987,867,872 3.61 % $ 54,965,777 $ 55,230,002 2.85 % $ 1,194,953,148 $ 1,133,776,988 1.92 %

~~(1) For purposes~~2021 and December 31, 2020 (in thousands):


	June 30, 2021		December 31, 2020
Assets
Residential mortgage loans, at fair value	$	589,394	$	426,604
Restricted cash	1,561		2,110
Other assets	3,228		3,705
Total assets	$	594,183	$	432,419

Liabilities
Financing arrangements	$	42,158	$	25,590
Securitized debt, at fair value	482,533		355,159
Other liabilities	498		519
Total liabilities	$	525,189	$	381,268

The following table details additional information regarding residential mortgage loans and securitized debt related to the Residential Loan VIEs as of ~~this table, Agency RMBS represent securities backed by Fixed Rate~~June 30, ~~Year mortgages, ARMs~~2021 and ~~Fixed Rate CMOs.~~

~~(2) For purposes of this table, Credit Securities represent Non-Agency RMBS, ABS, CMBS and Interest Only credit securities.~~

~~(3) Actual~~December 31, 2020 ($ in thousands):


						Weighted Average
As of:		Current Unpaid Principal Balance		Fair Value		Coupon		Yield		Life (Years) (1)
June 30, 2021
Non-QM Loan VIEs	Non-QM Loans	$	208,505	$	221,852	4.63	%	3.65	%	3.69
	Securitized debt	201,383		201,580		1.25	%	1.25	%	2.05
RPL/NPL VIEs	Re- and Non-Performing Loans	407,822		367,542		4.07	%	4.98	%	6.12
	Securitized debt	279,713		280,953		2.26	%	2.28	%	3.19
December 31, 2020
RPL/NPL VIEs	Re- and Non-Performing Loans	$	481,346	$	426,604	3.58	%	5.61	%	6.78
	Securitized debt	356,631		355,159		2.98	%	3.00	%	3.85

(1)This is based on projected life. Typically, actual maturities ~~of mortgage-backed securities~~ are ~~generally~~ 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 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 Residential Loan VIEs.

AG Mortgage Investment Trust Inc. and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2021

Commercial loans

For the three months ended June 30, 2021, the Company did 0t sell any commercial loans. For the six months ended June 30, 2021, the Company sold 2 commercial loans for total proceeds of $74.3 million, recording realized losses of $2.9 million. For the three and six months ended June 30, 2020, the Company sold 1 commercial loan for total proceeds of $34.2 million, recording realized losses of $1.7 million.

During the fourth quarter of 2020, the Company and the borrower of Commercial Loan L entered into a modification agreement which, among other things, required the borrower to pay previously deferred interest in full, deferred interest for the 12-month period following the modification, and required funding of capital reserves by the borrower. The loan was placed on non-accrual status upon modification and was on non-accrual status as of June 30, 2021 and December 31, 2020. As a result of the modification, the loan is classified as a troubled debt restructuring under GAAP.

As of June 30, 2021, Commercial Loan K was in maturity default as a result of failing to meet the required terms for extension under the loan documents. The Company continues to evaluate its options with respect to the Commercial Loan K and may exercise its remedies under the loan documents, which may include a foreclosure against the collateral.

The following tables present detail on the Company’s commercial loan portfolio as of June 30, 2021 and December 31, 2020 ($ in thousands). The gross unrealized gains/(losses) columns in the tables below represent inception to date unrealized gains/(losses).


June 30, 2021											Weighted Average
Loan (1)(2)	Current Face		Premium (Discount)		Amortized Cost		Gross Unrealized Losses		Fair Value (3)		Coupon (4)		Yield (5)		Life (Years) (6)	Extended Maturity Date (7)	Location	Collateral Type

Loan K (8)	$	18,809	$	0	$	18,809	$	(400)	$	18,409	10.00	%	12.75	%	0.09	February 22, 2024	NY	Hotel, Retail

Loan L (8)	51,000		(337)		50,663		(6,793)		43,870		N/A		N/A		3.11	July 22, 2024	IL	Hotel, Retail
Total	$	69,809	$	(337)	$	69,472	$	(7,193)	$	62,279	2.69	%	3.77	%	2.29

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

(2)Refer to Note 12 "Commitments and Contingencies" for details on the Company's commitments on its Commercial Loans as of June 30, 2021.

(3)Fair value includes the value of unfunded commitments.

(4)Each commercial loan investment has a variable coupon rate.

(5)Yield includes any exit fees.

(6)Actual maturities may be shorter or longer than stated contractual maturities. Maturities are affected by prepayments of principal.

(7)Represents the maturity date of the last possible extension option. As of June 30, 2021, Commercial Loan K was in maturity default related to its initial maturity which was in May 2021 as described above.

(8)Loan K and Loan L are comprised of first mortgage and mezzanine loans.


December 31, 2020											Weighted Average
Loan (1)	Current Face		Premium (Discount)		Amortized Cost		Gross Unrealized Losses		Fair Value (2)		Coupon (3)		Yield (4)		Life (Years) (5)	Extended Maturity Date (6)	Location	Collateral Type
Commercial Loans, at fair value
Loan G (7)	$	59,451	$	0	$	59,451	$	(3,940)	$	55,511	5.27	%	5.27	%	1.54	July 9, 2022	CA	Condo, Retail, Hotel

Loan K (8)	15,787		0		15,787		(1,100)		14,687		10.00	%	10.83	%	1.27	February 22, 2024	NY	Hotel, Retail

Loan L (8)	51,000		(337)		50,663		(9,312)		41,351		N/A		N/A		3.61	July 22, 2024	IL	Hotel, Retail
	126,238		(337)		125,901		(14,352)		111,549		3.73	%	4.05	%	2.34
Commercial Loans Held for Sale, at fair value
Loan I (9)	15,929		(175)		15,754		(1,795)		13,959		11.50	%	12.23	%	2.22	February 9, 2023	MN	Office, Retail


Total	$	142,167	$	(512)	$	141,655	$	(16,147)	$	125,508	4.60	%	4.96	%	2.33

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

(2)Fair value includes the value of unfunded commitments.

(3)Each commercial loan investment has a variable coupon rate.

(4)Yield includes any exit fees.

(5)Actual maturities may be shorter or longer than stated contractual maturities. Maturities are affected by prepayments of principal.

AG Mortgage Investment Trust Inc. and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2021

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

(7)Loan G is a first mortgage loan.

(8)Loan K and Loan L are comprised of first mortgage and mezzanine loans.

(9)Loan I is a mezzanine loan.

4. Real Estate Securities

The following tables detail the Company’s real estate securities portfolio as of June 30, 2021 and December 31, 2020 ($ in thousands). The gross unrealized gains/(losses) stated in the tables below represent inception to date unrealized gains/(losses).


June 30, 2021							Gross Unrealized						Weighted Average
	Current Face		Premium / (Discount)		Amortized Cost		Gains		Losses		Fair Value		Coupon (1)		Yield
Agency RMBS:
30 Year Fixed Rate	$	677,514	$	24,329	$	701,843	$	1,425	$	(6,564)	$	696,704	2.26	%	1.73	%

Credit Investments:
Residential Investments
Prime	6,874		(4,646)		2,228		467		0		2,695		3.50	%	15.21	%




Re/Non-Performing Securities	1,170		(157)		1,013		170		0		1,183		5.25	%	21.28	%

Total Residential Investments:	8,044		(4,803)		3,241		637		0		3,878		3.92	%	17.06	%


Commercial Investments

Single-Asset/Single-Borrower	35,500		(48)		35,452		0		(3,838)		31,614		4.03	%	4.39	%



Total Credit Investments:	43,544		(4,851)		38,693		637		(3,838)		35,492		4.02	%	5.78	%





Total	$	721,058	$	19,478	$	740,536	$	2,062	$	(10,402)	$	732,196	2.36	%	1.92	%


December 31, 2020							Gross Unrealized						Weighted Average
	Current Face		Premium / (Discount)		Amortized Cost		Gains		Losses		Fair Value		Coupon (1)		Yield
Agency RMBS:
30 Year Fixed Rate	$	494,307	$	22,368	$	516,675	$	1,794	$	(117)	$	518,352	2.10	%	1.17	%

Credit Investments:
Residential Investments
Prime	15,093		(7,081)		8,012		663		(10)		8,665		3.68	%	8.97	%
Alt-A/Subprime	16,287		(9,377)		6,910		4,586		0		11,496		4.25	%	12.52	%
Credit Risk Transfer	13,880		0		13,880		15		(587)		13,308		4.71	%	4.70	%
Non-U.S. RMBS	2,435		706		3,141		51		(92)		3,100		6.45	%	6.41	%
Non-Agency RMBS Interest Only (2)	157,590		(157,513)		77		207		(48)		236		0.53	%	NM
Re/Non-Performing Securities	1,690		(238)		1,452		149		0		1,601		5.25	%	14.05	%


Total Residential Investments:	206,975		(173,503)		33,472		5,671		(737)		38,406		2.01	%	8.50	%
Commercial Investments
Conduit	4,925		(1,024)		3,901		0		(606)		3,295		4.62	%	11.89	%
Single-Asset/Single-Borrower	50,480		(1,494)		48,986		668		(9,464)		40,190		4.15	%	4.81	%
Freddie Mac K-Series CMBS	22,572		(12,062)		10,510		47		(1,557)		9,000		3.83	%	9.00	%
CMBS Interest Only (3)	687,077		(682,961)		4,116		256		(69)		4,303		0.10	%	6.93	%
Total Commercial Investments:	765,054		(697,541)		67,513		971		(11,696)		56,788		0.44	%	6.04	%
Total Credit Investments:	972,029		(871,044)		100,985		6,642		(12,433)		95,194		0.65	%	7.04	%





Total	$	1,466,336	$	(848,676)	$	617,660	$	8,436	$	(12,550)	$	613,546	1.18	%	2.08	%

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

~~The following table details weighted average life broken out by Agency~~

(2)Non-Agency RMBS ~~Agency IO and Credit Securities~~Interest Only includes only two investments as of December 31, ~~2016:~~

Agency RMBS (1) Agency IO Credit Securities (2)
Weighted Average Life (3) Fair Value Amortized Cost Weighted
Average
Coupon Fair Value Amortized
Cost Weighted
Average
Coupon Fair Value Amortized Cost Weighted
Average
Coupon (4)
Less than or equal to 1 year $ - $ - - $ - $ - - $ 169,483,329 $ 170,533,908 2.09 %
Greater than one year and less than or equal to five years 124,913,463 123,021,262 2.73 % 28,514,942 27,995,835 2.23 % 430,525,739 430,108,024 0.94 %
Greater than five years and less than or equal to ten years 808,271,767 806,474,038 3.44 % 14,379,613 13,063,009 5.14 % 425,043,315 418,094,774 2.30 %
Greater than ten years 81,583,941 82,137,880 3.10 % - - - 250,849,541 239,414,370 5.88 %
Total $ 1,014,769,171 $ 1,011,633,180 3.32 % $ 42,894,555 $ 41,058,844 2.70 % $ 1,275,901,924 $ 1,258,151,076 1.82 %

~~(1) For purposes~~2020. The overall impact of ~~this table, Agency RMBS represent~~the investments' yields on the Company's portfolio is not meaningful.

(3)Comprised of Freddie Mac K-Series interest-only bonds.

AG Mortgage Investment Trust Inc. and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2021

The following tables detail the weighted average life of our real estate securities ~~backed by Fixed Rate~~as of June 30, ~~Year mortgages, ARMs~~2021 and ~~Fixed Rate CMOs.~~

~~(2) For purposes of this table, Credit Securities represent Non-Agency RMBS, ABS, CMBS and Interest Only credit securities.~~

~~(3) Actual~~December 31, 2020 ($ in thousands):


June 30, 2021	Agency RMBS						Credit Investments
Weighted Average Life (1)	Fair Value		Amortized Cost		Weighted Average Coupon		Fair Value		Amortized Cost		Weighted Average Coupon (2)
Less than or equal to 1 year	$	0	$	0	0	%	$	32,596	$	36,349	4.07	%

Greater than five years and less than or equal to ten years	662,740		667,450		2.28	%	2,472		2,195		3.50	%
Greater than ten years	33,964		34,393		2.00	%	424		149		0	%
Total	$	696,704	$	701,843	2.26	%	$	35,492	$	38,693	4.02	%


December 31, 2020	Agency RMBS						Credit Investments
Weighted Average Life (1)	Fair Value		Amortized Cost		Weighted Average Coupon		Fair Value		Amortized Cost		Weighted Average Coupon (2)
Less than or equal to 1 year	$	0	$	0	0	%	$	31,166	$	39,588	1.81	%
Greater than one year and less than or equal to five years	181,947		181,209		2.29	%	20,131		21,634		0.33	%
Greater than five years and less than or equal to ten years	336,405		335,466		2.00	%	20,310		20,808		0.36	%
Greater than ten years	0		0		0		23,587		18,955		4.18	%
Total	$	518,352	$	516,675	2.10	%	$	95,194	$	100,985	0.65	%

~~(4)~~

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

For the three months ended ~~September~~June 30, ~~2017,~~2021, the Company sold 2239 real estate securities for total proceeds of ~~$206.4~~$341.5 million, with an additional $104.6 million of proceeds on 3 unsettled security sales, recording realized gains of $9.9 million and realized losses of $14.3 million. For the six months ended June 30, 2021, the Company sold 66 real estate securities for total proceeds of $453.3 million, with an additional $104.6 million of proceeds on 3 unsettled security sales, recording realized gains of $12.4 million and realized losses $17.3 million.

For the three months ended June 30, 2020, the Company sold, directly or as a result of financing counterparty seizures, 87 securities for total proceeds of $234.5 million, recording realized gains of ~~$2.5~~$9.3 million and realized losses of ~~$0.1~~$45.6 million. For the ~~nine~~six months ended ~~September~~June 30, ~~2017,~~2020, the Company sold, 52directly or as a result of financing counterparty seizures, 316 securities for total proceeds of ~~$467.3 million,~~$2.7 billion, recording realized gains of ~~$3.5~~$53.2 million and realized losses of ~~$2.2~~$175.8 million.

AG Mortgage Investment Trust Inc. and Subsidiaries

Notes to Consolidated Financial Statements ~~(unaudited)~~

~~September~~(Unaudited)

June 30, ~~2017~~

~~For~~2021

5. Fair value measurements

The following table presents the ~~three months ended September~~Company’s financial instruments measured at fair value on a recurring basis as of June 30, ~~2016,~~2021 (in thousands):


	Fair Value at June 30, 2021
	Level 1		Level 2		Level 3		Total
Assets:
Residential mortgage loans	$	0	$	866	$	1,028,378	$	1,029,244
Agency RMBS:
30 Year Fixed Rate	0		696,704		0		696,704



Credit Investments:
Non-Agency RMBS (1)	0		2,695		1,183		3,878

CMBS (2)	0		31,614		0		31,614


Commercial loans	0		0		62,279		62,279
Excess mortgage servicing rights	0		0		2,608		2,608

Derivative assets (3)	0		13,409		0		13,409
AG Arc (4)	0		0		50,862		50,862
Total Assets Measured at Fair Value	$	0	$	745,288	$	1,145,310	$	1,890,598

Liabilities:
Securitized debt	$	0	$	0	$	(482,533)	$	(482,533)

Derivative liabilities (3)	0		(1,334)		0		(1,334)
Total Liabilities Measured at Fair Value	$	0	$	(1,334)	$	(482,533)	$	(483,867)

(1)Non-Agency RMBS is comprised of Prime and Re/Non-Performing Securities.

(2)CMBS represents Single-Asset/Single-Borrower Securities.

(3)As of June 30, 2021, the Company ~~sold 11 securities for total proceeds~~applied a reduction in fair value of $147.1 million, with an additional $0.3 million of proceeds on 1 unsettled security sale as of quarter end, recording realized gains of $9.8 million. For the nine months ended September 30, 2016, the Company sold 21 securities for total proceeds of $278.1 million, with an additional $0.3 million of proceeds on 1 unsettled security sale as of quarter end, recording realized gains of $10.6$13.3 million and ~~realized losses of $1.6 million.~~

~~See Notes 4~~$1.0 million to its interest rate swap assets and liabilities, respectively, related to variation margin with a corresponding increase or decrease in restricted cash, respectively. Refer to Note 2 and Note 7 for ~~amounts realized on sales of loans and the settlement of certain derivatives, respectively.~~

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 a 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 dependingmore information 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~~Company's accounting policies with ~~respect~~regard to ~~receipt of cash flows relative~~derivatives.

(4)Refer 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. See Note 2 for more ~~detail.~~

The Company previously entered into a resecuritization transaction that resulted in the Company consolidating the VIE created with the SPE which was used to facilitate the transaction. The Company concluded that the entity created to facilitate this transaction was a VIE. The Company also determined that the VIE created to facilitate the resecuritization transaction should be consolidated by the Company and treated as a secured borrowing, basedinformation on the ~~Company’s involvement~~Company's accounting policies with regard to cash equivalents, if applicable, and AG Arc. The table above includes the Company's investment in the VIE, including the design and purpose of the SPE, and whether the Company’s involvement reflected a controlling financial interest that resulted in the Company being deemed the primary beneficiary of the VIE. As of September 30, 2017 and December 31, 2016, the resecuritized asset had an aggregate principal balance of $26.5 million and $31.5 million, respectively. As of September 30, 2017 and December 31, 2016, the resecuritized asset had an aggregate fair value of $23.7 million and $27.4 million, respectively. As of September 30, 2017 and December 31, 2016, the principal balance of the consolidated tranche was $17.3 million and $21.6 million, respectively. As of September 30, 2017 and December 31, 2016, the fair market value of the consolidated tranche was $17.2 million and $21.5 million, respectively,AG Arc, which is included in ~~the Company’s consolidated balance sheets as “Non-Agency RMBS.” As~~its "Investments in debt and equity of September 30, 2017 and December 31, 2016, the aggregate security has a weighted average coupon of 3.49% and 3.15%, respectively, and a weighted average yield of 7.29% and 6.73%, respectively. As of September 30, 2017 and December 31, 2016, the Company has recorded secured financing of $17.2 million and $21.5 million, respectively,affiliates" line item on the consolidated balance sheets, inas the “Securitized debt, at fair value” line item. The Company recorded the proceeds from the issuance of the secured financing in the “Cash Flows from Financing Activities” section of the consolidated statement of cash flows at the time of securitization. As of September 30, 2017 and December 31, 2016, the consolidated tranche had a weighted average life of 2.92 years and 3.27 years, respectively, and a weighted average yield of 3.72% and 3.87%, respectively. The holders of the consolidated tranche have no recourse to the general credit of the Company. The Company has ~~no obligation~~chosen to ~~provide any other explicit or implicit support~~elect the fair value option with respect to ~~any VIE.~~

its investment pursuant to ASC 825.

AG Mortgage Investment Trust Inc. and Subsidiaries

Notes to Consolidated Financial Statements ~~(unaudited)~~

~~September~~(Unaudited)

June 30, ~~2017~~

~~4. Loans~~

~~Residential mortgage loans~~

2021

The following table ~~below details certain information regarding~~presents the Company’s ~~residential mortgage loan portfolio as of September 30, 2017:~~

Gross Unrealized (1) Weighted Average
Unpaid Principal
Balance Premium
(Discount) Amortized Cost Gains Losses Fair Value Coupon Yield Weighted
Average Life
(Years) (2)
Residential mortgage loans $ 31,855,577 $ (9,399,640 ) $ 22,455,937 $ 1,445,123 $ (33,529 ) $ 23,867,531 6.00 % 10.87 % 5.90

~~(1) The Company has chosen to make a~~financial instruments measured at fair value ~~election pursuant to ASC 825 for its loan portfolio. Unrealized gains and losses are recognized in current period earnings in the unrealized gain/(loss)~~ on ~~real estate securities and loans, net line item. The gross unrealized columns above represent inception to date unrealized gains (losses).~~

(2) Actual maturities of residential mortgage loans are generally shorter than stated contractual maturities. Actual maturities are affected by the lives of the underlying mortgages, periodic payments of principal and prepayments of principal.

~~The table below details certain information regarding the Company’s residential mortgage loan portfolio~~a recurring basis as of December 31, ~~2016:~~

Gross Unrealized (1) Weighted Average
Unpaid Principal
Balance Premium
(Discount) Amortized Cost Gains Losses Fair Value Coupon Yield Weighted
Average Life
(Years) (2)
Residential mortgage loans $ 53,827,336 $ (16,491,472 ) $ 37,335,864 $ 1,262,223 $ (402,511 ) $ 38,195,576 5.60 % 8.74 % 6.71

2020 (in thousands):


	Fair value at December 31, 2020
	Level 1		Level 2		Level 3		Total
Assets:
Residential mortgage loans	$	0	$	2,134	$	433,307	$	435,441
Agency RMBS:
30 Year Fixed Rate	0		518,352		0		518,352



Credit Investments:
Non-Agency RMBS (1)	0		35,070		3,100		38,170
Non-Agency RMBS Interest Only	0		236		0		236

CMBS (2)	0		52,485		0		52,485
CMBS Interest Only	0		4,303		0		4,303
Commercial loans	0		0		125,508		125,508
Excess mortgage servicing rights	0		0		3,158		3,158

Derivative assets (3)	0		1,356		0		1,356
AG Arc (4)	0		0		45,341		45,341
Total Assets Measured at Fair Value	$	0	$	613,936	$	610,414	$	1,224,350
Liabilities:
Securitized debt	$	0	$	0	$	(355,159)	$	(355,159)

Derivative liabilities (3)	0		(294)		0		(294)
Total Liabilities Measured at Fair Value	$	0	$	(294)	$	(355,159)	$	(355,453)

(1) ~~The Company has chosen to make a fair value election pursuant to ASC 825 for its loan portfolio. Unrealized gains~~Non-Agency RMBS is comprised of Prime, Alt-A/Subprime, Credit Risk Transfer, Non-US RMBS, and ~~losses are recognized in current period earnings in the unrealized gain/(loss) on real estate securities~~Re/Non-Performing Securities.

(2)CMBS is comprised of Conduit, Single-Asset/Single-Borrower, and ~~loans, net line item. The gross unrealized columns above represent inception to date unrealized gains (losses).~~

~~(2) Actual maturities~~Freddie Mac K-Series CMBS.

(3)As of residential mortgage loans are generally shorter than stated contractual maturities. Actual maturities are affected by the lives of the underlying mortgages, periodic payments of principal and prepayments of principal.

~~AG Mortgage Investment Trust Inc. and Subsidiaries~~

~~Notes to Consolidated Financial Statements (unaudited)~~

~~September 30, 2017~~

~~The table below summarizes certain aggregate pool level information pertaining to the Company’s residential mortgage loans:~~

September 30, 2017 December 31, 2016
Loan Pool Fair Value Unpaid Principal
Balance Fair Value Unpaid Principal
Balance
Re-Performing $ 15,866,356 $ 20,364,085 $ 26,665,750 $ 35,645,382
Non-Performing 8,001,175 11,491,492 11,529,826 18,181,954
$ 23,867,531 $ 31,855,577 $ 38,195,576 $ 53,827,336

~~As described in Note 2,~~December 31, 2020, the Company ~~evaluates loans for OTTI on at least~~applied a ~~quarterly basis. The determination of whether a loan is other-than-temporarily impaired involves judgments and assumptions based on subjective and objective factors. When the~~reduction in fair value of $1.4 million and $0.2 million to its interest rate swap assets and liabilities, respectively, related to variation margin with a ~~loan is less than its amortized cost at~~corresponding increase or decrease in restricted cash, respectively. Refer to Note 2 and Note 7 for more information on the ~~balance sheet date,~~Company's accounting policies with regard to derivatives.

(4)Refer to Note 2 for more information on the ~~loan is considered impaired,~~Company's accounting policies with regard to cash equivalents, if applicable, and AG Arc. The table above includes the impairment is designated as either “temporary” or “other-than-temporary.” No OTTI was recorded on loans for the three months ended September 30, 2017. For the nine months ended September 30, 2017 the Company recognized $0.4 million of OTTI on certain loan pools,Company's investment in AG Arc, which is included in ~~the “Net realized gain/(loss)”~~its "Investments in debt and equity of affiliates" line item on the consolidated ~~statement of operations. The Company recorded~~balance sheets, as the $0.4 million of OTTI due to an adverse change in cash flows where the fair values of the securities were less than their carrying amounts. The $0.4 million related to non-performing loan pools with an unpaid principal balance of $9.4 million and an average fair market value of $6.6 million and $8.2 million for the three and nine months ended September 30, 2017, respectively. No OTTI was recorded on loans for the three months or nine months ended September 30, 2016.

~~As of September 30, 2017 and December 31, 2016 the Company had residential mortgage loans that were in the process of foreclosure with a fair value of $9.1 million and $11.0 million, respectively.~~

The Company’s mortgage loan portfolio consisted of mortgage loans on residential real estate located throughout the U.S. The following is a summary of certain concentrations of credit risk within the Company’s mortgage loan portfolio:

Concentration of Credit Risk September 30, 2017 December 31, 2016
Percentage of fair value of mortgage loans with unpaid principal balance to current property value in excess of 100% 91 % 98 %
Percentage of fair value of mortgage loans secured by properties in the following states:
Representing 5% or more of fair value:
New York 31 % 25 %
California 10 % 9 %
Maryland 6 % 6 %
New Jersey 5 % 4 %
Texas 5 % 4 %
Florida 3 % 5 %

The Company records interest income on a level-yield basis. The accretable discount is determined by the excess of the Company’s estimate of undiscounted principal, interest, and other cash flows expected to be collected over its initial investment in the mortgage loan. The following is a summary of the changes in the accretable portion of discounts for the three months and nine months ended September 30, 2017 and September 30, 2016, respectively:

Three Months Ended Nine Months Ended
September 30, 2017 September 30, 2016 September 30, 2017 September 30, 2016
Beginning Balance $ 10,341,476 $ 22,547,949 $ 18,281,517 $ 24,216,638
Additions - - - -
Accretion (505,632 ) (1,051,965 ) (1,968,026 ) (3,296,603 )
Reclassifications from/(to) non-accretable difference 1,476,386 4,968,753 4,858,094 5,755,350
Disposals - (6,522,022 ) (9,859,355 ) (6,732,670 )
Ending Balance $ 11,312,230 $ 19,942,715 $ 11,312,230 $ 19,942,715

~~As of September 30, 2017, the Company’s residential mortgage loan portfolio is comprised of 163 conventional loans with original loan balances between $9,000 and $1.1 million.~~

~~As of December 31, 2016, the Company’s residential mortgage loan portfolio is comprised of 277 conventional loans with original loan balances between $9,000 and $1.1 million.~~

~~AG Mortgage Investment Trust Inc. and Subsidiaries~~

~~Notes to Consolidated Financial Statements (unaudited)~~

~~September 30, 2017~~

~~Commercial loans~~

~~The following table presents detail on the Company’s commercial loan portfolio on September 30, 2017.~~

Gross Unrealized (1) Weighted Average
Loan (3) (7) Current Face Premium
(Discount) Amortized Cost Gains Losses Fair Value Coupon
(5) Yield Weighted
Average Life
(Years) (6) Initial Stated
Maturity Date Extended
Maturity Date (8) Location
Loan B (2) 32,800,000 - 32,800,000 - - 32,800,000 5.98 % 6.36 % 1.79 July 1, 2016 July 1, 2019 TX
Loan E (4) 14,521,806 (1,096,214 ) 13,425,592 756,405 - 14,181,997 9.58 % 12.37 % 3.24 April 9, 2017 April 9, 2021 Various
Loan F (4) 10,416,666 (90,387 ) 10,326,279 90,387 - 10,416,666 11.74 % 13.55 % 0.96 September 9, 2018 September 9, 2019 MN
57,738,472 (1,186,601 ) 56,551,871 846,792 - 57,398,663 7.93 % 9.15 % 2.00

~~(1) The~~ Company has chosen to ~~make a~~elect the fair value ~~election~~option with respect to its investment pursuant to ASC 825 for its loan portfolio. Unrealized gains and losses are recognized in current period earnings in the unrealized gain/(loss) on real estate securities and loans, net line item. The gross unrealized columns above represent inception to date unrealized gains (losses).

(2) Loan B is comprised of a first mortgage and mezzanine loan of $31.8 million and $1.0 million, respectively. As of September 30, 2017, Loan B has been extended to the extended maturity date shown above.

~~(3) Loan D paid off at par in Q1 2017.~~

~~(4) Loan E and Loan F are mezzanine loans. As of September 30, 2017, Loan E has been extended for one year.~~

~~(5) Each commercial loan investment has a variable coupon rate.~~

~~(6) Actual maturities of commercial mortgage loans may be shorter than stated contractual maturities. Maturities are affected by prepayments of principal.~~

~~(7) The Company has the contractual right to receive a balloon payment.~~

~~(8) Represents the maturity date of the last possible extension option.~~

~~The following table presents detail on the Company’s commercial loan portfolio on December 31, 2016.~~

Gross Unrealized (1) Weighted Average
Loan (2) (4) (9) Current Face Premium
(Discount) Amortized Cost Gains Losses Fair Value Coupon
(7) Yield Weighted
Average Life
(Years) (8) Initial Stated
Maturity Date Extended
Maturity Date
(10) Location
Loan B (3) $ 32,800,000 $ (1,294 ) $ 32,798,706 $ 1,294 $ - $ 32,800,000 5.40 % 5.65 % 0.52 July 1, 2016 July 1, 2019 TX
Loan D (5) (11) 12,000,000 (211,692 ) 11,788,308 296,278 (84,586 ) 12,000,000 10.62 % 14.33 % 0.62 February 11, 2017 August 11, 2017 NY
Loan E (6) 16,000,000 (1,291,648 ) 14,708,352 560,448 - 15,268,800 9.05 % 12.76 % 4.33 April 9, 2017 April 9, 2021 Various
$ 60,800,000 $ (1,504,634 ) $ 59,295,366 $ 858,020 $ (84,586 ) $ 60,068,800 7.39 % 9.19 % 1.54

(1) The Company has chosen to make a fair value election pursuant to ASC 825 for its loan portfolio. Unrealized gains and losses are recognized in current period earnings in the unrealized gain/(loss) on real estate securities and loans, net line item. The gross unrealized columns above represent inception to date unrealized gains (losses).

~~(2) Loan A paid off in Q2 2016, with the Company receiving $30.0 million of principal proceeds.~~

~~(3) Loan B is comprised of a first mortgage and mezzanine loan of $31.8 million and $1.0 million, respectively.~~

~~(4) Loan C paid off in Q3 2016, with the Company receiving $10.0 million of principal proceeds.~~

~~(5) Loan D is a first mortgage loan. See below for further information. As of the stated maturity date, Loan D has been extended for an additional 6 months.~~

~~(6) Loan E is a mezzanine loan.~~

~~(7) Each commercial loan investment has a variable coupon rate.~~

~~(8) Actual maturities of commercial mortgage loans may be shorter than stated contractual maturities. Maturities are affected by prepayments of principal.~~

~~(9) The Company has the contractual right to receive a balloon payment.~~

~~(10) Represents the maturity date of the last possible extension option.~~

~~(11) Loan D paid off in Q1 2017.~~

In February 2016, the Company originated a $12.0 million commercial loan and, at closing, transferred a 15.0%, or $1.8 million, participation interest in the loan (the “Participation Interest”) to an unaffiliated third party. The Participation Interest did not meet the sales criteria established under ASC 860; therefore, the entire commercial loan has been recorded as an asset in the “Commercial loans, at fair value” line item on the Company’s consolidated balance sheets, referred to in the above table as “Loan D.” The weighted average coupon and yield on the commercial loan was 10.62% and 14.33%, respectively, at December 31, 2016. A $1.8 million liability was recorded in the “Loan participation payable, at fair value” line item on the Company’s consolidated balance sheets representing the transfer of the Participation Interest. The Company recorded the origination of the commercial loan in the “Cash Flows from Investing Activities” section and the proceeds from the transfer in the “Cash Flows from Financing Activities” section of the consolidated statement of cash flows. The weighted average coupon and yield on the Participation Interest was 10.62% and 21.70%, respectively, at December 31, 2016. In February 2017, the Company received $12.0 million of proceeds from the pay-off of Loan D. The principal and interest due on the Participation Interest was paid from these proceeds.

During the three and nine months ended September 30, 2017, the Company recorded $0.1 million and $0.3 million of discount accretion, respectively, on its commercial loans. During the three months and nine months ended September 30, 2016 the Company recorded $0.1 million and $0.3 million of discount accretion, respectively, on its commercial loans.

~~5. Fair value measurements~~

As described in Note 2, the fair value of financial instruments that are recorded at fair value will be determined by the Manager, subject to oversight of the Company’s board of directors, and in accordance with ASC 820, “Fair Value Measurements and Disclosures.” When possible, the Company determines fair value using independent data sources. ASC 820 establishes a hierarchy that prioritizes the inputs to valuation techniques giving the highest priority to readily available unadjusted quoted prices in active markets for identical assets (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements) when market prices are not readily available or reliable.

825.

Values for the Company’s securities, Excess MSRs, ~~securitized debt,~~ and derivatives are based upon prices obtained from ~~third party~~third-party pricing services, which are indicative of market activity. The evaluation methodology of the Company’s third-party pricing services incorporates commonly used market pricing methods, including a spread measurement to various indices such as the one-year constant maturity treasury and LIBOR, 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.

~~AG Mortgage Investment Trust Inc. and Subsidiaries~~

~~Notes to Consolidated Financial Statements (unaudited)~~

~~September 30, 2017~~

In ~~valuing its derivatives,~~determining the Company considers the creditworthiness of both the Company and its counterparties, along with collateral provisions contained in each derivative agreement, from the perspective of both the Company and its counterparties. All of the Company’s derivatives are either subject to bilateral collateral arrangements or clearing in accordance with the Dodd-Frank Wall Street Reform and Consumer Protection Act of 2010 (the “Dodd Frank Act”). For swaps cleared under the Dodd Frank Act, a Central Counterparty Clearing House (“CCP”) now stands between the Company and the over-the-counter derivative counterparties. In order to access clearing, the Company has entered into clearing agreements with Futures Commissions Merchants (“FCMs”).

~~The~~ fair value of the ~~Company’s~~Company's mortgage loans and ~~loan participation~~securitized debt relating to the Residential Loan VIEs, the Company considers data such as loan origination information, additional updated borrower information, 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~~Company's mortgage loans include market-implied discount rates, projections of default rates, delinquency rates, ~~reperformance~~prepayment rates, loss severity, ~~(considering mortgage insurance)~~loan-to-value ratios, and recovery rates. Projections of default and prepayment ~~rates.~~rates are impacted by other variables such as reperformance rates and timeline to liquidation. The Company uses loan level data and macro-economic inputs to generate loss

AG Mortgage Investment Trust Inc. and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2021

adjusted cash flows and other information in determining the fair value of its mortgage loans. Because of the inherent uncertainty of such valuation, the fair ~~values~~value established for mortgage loans held by the Company may differ from the fair ~~values~~value that would have been established if a ready market existed for these mortgage loans. ~~Accordingly, mortgage loans are classified as Level 3 in the fair value hierarchy.~~

~~The Manager~~

Management may also ~~engage specialized third party~~base its valuation on prices obtained from a third-party pricing service ~~providers~~provider to assess and corroborate the valuation of a selection of investments in the Company’s loan and securitized debt portfolio and the Company's investment in Arc Home on a periodic basis. These ~~specialized third party valuation~~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.

~~TBA instruments are similar in form to the Company’s Agency RMBS portfolio, and the Company therefore estimates fair value based on similar methods.~~

U.S. Treasury securities are valued using quoted prices for identical instruments in active markets. The fair value of the Company’s obligation to return securities borrowed under reverse repurchase agreements is based upon the value of the underlying borrowed U.S. Treasury securities as of the reporting date.

The Company entered into a resecuritization transaction that resulted in the Company consolidating a VIE created with the SPE which was used to facilitate the transaction. The Company categorizes the fair value measurement of the consolidated tranche as Level 3.

In December 2015, the Company, alongside private funds under the management of Angelo, Gordon, through AG Arc, formed Arc Home. The Company invests in Arc Home through AG Arc. In June 2016, Arc Home closed on the acquisition of a Fannie Mae, Freddie Mac, FHA, VA and Ginnie Mae seller/servicer of residential mortgages. Through this subsidiary, Arc Home originates conforming, Government, Jumbo and other non-conforming residential mortgage loans, retains the mortgage servicing rights associated with the loans it originates, and purchases additional mortgage servicing rights from third-party sellers. As a result of this acquisition, the Company transferred its investment in AG Arc from Level 1 into Level 3.

In February 2016, the Company originated a $12.0 million commercial loan and transferred a 15% participation interest in the loan to an unaffiliated third party. The Company categorizes the fair value measurement of the commercial loan and consolidated participation interest as Level 3. The commercial loan was paid off in full as in February 2017.

~~AG Mortgage Investment Trust Inc. and Subsidiaries~~

~~Notes to Consolidated Financial Statements (unaudited)~~

~~September 30, 2017~~

~~The following table presents the Company’s financial instruments measured at fair value as of September 30, 2017:~~

Fair Value at September 30, 2017
Level 1 Level 2 Level 3 Total
Assets:
Agency RMBS:
30 Year Fixed Rate $ - $ 1,760,382,218 $ - $ 1,760,382,218
Fixed Rate CMO - 55,600,448 - 55,600,448
ARM - 186,260,510 - 186,260,510
Interest Only - 54,965,777 - 54,965,777
Credit Investments:
Non-Agency RMBS - 152,800,460 774,230,857 927,031,317
Non-Agency RMBS Interest Only - - 2,862,484 2,862,484
ABS - - 53,223,788 53,223,788
CMBS - 13,996,904 145,867,131 159,864,035
CMBS Interest Only - - 51,971,524 51,971,524
Residential mortgage loans - - 23,867,531 23,867,531
Commercial loans - - 57,398,663 57,398,663
Excess mortgage servicing rights - - 2,680,564 2,680,564
Derivative assets 94,531 933,315 - 1,027,846
AG Arc - - 17,824,219 17,824,219
Total Assets Carried at Fair Value $ 94,531 $ 2,224,939,632 $ 1,129,926,761 $ 3,354,960,924

Liabilities:
Securitized debt $ - $ - $ (17,221,071 ) $ (17,221,071 )
Derivative liabilities - (2,124,550 ) - (2,124,550 )
Total Liabilities Carried at Fair Value $ - $ (2,124,550 ) $ (17,221,071 ) $ (19,345,621 )

~~The following table presents the Company’s financial instruments measured at fair value as of December 31, 2016:~~

Fair Value at December 31, 2016
Level 1 Level 2 Level 3 Total
Assets:
Agency RMBS:
30 Year Fixed Rate $ - $ 739,727,721 $ - $ 739,727,721
Fixed Rate CMO - 63,697,398 - 63,697,398
ARM - 211,344,052 - 211,344,052
Interest Only - 42,894,555 - 42,894,555
Credit Investments:
Non-Agency RMBS - 321,495,328 717,760,534 1,039,255,862
Non-Agency RMBS Interest Only - - 3,761,446 3,761,446
ABS - - 21,231,956 21,231,956
CMBS - 28,726,319 130,789,615 159,515,934
CMBS Interest Only - - 52,136,726 52,136,726
Residential mortgage loans - - 38,195,576 38,195,576
Commercial loans - - 60,068,800 60,068,800
Excess mortgage servicing rights - - 412,648 412,648
Derivative assets - 3,703,366 - 3,703,366
AG Arc - - 12,894,819 12,894,819
Total Assets Carried at Fair Value $ - $ 1,411,588,739 $ 1,037,252,120 $ 2,448,840,859

Liabilities:
Securitized debt $ - $ - $ (21,491,710 ) $ (21,491,710 )
Loan participation payable - - (1,800,000 ) (1,800,000 )
Securities borrowed under reverse repurchase agreements (22,365,000 ) - - (22,365,000 )
Derivative liabilities (636,211 ) (2,271,044 ) - (2,907,255 )
Total Liabilities Carried at Fair Value $ (23,001,211 ) $ (2,271,044 ) $ (23,291,710 ) $ (48,563,965 )

The Company did not have any transfers of assets or liabilities between Levels 1 and 2 of the fair value hierarchy during the three and ~~nine~~six months ended ~~September~~June 30, ~~2017~~2021 and ~~September 30, 2016.~~

2020.

~~AG Mortgage Investment Trust Inc. and Subsidiaries~~

~~Notes to Consolidated Financial Statements (unaudited)~~

~~September 30, 2017~~

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:

Three Months Ended
September 30, 2017
Non-Agency
RMBS Non-Agency
RMBS
Interest Only ABS CMBS CMBS Interest
Only Residential
Mortgage
Loans Commercial
Loans Excess
Mortgage
Servicing
Rights AG Arc Securitized
debt
Beginning balance $ 863,020,902 $ 3,213,397 $ 47,917,356 $ 137,658,327 $ 52,805,639 $ 23,455,233 $ 57,294,106 $ 2,786,501 $ 17,712,557 $ (18,778,169 )
Transfers (1):
Transfers into level 3 83,490,535 - - 8,460,348 - - - - - -
Purchases/Transfers 137,744,335 - 5,601,252 20,191,250 - - - 12,812 - -
Proceeds from sales/redemptions (297,784,142 ) - - - - - - - - -
Proceeds from settlement (26,789,302 ) - (211,551 ) (20,512,436 ) - (272,933 ) - (126,749 ) - 1,563,429
Total net gains/(losses) (2)
Included in net income 14,548,529 (350,913 ) (83,269 ) 69,642 (834,115 ) 685,231 104,557 8,000 111,662 (6,331 )
Included in other comprehensive income (loss) - - - - - - - - - -
Ending Balance $ 774,230,857 $ 2,862,484 $ 53,223,788 $ 145,867,131 $ 51,971,524 $ 23,867,531 $ 57,398,663 $ 2,680,564 $ 17,824,219 $ (17,221,071 )

Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held as of September 30, 2017 (3) $ 12,110,525 $ (83,718 ) $ (83,269 ) $ (153,096 ) $ (834,115 ) $ 825,963 $ 104,557 $ 8,000 $ 111,662 $ (6,331 )

(1) Transfers are assumed to occur at the beginning of the period. During the three months ended September 30, 2017, the Company transferred 9 Non-Agency RMBS securities and 1 CMBS security into the Level 3 category from the Level 2 category under the fair value hierarchy of ASC 820.

~~(2) Gains/(losses) are recorded in the following line items in the consolidated statement of operations:~~

Unrealized gain/(loss) on real estate securities and loans, net $ 13,630,181
Unrealized gain/(loss) on derivative and other instruments, net (6,331 )
Net realized gain/(loss) 517,481
Equity in earnings/(loss) from affiliates 111,662
Total $ 14,252,993

~~(3) Unrealized gains/(losses) are recorded in the following line items in the consolidated statement of operations:~~

Unrealized gain/(loss) on real estate securities and loans, net $ 11,894,849
Unrealized gain/(loss) on derivative and other instruments, net (6,331 )
Equity in earnings/(loss) from affiliates 111,660
Total $ 12,000,178

Three Months Ended
September 30, 2016
Non-Agency
RMBS Non-Agency
RMBS
Interest Only ABS CMBS CMBS Interest
Only Residential
Mortgage
Loans Commercial
Loans Excess
Mortgage
Servicing
Rights AG Arc Securitized
debt Loan
Participation
payable
Beginning balance $ 814,005,282 $ 2,400,732 $ 75,473,169 $ 86,762,706 $ 43,305,493 $ 55,636,606 $ 54,800,000 $ 346,507 $ 4,488,281 $ (25,788,283 ) $ (1,800,000 )
Transfers (1):
Transfers into level 3 56,221,422 - - - - - - - - - -
Transfers out of level 3 (150,671,465 ) - - - - - - - - - -
Purchases/Transfers 113,707,564 - - 40,491,482 6,981,795 - - - - - -
Capital contributions - - - - - - - - 8,263,963 - -
Proceeds from sales/redemptions (53,290,104 ) - (5,698,248 ) - - - - - - - -
Proceeds from settlement (26,378,566 ) - (511,323 ) (8,145,244 ) - (13,751,112 ) (10,000,000 ) (37,426 ) - 1,512,199 -
Total net gains/(losses) (2)
Included in net income 21,910,120 256,638 1,224,038 2,497,245 221,342 762,493 - - 170,324 (74,431 ) -
Included in other comprehensive income (loss) - - - - - - - - - - -
Ending Balance $ 775,504,253 $ 2,657,370 $ 70,487,636 $ 121,606,189 $ 50,508,630 $ 42,647,987 $ 44,800,000 $ 309,081 $ 12,922,568 $ (24,350,515 ) $ (1,800,000 )

Change in unrealized appreciation/(depreciation) for level 3 assets still held as of September 30, 2016 (3) $ 14,590,173 $ 256,638 $ 1,099,827 $ 2,488,766 $ 221,342 $ (2,922,597 ) $ - $ - 170,324 $ (74,431 ) $ -

(1) Transfers are assumed to occur at the beginning of the period. During the three months ended September 30, 2016, the Company transferred 4 Non-Agency RMBS securities into the Level 3 category from the Level 2 category and 14 Non-Agency RMBS securities into the Level 2 category from the Level 3 category under the fair value hierarchy of ASC 820.

~~(2) Gains/(losses) are recorded in the following line items in the consolidated statement of operations:~~

Unrealized gain/(loss) on real estate securities and loans, net $ 16,577,429
Unrealized gain/(loss) on derivative and other instruments, net (74,431 )
Net realized gain/(loss) 10,294,447
Equity in earnings/(loss) from affiliates 170,324
Total $ 26,967,769

~~(3) Gains/(losses) are recorded in the following line items in the consolidated statement of operations:~~

Unrealized gain/(loss) on real estate securities and loans, net $ 15,734,149
Unrealized gain/(loss) on derivative and other instruments, net (74,431 )
Equity in earnings/(loss) from affiliates 170,324
Total $ 15,830,042

~~AG Mortgage Investment Trust Inc. and Subsidiaries~~

~~Notes to Consolidated Financial Statements (unaudited)~~

~~September 30, 2017~~

Nine Months Ended
September 30, 2017
Non-Agency
RMBS Non-Agency
RMBS
Interest Only ABS CMBS CMBS Interest
Only Residential
Mortgage
Loans Commercial
Loans Excess
Mortgage
Servicing
Rights AG Arc Securitized
debt Loan
Participation
payable
Beginning balance $ 717,760,534 $ 3,761,446 $ 21,231,956 $ 130,789,615 $ 52,136,726 $ 38,195,576 $ 60,068,800 $ 412,648 $ 12,894,819 $ (21,491,710 ) $ (1,800,000 )
Transfers (1):
Transfers into level 3 203,851,482 - - 8,460,348 - - - - - - -
Transfers out of level 3 (51,307,381 ) - - - - - - - - - -
Purchases/Transfers 395,021,146 - 52,048,919 38,760,000 - - 10,270,833 2,578,156 - - -
Capital contributions - - - - - - - - 4,459,000 - -
Proceeds from sales/redemptions (382,543,723 ) - (16,977,157 ) (4,533,594 ) - (10,102,590 ) - - - - -
Proceeds from settlement (142,165,747 ) - (4,195,705 ) (29,106,491 ) - (5,570,282 ) (13,534,402 ) (314,036 ) - 4,310,904 1,954,927
Total net gains/(losses) (2)
Included in net income 33,614,546 (898,962 ) 1,115,775 1,497,253 (165,202 ) 1,344,827 593,432 3,796 470,400 (40,265 ) (154,927 )
Included in other comprehensive income (loss) - - - - - - - - - - -
Ending Balance $ 774,230,857 $ 2,862,484 $ 53,223,788 $ 145,867,131 $ 51,971,524 $ 23,867,531 $ 57,398,663 $ 2,680,564 $ 17,824,219 $ (17,221,071 ) $ -

Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held as of September 30, 2017 (3) $ 32,502,634 $ (631,767 ) $ 660,461 $ 1,704,666 $ (165,202 ) $ (575,728 ) $ 537,223 $ 3,796 $ 470,400 $ (40,265 ) $ -

(1) Transfers are assumed to occur at the beginning of the period. During the nine months ended September 30, 2017, the Company transferred 18 Non-Agency RMBS securities and 1 CMBS security into the Level 3 category from the Level 2 category and 5 Non-Agency RMBS securities into the Level 2 category from the Level 3 category under the fair value hierarchy of ASC 820.

~~(2) Gains/(losses) are recorded in the following line items in the consolidated statement of operations:~~

Unrealized gain/(loss) on real estate securities and loans, net $ 37,249,857
Unrealized gain/(loss) on derivative and other instruments, net (195,192 )
Net realized gain/(loss) (144,392 )
Equity in earnings/(loss) from affiliates 470,400
Total $ 37,380,673

~~(3) Unrealized gains/(losses) are recorded in the following line items in the consolidated statement of operations:~~

Unrealized gain/(loss) on real estate securities and loans, net $ 34,036,085
Unrealized gain/(loss) on derivative and other instruments, net (40,265 )
Equity in earnings/(loss) from affiliates 470,398
Total $ 34,466,218

Nine Months Ended
September 30, 2016
Non-Agency
RMBS Non-Agency
RMBS IO ABS CMBS CMBS Interest
Only Residential
Mortgage
Loans Commercial
Loans Excess
Mortgage
Servicing
Rights AG Arc Securitized
debt Loan
Participation
payable
Beginning balance $ 451,677,960 $ 5,553,734 $ 54,761,837 $ 91,024,418 $ 14,077,716 $ 57,080,227 $ 72,800,000 $ 425,311 $ - $ - $ -
Transfers (1):
Transfers into level 3 371,564,212 - - - - - - - (316,580 ) (30,046,861 ) -
Transfers out of level 3 - - - - - - - - - - -
Purchases/Transfers (2) 125,425,376 - 23,698,802 42,491,482 33,330,554 - 10,428,437 - - - (1,564,266 )
Capital contributions - - - - - - - - 13,570,173 - -
Reclassification of security type (3) - - - - 3,103,111 - - - - -
Proceeds from sales/redemptions (82,462,238 ) - (7,209,752 ) (2,100,960 ) - - - - - - -
Proceeds from settlement (102,932,160 ) - (1,698,431 ) (9,248,447 ) - (14,815,122 ) (40,000,000 ) (116,230 ) - 5,706,520 -
Total net gains/(losses) (4)
Included in net income 12,231,103 (2,896,364 ) 935,180 (560,304 ) (2,751 ) 382,882 1,571,563 - (331,025 ) (10,174 ) (235,734 )
Included in other comprehensive income (loss) - - - - - - - - - - -
Ending Balance $ 775,504,253 $ 2,657,370 $ 70,487,636 $ 121,606,189 $ 50,508,630 $ 42,647,987 $ 44,800,000 $ 309,081 $ 12,922,568 $ (24,350,515 ) $ (1,800,000 )

Change in unrealized appreciation/(depreciation) for level 3 assets still held as of September 30, 2016 (4) $ 11,019,033 $ (1,272,687 ) $ 939,673 $ (250,607 ) $ (2,751 ) $ (3,302,208 ) $ 1,571,563 $ - $ (331,025 ) $ (10,174 ) $ (235,734 )

(1) Transfers are assumed to occur at the beginning of the period. During the nine months ended September 30, 2016, the Company transferred 26 Non-Agency RMBS securities and its securitized debt investment into the Level 3 category from the Level 2 category and its investment in AG Arc into the Level 3 category from the Level 1 category under the fair value hierarchy of ASC 820.

~~(2) Transfers represent proceeds from transfer of loan participation.~~

~~(3) Represents a reclassification from investments in debt and equity of affiliates.~~

~~(4) Gains/(losses) are recorded in the following line items in the consolidated statement of operations:~~

Unrealized gain/(loss) on real estate securities and loans, net $ 9,761,156
Unrealized gain/(loss) on derivative and other instruments, net (245,908 )
Net realized gain/(loss) 1,900,153
Equity in earnings/(loss) from affiliates (331,025 )
Total $ 11,084,376

~~(5) Gains/(losses) are recorded in the following line items in the consolidated statement of operations:~~

Unrealized gain/(loss) on real estate securities and loans, net $ 8,702,016
Unrealized gain/(loss) on derivative and other instruments, net (245,908 )
Equity in earnings/(loss) from affiliates (331,025 )
Total $ 8,125,083

Refer to the tables ~~above~~below for details on transfers between the Level 3 and Level 2 categories under ASC 820. 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.~~transparency and updates to the Company's leveling policy, which are detailed in Note 2. 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.


Three Months Ended June 30, 2021 (in thousands)
	Residential Mortgage Loans		Non-Agency RMBS		Commercial Loans		Excess Mortgage Servicing Rights		AG Arc		Securitized debt
Beginning balance	$	640,739	$	1,641	$	58,209	$	3,000	$	52,138	$	(344,429)



Purchases/Transfers	444,737		0		1,589		0		0		0
Issuances of Securitized Debt	0		0		0		0		0		(203,392)

Proceeds from sales of assets	(45,615)		0		0		0		0		0
Proceeds from settlement	(21,357)		(469)		0		0		0		66,154
Total net gains/(losses) (1)
Included in net income	9,874		11		2,481		(392)		(1,276)		(866)
Ending Balance	$	1,028,378	$	1,183	$	62,279	$	2,608	$	50,862	$	(482,533)

Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held as of June 30, 2021 (2)	$	2,840	$	11	$	2,481	$	(392)	$	(1,276)	$	(866)

(1) Gains/(losses) are recorded in the following line items in the consolidated statement of operations:

	24
Unrealized gain/(loss), net		$	3,982

Net realized gain/(loss)		7,126
Equity in earnings/(loss) from affiliates		(1,276)
Total		$	9,832
(2) Unrealized gains/(losses) are recorded in the following line items in the consolidated statement of operations:
Unrealized gain/(loss), net		$	4,074

Equity in earnings/(loss) from affiliates		(1,276)
Total		$	2,798

AG Mortgage Investment Trust Inc. and Subsidiaries

Notes to Consolidated Financial Statements ~~(unaudited)~~

~~September~~(Unaudited)

June 30, ~~2017~~

2021


Three Months Ended June 30, 2020 (in thousands)
	Residential Mortgage Loans		Non-Agency RMBS		Commercial Loans		Excess Mortgage Servicing Rights		AG Arc		Securitized debt
Beginning balance	$	766,960	$	5,533	$	158,051	$	14,066	$	18,519	$	(191,346)



Purchases/Transfers	0		0		7,759		0		0		0
Issuances of Securitized Debt	0		0		0		0		0		(3,000)

Proceeds from sales of assets	(378,729)		(68)		(34,200)		0		0		0
Proceeds from settlement	(14,716)		(1,159)		0		0		0		3,517
Total net gains/(losses) (1)
Included in net income	6,307		190		(3,925)		(1,772)		9,511		(8,145)
Ending Balance	$	379,822	$	4,496	$	127,685	$	12,294	$	28,030	$	(198,974)

Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held as of June 30, 2020 (2)	$	60,434	$	4	$	(2,134)	$	(1,780)	$	9,511	$	(8,145)

(1) Gains/(losses) are recorded in the following line items in the consolidated statement of operations:


Unrealized gain/(loss), net	$	48,385

Net realized gain/(loss)	(55,730)
Equity in earnings/(loss) from affiliates	9,511
Total	$	2,166
(2) Unrealized gains/(losses) are recorded in the following line items in the consolidated statement of operations:
Unrealized gain/(loss), net	$	48,379

Equity in earnings/(loss) from affiliates	9,511
Total	$	57,890


Six Months Ended June 30, 2021 (in thousands)
	Residential Mortgage Loans		Non-Agency RMBS		Commercial Loans		Excess Mortgage Servicing Rights		AG Arc		Securitized debt
Beginning balance	$	433,307	$	3,100	$	125,508	$	3,158	$	45,341	$	(355,159)
Transfers (1):

Transfers out of level 3	0		(1,499)		0		0		0		0
Purchases/Transfers	652,797		0		5,258		0		0		0
Issuances of Securitized Debt	0		0		0		0		0		(203,392)

Proceeds from sales of assets and seizures of assets	(45,615)		0		(74,342)		0		0		0
Proceeds from settlement	(33,651)		(501)		(195)		0		0		78,931
Total net gains/(losses) (2)
Included in net income	21,540		83		6,050		(550)		5,521		(2,913)
Ending Balance	$	1,028,378	$	1,183	$	62,279	$	2,608	$	50,862	$	(482,533)

Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held as of June 30, 2021 (3)	$	14,601	$	83	$	3,219	$	(550)	$	5,521	$	(2,913)

(1) Transfers are assumed to occur at the beginning of the period. During the six months ended June 30, 2021, the Company transferred 1 Non-Agency RMBS into the Level 2 category from the Level 3 category under the fair value hierarchy of ASC 820.

(2) Gains/(losses) are recorded in the following line items in the consolidated statement of operations:


Unrealized gain/(loss), net	$	20,083

Net realized gain/(loss)	4,127
Equity in earnings/(loss) from affiliates	5,521
Total	$	29,731
(3) Unrealized gains/(losses) are recorded in the following line items in the consolidated statement of operations:
Unrealized gain/(loss), net	$	14,440

Equity in earnings/(loss) from affiliates	5,521
Total	$	19,961

AG Mortgage Investment Trust Inc. and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2021


Six Months Ended June 30, 2020 (in thousands)
	Residential Mortgage Loans		Non-Agency RMBS		Non-Agency RMBS Interest Only		CMBS		CMBS Interest Only		Commercial Loans		Excess Mortgage Servicing Rights		AG Arc		Securitized debt
Beginning balance	$	417,785	$	630,115	$	1,074	$	366,566	$	47,992	$	158,686	$	17,775	$	28,546	$	(72,415)
Transfers (1):
Transfers into level 3	0		0		0		0		0		0		0		0		(151,933)
Transfers out of level 3	0		(210,709)		(1,074)		(170,816)		(22,054)		0		0		0		7,230
Purchases/Transfers	479,195		1,559		0		3,540		0		19,200		0		0		0
Issuances of Securitized Debt	0		0		0		0		0		0		0		0		(3,000)

Proceeds from sales of assets and seizures of assets	(387,408)		(362,199)		0		(148,111)		(21,996)		(34,200)		0		0		0
Proceeds from settlement	(37,390)		(10,869)		0		(9,367)		0		0		0		0		9,223
Total net gains/(losses) (2)
Included in net income	(92,360)		(43,401)		0		(41,812)		(3,942)		(16,001)		(5,481)		(516)		11,921
Ending Balance	$	379,822	$	4,496	$	0	$	0	$	0	$	127,685	$	12,294	$	28,030	$	(198,974)

Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held as of June 30, 2020 (3)	$	(35,221)	$	(550)	$	0	$	0	$	0	$	(14,210)	$	(5,481)	$	(516)	$	11,921

(1) Transfers are assumed to occur at the beginning of the period. During the six months ended June 30, 2020, the Company transferred 50 Non-Agency RMBS securities, 2 Non-Agency RMBS Interest Only securities, 32 CMBS securities, 15 CMBS Interest Only securities and 1 securitized debt security into the Level 2 category from the Level 3 category under the fair value hierarchy of ASC 820. During the six months ended June 30, 2020, the Company transferred 1 securitized debt security into the Level 3 category from the Level 2 category under the fair value hierarchy of ASC 820. Refer to Note 2 for more information on changes regarding the Company's leveling policy.

(2) Gains/(losses) are recorded in the following line items in the consolidated statement of operations:


Unrealized gain/(loss), net	$	(81,075)

Net realized gain/(loss)	(110,001)
Equity in earnings/(loss) from affiliates	(516)
Total	$	(191,592)
(3) Unrealized gains/(losses) are recorded in the following line items in the consolidated statement of operations:
Unrealized gain/(loss), net	$	(43,541)

Equity in earnings/(loss) from affiliates	(516)
Total	$	(44,057)

AG Mortgage Investment Trust Inc. and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2021

The following tables present 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.

Asset Class Fair Value at
September 30, 2017 Valuation Technique Unobservable Input Range
(Weighted Average)
Non-Agency RMBS $ 751,813,956 Discounted Cash Flow Yield 1.80% - 11.63% (4.37%)
Projected Collateral Prepayments 0.00% - 35.00% (9.80%)
Projected Collateral Losses 0.00% - 30.00% (3.07%)
Projected Reperforming Rates 24.64% - 56.76% (41.33%)
Projected Collateral Severities 0.00% - 100.00% (34.83%)
Projected Timeline to Liquidation (Months) 18.80 - 22.99 (21.23)
$ 22,416,901 Consensus Pricing Offered Quotes 21.50 - 102.73 (82.82)
Non-Agency RMBS Interest Only $ 2,456,181 Discounted Cash Flow Yield 21.00% - 21.00% (21.00%)
Projected Collateral Prepayments 17.25% - 17.25% (17.25%)
Projected Collateral Losses 0.50% - 0.50% (0.50%)
Projected Collateral Severities 10.00% - 10.00% (10.00%)
$ 406,303 Consensus Pricing Offered Quotes 0.80 - 0.80 (0.80)
ABS $ 32,719,493 Discounted Cash Flow Yield 5.63% - 9.26% (7.72%)
Projected Collateral Prepayments 20.00% - 40.00% (22.49%)
Projected Collateral Losses 0.00% - 2.00% (1.75%)
Projected Collateral Severities 0.00% - 50.00% (43.78%)
$ 20,504,295 Consensus Pricing Offered Quotes 100.00 - 100.00 (100.00)
CMBS $ 142,567,125 Discounted Cash Flow Yield -4.24% - 8.32% (5.74%)
Projected Collateral Prepayments 0.00% - 0.00% (0.00%)
Projected Collateral Losses 0.00% - 0.00% (0.00%)
Projected Collateral Severities 0.00% - 0.00% (0.00%)
$ 3,300,006 Consensus Pricing Offered Quotes 5.90 - 7.41 (6.88)
CMBS Interest Only $ 51,971,524 Discounted Cash Flow Yield 2.56% - 5.85% (4.28%)
Projected Collateral Prepayments 100.00% - 100.00% (100.00%)
Projected Collateral Losses 0.00% - 0.00% (0.00%)
Projected Collateral Severities 0.00% - 0.00% (0.00%)
Residential Mortgage Loans $ 23,867,531 Discounted Cash Flow Yield 6.25% - 9.00% (7.56%)
Projected Collateral Prepayments 3.46% - 6.91% (4.66%)
Projected Collateral Losses 5.21% - 7.02% (5.40%)
Projected Reperforming Rates 8.67% - 43.58% (22.59%)
Projected Collateral Severities 19.73% - 43.24% (35.85%)
Projected Timeline to Liquidation (Months) 14.64 - 29.81 (17.31)
Commercial Loans $ 32,800,000 Discounted Cash Flow Yield 6.36% - 6.36% (6.36%)
Credit Spread 4.75 bps - 4.75 bps (4.75 bps)
Recovery Percentage (1) 100.00% - 100.00% (100.00%)
$ 24,598,663 Consensus Pricing Offered Quotes 97.66 - 100.00 (98.65)
Excess Mortgage Servicing Rights $
2,400,760
Discounted Cash Flow Yield 9.34% - 11.65% (10.01%)
Projected Collateral Prepayments 8.07% - 12.91% (10.13%)
$ 279,804 Consensus Pricing Offered Quotes 0.05 - 0.52 (0.48)
AG Arc $ 17,824,219 Comparable Multiple Book Value Multiple 1.0x

Liability Class Fair Value at
September 30, 2017 Valuation Technique Unobservable Input Range
(Weighted Average)
Securitized debt Yield 3.49% - 3.49% (3.49%)
Projected Collateral Prepayments 14.00% - 14.00% (14.00%)
$ (17,221,071 ) Discounted Cash Flow Projected Collateral Losses 7.00% - 7.00% (7.00%)
Projected Collateral Severities 40.00% - 40.00% (40.00%)

Asset Class Fair Value at June 30, 2021 (in thousands) Valuation Technique Unobservable Input Range
(Weighted Average) (1)
Yield 1.62% - 10.00% (3.42%)
Residential Mortgage Loans $ 982,331 Discounted Cash Flow Projected Collateral Prepayments 4.41% - 37.62% (14.40%)
Projected Collateral Losses 0.05% - 4.65% (0.96%)
Projected Collateral Severities -15.61% - 26.81% (11.99%)
$ 5,684 Consensus Pricing Offered Quotes 85.67 - 113.14 (104.07)
$ 40,363 Recent Transaction Cost N/A
Yield 8.37% - 8.37% (8.37%)
Non-Agency RMBS $ 1,183 Discounted Cash Flow Projected Collateral Prepayments 5.41% - 5.41% (5.41%)
Projected Collateral Losses 2.92% - 2.92% (2.92%)
Projected Collateral Severities -30.09% - -30.09% (-30.09%)
Yield 10.12% - 30.06% (13.28%)
Commercial Loans $ 62,279 Discounted Cash Flow Credit Spread 901 bps - 2,568 bps (1,185 bps)
Recovery Percentage (2) 100.00% - 100.00% (100.00%)
Loan-to-Value 48.10% - 92.70% (73.46%)
Excess Mortgage Servicing Rights Discounted Cash Flow Yield 9.00% - 9.70% (9.09%)
$ 2,521 Projected Collateral Prepayments 10.97% - 16.00% (12.06%)
$ 87 Consensus Pricing Offered Quotes 0.30 - 0.30 (0.30)
AG Arc $ 50,862 Comparable Multiple Book Value Multiple 1.06x - 1.06x (1.06x)
Liability Class Fair Value at June 30, 2021 (in thousands) Valuation Technique Unobservable Input Range
(Weighted Average)
Yield 0.98% - 5.00% (2.04%)
Securitized debt $ (482,533) Discounted Cash Flow Projected Collateral Prepayments 5.44% - 11.03% (8.65%)
Projected Collateral Losses 0.36% - 3.27% (1.42%)
Projected Collateral Severities 8.49% - 16.97% (12.33%)

(1) Amounts are weighted based on fair value.

(2) Represents the proportion of the principal expected to be collected relative to the loan balances as of ~~September~~June 30, ~~2017.~~

2021.

AG Mortgage Investment Trust Inc. and Subsidiaries

Notes to Consolidated Financial Statements ~~(unaudited)~~

~~September~~(Unaudited)

June 30, ~~2017~~

Asset Class Fair Value at
December 31, 2016 Valuation Technique Unobservable Input Range
(Weighted Average)
Non-Agency RMBS $
694,948,644
Discounted Cash Flow Yield 1.70% - 18.56% (5.11%)
Projected Collateral Prepayments 0.00% - 35.00% (9.84%)
Projected Collateral Losses 0.00% - 38.00% (5.22%)
Projected Reperforming Rates 18.53% - 46.77% (33.39%)
Projected Collateral Severities 0.00% - 100.00% (38.57%)
Projected Timeline to Liquidation (Months) 16.13 - 23.09 (20.72)
$ 22,811,890 Consensus Pricing Offered Quotes 21.50 - 100.07 (78.89)
Non-Agency RMBS Interest Only $
3,761,446
Discounted Cash Flow Yield 17.50% - 17.50% (17.50%)
Projected Collateral Prepayments 18.00% - 18.00% (18.00%)
Projected Collateral Losses 0.50% - 0.50% (0.50%)
Projected Collateral Severities 10.00% - 10.00% (10.00%)
ABS $
21,231,956
Discounted Cash Flow Yield 4.16% - 6.47% (4.98%)
Projected Collateral Prepayments 1.50% - 40.00% (22.31%)
Projected Collateral Losses 0.00% - 2.00% (0.88%)
Projected Collateral Severities 0.00% - 50.00% (9.81%)
CMBS $
121,056,008
Discounted Cash Flow Yield 3.32% - 9.16% (6.13%)
Projected Collateral Prepayments 0.00% - 0.00% (0.00%)
Projected Collateral Losses 0.00% - 0.00% (0.00%)
Projected Collateral Severities 0.00% - 0.00% (0.00%)
$ 9,733,607 Consensus Pricing Offered Quotes 5.03 - 99.81 (68.64)
CMBS Interest Only $
52,136,726
Discounted Cash Flow Yield 2.51% - 9.49% (5.85%)
Projected Collateral Prepayments 100.00% - 100.00% (100.00%)
Projected Collateral Losses 0.00% - 0.00% (0.00%)
Projected Collateral Severities 0.00% - 0.00% (0.00%)
Residential Mortgage Loans $
38,195,576
Discounted Cash Flow Yield 6.50% - 8.00% (7.42%)
Projected Collateral Prepayments 3.18% - 5.82% (4.51%)
Projected Collateral Losses 5.16% - 5.32% (5.18%)
Projected Reperforming Rates 9.59% - 34.53% (22.91%)
Projected Collateral Severities 25.19% - 84.80% (45.34%)
Projected Timeline to Liquidation (Months) 12.32 - 29.85 (14.33)
Commercial Loans $ 44,800,000 Discounted Cash Flow Yield 5.65% - 21.70% (7.98%)
Credit Spread 4.75 bps - 10 bps (6.16 bps)
Recovery Percentage (1) 100.00% - 100.00% (100.00%)
$ 15,268,800 Consensus Pricing Offered Quotes 95.43 - 95.43 (95.43)
Excess Mortgage Servicing Rights $ 412,648 Consensus Pricing Offered Quotes 0.09 - 0.62 (0.55)
AG Arc $ 12,894,819 Comparable Multiple Book Value Multiple 1.0x

Liability Class Fair Value at
December 31, 2016 Valuation Technique Unobservable Input Range
(Weighted Average)
Securitized debt $ (21,491,710 ) Discounted Cash Flow Yield 3.36% - 3.36% (3.36%)
Projected Collateral Prepayments 14.00% - 14.00% (14.00%)
Projected Collateral Losses 7.00% - 7.00% (7.00%)
Projected Collateral Severities 40.00% - 40.00% (40.00%)
Loan participation payable $ (1,800,000
)
Discounted Cash Flow Yield 21.70% - 21.70% (21.70%)
Credit Spread 10 bps - 10 bps (10 bps)
Recovery Percentage* 100.00% - 100.00% (100.00%)

2021


Asset Class	Fair Value at December 31, 2020 (in thousands)		Valuation Technique	Unobservable Input	Range (Weighted Average) (1)
				Yield	4.50% - 10.00% (5.01%)
Residential Mortgage Loans	$	426,709	Discounted Cash Flow	Projected Collateral Prepayments	4.30% - 9.31% (7.28%)
				Projected Collateral Losses	1.66% - 5.75% (2.58%)
				Projected Collateral Severities	-9.29% - 49.43% (15.68%)
	$	6,598	Consensus Pricing	Offered Quotes	82.03 - 106.29 (99.96)
				Yield	8.05% - 8.05% (8.05%)
Non-Agency RMBS	$	1,601	Discounted Cash Flow	Projected Collateral Prepayments	5.46% - 5.46% (5.46%)
				Projected Collateral Losses	5.37% - 5.37% (5.37%)
				Projected Collateral Severities	-20.89% - -20.89% (-20.89%)
	$	1,499	Consensus Pricing	Offered Quotes	91.59 - 91.59 (91.59)



















				Yield	10.95% - 39.54% (14.09%)
Commercial Loans	$	125,508	Discounted Cash Flow	Credit Spread	1,001 bps - 3,304 bps (1,279 bps)
				Recovery Percentage (2)	100.00% - 100.00% (100.00%)

				Loan-to-Value	43.60% - 97.50% (62.04%)
Excess Mortgage Servicing Rights				Yield	9.00% - 9.70% (9.08%)
	$	3,073	Discounted Cash Flow	Projected Collateral Prepayments	11.11% - 15.51% (12.49%)
	$	85	Consensus Pricing	Offered Quotes	0.25 - 0.25 (0.25)
AG Arc	$	45,341	Comparable Multiple	Book Value Multiple	1.05x - 1.05x (1.05x)

Liability Class	Fair Value at December 31, 2020 (in thousands)		Valuation Technique	Unobservable Input	Range (Weighted Average)
				Yield	2.45% - 5.50% (2.98%)
Securitized debt	$	(355,159)	Discounted Cash Flow	Projected Collateral Prepayments	5.90% - 8.20% (7.17%)
				Projected Collateral Losses	1.94% - 3.46% (2.62%)
				Projected Collateral Severities	12.70% - 20.03% (16.75%)

(1) Amounts are weighted based on fair value.

(2) Represents the proportion of the principal expected to be collected relative to the loan balances as of December 31, ~~2016.~~

2020.

As further described above, ~~values~~fair value for the Company’s securities portfolio are based upon prices obtained from ~~third party~~third-party pricing services. Broker quotations may also be used. The significant unobservable inputs used in the fair value measurement of the Company’s 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.

Also, as described above, valuation of the Company’s loan portfolio is determined by the Manager using third-party pricing services where available, ~~specialized third party~~ valuation analyses from third-party pricing service providers, or model-based pricing. The evaluation considers the underlying characteristics of each loan, which are observable inputs, including: coupon, maturity date, loan age, reset date, collateral type, periodic and life cap, geography, and prepayment speeds. ~~These~~The valuations of commercial loans also require significant judgments, which include assumptions regarding capitalization rates, re-performance rates, leasing, creditworthiness of major tenants, occupancy rates, availability of financing, exit plan, loan sponsorship, actions of other lenders, and other factors deemed necessary by management. Changes in the market environment and other events that may occur over the life of our investments may cause the gains or losses ultimately realized on these investments to be different than the valuations currently estimated. If applicable, analyses provided by valuation service providers are reviewed and considered by the Manager.

AG Mortgage Investment Trust Inc. and Subsidiaries

Notes to Consolidated Financial Statements ~~(unaudited)~~

~~September~~(Unaudited)

June 30, ~~2017~~

2021

6. ~~Repurchase agreements~~

Financing arrangements

The following table presents a summary of the Company's financing arrangements as of June 30, 2021 and December 31, 2020 ($ in thousands).


	June 30, 2021										December 31, 2020
				Weighted Average			Collateral (1)(2)(3)
	Carrying Value		Stated Maturity	Funding Cost		Life (Years)	Amortized Cost Basis		Fair Value		Carrying Value
Repurchase Agreements
Residential Mortgage Loans (4)(5)	$	408,656	Sept 2021 - Jan 2022	2.56	%	0.53	$	491,795	$	502,956	$	25,590
Agency RMBS (6)	752,723		July 2021	0.10	%	0.04	694,925		794,643		435,893
Non-Agency RMBS	1,621		July 2021 - Oct 2021	1.97	%	0.08	3,091		3,454		14,550

CMBS	18,518		July 2021	1.59	%	0.02	35,452		31,614		24,881

Total Repurchase Agreements	$	1,181,518		0.98	%	0.21	$	1,225,263	$	1,332,667	$	500,914

Revolving Facilities
Commercial Loans (7)(8)(9)	$	25,950	Aug 2023	3.16	%	2.11	$	50,663	$	43,870	$	63,133


Total Financing Arrangements	$	1,207,468		1.03	%	0.25	$	1,275,926	$	1,376,537	$	564,047

(1)The Company ~~pledges certain real estate securities and loans as collateral~~also had $0.3 million of cash pledged under repurchase agreements ~~with financial institutions, the terms and conditions~~as of which are negotiated on a transaction-by-transaction basis. Repurchase agreements involve the sale and a simultaneous agreement to repurchase the transferred assets or similar assets at a future date. The amount borrowed generally is equal to the fair value of the assets pledged less an agreed-upon discount, referred to as a “haircut.” The Company calculates haircuts disclosed in the tables below by dividing allocated capital on each borrowing by the current fair market value of each investment. Repurchase agreements entered into by the Company are accounted for as financings and require the repurchase of the transferred assets at the end of each agreement’s term, typicallyJune 30, to 90 days. The carrying amount of the Company’s repurchase agreements approximates fair value due to their short-term maturities or floating rate coupons. If the Company maintains the beneficial interest in the specific assets pledged during the term of the borrowing, it receives the related principal and interest payments. If the Company does not maintain the beneficial interest in the specific assets pledged during the term of the borrowing, it will have the related principal and interest payments remitted to it by the lender. Interest rates on these borrowings are fixed based on prevailing rates corresponding to the terms of the borrowings, and interest is paid at the termination of the borrowing at which time the Company may enter into a new borrowing arrangement at prevailing market rates with the same counterparty or repay that counterparty and negotiate financing with a different counterparty. If the fair value of pledged assets declines due to changes in market conditions or the publishing of monthly security paydown factors, lenders typically would require the Company to post additional securities as collateral, pay down borrowings or establish cash margin accounts with the counterparties in order to re-establish the agreed-upon collateral requirements, referred to as margin calls. The fair value of financial instruments pledged as collateral on the Company’s repurchase agreements disclosed in the tables below represent the Company’s fair value of such instruments which may differ from the fair value assigned to the collateral by its counterparties. The Company maintains a level of liquidity in the form of cash and unpledged Agency RMBS and Agency Interest-Only securities in order to meet these obligations. 2021.

(2)Under the terms of the Company’s ~~master repurchase~~financing agreements, the Company's financing counterparties may, in certain cases, sell or re-hypothecate the pledged collateral.

(3)Amounts pledged as collateral under Residential Mortgage Loans include certain of the Company's retained interests in securitizations. Refer to Note 3 for more information on the Residential Loan VIEs.

(4)The Company's Residential Mortgage Loan financing arrangements include a maximum uncommitted borrowing capacity of $800 million on facilities used to finance Non-QM Loans. Subsequent to quarter end, the Company amended certain financing arrangements to increase the maximum uncommitted borrowing capacity used to finance Non-QM Loans by $300 million.

(5)The funding cost includes deferred financing costs. The stated rate on the Residential Mortgage Loans repurchase agreements was 2.53% as of June 30, 2021.

(6)As of June 30, 2021, repurchase agreements on Agency RMBS includes repurchase agreements and collateral on unsettled Agency RMBS sales.

(7)The revolving facility is interest only until maturity.

(8)The funding cost includes deferred financing costs. The stated rate on the Commercial Loans revolving facility was 2.11% as of June 30, 2021.

(9)The Company's commercial loan revolving facility includes a maximum uncommitted borrowing capacity of $100 million.

The following table presents ~~certain financial~~contractual maturity information ~~regarding~~about the ~~Company’s~~Company's borrowings under repurchase agreements ~~secured by real estate securities~~and revolving facilities as of ~~September~~June 30, ~~2017:~~

Repurchase Agreements Collateral Pledged
Repurchase Agreements Maturing Within: Balance Weighted Average
Rate Weighted Average
Haircut Fair Value Pledged Amortized Cost Accrued Interest
Overnight $ 107,066,000 1.26 % 3.0 % $ 110,372,484 $ 109,526,493 $ 313,586
30 days or less 2,039,853,000 1.77 % 9.6 % 2,297,649,801 2,231,098,823 7,932,198
31-60 days 369,334,000 1.87 % 10.3 % 425,787,109 419,340,738 1,349,706
61-90 days 19,965,000 2.79 % 26.2 % 27,056,415 26,820,517 106,417
91-180 days 111,027,000 1.55 % 10.0 % 124,326,562 124,458,675 341,221
Greater than 180 days 12,105,000 2.89 % 17.9 % 14,804,895 14,808,920 19,952
Total / Weighted Average $ 2,659,350,000 1.76 % 9.6 % $ 2,999,997,266 $ 2,926,054,166 $ 10,063,080

~~The following table presents certain financial information regarding the Company’s repurchase agreements secured by real estate securities as of December 31, 2016:~~

Repurchase Agreements Collateral Pledged
Repurchase Agreements Maturing Within: Balance Weighted Average
Rate Weighted Average
Haircut Fair Value Pledged Amortized Cost Accrued Interest
Overnight $ 70,899,000 0.66 % 3.5 % $ 73,485,225 $ 73,170,802 $ 191,554
30 days or less 961,185,000 1.79 % 14.7 % 1,164,241,469 1,152,472,020 3,851,520
31-60 days 465,776,000 1.23 % 8.6 % 514,624,485 512,633,509 1,607,435
61-90 days 129,119,000 1.69 % 13.2 % 151,989,415 151,567,289 399,702
91-180 days 16,897,000 2.81 % 21.6 % 21,554,174 21,892,108 17,056
Greater than 180 days 209,293,104 1.93 % 4.7 % 252,940,437 244,734,715 948,975
Total / Weighted Average $ 1,853,169,104 1.63 % 11.5 % $ 2,178,835,205 $ 2,156,470,443 $ 7,016,242

~~The following table presents certain financial information regarding the Company’s repurchase agreements secured by interests~~2021 ($ in ~~residential mortgage loans as of September 30, 2017:~~

Repurchase Agreements Collateral Pledged
Repurchase Agreements Maturing Within: Balance Weighted Average
Rate Weighted Average
Funding Cost Weighted Average
Haircut Fair Value
Pledged Amortized Cost Accrued Interest
Greater than 180 days $ 13,405,824 3.74 % 3.97 % 35.2 % $ 20,767,883 $ 19,352,254 $ 26,553

~~The following table presents certain financial information regarding the Company’s repurchase agreements secured by interests in residential mortgage loans as of December 31, 2016:~~

Repurchase Agreements Collateral Pledged
Repurchase Agreements Maturing Within: Balance Weighted Average
Rate Weighted Average
Funding Cost Weighted Average
Haircut Fair Value
Pledged Amortized Cost Accrued Interest
Greater than 180 days $ 25,544,702 3.27 % 3.79 % 30.3 % $ 34,088,921 $ 32,849,686 $ 45,068

thousands).


	Within 30 Days		Over 30 Days to 3 Months		Over 3 Months to 12 Months		Over 12 Months		Total
Repurchase Agreements
Residential Mortgage Loans	$	0	$	42,158	$	366,498	$	0	$	408,656
Agency RMBS	752,723		0		0		0		752,723
Non-Agency RMBS	1,282		0		339		0		1,621

CMBS	18,518		0		0		0		18,518
Total Repurchase Agreements	$	772,523	$	42,158	$	366,837	$	0	$	1,181,518

Revolving Facilities
Commercial Loans	$	0	$	0	$	0	$	25,950	$	25,950

Total Financing Arrangements	$	772,523	$	42,158	$	366,837	$	25,950	$	1,207,468

AG Mortgage Investment Trust Inc. and Subsidiaries

Notes to Consolidated Financial Statements ~~(unaudited)~~

~~September~~(Unaudited)

June 30, ~~2017~~

2021

Counterparties

The ~~following table presents certain financial information regarding the Company’s repurchase agreements secured by interests in commercial loans~~Company had exposure to 5 counterparties as of ~~September~~June 30, ~~2017:~~

Repurchase Agreements Collateral Pledged
Repurchase Agreements Maturing Within: Balance Weighted Average
Rate Weighted Average
Funding Cost Weighted Average
Haircut Fair Value
Pledged Amortized Cost Accrued Interest
Greater than 180 days $ 21,796,000 3.39 % 3.39 % 33.5 % $ 32,800,000 $ 32,800,000 $ 206,986

~~The following table presents certain financial information regarding the Company’s repurchase agreements secured by commercial loans as of December 31, 2016:~~

Repurchase Agreements Collateral Pledged
Repurchase Agreements Maturing Within: Balance Weighted Average
Rate Weighted Average
Funding Cost Weighted Average
Haircut Fair Value
Pledged Amortized Cost Accrued Interest
Greater than 180 days $ 21,796,000 2.91 % 3.13 % 33.5 % $ 32,800,000 $ 32,798,706 $ 125,314

Although repurchase agreements are committed borrowings until maturity, the lender retains the right to mark the underlying collateral to fair value. A reduction in the value of pledged assets resulting from changes in market conditions or factor changes would require the Company to provide additional collateral or cash to fund margin calls. See Note 7 for details on collateral posted/received against certain derivatives. The following table presents information with respect to the Company’s posting of collateral under repurchase agreements on September 30, 20172021 and December 31, ~~2016, broken out by investment type:~~

September 30, 2017 December 31, 2016
Fair Value of investments pledged as collateral under repurchase agreements
Agency RMBS $ 1,849,664,503 $ 965,154,048
Non-Agency RMBS 905,878,564 990,985,143
ABS 35,918,646 21,231,956
CMBS 208,535,553 201,464,058
Residential Mortgage Loans 20,767,883 31,031,107
Commercial Mortgage Loans 32,800,000 32,800,000
Cash pledged (i.e., restricted cash) under repurchase agreements 10,855,418 17,149,022
Fair Value of unsettled trades pledged as collateral under repurchase agreements: - 3,057,814
Total collateral pledged under Repurchase agreements $ 3,064,420,567 $ 2,262,873,148

2020.

The following ~~table presents~~tables present information ~~with respect to the Company’s total borrowings under repurchase agreements on September~~as of June 30, ~~2017~~2021 and December 31, ~~2016, broken out by investment type:~~

September 30, 2017 December 31, 2016
Repurchase agreements secured by investments:
Agency RMBS $ 1,752,725,000 $ 907,041,000
Non-Agency RMBS 721,638,000 776,459,104
ABS 26,248,000 15,283,000
CMBS 158,739,000 154,386,000
Residential Mortgage Loans 13,405,824 25,544,702
Commercial Mortgage Loans 21,796,000 21,796,000
Gross Liability for Repurchase agreements $ 2,694,551,824 $ 1,900,509,806

~~The following table presents both gross information and net information about repurchase agreements eligible for offset in the consolidated balance sheets as of September 30, 2017:~~

Gross Amounts Not Offset in the
Consolidated Balance Sheets
Description Gross Amounts of
Recognized
Liabilities Gross Amounts
Offset in the
Consolidated Balance
Sheets Net Amounts of Liabilities
Presented in the Consolidated
Balance Sheets Financial
Instruments
Posted Cash Collateral
Posted Net Amount
Repurchase Agreements $ 2,694,551,824 $ - $ 2,694,551,824 $ 2,694,551,824 $ - $ -

~~AG Mortgage Investment Trust Inc. and Subsidiaries~~

~~Notes to Consolidated Financial Statements (unaudited)~~

~~September 30, 2017~~

~~The following table presents both gross information and net information about repurchase agreements eligible for offset in the consolidated balance sheets as of December 31, 2016:~~

Gross Amounts Not Offset in the
Consolidated Balance Sheets
Description Gross Amounts of
Recognized
Liabilities Gross Amounts
Offset in the
Consolidated Balance
Sheets Net Amounts of Liabilities
Presented in the Consolidated
Balance Sheets Financial
Instruments
Posted Cash Collateral
Posted Net Amount
Repurchase Agreements $ 1,900,509,806 $ - $ 1,900,509,806 $ 1,900,509,806 $ - $ -

The Company seeks to obtain financing from several different counterparties in order to reduce the financing risk related to any single counterparty. The Company has entered into master repurchase agreements (“MRAs”) or loan agreements with such financing counterparties. As of September 30, 2017 and December 31, 2016 the Company had 39 and 37 financing counterparties, respectively, under which it had outstanding debt with 28 and 23 counterparties, respectively.

~~The following table presents information at September 30, 2017~~2020 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.~~

Counterparty Stockholders’ Equity
at Risk Weighted Average
Maturity (days) Percentage of
Stockholders’ Equity
RBC (Barbados) Trading Bank Corporation $ 40,066,058 22 6 %
Barclays Capital Inc 37,669,214 11 5 %

The following table presents information at December 31, 2016 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.

Counterparty Stockholders’ Equity
at Risk Weighted Average
Maturity (days) Percentage of
Stockholders’ Equity
Wells Fargo Bank, N.A. $ 50,917,158 357 8 %
JP Morgan Securities, LLC 34,885,263 160 5 %

On April 13, 2015, the Company, AG MIT, LLC (“AG MIT”) and AG MIT CMO, LLC (“AG MIT CMO”), each a subsidiary of the Company, entered into Amendment Number 2 to the Master Repurchase and Securities Contract (the “Second Renewal”) with Wells Fargo Bank, National Association (“Wells Fargo”). The Company elected not to renew the Second Renewal as of September 30, 2017, and the securities that were financed under this facility have since been financed with different counterparties. As of December 31, 2016, the Company had $93.4 million of debt outstanding under this facility.

On February 23, 2017, AG MIT WFB1 2014 LLC (“AG MIT WFB1”), a subsidiary of the Company, entered into Amendment Number Five of the Master Repurchase Agreement and Securities Contract (as amended, the “WFB1 Repurchase Agreement”) with Wells Fargo to finance the ownership and acquisition of certain beneficial interestsentities ($ in trusts owning participation interests in one or more pools of residential mortgage loans. Each transaction under the WFB1 Repurchase Agreement has its own specific terms, such as identification of the assets subject to the transaction, sale price, repurchase price and rate. The WFB1 Repurchase Agreement provides for a funding period ending February 23, 2018 and a facility termination date of February 22, 2019. The maximum aggregate borrowing capacity available under the WFB1 Repurchase Agreement is $50.0 million. The WFB1 Repurchase Agreement contains representations, warranties, covenants, including financial covenants, events of default and indemnities that are customary for agreements of this type. As of September 30, 2017, the Company had $13.4 million of debt outstanding under the WFB1 Repurchase Agreement. As of December 31, 2016, the Company had $25.5 million of debt outstanding under Amendment Number Four of the WFB1 Repurchase Agreement.

On September 17, 2014, AG MIT CREL, LLC (“AG MIT CREL”), a subsidiary of the Company, entered into a Master Repurchase Agreement and Securities Contract (the “CREL Repurchase Agreement”) with Wells Fargo to finance AG MIT CREL’s acquisition of certain beneficial interests in one or more commercial mortgage loans. Each transaction under the CREL Repurchase Agreement will have its own specific terms, such as identification of the assets subject to the transaction, sale price, repurchase price and rate. The CREL Repurchase Agreement provided for a funding period ending September 17, 2016 and an initial facility termination date of September 17, 2016 (the “Initial Termination Date”), subject to the satisfaction of certain terms of the extensions described below. AG MIT CREL had three (3) one-year options to extend the term of the CREL Repurchase Agreement: (i) the first for an additional one year period (the “First Extension Period”) ending September 17, 2017 (the “First Extended Termination Date”), (ii) the second for an additional one year period (the “Second Extension Period”) ending September 17, 2018 (the “Second Extended Termination Date”) and (iii) the third for an additional one year period ending September 17, 2019 (the “Third Extended Termination Date”)thousands). For each of the Initial Termination Date, the First Extended Termination Date, the Second Extended Termination Date and the Third Extended Termination Date, if such day is not a Business Day, such date would be the next succeeding Business Day. Each option was exercisable in each case no more than ninety (90) days and no fewer than thirty (30) days prior to the initial facility termination date, the First Extended Termination Date or the Second Extended Termination Date, as the case may be.


June 30, 2021
Counterparty	Stockholders’ Equity at Risk		Weighted Average Maturity (days)	Percentage of Stockholders’ Equity
Barclays Capital Inc.	$	105,759	103	22.7	%

~~AG Mortgage Investment Trust Inc. and Subsidiaries~~

~~Notes to Consolidated~~


December 31, 2020
Counterparty	Stockholders’ Equity at Risk		Weighted Average Maturity (days)	Percentage of Stockholders’ Equity
BofA Securities, Inc.	$	28,091	19	6.9	%
Credit Suisse AG, Cayman Islands Branch	26,305		35	6.4	%
Barclays Capital Inc.	24,890		15	6.1	%

Financial ~~Statements (unaudited)~~

~~September 30, 2017~~

On August 4, 2015, the Company, AG MIT CREL and AG MIT entered into an Omnibus Amendment No. 1 to Master Repurchase and Securities Contract, Guarantee Agreement and Fee and Pricing Letter (the “First Amendment”) with Wells Fargo. The First Amendment amended certain terms in the CREL Repurchase Agreement, the Guarantee, dated as of September 17, 2014, delivered by the Company and AG MIT to Wells Fargo and the Fee and Pricing Letter, dated as of September 17, 2014, between AG MIT CREL and Wells Fargo. The First Amendment lowered the maximum aggregate borrowing capacity available under the CREL Repurchase Agreement from $150 million to approximately $42.8 million. The First Amendment also provided that the CREL Repurchase Agreement become full recourse to the Company and AG MIT, LLC. By amending the recourse of the CREL Repurchase Agreement to the Company and AG MIT, the Company was able to remove certain financial covenants on AG MIT CREL that limited the amount that AG MIT CREL could borrow under the CREL Repurchase Agreement. The First Amendment also eliminated the fee for the portion of the repurchase facility that was unused. The CREL Repurchase Agreement contains representations, warranties, covenants, including financial covenants, events of default and indemnities that are customary for agreements of this type. As of September 30, 2017 and December 31, 2016, the Company had $21.8 million of debt outstanding under this facility.

In September 2016, the Company exercised its option to extend the term of the CREL Repurchase Agreement to the First Extended Termination Date. In June 2017, the Company, AG MIT CREL and AG MIT entered into an Omnibus Amendment No. 2 to Master Repurchase and Securities Contract, Guarantee Agreement and Fee and Pricing Letter (the “Second Amendment”) with Wells Fargo. The Second Amendment amended the CREL Repurchase Agreement to extend the facility termination date to July 1, 2019 and remove the second and third extension options.

Covenants

The Company’s ~~MRAs~~financing arrangements generally include customary representations, warranties, and covenants, but may also contain more restrictive supplemental terms and conditions. Although specific to each ~~MRA,~~financing arrangement, typical supplemental terms include requirements of minimum equity and liquidity, leverage ratios, and performance ~~triggers or~~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 ~~financial ratios.~~

~~7. Derivatives~~

The Company’s derivatives may include interest rate swaps (“swaps”), TBAs, and Eurodollar Futures and U.S. Treasury Futures, (collectively, “Futures”). Derivatives have not been designated as hedging instruments. Thelenders. To the extent that the Company ~~may also utilize other instruments~~fails to ~~manage interest rate risk, including long and short positions in U.S. Treasury securities.~~

~~The Company exchanges cash “variation margin”~~comply with the ~~counterparties to its derivative instruments at least on a daily basis based upon daily changes~~covenants contained in fair value as measured by the Chicago Mercantile Exchange (“CME”), the central clearinghouse through which those derivatives are cleared. In addition, the CME requires market participants to deposit and maintain an “initial margin” amount whichthese financing arrangements or is ~~determined by the CME and is generally intended~~otherwise found to be ~~set at a level sufficient to protect~~in default under the ~~CME from~~terms of such agreements, the ~~maximum estimated single-day price movement in that market participant’s contracts.~~

~~Receivables recognized for~~counterparty has the right to ~~reclaim cash initial margin posted~~accelerate amounts due under the associated agreement. Financings pursuant to repurchase agreements and revolving facilities are generally recourse to the Company. As of June 30, 2021, the Company is in ~~respect~~compliance with all of ~~derivative instruments are included in~~its financial covenants.

7. Other assets and liabilities

The following table details certain information related to the ~~“Restricted cash”~~Company's "Other assets" and "Other liabilities" line ~~item in the~~items on its consolidated balance ~~sheets. Prior~~sheet as of June 30, 2021 and December 31, 2020 (in thousands):


	June 30, 2021		December 31, 2020
Other assets
Interest receivable	$	6,525	$	2,962

Derivative assets, at fair value	89		0
Other assets	3,703		5,538
Due from broker	1,816		907
Total Other assets	$	12,133	$	9,407

Other liabilities


Interest payable	$	976	$	853
Derivative liabilities, at fair value	310		68
Due to affiliates (1)	3,326		14,041
Accrued expenses	2,266		2,521


Due to broker	2,140		1,272
Total Other liabilities	$	9,018	$	18,755

(1)Refer to the first quarter of 2017, the daily exchange of variation margin associated with centrally cleared derivative instruments was considered a pledge of collateral. For these prior periods, receivables recognizedNote 10 for the right to reclaim cash variation margin posted in respect of derivative instruments are included in the “Restricted cash” line item in the consolidated balance sheets. The Company elected to offset any payables recognized for the obligation to return cash variation margin received from a derivative instrument counterparty against receivables recognized for the right to reclaim cash initial margin posted by the Company to that same counterparty.

Beginning in the first quarter of 2017, as a result of a CME amendment to their rule book which governs their central clearing activities, the daily exchange of variation margin associated with a centrally cleared derivative instrument is legally characterized as the daily settlement of the derivative instrument itself, as opposed to a pledge of collateral. Accordingly, beginning in 2017, the Company accounts for the daily receipt or payment of variation margin associated with its centrally cleared derivative instruments as a direct reduction to the carrying value of the derivative asset or liability, respectively. Beginning in 2017, the carrying amount of centrally cleared derivative instruments reflected in the Company’s consolidated balance sheets approximates the unsettled fair value of such instruments; because variation margin is exchanged on a one-day lag, the unsettled fair value of such instruments represents the change in fair value that occurred on the last day of the reporting period. Non-exchange traded derivatives were not affected by these legal interpretations and continue to be reported at fair value including accrued interest.

more information.

AG Mortgage Investment Trust Inc. and Subsidiaries

Notes to Consolidated Financial Statements ~~(unaudited)~~

~~September~~(Unaudited)

June 30, ~~2017~~

2021

Derivatives

The following table presents the fair value of the ~~Company’s derivative~~Company's derivatives and other instruments and their balance sheet location ~~at September~~as of June 30, ~~2017~~2021 and December 31, ~~2016.~~

Derivatives and Other Instruments Designation Balance Sheet Location September 30, 2017 December 31, 2016
Interest rate swaps Non-Hedge Derivative liabilities, at fair value $ (587,383 ) $ (1,847,219 )
Interest rate swaps Non-Hedge Derivative assets, at fair value 815,622 3,703,366
TBAs Non-Hedge Derivative liabilities, at fair value (1,537,167 ) (423,825 )
TBAs Non-Hedge Derivative assets, at fair value 117,693 -
Short positions on Eurodollar Futures Non-Hedge Derivative assets, at fair value 75,000 -
Short positions on U.S. Treasury Futures Non-Hedge Derivative liabilities, at fair value - (636,211 )
Short positions on U.S. Treasury Futures Non-Hedge Derivative assets, at fair value 19,531 -
Short positions on U.S. Treasuries Non-Hedge Obligation to return securities borrowed under reverse repurchase agreements, at fair value (1) - (22,365,000 )

2020 (in thousands).

Derivatives and Other Instruments (1)

Designation

Balance Sheet
Location

June 30, 2021

December 31, 2020

Pay Fix/Receive Float Interest Rate Swap Agreements (1)

Non-Hedge

Other liabilities

(289)

(68)

TBAs

Non-Hedge

Other assets

TBAs

Non-Hedge

Other liabilities

(21)

(1) ~~The Company’s obligation to return securities borrowed under reverse repurchase agreements as~~As of ~~December 31, 2016 relates to securities borrowed to cover short sales of U.S. Treasury securities. The change~~June 30, 2021, the Company applied a reduction in fair value of $13.3 million and $1.0 million to its interest rate swap assets and liabilities, respectively, related to variation margin with a corresponding increase or decrease in restricted cash, respectively. As of December 31, 2020, the ~~borrowed securities is recorded~~Company applied a reduction in ~~the “Unrealized gain/(loss) on derivatives~~fair value of $1.4 million and ~~other instruments, net” line item~~$0.2 million to its interest rate swap assets and liabilities, respectively, related to variation margin with a corresponding increase or decrease in ~~the Company’s consolidated statement of operations.~~

restricted cash, respectively.

The following table summarizes information related to derivatives and other ~~instruments:~~

Non-hedge derivatives and other instruments held long/(short): September 30, 2017 December 31, 2016
Notional amount of Pay Fix/Receive Float Interest Rate Swap Agreements $ 1,862,000,000 $ 644,000,000
Notional amount of TBAs 116,000,000 (25,000,000 )
Notional amount of short positions on Eurodollar Futures (1) (150,000,000 ) -
Notional amount of short positions on U.S. Treasury Futures (2) (25,000,000 ) (141,500,000 )
Notional amount of short positions on U.S. Treasuries - (24,000,000 )

instruments (in thousands):


Notional amount of non-hedge derivatives and other instruments:	Notional Currency	June 30, 2021		December 31, 2020
Pay Fix/Receive Float Interest Rate Swap Agreements	USD	$	806,000	$	417,000


Short TBAs	USD	(130,000)		0



Short positions on British Pound Futures (1)	GBP	0		3,313

(1)Each ~~Eurodollar~~British Pound Future contract embodies ~~$1.0 million~~£62,500 of notional value.

~~(2) Each U.S. Treasury Future contract embodies $100,000 of notional value.~~

The following table summarizes gains/(losses) related to derivatives and other ~~instruments:~~

Three Months Ended Three Months Ended Nine Months Ended Nine Months Ended
Non-hedge derivatives and other instruments gain/(loss): Statement of Operations Location September 30, 2017 September 30, 2016 September 30, 2017 September 30, 2016
Interest rate swaps, at fair value Unrealized gain/(loss) on derivative and other instruments, net $ 2,954,860 $ 9,700,438 $ 6,213,709 $ (9,816,031 )
Interest rate swaps, at fair value Net realized gain/(loss) (1,813,293 ) (5,205,405 ) (9,896,031 ) (10,938,839 )
Long positions on Eurodollar Futures Unrealized gain/(loss) on derivative and other instruments, net - 2,997 - 2,997
Short positions on Eurodollar Futures Unrealized gain/(loss) on derivative and other instruments, net 74,624 146,044 74,624 (4,503 )
Short positions on Eurodollar Futures Net realized gain/(loss) 323,059 242,006 323,059 242,006
Long positions on U.S. Treasury Futures Unrealized gain/(loss) on derivative and other instruments, net - 126,468 - 106,094
Long positions on U.S. Treasury Futures Net realized gain/(loss) - (351,329 ) - (224,410 )
Short positions on U.S. Treasury Futures Unrealized gain/(loss) on derivative and other instruments, net (721,752 ) (21,123 ) 658,059 -
Short positions on U.S. Treasury Futures Net realized gain/(loss) (223,953 ) 292,930 (4,054,532 ) 307,986
TBAs (1) Unrealized gain/(loss) on derivative and other instruments, net 53,913 (409,021 ) (995,626 ) 32,225
TBAs (1) Net realized gain/(loss) 1,671,836 420,547 3,002,891 445,586
Long positions on U.S. Treasuries Unrealized gain/(loss) on derivative and other instruments, net - (3,081,289 ) - 4,498,750
Long positions on U.S. Treasuries Net realized gain/(loss) - 1,412,695 - 1,836,523
Short positions on U.S. Treasuries Unrealized gain/(loss) on derivative and other instruments, net - 415,782 (1,724,922 ) 215,391
Short positions on U.S. Treasuries Net realized gain - - 1,730,547 -

(1) For the three months ended September 30, 2017, gains and losses from purchases and sales of TBAs consisted of $1.5 million of net TBA dollar roll net interest income and net gains of $0.2 million due to price changes. For the nine months ended September 30, 2017, gains and losses from purchases and sales of TBAs consisted of $2.6 million of net TBA dollar roll net interest income and net losses of $(0.6) million due to price changes. For the three months ended September 30, 2016, gains and losses from purchases and sales of TBAs consisted of $0.1 million of net TBA dollar roll net interest income and net losses of $(0.1) million due to price changes. For the nine months ended September 30, 2016, gains and losses from purchases and sales of TBAs consisted of $0.2 million of net TBA dollar roll net interest income and net gains of $0.3 million due to price changes.

instruments (in thousands):


	Three Months Ended				Six Months Ended
	June 30, 2021		June 30, 2020		June 30, 2021		June 30, 2020
Included within Unrealized gain/(loss), net
Interest Rate Swaps	$	(15,865)	$	0	$	12,555	$	(11,588)

Swaptions	0		(5)		0		(697)

British Pound Futures	0		239		64		186
Euro Futures	0		(28)		0		20
TBAs	67		(392)		67		0

	(15,798)		(186)		12,686		(12,079)

Included within Net realized gain/(loss)
Interest Rate Swaps	897		0		897		(65,368)

Swaptions	0		0		0		(1,386)

British Pound Futures	0		(150)		(165)		514
Euro Futures	0		66		0		68
TBAs	0		392		0		4,610

	897		308		732		(61,562)
Total income/(loss)	$	(14,901)	$	122	$	13,418	$	(73,641)

~~AG Mortgage Investment Trust Inc. and Subsidiaries~~

~~Notes to Consolidated Financial Statements (unaudited)~~

~~September 30, 2017~~

~~The following table presents both gross information and net information about derivative~~

Derivative and other instruments eligible for offset inare presented gross on the consolidated balance sheets as of ~~September~~June 30, ~~2017:~~

Gross Amounts Not Offset in the
Consolidated Balance Sheet
Description Gross Amounts of
Recognized
Assets
(Liabilities) Gross Amounts
Offset in the
Consolidated Balance
Sheets Net Amounts of Assets
(Liabilities) Presented in the
Consolidated Balance Sheets Financial
Instruments
(Posted)/Received Cash Collateral
(Posted)/Received Net Amount
Derivative Assets (1)
Interest Rate Swaps $ 1,151,090 $ - $ 1,151,090 $ - $ 598,139 $ 552,951
U.S. Treasury Futures - Short 19,531 - 19,531 - - 19,531
Eurodollar Futures - Short 75,000 - 75,000 - - 75,000
TBAs 117,693 - 117,693 - - 117,693
Total Derivative Assets $ 1,363,314 $ - $ 1,363,314 $ - $ 598,139 $ 765,175

Derivative Liabilities (2)
Interest Rate Swaps $ (534,763 ) $ - $ (534,763 ) $ - $ (534,763 ) $ -
TBAs (1,537,167 ) - (1,537,167 ) - (1,537,167 ) -
Total Derivative Liabilities $ (2,071,930 ) $ - $ (2,071,930 ) $ - $ (2,071,930 ) $ -

~~(1) Included in Derivative Assets on the consolidated balance sheet is $1,363,314 less accrued interest of $(335,468) for a total of $1,027,846.~~

~~(2) Included in Derivative Liabilities on the consolidated balance sheet is $(2,071,930) less accrued interest of $(52,620) for a total of $(2,124,550).~~

~~The following table presents both gross information~~2021 and ~~net information about derivative instruments eligible for offset in the consolidated balance sheets as of~~ December 31, ~~2016:~~

Gross Amounts Not Offset in the
Consolidated Balance Sheet
Description Gross Amounts of
Recognized
Assets
(Liabilities) Gross Amounts
Offset in the
Consolidated Balance
Sheets Net Amounts of Assets
(Liabilities) Presented in the
Consolidated Balance Sheets Financial
Instruments
(Posted)/Received Cash Collateral
(Posted)/Received Net Amount
Receivable Under Reverse Repurchase Agreements $ 22,680,000 $ - $ 22,680,000 $ 22,365,000 $ - $ 315,000

Derivative Assets (1)
Interest Rate Swaps $ 4,559,134 $ - $ 4,559,134 $ - $ 879,575 $ 3,679,559
Total Derivative Assets $ 4,559,134 $ - $ 4,559,134 $ - $ 879,575 $ 3,679,559

Derivative Liabilities (2)
Interest Rate Swaps $ (1,705,865 ) $ - $ (1,705,865 ) $ - $ (1,705,865 ) $ -
U.S. Treasury Futures - Short (636,211 ) - (636,211 ) - (636,211 ) -
TBAs (423,824 ) - (423,824 ) (423,824 ) - -
Total Derivative Liabilities $ (2,765,900 ) $ - $ (2,765,900 ) $ (423,824 ) $ (2,342,076 ) $ -

~~(1) Included in Derivative Assets on the consolidated balance sheet is $4,559,134 less accrued interest of $(855,768) for a total of $3,703,366.~~

~~(2) Included in Derivative Liabilities on the consolidated balance sheet is $(2,765,900) plus accrued interest of $(141,355) for a total of $(2,907,255).~~

2020, 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

AG Mortgage Investment Trust Inc. and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2021

the derivatives involved. The posting of collateral is generally bilateral, meaning that if the fair value of the Company’s derivatives increases, its counterparty will post collateral to it. ~~On September~~As of June 30, ~~2017,~~2021, the Company's restricted cash balance included $21.9 million of collateral related to certain derivatives, of which $9.6 million represents cash collateral posted by the Company ~~pledged real estate securities with a fair value~~and $12.3 million represents amounts related to variation margin. As of ~~$7.7 million and cash of $26.5 million as collateral against certain derivatives. The Company’s counterparties posted cash of $0.6 million to it as collateral for certain derivatives. On~~ December 31, ~~2016,~~2020, the Company's restricted cash balance included $10.8 million of collateral related to certain derivatives, of which $9.7 million represents cash collateral posted by the Company ~~pledged real estate securities with a fair value of $7.1~~and $1.1 million ~~and cash of $9.4 million as collateral against certain derivatives. The Company’s counterparties posted cash of $0.9 million~~represents amounts related to ~~it as collateral for certain derivatives.~~

variation margin.

Interest rate swaps

To help mitigate exposure to increases in ~~short-term~~ interest rates, the Company ~~uses~~may use currently-paying and ~~may use~~ forward-starting, one- or three-month LIBOR-indexed, pay-fixed, receive-variable, interest rate swap agreements. This arrangement hedges ~~our~~the Company's exposure to higher ~~short-term~~ interest rates because the variable-rate payments received on the swap agreements largely offset additional interest accruing on the related borrowings due to the higher interest rate, leaving the fixed-rate payments to be paid on the swap agreements as the Company’s effective borrowing rate, subject to certain adjustments including changes in spreads between variable rates on the swap agreements and actual borrowing rates.

~~AG Mortgage Investment Trust Inc. and Subsidiaries~~

~~Notes to Consolidated Financial Statements (unaudited)~~

~~September 30, 2017~~

As of ~~September~~June 30, ~~2017,~~2021, the Company’s interest rate swap positions ~~consist~~consisted of pay-fixed interest rate swaps. The following table presents information about the Company’s interest rate swaps as of ~~September~~June 30, ~~2017:~~

Maturity Notional Amount Weighted Average
Pay-Fixed Rate Weighted Average
Receive-Variable Rate Weighted Average
Years to Maturity
2017 $ 36,000,000 0.88 % 1.31 % 0.09
2019 170,000,000 1.36 % 1.31 % 2.13
2020 620,000,000 1.64 % 1.31 % 2.63
2022 606,000,000 1.87 % 1.32 % 4.78
2024 205,000,000 2.03 % 1.31 % 6.71
2026 75,000,000 2.12 % 1.31 % 9.14
2027 150,000,000 2.26 % 1.32 % 9.63
Total/Wtd Avg $ 1,862,000,000 1.79 % 1.32 % 4.51

2021 ($ in thousands):


Maturity	Notional Amount		Weighted Average Pay-Fixed Rate		Weighted Average Receive-Variable Rate		Weighted Average Years to Maturity
2025	$	296,000	0.39	%	0.18	%	4.26
2026	202,000		0.76	%	0.16	%	4.75

2028	95,000		1.02	%	0.16	%	6.62

2030	86,000		0.76	%	0.17	%	9.27
2031	112,000		1.23	%	0.17	%	9.59
2051	15,000		1.96	%	0.19	%	29.80
Total/Wtd Avg	$	806,000	0.74	%	0.17	%	6.41

As of December 31, ~~2016,~~2020, the Company’s interest rate swap positions ~~consist~~consisted of pay-fixed interest rate swaps. The following table presents information about the Company’s interest rate swaps as of December 31, ~~2016:~~

Maturity Notional Amount Weighted Average
Pay-Fixed Rate Weighted Average
Receive-Variable Rate Weighted Average
Years to Maturity
2017 $ 36,000,000 0.88 % 0.89 % 0.84
2019 170,000,000 1.36 % 0.91 % 2.88
2020 115,000,000 1.59 % 0.90 % 3.20
2021 60,000,000 1.86 % 0.96 % 4.94
2022 53,000,000 1.69 % 0.94 % 5.69
2023 85,000,000 2.30 % 0.94 % 6.43
2025 30,000,000 2.48 % 0.94 % 8.43
2026 95,000,000 2.17 % 0.92 % 9.90
Total/Wtd Avg $ 644,000,000 1.74 % 0.92 % 5.01

~~TBAs~~

~~As discussed~~2020 ($ in ~~Note 2,~~thousands):


Maturity	Notional Amount		Weighted Average Pay-Fixed Rate		Weighted Average Receive-Variable Rate		Weighted Average Years to Maturity





2025	$	296,000	0.39	%	0.23	%	4.76
2026	20,000		0.45	%	0.24	%	5.01



2030	86,000		0.76	%	0.23	%	9.77
2031	15,000		0.95	%	0.24	%	10.01
Total/Wtd Avg	$	417,000	0.49	%	0.23	%	5.99

AG Mortgage Investment Trust Inc. and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2021

TBAs

The Company did not hold any TBA positions for the ~~Company has entered into TBAs.~~three months ended June 30, 2020. The following ~~table presents~~tables present information about the Company’s TBAs for the three ~~and nine~~ months ended ~~September~~June 30, ~~2017~~2021 and ~~September~~the six months ended June 30, ~~2016:~~

For the Three Months Ended September 30, 2017
Beginning
Notional
Amount Buys or Covers Sales or Shorts Ending Notional
Amount Fair Value as of
Period End Receivable/(Payable)
from/to Broker Derivative
Asset Derivative
Liability
TBAs - Long $ 300,000,000 $ 738,000,000 $ (922,000,000 ) $ 116,000,000 $ 121,125,315 $ (122,544,789 ) $ 117,693 $ (1,537,167 )
TBAs - Short $ - $ - $ - $ - $ - $ - $ - $ -

For the Three Months Ended September 30, 2016
Beginning
Notional
Amount Buys or Covers Sales or Shorts Ending Notional
Amount Fair Value as of
Period End Receivable/(Payable)
from/to Broker Derivative
Asset Derivative
Liability
TBAs - Long $ 100,000,000 $ 102,000,000 $ (202,000,000 ) $ - $ - $ - $ - $ -
TBAs - Short $ - $ 168,000,000 $ (168,000,000 ) $ - $ - $ (109,375 ) $ 312,500 $ (421,875 )

For the Nine Months Ended September 30, 2017
Beginning
Notional
Amount Buys or Covers Sales or Shorts Ending Notional
Amount Fair Value as of
Period End Receivable/(Payable)
from/to Broker Derivative
Asset Derivative
Liability
TBAs - Long $ 50,000,000 $ 1,914,000,000 $ (1,848,000,000 ) $ 116,000,000 $ 121,125,315 $ (122,544,789 ) $ 117,693 $ (1,537,167 )
TBAs - Short $ (75,000,000 ) $ 75,000,000 $ - $ - $ - $ - $ - $ -

For the Nine Months Ended September 30, 2016
Beginning
Notional
Amount Buys or Covers Sales or Shorts Ending Notional
Amount Fair Value as of
Period End Receivable/(Payable)
from/to Broker Derivative
Asset
Derivative
Liability

TBAs - Long $ 75,000,000 $ 379,000,000 $ (454,000,000 ) $ - $ - $ - $ - $ -
TBAs - Short $ - $ 393,000,000 $ (393,000,000 ) $ - $ - $ (109,375 ) $ 312,500 $ (421,875 )

2021 and June 30, 2020 (in thousands):


						For the Three Months Ended:
		Beginning Notional Amount		Buys or Covers		Sales or Shorts		Ending Net Notional Amount		Net Fair Value as of Period End		Net Receivable/(Payable) from/to Broker		Derivative Asset		Derivative Liability

June 30, 2021	TBAs - Short	$	0	$	0	$	(130,000)	$	(130,000)	$	(134,171)	$	134,239	$	89	$	(21)


						For the Six Months Ended:
		Beginning Notional Amount		Buys or Covers		Sales or Shorts		Ending Net Notional Amount		Net Fair Value as of Period End		Net Receivable/(Payable) from/to Broker		Derivative Asset		Derivative Liability

June 30, 2021	TBAs - Short	$	0	$	0	$	(130,000)	$	(130,000)	$	(134,171)	$	134,239	$	89	$	(21)

June 30, 2020	TBAs - Long	0		728,000		(728,000)		0		0		0		0		0

8. Earnings per share

Following the close of business on July 22, 2021, the Company effected a one-for-three reverse stock split of its outstanding shares of common stock. All per share amounts and common shares outstanding for all periods presented in the unaudited consolidated financial statements have been adjusted on a retroactive basis to reflect the Company’s one-for-three reverse stock split. Refer to Note 2 and Note 11 for additional information.

The following table presents a reconciliation of the earnings and shares used in calculating basic and diluted earnings per share for the three and six months ended June 30, 2021 and 2020.


(in thousands, except per share data)	Three Months Ended				Six Months Ended
	June 30, 2021		June 30, 2020		June 30, 2021		June 30, 2020
Numerator:
Net Income/(Loss) from Continuing Operations	$	15,493	$	2,700	$	58,742	$	(482,317)
Gain on Exchange Offers, net (Note 11)	114		0		472		0
Dividends on preferred stock	(4,689)		(5,667)		(9,613)		(11,334)
Net income/(loss) from continuing operations available to common stockholders	$	10,918	$	(2,967)	$	49,601	$	(493,651)
Net Income/(Loss) from Discontinued Operations	0		361		0		361
Net income/(loss) available to common stockholders	$	10,918	$	(2,606)	$	49,601	$	(493,290)

Denominator:
Basic weighted average common shares outstanding	15,595		10,953		14,860		10,935

Diluted weighted average common shares outstanding (1)	15,595		10,953		14,860		10,935

Earnings/(Loss) Per Share - Basic (2)
Continuing Operations	$	0.70	$	(0.27)	$	3.34	$	(45.14)
Discontinued Operations	0		0.03		0		0.03
Total Earnings/(Loss) Per Share of Common Stock (2)	$	0.70	$	(0.24)	$	3.34	$	(45.11)

Earnings/(Loss) Per Share - Diluted (2)
Continuing Operations	$	0.70	$	(0.27)	$	3.34	$	(45.14)
Discontinued Operations	0		0.03		0		0.03
Total Earnings/(Loss) Per Share of Common Stock (2)	$	0.70	$	(0.24)	$	3.34	$	(45.11)

AG Mortgage Investment Trust Inc. and Subsidiaries

Notes to Consolidated Financial Statements ~~(unaudited)~~

~~September~~(Unaudited)

June 30, ~~2017~~

~~8. Earnings per share~~

Basic earnings per share (“EPS”) is calculated by dividing net income/(loss) available to common stockholders for the period by the weighted- average shares of the Company’s common stock outstanding for that period that participate in the Company’s common dividends. Diluted EPS takes into account the effect of dilutive instruments, such as stock options, warrants, unvested restricted stock and unvested2021

(1) Manager restricted stock units ~~but uses the average share price for the period in determining the number~~ of ~~incremental shares that are to be added to the weighted-average number of shares outstanding.~~

~~As of September 30, 2017~~5.5 thousand and ~~September 30, 2016, the Company’s outstanding warrants and unvested restricted stock units~~5.8 thousand were ~~as follows:~~

September 30, 2017 September 30, 2016
Outstanding warrants 1,007,500 1,007,500
Unvested restricted stock units previously granted to the Manager 60,000 20,003

Each warrant entitles the holder to purchase half a share of the Company’s common stock at a fixed price upon exercise of the warrant. For the three and nine months ended September 30, 2017 and September 30, 2016, the Company excluded ~~the effects of such~~ from the computation of diluted earnings per share because ~~their~~its effect would be ~~anti-dilutive.~~

anti-dilutive for the three and six months ended June 30, 2020, respectively.

Restricted stock units ~~granted~~issued to the ~~manager~~Manager do not entitle the participant the rights of a shareholder of the Company’s common stock, such as dividend and voting rights, until shares are issued in settlement of the vested units. The restricted stock units are not considered to be participating shares. The dilutive effects of the restricted stock units are only included in diluted weighted average common shares outstanding.

The Company had 0 unvested restricted stock units as of June 30, 2021 and December 31, 2020, respectively.

The following table ~~presents a reconciliation of~~details the ~~earnings and shares used in calculating basic and diluted EPS for~~Company's common stock dividends declared during the six months ended June 30, 2021:

2021

Declaration Date

Record Date

Payment Date

Cash Dividend Per Share

3/22/2021

4/1/2021

4/30/2021

0.18

6/15/2021

6/30/2021

7/30/2021

0.21

Total

0.39

The Company did 0t declare any common stock dividends during the three and ~~nine~~six months ended ~~September~~June 30, ~~2017 and September 30, 2016:~~

Three Months Ended Three Months Ended Nine Months Ended Nine Months Ended
September 30, 2017 September 30, 2016 September 30, 2017 September 30, 2016
Numerator:
Net income/(loss) available to common stockholders for basic and diluted earnings per share $ 32,644,083 $ 42,764,611 $ 84,198,168 $ 54,662,617

Denominator:
Basic weighted average common shares outstanding 27,841,452 27,802,124 27,756,357 28,036,809
Dilutive effect of restricted stock units 15,313 2,030 13,942 -
Diluted weighted average common shares outstanding 27,856,765 27,804,154 27,770,299 28,036,809

Basic Earnings/(Loss) Per Share of Common Stock: $ 1.17 $ 1.54 $ 3.03 $ 1.95
Diluted Earnings/(Loss) Per Share of Common Stock: $ 1.17 $ 1.54 $ 3.03 $ 1.95

2020.

The following tables detail ~~our common stock dividends for~~ the ~~nine months ended September 30, 2017, and September 30, 2016:~~

2017
Declaration Date Record Date Payment Date Dividend Per Share
3/10/2017 3/21/2017 4/28/2017 $ 0.475
6/8/2017 6/19/2017 7/31/2017 0.475
9/11/2017 9/29/2017 10/31/2017 0.575 *

*The combined dividend of $0.575 includes a dividend of $0.475 per common share and a special cash dividend of $0.10 per common share.

2016
Declaration Date Record Date Payment Date Dividend Per Share
3/10/2016 3/21/2016 4/29/2016 $ 0.475
6/9/2016 6/20/2016 7/29/2016 0.475
9/12/2016 9/23/2016 10/31/2016 0.475

~~AG Mortgage Investment Trust Inc. and Subsidiaries~~

~~Notes to Consolidated Financial Statements (unaudited)~~

~~September 30, 2017~~

~~The following tables detail our~~Company's preferred stock dividends declared and paid during the ~~nine~~six months ended ~~September~~June 30, ~~2017,~~2021 and ~~September 30, 2016:~~

2017
Dividend Declaration Date Record Date Payment Date Dividend Per Share
8.25% Series A 2/16/2017 2/28/2017 3/17/2017 $ 0.51563
8.25% Series A 5/15/2017 5/31/2017 6/19/2017 0.51563
8.25% Series A 8/16/2017 8/31/2017 9/18/2017 0.51563

Dividend Declaration Date Record Date Payment Date Dividend Per Share
8.00% Series B 2/16/2017 2/28/2017 3/17/2017 $ 0.50
8.00% Series B 5/15/2017 5/31/2017 6/19/2017 0.50
8.00% Series B 8/16/2017 8/31/2017 9/18/2017 0.50

2016
Dividend Declaration Date Record Date Payment Date Dividend Per Share
8.25% Series A 2/12/2016 2/29/2016 3/17/2016 $ 0.51563
8.25% Series A 5/13/2016 5/31/2016 6/17/2016 0.51563
8.25% Series A 8/15/2016 8/31/2016 9/19/2016 0.51563

Dividend Declaration Date Record Date Payment Date Dividend Per Share
8.00% Series B 2/12/2016 2/29/2016 3/17/2016 $ 0.50
8.00% Series B 5/13/2016 5/31/2016 6/17/2016 0.50
8.00% Series B 8/15/2016 8/31/2016 9/19/2016 0.50

2020:


2021			Cash Dividend Per Share
Declaration Date	Record Date	Payment Date	8.25% Series A		8.00% Series B		8.000% Series C
2/16/2021	2/26/2021	3/17/2021	$	0.51563	$	0.50	$	0.50
5/17/2021	5/28/2021	6/17/2021	0.51563		0.50		0.50
Total			$	1.03126	$	1.00	$	1.00


2020			Cash Dividend Per Share
Declaration Date	Record Date	Payment Date	8.25% Series A		8.00% Series B		8.000% Series C

2/14/2020	2/28/2020	3/17/2020	$	0.51563	$	0.50	$	0.50

9. Income taxes

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. Most states follow U.S. federal income tax treatment of REITs.

For the three months ended September 30, 2017 and September 30, 2016, the Company recorded excise tax expense of $0.3 million and $0.2 million, respectively. For the nine months ended September 30, 2017 and September 30, 2016, the Company recorded excise tax expense of $1.1 million and $1.0 million, respectively.

Excise tax represents a four percent tax on the required amount of the Company’s ordinary income and net capital gains not distributed during the year. The ~~quarterly~~ expense is calculated in accordance with applicable tax regulations.

For the three and six months ended June 30, 2021, as well as the three months ended June 30, 2020, the Company did 0t record any excise tax expense. For the six months ended June 30, 2020, the Company recorded excise tax expense of $(0.8) million. The reversal of the previously accrued excise tax expense during the six months ended June 30, 2020 was a result of losses resulting from market conditions associated with the COVID-19 pandemic.

The Company files tax returns in several U.S jurisdictions. There are no ongoing U.S. federal, state or local tax ~~examinations.~~

~~The Company elected~~examinations related to ~~treat certain domestic subsidiaries as TRSs and may elect to treat other subsidiaries as TRSs. In general, a TRS may hold assets and engage in activities that~~ the ~~Company cannot hold or engage in directly, and generally may engage in any real estate or non-real estate-related business.~~

The Company elected to treat one of its foreign subsidiaries as a TRS and, accordingly, taxable income generated by this TRS may not be subject to local income taxation, but generally will be included in the Company’s income on a current basis as Subpart F income, whether or not distributed.

Company.

Based on ~~the Company’s~~its analysis of any potential uncertain income tax positions, the Company concluded it did not have any uncertain tax positions that meet the recognition or measurement criteria of ASC 740 as of ~~September~~June 30, ~~2017 or December 31, 2016.~~2021. The Company’s federal income tax returns for the last three tax years are open to examination by the Internal Revenue Service. 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.

AG Mortgage Investment Trust Inc. and Subsidiaries

Notes to Consolidated Financial Statements ~~(unaudited)~~

~~September~~(Unaudited)

June 30, ~~2017~~

2021

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. ~~As of September 30, 2017 and December 31, 2016, no event of termination had occurred.~~ 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”~~"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 Angelo Gordon. The Company does not have any employees. The Manager, pursuant to a delegation agreement dated as of June 29, 2011, has delegated to 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 agreements.

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”~~"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 described below incurred in current or prior periods), less any amount that the Company pays for repurchases of its common stock, excluding any unrealized gains, losses or other non-cash items that have impacted stockholders’ equity as reported in the Company’s financial statements prepared in accordance with GAAP, regardless of whether such items are included in other comprehensive income or loss, or in net income, and excluding one-time events pursuant to changes in GAAP, and certain other non-cash charges after discussions between the Manager and the Company’s independent directors and after approval by a majority of the Company’s independent directors. Stockholders’ Equity, for purposes of calculating the management fee, could be greater or less than the amount of stockholders’ equity shown on the Company’s financial statements.

For the three and ~~nine~~six months ended ~~September~~June 30, ~~2017,~~2021, the Company incurred management fees of approximately ~~$2.5~~$1.7 million and ~~$7.4~~$3.3 million, respectively. For the three and ~~nine~~six months ended ~~September~~June 30, ~~2016,~~2020, the Company incurred management fees of approximately ~~$2.4~~$1.7 million and ~~$7.3~~$3.8 million, respectively.

~~Termination~~ As of June 30, 2021 and December 31, 2020, the Company recorded management fees payable of $1.7 million and $1.7 million, respectively.

On April 6, 2020, the Company and the Manager executed an amendment to the management agreement pursuant to which the Manager agreed to defer the Company's payment of the management fee

~~The termination~~ effective the first quarter of 2020 through September 30, 2020.

On September 24, 2020, the Company and the Manager executed another amendment (the "Second Management Agreement Amendment") to the management agreement, pursuant to which the Manager agreed to receive a portion of the deferred base management fee in shares of common stock. Pursuant to the Second Management Agreement Amendment, the Manager agreed to purchase (i) 405,123 shares of common stock in full satisfaction of the deferred base management fee of $3.8 million payable by the Company in respect to the first and second quarters of 2020 and (ii) 51,500 shares of common stock in satisfaction of $0.5 million of the base management fee payable ~~upon~~by the Company in respect to the third quarter of 2020. The shares of common stock issued to the Manager were valued at $9.45 per share based on the midpoint of the estimated range of the Company’s book value per share as of August 31, 2020. The remaining third quarter 2020 management fee was paid in the normal course of business.

Termination fee

Upon the occurrence of (i) the Company’s termination of the management agreement without cause or (ii) the Manager’s termination of the management agreement upon a breach by the Company of any material term of the management agreement, the Manager will be entitled to a termination fee equal to three times the average annual management fee during the 24-month period prior to such termination, calculated as of the end of the most recently completed fiscal quarter. As of ~~September~~June 30, ~~2017~~2021 and December 31, ~~2016,~~2020, no event of termination of the management agreement had occurred.

AG Mortgage Investment Trust Inc. and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2021

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~~Board of ~~directors.~~

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.

Of the ~~$2.6~~$4.9 million and ~~$8.2~~$8.8 million of Other operating expenses for the three and ~~nine~~six months ended ~~September~~June 30, ~~2017,~~2021, respectively, the Company has ~~accrued $1.4~~incurred $1.1 million and ~~$4.8~~$2.7 million, respectively, representing a reimbursement of expenses. Of the ~~$2.9~~$4.6 million and ~~$8.6~~$5.5 million of Other operating expenses for the three and ~~nine~~six months ended ~~September~~June 30, ~~2016,~~2020, respectively, the Company has ~~accrued $1.8~~incurred $1.9 million and ~~$5.3~~$3.9 million, respectively, representing a reimbursement of expenses.

~~AG Mortgage Investment Trust Inc.~~

As of June 30, 2021 and ~~Subsidiaries~~

~~Notes~~December 31, 2020, the Company recorded a reimbursement payable to ~~Consolidated Financial Statements (unaudited)~~

the Manager of $1.5 million and $1.8 million, respectively. For the year ended December 31, 2021, the Manager agreed to waive its right to receive expense reimbursements of $0.8 million.

On April 6, 2020, the Company executed an amendment to the management agreement pursuant to which the Manager agreed to defer the reimbursement of expenses, effective the first quarter of 2020 through September 30, ~~2017~~

2020. All deferred expense reimbursements were paid as of September 30, 2020.

Secured debt

On April 10, 2020, in connection with the first Forbearance Agreement, the Company issued a secured promissory note (the "Note") to the Manager evidencing a $10 million loan made by the Manager to the Company. Additionally, on April 27, 2020, in connection with the second Forbearance Agreement, the Company and the Manager entered into an amendment to the Note to reflect an additional $10 million loan by the Manager to the Company. The $10 million loan made by the Manager on April 10, 2020 was repaid in full with interest when it matured on March 31, 2021 and the $10 million loan made on April 27, 2020 was repaid in full with interest when it matured on July 27, 2020. The unpaid balance of the Note accrued interest at a rate of 6.0% per annum. Interest on the Note was payable monthly in kind through the addition of such accrued monthly interest to the outstanding principal balance of the Note. The Note and accrued interest on the Note, when outstanding, were included within the due to affiliates amount, which is included within the "Other Liabilities" line item in the consolidated balance sheets. See Note 7 for a breakout of the "Other liabilities" line item.

Restricted stock grants

~~Pursuant to~~

Equity Incentive Plans

Effective on April 15, 2020 upon the ~~Company’s Manager~~approval of the Company's stockholders at its 2020 annual meeting of stockholders, the 2020 Equity Incentive Plan ~~and the Equity Incentive Plan adopted on July 6, 2011, the Company can award up to 277,500~~provides for a maximum of 666,666 shares of ~~its~~ 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 ~~form~~value of ~~restricted stock, stock options, restricted stock units or other types of~~any such awards tobased on the ~~directors, officers, advisors, consultants and other personnel of the Company and to the Manager.~~grant date fair value). As of ~~September~~June 30, ~~2017, 65,238~~2021, 612,676 shares of common stock were available to be awarded under the equity incentive plans. Awards under the equity incentive plans are forfeitable until they become vested. An award will become vested only if the vesting conditions set forth in the applicable award agreement (as determined by the compensation committee) are satisfied. The vesting conditions may include performance of services for a specified period, achievement of performance goals, or a combination of both. The compensation committee also has the authority to provide for accelerated vesting of an award upon the occurrence of certain events in2020 Equity Incentive Plan.

Since its ~~discretion.~~

~~As of September 30, 2017,~~IPO, the Company has granted an aggregate of ~~52,012~~35,264 and 53,990 shares of restricted common stock to its independent directors ~~and 160,250 shares of restricted common stock to its Manager~~ under its equity incentive ~~plans.~~plan dated July 6, 2011 and its 2020 Equity Incentive Plan, respectively. As of ~~September~~June 30, ~~2017, 52,012 and 100,250~~2021, all shares of restricted common stock granted to ~~the Company’s~~its independent directors ~~and Manager, respectively,~~ have vested.

~~On July 1, 2014, the Company granted 60,000 restricted stock units~~

AG Mortgage Investment Trust Inc. and Subsidiaries

Notes to ~~the~~ Consolidated Financial Statements (Unaudited)

June 30, 2021

Manager ~~that represent the right to receive an equivalent number of shares~~Equity Incentive Plans

Following approval of the ~~Company’s~~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 to be issued ~~if and when such units vest. Annual vesting~~to the Manager. As of ~~approximately 20,000 units occurred~~June 30, 2021, there were 0 shares or awards issued under the 2021 Manager Plan.

The AG Mortgage Investment Trust, Inc. Manager Equity Incentive Plan became effective on ~~each of~~ July ~~1, 2015, July 1, 2016, and July 1, 2017.~~

~~On July 1, 2017,~~6, 2011 (the "2011 Manager Plan"). Since its IPO, the Company ~~granted 60,000~~has issued 13,416 shares of restricted common stock and 40,000 restricted stock units to its Manager under the 2011 Manager ~~that represent~~Plan. Upon the ~~right~~adoption of the 2020 Equity Incentive Plan on April 15, 2020, the Company was no longer permitted to ~~receive an equivalent number of~~issue any shares of ~~the Company’s~~our common stock ~~if and when~~under the ~~units vest. Annual vesting of approximately 20,000 units will occur on each~~2011 Manager Plan. As of July 1, ~~2018, July 1, 2019, and July 1, 2020. The units do not entitle the participant the rights~~2020, all shares of ~~a holder of the Company’s~~restricted common stock ~~such as dividend~~ and ~~voting rights, until shares are issued in settlement of~~restricted stock units granted to its Manager under the ~~vested units. The vesting of such units is subject to the continuation of the management agreement. If the management agreement terminates, all unvested units then held by the~~2011 Manager ~~or the Manager’s transferee shall be immediately cancelled and forfeited without consideration.~~

Plan fully vested.

Director compensation

~~The Company pays a $120,000~~

Beginning January 1, 2021, the annual base ~~director’s~~director's fee tofor each independent ~~director. Base director’s fees are paid 50%~~director decreased from $160,000 to $150,000, $70,000 of which is payable on a quarterly basis in cash and ~~50%~~$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 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 his service as an independent member of the Company’s board.

As of June 30, 2021, the Company's Board of Directors consisted of 4 independent directors.

Pursuant to the Forbearance Agreement previously discussed, the Company, among other things, agreed to compensate its independent directors solely with common stock for the quarter ended March 31, 2020.

Investments in debt and equity of affiliates

The Company invests in credit sensitive residential ~~and commercial real estate~~ assets through affiliated entities which hold an ownership interest in the assets. The Company is one investor, amongst other investors managed by affiliates of Angelo Gordon, in such entities and has applied the equity method of accounting for such investments. AsSee Note 2 for the gross fair value of ~~September 30, 2017 and December 31, 2016,~~ the ~~Company’s~~Company's share of these investments ~~had a fair market value~~as of ~~$79.8 million~~June 30, 2021 and ~~$69.0 million, respectively.~~

December 31, 2020 and the net income/(loss) generated by these investments for the three and six months ended June 30, 2021 and 2020.

The Company’s investment in AG Arc is reflected onwithin the ~~“Investments~~"Investments in debt and equity of ~~affiliates”~~affiliates" line item on its consolidated balance ~~sheets at a~~sheets. The Company has an approximate 44.6% interest in AG Arc. See Note 2 for the fair value of ~~$17.8 million and $12.9 million on September~~AG Arc as of June 30, ~~2017~~2021 and December 31, 2016, respectively. On March 8, 2016, an affiliate of the Manager (“the Affiliate”) became a member of AG Arc. The Affiliate acquired an ownership interest in AG Arc which resulted in the Company’s ownership interest being reduced on a pro-rata basis.

In June 2016, Arc Home closed on the acquisition of a Fannie Mae, Freddie Mac, Federal Housing Administration (“FHA”), Veteran’s Administration (“VA”) and Ginnie Mae seller/servicer of mortgages with licenses to conduct business in 47 states, including Washington D.C. Through this subsidiary, Arc Home originates conforming, Government, Jumbo and other non-conforming residential mortgage loans, retains the mortgage servicing rights associated with the loans it originates, and purchases additional mortgage servicing rights from third-party sellers. Arc Home is led by an external management team.

2020.

Arc Home may sell loans to the Company, to third parties, or to affiliates of the Manager. Arc Home may also enter into agreements with us, third parties, or affiliates of the Manager to sell rights to receive the excess servicing spread related to MSRs that it either purchases from third parties or originates. ~~In March of 2017, the~~The Company, directly or through its subsidiaries, has entered into ~~an agreement~~agreements with Arc Home to purchase rights to receive the excess servicing spread related to certain of ~~its MSRs~~Arc Home's MSRs. As of June 30, 2021 and ~~as of September 30, 2017,~~December 31, 2020, these Excess MSRs had a fair value of approximately ~~$2.6 million.~~

$2.9 million and $3.5 million, respectively. See below "Transactions with affiliates" for details regarding the sale of a portion of the Company's Excess MSRs during the third quarter of 2020. In ~~August 2017,~~July 2021, subsequent to quarter end, the Company sold the remaining Excess MSR portfolio to Arc Home. Arc Home subsequently sold the MSR portfolio to a third-party.

On April 3, 2020, the Company, alongside private funds under the management of Angelo Gordon, restructured its financing arrangements in MATT ("Restructured Financing Arrangement"). The Restructured Financing Arrangement required all principal and interest on the underlying assets in MATT to be used to pay down principal and interest on the outstanding financing arrangement. As of April 3, 2020, the Restructured Financing Arrangement did not have mark-to-market margin calls and was non-recourse to the Company. The Restructured Financing Arrangement provided for a termination date of October 1, 2021. At the earlier of the termination date or the securitization or sale by the Company of the remaining assets subject to the Restructured Financing Arrangement, the financing counterparty (which is a non-affiliate) was entitled to 35% of the remaining

AG Mortgage Investment Trust Inc. and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2021

equity in the assets. The Company evaluated this restructuring and concluded it was an extinguishment of debt. MATT chose to make a fair value election on this financing arrangement and the Company treated this arrangement consistently with this election.

On January 29, 2021, the Company, alongside private funds under the management of Angelo Gordon, entered into ~~MATH’s Limited Liability~~an amendment with respect to its Restructured Financing Arrangement in MATT. The amendment serves to convert the existing financing to a mark-to-market facility that is recourse to the Company ~~Agreement (the “MATH~~and the private funds managed by Angelo Gordon that invest in MATT up to the below mentioned commitment from MATH to MATT. Upon amending the agreement, the Company settled the premium recapture fee with the financing counterparty.

On January 29, 2021, the Company alongside private funds under the management of Angelo Gordon, entered into an amendment to the MATH LLC ~~Agreement”),~~Agreement, which requires ~~that~~ MATH to fund a capital commitment of ~~$75.0~~$50.0 million to MATT. The ~~Company’s~~Company, through its investment in MATH, is responsible for its pro-rata share of ~~MATH’s total~~the capital ~~commitment~~commitment. Refer to ~~MATT is $33.4 million. As~~Note 12 for additional information.

The Company's investment in LOTS require it to fund various commitments in connection with the origination of ~~September 30, 2017, the~~Land Related Financing. Refer to Note 12 for additional information. The Company ~~had not funded any of its commitment to MATH.~~

has an approximate 47.5% and 50% interest in LOTS I and LOTS II, respectively.

~~AG Mortgage Investment Trust Inc. and Subsidiaries~~

~~Notes to Consolidated Financial Statements (unaudited)~~

~~September 30, 2017~~

Transactions with affiliates

In May 2015, the Company completed an arm’s-length securitization with other investors managed by an affiliate of the Manager (the “Related Parties”) by combining the assets of a prior private securitization, in which the Company held a 10.0% ownership interest, with the assets of another private securitization held entirely by the Related Parties. The Company’s investment in this securitization is reflected on the “Non-Agency” line item on the consolidated balance sheets and had a fair value of $3.1 million as of the date of the securitization. The Company completed another similar arm’s-length securitization in July 2015 with the Related Parties by combining the assets of a private securitization, in which the Company held a 7.5% ownership interest, with the assets of another private securitization held entirely by the Related Parties. The Company’s investment in this securitization is reflected on the “Non-Agency” line item on the consolidated balance sheets and had a fair value of a fair value of $5.1 million as of the date of the securitization. The remaining interests in each securitization were owned by certain of the Related Parties. Each securitization was backed by collateral consisting of seasoned NPLs and RPLs. The Company obtained third party pricing for each transaction.

In July 2015, the Company completed an arm’s-length purchase at fair value. Certain entities managed by an affiliate of the Company’s Manager (“Related Entities”) had previously formed a joint venture (“Joint Venture”) with an unaffiliated third party. The Joint Venture owns certain multi-family properties for which the mortgages partly collateralize a securitization wherein the Company purchased certain bond tranches. To ensure an arm’s-length transaction, an affiliate of the Manager delegated its decision making rights with respect to the securitization to a third party servicer. In addition, the members of the Joint Venture agreed to cease sharing material non-public information with the Company’s investment team regarding the collateral. The investment by the Company in these bond tranches was reflected on the “Investments in debt and equity of affiliates” line item on the consolidated balance sheets with a fair value of $7.1 million as of the date of the purchase.

In connection with the Company’s investments in residential mortgage loans, ~~and~~ residential mortgage loans in securitized form ~~that it purchases from~~which are issued by an ~~affiliate (or affiliates) of the Manager (“Securitized Whole Loans”),~~entity in which the Company ~~may engage~~holds an equity interest in and which are held alongside other private funds under the management of Angelo Gordon (the "Re/Non-Performing Loans") and Non-QM Loans, the Company engages asset managers to provide advisory, consultation, asset management and other ~~services to formulate and implement strategic plans to manage, collect and dispose of loans in a manner that is reasonably expected to maximize the amount of proceeds from each loan.~~services. Beginning in November 2015, the Company also engaged Red Creek Asset Management LLC (“("Asset ~~Manager”~~Manager"), a related party of the Manager and direct subsidiary of Angelo Gordon, as the asset manager for certain of its ~~residential loans and Securitized Whole~~Re/Non-Performing Loans. ~~The Asset Manager acknowledges that~~Beginning in September 2019, the Company ~~will at all times have and retain ownership and control of all loans and that~~engaged the Asset Manager ~~will not acquire (i) title to any loan, (ii) any security interest in any loan, or (iii) any other rights or interests of any kind or any nature whatsoever in or to any loan.~~as the asset manager for its Non-QM Loans. The Company pays the Asset Manager separate arm’s-length asset management fees as assessed and confirmed periodically by a ~~third party~~third-party valuation firm for ~~(i) non-performing loans~~its Re/Non-Performing Loans and ~~(ii) reperforming loans. For~~Non-QM Loans. In the ~~three and nine months ended September 30, 2017,~~third quarter of 2019, the third-party assessment of asset management fees resulted in the Company updating the fee amount for its Re/Non-Performing Loans. The Company also utilized the third-party valuation firm to establish the fee level for Non-QM Loans in the third quarter of 2019. The fees paid by the Company to the Asset Manager ~~inclusive of fees paid through affiliated entities,~~ totaled ~~$41,732~~$0.6 million and ~~$137,022, respectively. For~~$1.1 million for the three and ~~nine~~six months ended ~~September~~June 30, ~~2016, the~~2021, respectively. The fees paid by the Company to the Asset Manager ~~inclusive of fees paid through affiliated entities,~~ totaled ~~$67,189 and $202,715, respectively.~~

~~In connection with~~$0.3 million for the ~~Company’s investments in Excess MSRs purchased through Arc Home, the Company pays a sourcing fee to Arc Home based on the net equity invested by the Company in these investments.~~six months ended June 30, 2020. For the three and ~~nine~~six months ended June 30, 2020, the Company deferred $0.3 million and $0.4 million, respectively, of fees owed to the Asset Manager and continued to defer fees through September 30, ~~2017,~~2020.

During 2020, Arc Home began selling Non-QM Loans to a private fund under the ~~sourcing fees paid by~~management of Angelo Gordon. Arc Home sold Non-QM Loans with an unpaid principal balance of $191.7 million and $268.6 million to this affiliate of the Manager during the three and six months ended June 30, 2021, respectively.

For the three and six months ended June 30, 2021, Arc Home sold Non-QM Loans with an unpaid principal balance of $192.8 million and $250.5 million to the Company, ~~to Arc Home totaled $2,921 and $6,364,~~ respectively. ~~No sourcing fees were paid by~~

In February 2020, the Company, alongside private funds under the management of Angelo Gordon, participated through its unconsolidated ownership interest in MATT in a rated Non-QM Loan securitization, in which Non-QM Loans with a fair value of $348.2 million were securitized. Certain senior tranches in the securitization were sold to ~~Arc Home for~~third parties with the ~~three or nine months ended September 30, 2016.~~

Company and private funds under the management of Angelo Gordon retaining the subordinate tranches, which had a fair value of $26.6 million as of March 31, 2020. The Company has a 44.6% interest in the retained subordinate tranches.

In ~~June 2016,~~July 2020, in accordance with the Company’s Affiliated Transactions Policy, the Company ~~executed two trades whereby the Company acquired~~sold certain real estate securities ~~from two separate affiliates~~to an affiliate of the Manager (the ~~“June Selling Affiliates”~~"July 2020 Acquiring Affiliate"). As of the date of the ~~trades,~~transaction, the real estate securities ~~acquired from~~sold to the ~~June Selling Affiliates~~July 2020 Acquiring Affiliate had a total fair value of ~~$6.9~~$1.9 million. ~~In each case, the June Selling Affiliates sold~~The July 2020 Acquiring Affiliate purchased the real estate securities ~~through a BWIC (Bids Wanted in Competition). Prior~~by submitting an offer to purchase the ~~submission of the BWIC by the June Selling Affiliates,~~securities from the Company ~~submitted its bid for the real estate securities to the June Selling Affiliates. The Company’s pre-submission of its bid~~in a competitive bidding process. This allowed the Company to confirm third-party market pricing and best execution.

In ~~February 2017,~~August 2020, the Company, alongside private funds under the management of Angelo Gordon, participated through its unconsolidated ownership interest in ~~accordance~~MATT in a rated Non-QM Loan securitization, in which Non-QM Loans with a fair value

AG Mortgage Investment Trust Inc. and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2021

of $226.0 million were securitized. Certain senior tranches in the securitization were sold to third parties with the ~~Company’s Affiliated Transactions Policy,~~Company and private funds under the management of Angelo Gordon retaining the subordinate tranches, which had a fair value of $24.3 million as of September 30, 2020. The Company has a 44.6% interest in the retained subordinate tranches.

In August 2020, the Company, ~~executed one trade whereby~~alongside private funds under the ~~Company acquired a real estate security from a separate affiliate~~management of ~~the Manager (the “February Selling Affiliate”). As~~Angelo Gordon, sold its Ginnie Mae Excess MSR portfolio to Arc Home for total proceeds of ~~the date of the trade, the security acquired from the February Selling Affiliate~~$18.9 million. The portfolio had a total ~~fair value~~unpaid principal balance of ~~$2.0 million.~~$3.5 billion. The ~~February Selling Affiliate sold the real estate security through a BWIC. Prior to the submission~~Company's share of the ~~BWIC by the February Selling Affiliate, the Company submitted~~total proceeds approximated $8.5 million, representing its ~~bid for the real estate security~~approximate 45% ownership interest. Arc Home subsequently sold its Ginnie Mae MSR portfolio to ~~the February Selling Affiliate. The Company’s pre-submission of its bid allowed the Company to confirm third-party market pricing and best execution.~~

a third party.

In ~~July 2017,~~October 2020, in accordance with the Company’s Affiliated Transactions Policy, the Company acquired certain real estate securities and Excess MSRs from an affiliate of the Manager (the ~~“July~~"October 2020 Selling ~~Affiliate”~~Affiliate"). As of the date of the ~~trade,~~transaction, the real estate securities and Excess MSRs acquired from the ~~July~~October 2020 Selling Affiliate had a total fair value of ~~$0.2 million.~~$0.5 million and $20.0 thousand, respectively. As procuring market bids for the real estate securities was determined to be impracticable in the Manager’s reasonable ~~judgement,~~judgment, appropriate pricing was based on a valuation prepared by ~~an independent~~ third-party pricing ~~vendor.~~vendors. The third-party pricing ~~vendor~~vendors allowed the Company to confirm third-party market pricing and best execution.

In March 2021, in accordance with the Company’s Affiliated Transactions Policy, the Company sold certain real estate securities to an affiliate of the Manager (the "March 2021 Acquiring Affiliate"). As of the date of the transaction, the real estate securities sold to the March 2021 Acquiring Affiliate had a total fair value of $6.9 million. The March 2021 Acquiring Affiliate purchased the real estate securities by submitting an offer to purchase the securities from the Company in a competitive bidding process. This allowed the Company to confirm third-party market pricing and best execution.

In April 2021, in accordance with the Company’s Affiliated Transactions Policy, the Company sold certain CMBS to affiliates of the Manager (the "April 2021 Acquiring Affiliates"). As of the date of the transaction, the CMBS sold to the April 2021 Acquiring Affiliates had a total fair value of $16.8 million. Pricing was based on valuations prepared by third-party pricing vendors in accordance with the Company's policy. The third-party pricing vendors allowed the Company to confirm third-party market pricing and best execution.

In May 2021, the Company, alongside private funds under the management of Angelo Gordon, participated through its unconsolidated ownership interest in MATT in a rated Non-QM Loan securitization, in which Non-QM Loans with a fair value of $171.4 million were securitized. Certain senior tranches in the securitization were sold to third parties with the Company and private funds under the management of Angelo Gordon retaining the subordinate tranches, which had a fair value of $25.7 million as of June 30, 2021. Subsequent to this transaction, MATT had securitized a majority of Non-QM Loans previously acquired and its remaining portfolio consisted primarily of the subordinate tranches retained from this securitization and past securitizations. During the current year, the Company has begun acquiring Non-QM Loans directly which are recorded in the "Residential mortgage loans, at fair value" line item on the consolidated balance sheets.

11. Equity

Reverse stock split

On July 12, 2021, the Company announced that its board of directors approved a one-for-three reverse stock split of its outstanding shares of common stock. The reverse stock split was effected following the close of business on July 22, 2021. At the Effective Time, every three issued and outstanding shares of the Company’s common stock were converted into one share of the Company’s common stock. No fractional shares were issued in connection with the reverse stock split. Instead, each stockholder holding fractional shares was entitled to receive, in lieu of such fractional shares, cash in an amount determined based on the closing price of the Company's common stock on the date of the Effective Time. As a result, the number of common shares outstanding was reduced from 48,510,978 immediately prior to the Effective Time to 16,170,312. The reverse stock split applied to all of the Company's outstanding shares of common stock and did not affect any stockholder’s ownership percentage of shares of the Company's common stock, except for immaterial changes resulting from the payment of cash for fractional shares. There was no change in the Company's authorized capital stock or par value of each share of common stock as a result of the reverse stock split. All per share amounts and common shares outstanding for all periods presented in the unaudited consolidated financial statements have been adjusted on a retroactive basis to reflect the Company's one-for-three reverse stock split.

AG Mortgage Investment Trust Inc. and Subsidiaries

Notes to Consolidated Financial Statements ~~(unaudited)~~

~~September~~(Unaudited)

June 30, ~~2017~~

~~11. Equity~~

On May 6, 2015, the Company filed a shelf registration statement, registering up to $750.0 million of its securities, including capital stock. On September 30, 2017, $650.0 million of the Company’s securities, including capital stock, was available for issuance under the registration statement.

Concurrently with the IPO, the Company offered a private placement of 3,205,000 units at $20.00 per share to a limited number of investors qualifying as “accredited investors” under Rule 501 of Regulation D promulgated under the Securities Act of 1933, as amended (the “Securities Act”). Each unit consisted of one share of common stock (“private placement share”) and a warrant (“private placement warrant”) to purchase 0.5 of a share of common stock. Each private placement warrant had an exercise price of $20.50 per share (as adjusted for reorganizations, reclassifications, consolidations, mergers, sales, transfers or other dispositions) and is set to expire on July 6, 2018. No warrants were exercised for the three and nine months ended September 30, 2017 and September 30, 2016.

~~The Company’s Series A and Series B Preferred~~ 2021

Stock have no stated maturity and are not subject to any sinking fund or mandatory redemption. Under certain circumstances upon a change of control, the Company’s Series A and Series B Preferred Stock are convertible to shares of the Company’s common stock. Holders of the Company’s Series A and Series B Preferred Stock have no voting rights, except under limited conditions, and holders are entitled to receive cumulative cash dividends at a rate of 8.25% and 8.00% per annum on the Series A and Series B Preferred Stock, respectively, of the $25.00 per share liquidation preference before holders of the common stock are entitled to receive any dividends. Shares of the Company’s Series A and Series B Preferred Stock are currently redeemable at $25.00 per share plus accumulated and unpaid dividends (whether or not declared) exclusively at the Company’s option. Dividends are payable quarterly in arrears on the 17th day of each March, June, September and December. As of September 30, 2017, the Company had declared all required quarterly dividends on the Company’s Series A and Series B Preferred Stock.

repurchase programs

On November 3, 2015, the Company’s ~~board~~Board of ~~directors~~Directors authorized a stock repurchase program (“("Repurchase ~~Program”~~Program") to repurchase up to $25.0 million of ~~its~~the Company's outstanding common stock. Such authorization does not have an expiration date. As part of the Repurchase Program, shares may be purchased in open market transactions, including through block purchases, through privately negotiated transactions, or pursuant to any trading plan that may be adopted in accordance with Rule 10b5-1 of the Exchange Act. Open market repurchases will be made in accordance with Exchange Act Rule 10b-18, which sets certain restrictions on the method, timing, price and volume of open market stock repurchases. Subject to applicable securities laws, the timing, manner, price and amount of any repurchases of common stock under the Repurchase Program may be determined by the Company in its discretion, using available cash resources. Shares of common stock repurchased by the Company under the Repurchase Program, if any, will be cancelled and, until reissued by the Company, will be deemed to be authorized but unissued shares of its common stock as required by Maryland law. The Repurchase Program may be suspended or discontinued by the Company at any time and without prior notice and the authorization does not obligate the Company to acquire any particular amount of common stock. The cost of the acquisition by the Company of shares of its own stock in excess of the aggregate par value of the shares first reduces additional paid-in capital, to the extent available, with any residual cost applied against retained earnings. NoNaN shares were repurchased under the Repurchase Program during the ~~nine~~three and six months ended ~~September~~June 30, ~~2017~~2021 and 2020 and approximately $14.6 million of common stock remained authorized for future share repurchases under the Repurchase Program.

~~The following table presents~~

On February 22, 2021, the Company's Board of Directors authorized a ~~summary~~stock repurchase program (the "Preferred Repurchase Program") pursuant to which the Company's Board of ~~our common stock repurchases~~Directors granted a repurchase authorization to acquire shares of its Series A Preferred Stock, its Series B Preferred Stock, and its Series C Preferred Stock having an aggregate value of up to $20.0 million. NaN shares were repurchased under the Repurchase Program ~~for~~during the ~~nine~~three and six months ended ~~September~~June 30, ~~2016.~~

Month Purchased (1) Total Number of
Shares Repurchased Weighted Average
Price per Share Paid (2) Total Number of Shares
Purchased as Part of Publicly
Announced Program Maximum Number (or
approximate dollar value) of
Shares that May Yet be Purchased
Under the Program (3)
March 2016 119,606 $ 12.86 246,321 $ 21,790,786
May 2016 276,522 13.75 522,843 17,988,891
June 2016 36,725 14.38 559,568 17,460,743
August 2016 165,842 15.74 725,410 14,850,605
September 2016 16,000 15.76 741,410 14,598,493
Total 614,695 $ 14.20 741,410 $ 14,598,493

~~(1) Based on trade date. The Program was announced on November 4, 2015. The Program does not have an expiration date.~~

~~(2) Includes brokerage commissions and clearing fees.~~

~~(3) The maximum dollar amount authorized was $25.0 million.~~

2021.

~~AG Mortgage Investment Trust Inc. and Subsidiaries~~

~~Notes to Consolidated Financial Statements (unaudited)~~

~~September 30, 2017~~

Equity distribution agreements

On May 5, 2017, the Company entered into an equity distribution agreement with each of Credit Suisse Securities (USA) LLC and JMP Securities LLC (collectively, the ~~“Sales Agents”~~"Sales Agents"), which the Company refers to as the ~~“Equity~~"Equity Distribution ~~Agreements”,~~Agreements," pursuant to which the Company may sell up to $100.0 million aggregate offering price of shares of its common stock from time to time through the Sales Agents ~~as defined in Rule 415~~ under the Securities Act of 1933. ~~As of September~~For the three months ended June 30, ~~2017,~~2021, the Company ~~sold 460,932~~issued 0.2 million shares of common stock under the Equity Distribution Agreements for net proceeds of approximately ~~$8.7~~$3.1 million.

For the six months ended June 30, 2021, the Company sold 1.0 million shares of common stock under the Equity Distribution Agreements for net proceeds of approximately $13.1 million. For the three and six months ended June 30, 2020, the Company issued 0.3 million shares of common stock under the Equity Distribution Agreements for net proceeds of approximately $3.5 million. Since inception of the program, the Company has issued approximately 2.2 million shares of common stock under the Equity Distribution Agreements for gross proceeds of $48.3 million.

Shelf registration statement

On May 7, 2021, the Company filed a new shelf registration statement, registering up to $1.0 billion of its securities, including capital stock (the "2021 Registration Statement"). The 2021 Registration Statement became effective on May 26, 2021 and will expire on May 28, 2024. Upon effectiveness of the 2021 Registration Statement, the Company's previous registration statement filed in 2018 was terminated.

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 June 30, 2021, 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. As of December 31, 2020, there were 1.8 million, 4.2 million, and 3.9 million of Series A Preferred Stock, Series B Preferred Stock, and Series C Preferred Stock, respectively, issued and outstanding.

AG Mortgage Investment Trust Inc. and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2021

The following table includes a summary of preferred stock issued and outstanding as of June 30, 2021 ($ and shares in thousands):


Preferred Stock Series	Issuance Date	Shares Outstanding	Carrying Value		Aggregate Liquidation Preference (1)		Optional Redemption Date (2)	Rate (3)(4)
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	8.000	%
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. Shares of the Company's Series C Preferred Stock may be redeemable earlier than the optional redemption date under certain circumstances intended to preserve its qualification as a REIT for Federal income tax purposes.

(3)The initial dividend rate for the Series C Preferred Stock, from and including the date of original issue to, but not including, September 17, 2024, is 8.000% per annum of the $25.00 per share liquidation preference. On and after September 17, 2024, dividends on the Series C Preferred Stock will accumulate at a percentage of the $25.00 liquidation preference equal to an annual floating rate of the then three-month LIBOR plus a spread of 6.476% per annum.

(4)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 state rate per annum before holders of common stock are entitled to receive any cash dividends.

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 6 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.

Dividends

On March 27, 2020, the Company announced that its Board of Directors approved a suspension of the Company's quarterly dividends on its Series A Preferred Stock, Series B Preferred Stock, and Series C Preferred Stock, beginning with the preferred dividend that would have been declared in May 2020, as well as a suspension of the quarterly dividend on the Company's common stock, beginning with the dividend that normally would have been declared in March 2020, in order to conserve capital and improve its liquidity position during the market volatility due to the COVID-19 pandemic. Under the terms of the Company's charter governing its series of preferred stock, the Company cannot pay cash dividends with respect to its common stock if dividends on its preferred stock are in arrears.

On December 17, 2020, the Company paid its Series A Preferred Stock, Series B Preferred Stock, and Series C Preferred Stock dividends that were in arrears as well as the full dividends payable on the preferred stock for the fourth quarter of 2020 in the amount of $1.54689, $1.50, and $1.50 per share, respectively. On December 22, 2020, the Company's Board of Directors declared a dividend of $0.09 per common share for the fourth quarter 2020 which was paid on January 29, 2021 to shareholders of record at the close of business on December 31, 2020. During the first and second quarters of 2021, the Company declared its preferred and common dividends in ordinary course. Refer to Note 8 for more information on dividends declared during the period.

Exchange offers

On August 14, 2020, the Company announced the commencement of an offer to exchange newly issued shares of common stock for up to 250,470 shares of its Series A Preferred Stock, up to 556,600 shares of its Series B Preferred Stock, and up to

AG Mortgage Investment Trust Inc. and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2021

556,600 shares of its Series C Preferred Stock. This offer had an expiration date of September 11, 2020. Based on the final count provided by the Exchange Agent, American Stock Transfer & Trust Company, LLC, a total of 42,820 shares of Series A Preferred Stock, 31,085 Series B Preferred Stock and 29,355 Series C Preferred Stock were validly tendered and not properly withdrawn prior to the expiration of the offer. The Company accepted all such 103,260 validly tendered shares of preferred stock, and issued in exchange a total of 172,100 shares of common stock in reliance upon the exemption from registration provided under Section 3(a)(9) of the Securities Act of 1933, as amended.

On September 30, 2020, the Company agreed to issue an aggregate of 1,226,544 shares of its common stock and agreed to pay aggregate cash consideration of $6.3 million in exchange for 210,662 shares of Series A Preferred Stock, 404,187 shares of Series B Preferred Stock, and 427,467 shares of Series C Preferred Stock, pursuant to a privately negotiated exchange agreement with existing holders of the preferred stock. After the transaction closed, the Series A Preferred Stock, Series B Preferred Stock, and Series C Preferred Stock exchanged pursuant to the exchange agreement were reclassified as authorized but unissued shares of preferred stock without designation as to class or series.

On October 2, 2020, the Company agreed to issue an aggregate of 300,000 shares of its common stock and agreed to pay aggregate cash consideration of $1.7 million in exchange for 260,000 shares of Series C Preferred Stock, pursuant to a privately negotiated exchange agreement with existing holders of the Series C Preferred Stock. After the transaction closed, the Series C Preferred Stock exchanged pursuant to the exchange agreement were reclassified as authorized but unissued shares of preferred stock without designation as to class or series.

On March 17, 2021, the Company agreed to issue an aggregate of 937,462 shares of its common stock in exchange for 153,325 shares of Series A Preferred Stock and 350,609 shares of Series B Preferred Stock, pursuant to a privately negotiated exchange agreement with existing holders of the preferred stock. After the transaction closed, the Series A Preferred Stock and Series B Preferred Stock exchanged pursuant to the exchange agreement were reclassified as authorized but unissued shares of preferred stock without designation as to class or series.

On June 14, 2021, the Company agreed to issue an aggregate of 429,802 shares of its common stock in exchange for 86,478 shares of Series B Preferred Stock and 154,383 shares of Series C Preferred Stock, pursuant to privately negotiated exchange agreements with certain existing holders of the preferred stock. After the transaction closed, the Series B Preferred Stock and Series C Preferred Stock exchanged pursuant to the exchange agreements were reclassified as authorized but unissued shares of preferred stock without designation as to class or series.

As of June 30, 2021, the Company had outstanding 1,663,193 shares of Series A Preferred Stock, 3,727,641 shares of Series B Preferred Stock, and 3,728,795 shares of Series C Preferred Stock.

Common stock issuance to the Manager

On September 24, 2020, the Company issued (i) 405,123 shares of common stock to the Manager in full satisfaction of the deferred base management fee of $3.8 million payable by the Company in respect to the first and second quarters of 2020 and (ii) 51,500 shares of common stock in satisfaction of $0.5 million of the base management fee payable by the Company in respect to the third quarter of 2020. The shares of Common Stock issued to the Manager were valued at $9.45 per share based on the midpoint of the estimated range of the Company’s book value per share as of August 31, 2020. The remaining third quarter management fee was paid in the normal course of business. Refer to Note 10 for more information on this transaction.

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 June 30, 2021, other than as set forth below, the Company was not involved in any material legal proceedings.

On March 25, 2020, certain of the Company's subsidiaries filed a suit in federal district court in New York seeking to enjoin Royal Bank of Canada and one of its affiliates ("RBC") from selling certain assets that the Company had on repo with RBC and seeking damages (AG MIT CMO et al. v. RBC (Barbados) Trading Corp. et al., 20-cv-2547, U.S. District Court, Southern District of New York). On March 31, 2020, the Company withdrew, as moot, its request for injunctive relief in the complaint based on the court's ruling on March 25, 2020 relating to the sale at issue. As previously disclosed in a Form 8-K filed with the SEC on June 2, 2020, the Company entered into a settlement agreement with RBC on May 28, 2020, pursuant to which the Company and RBC mutually released each other from further claims related to the repurchase agreements at issue. As part of the settlement, and to resolve all claims by either party under the repurchase agreements, the Company paid RBC $5.0 million

AG Mortgage Investment Trust Inc. and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

June 30, 2021

in cash and issued to RBC a secured promissory note in the principal amount of $2.0 million. On June 11, 2020, the Company repaid the secured promissory note due to RBC in full. The Company recognized this settlement in the "Net realized gain/(loss)" line item on the consolidated statement of operations in the second quarter of 2020. As a result, the Company has satisfied all of its payment obligations to RBC under the settlement agreement and promissory note, and, as previously reported, the federal lawsuit has been voluntarily dismissed with prejudice.

For the year ended December ~~9, 2015,~~31, 2020, the Company recorded a loss of $11.6 million related to deficiencies asserted by other counterparties. The Company recognized these losses in the "Net realized gain/(loss)" line item on the consolidated statement of operations. As of August 2020, MITT resolved and settled all deficiency claims with lenders.

The below table details the Company's outstanding commitments as of June 30, 2021 (in thousands):


Commitment type	Date of Commitment	Total Commitment		Funded Commitment		Remaining Commitment
Commercial loan K (a)	February 22, 2019	$	20,000	$	18,809	$	1,191
LOTS (b)	Various	24,638		15,877		8,761
MATH (b)	January 29, 2021	22,295		0		22,295
Total		$	66,933	$	34,686	$	32,247

(a)The Company entered into commitments on commercial loans relating to construction projects. See Note 3 for further details.

(b)Refer to Note 10 "Investments in debt and equity of affiliates" for more information regarding LOTS and MATH.

13. Subsequent Events

During July 2021, the Company sold its remaining CMBS portfolio for total proceeds of $33.7 million. A portion of the CMBS portfolio representing $17.6 million of total proceeds was sold at fair value to an affiliate of the Manager and was executed in accordance with the Company’s Affiliated Transactions Policy.

Subsequent to quarter end, the Company purchased $86.1 million of Non-QM Loans, inclusive of $58.5 million which were purchased from Arc Home.

During July 2021, the Company agreed to purchase a pool of residential mortgage loans collateralized by GSE-eligible investment properties with an aggregate unpaid principal balance of $114.7 million. In connection with these acquisitions, the Company entered into a financing arrangement with a maximum uncommitted borrowing capacity of $500 million.

During July 2021, the Company amended its financing arrangements to increase the maximum uncommitted borrowing capacity to finance Non-QM Loans from $800 million to $1.1 billion.

In July 2021, the Company, alongside private funds under the management of Angelo Gordon, ~~through AG~~sold its remaining Excess MSR portfolio to Arc ~~entered into~~Home. Arc ~~Home’s LLC Agreement and agreed~~Home subsequently sold the MSR portfolio to ~~fund an initial capital commitment of $30.0 million.~~ a third-party.

On ~~April 25, 2017,~~July 30, 2021, the Company ~~alongside private funds under the management~~announced that its Board of ~~Angelo, Gordon, agreed to fund an additional capital commitment to Arc Home~~Directors has declared third quarter 2021 preferred stock dividends on its Series A Preferred Stock, Series B Preferred Stock, and Series C Preferred Stock in the amount of ~~$10.0 million. As~~$0.51563, $0.50 and $0.50 per share, respectively. The dividends will be paid on September 17, 2021 to holders of ~~September 30, 2017, the Company’s share of Arc Home’s total capital commitment was $17.8 million. The Company had funded all of its capital commitment to Arc Home as of September 30, 2017.~~

Onrecord on August 29, 2017, the Company, alongside private funds under the management of Angelo, Gordon entered into the MATH LLC Agreement, which requires that MATH fund a capital commitment of $75.0 million to MATT. The Company’s share of MATH’s total capital commitment to MATT is $33.4 million. As of September 30, 2017, the Company had not funded any of this commitment.

~~In the normal course of business, the Company enters into agreements where payment may become due if certain events occur. Management believes that the probability of making such payments is remote.~~

31, 2021.

~~ITEM~~2.

~~MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS.~~

ITEM 2. MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS

In this quarterly report on Form 10-Q, or this ~~“report,”~~"report," we refer to AG Mortgage Investment Trust, Inc. as ~~“we,” “us,”~~"we," "us," the ~~“Company,”~~"Company," or ~~“our,”~~"our," unless we specifically state otherwise or the context indicates otherwise. We refer to our external manager, AG REIT Management, LLC, as our ~~“Manager,”~~"Manager," and we refer to the direct parent company of our Manager, Angelo, Gordon & Co., L.P., as ~~“Angelo,~~"Angelo Gordon.”

The following discussion should be read in conjunction with our consolidated financial statements and the accompanying notes to our consolidated financial statements, which are included in Item 1 of this report, as well as the information contained in our Annual Report on Form 10-K for the year ended December 31, ~~2016.~~

2020, and any subsequent filings.

Forward-Looking Statements

We make forward-looking statements within the meaning of Section 27A of the Securities Act of 1933, as amended (the ~~“Securities Act”~~"Securities Act"), and Section 21E of the Securities Exchange Act of 1934, as amended (the ~~“Exchange Act”~~"Exchange Act"), in this report that are subject to substantial known and unknown risks and uncertainties. These forward-looking statements include information about possible or assumed future results of our business, financial condition, liquidity, returns, results of operations, plans, yields, objectives, the composition of our portfolio, actions by governmental entities, including the Federal Reserve, and the potential effects of actual and proposed legislation on ~~us.~~us, and our views on certain macroeconomic trends, and the impact of the novel coronavirus ("COVID-19"). When we use the words ~~“believe,” “expect,” “anticipate,” “estimate,” “plan,” “continue,” “intend,” “should,” “may”~~"believe," "expect," "anticipate," "estimate," "plan," "continue," "intend," "should," "may" or similar expressions, we intend to identify forward-looking statements.

These forward-looking statements are based upon information presently available to our management and are inherently subjective, uncertain and subject to change. There can be no assurance that actual results will not differ materially from our expectations. Some, but not all, of the factors that might cause such a difference include, ~~but are not limited~~without limitation:

•the uncertainty and economic impact of the COVID-19 pandemic (including the impact of of any significant variants) and of responsive measures implemented by various governmental authorities, businesses and other third parties, and the potential impact of COVID-19 on our personnel;

•changes in our business and investment strategy;

•our ability to predict and control costs;

•changes in interest rates and the fair value of our assets, including negative changes resulting in margin calls relating to the financing of our assets;

•changes in the yield ~~curve,~~ curve;

•changes in prepayment rates on the ~~availability~~loans we own or that underlie our investment securities;

•regulatory and ~~terms of financing,~~structural changes in the residential loan market and its impact on non-agency mortgage markets;

•increased rates of default or delinquencies and/or decreased recovery rates on our assets;

•our ability to obtain and maintain financing arrangements on terms favorable to us or at all;

•whether the Company's legacy commercial loans will be resolved on the terms and within the timeframes anticipated;

•changes in general economic conditions, in our industry and in the finance and real estate markets, including the impact on the value of our ~~assets, general economic conditions,~~ assets;

•conditions in the market for Residential Investments, Agency RMBS, ~~Non-Agency RMBS, ABS~~ and ~~CMBS securities and loans, and~~ Commercial Investments;

•legislative and regulatory ~~changes that could adversely affect us.~~ actions by the U.S. Congress, U.S. Department of the Treasury, the Federal Reserve and other agencies and instrumentalities in response to the economic effects of the COVID-19 pandemic;

•the forbearance program included in the Coronavirus Aid, Relief, and Economic Security Act (the "CARES Act");

•our ability to make distributions to our stockholders in the future;

•our ability to maintain our qualification as a REIT for federal tax purposes; and

•our ability to qualify for an exemption from registration under the Investment Company Act of 1940, as amended.

We caution investors not to rely unduly on any forward-looking statements, which speak only as of the date made, and urge you to carefully consider the risks noted above and identified under the captions ~~“Risk~~"Risk Factors,”" and ~~“Management’s~~"Management’s Discussion and Analysis of Financial Condition and Results of ~~Operations”~~Operations" in our Annual Report on Form 10-K for the year ended December 31, ~~2016~~2020 and any subsequent filings. ~~If any change described above occurs, our business, financial condition, liquidity and results of operations may vary materially from those expressed in our forward-looking statements.~~ New risks and uncertainties arise from time to time, and it is impossible for us to predict those events or how they may affect us. Except as required by law, we are not obligated to, and do not intend to, update or revise any forward-looking statements, whether as a result of new information, future events or otherwise. All forward-looking statements that we make, or that are attributable to us, are expressly qualified by this cautionary notice.

Special Note Regarding COVID-19 Pandemic

The novel coronavirus ("COVID-19") pandemic has and may continue to cause significant disruption in the U.S. and world economies resulting in lost business revenues, significant increases in unemployment, changes in consumer behavior and significant reductions in liquidity and the fair value of many assets, including those in which we invest in. Beginning in mid-March 2020, the global pandemic associated with COVID-19 and the related economic conditions caused financial and mortgage-related asset markets to come under extreme duress, resulting in credit spread widening, a sharp decrease in interest rates and unprecedented illiquidity in repurchase agreement financing and MBS markets. The illiquidity was exacerbated by inadequate demand for MBS among primary dealers due to balance sheet constraints. Refer to the "Financing activities–Forbearance and Reinstatement Agreements" section below for further details related to the impact these economic conditions had on us.

Although market conditions have improved in quarters subsequent to March 2020, the full impact of COVID-19 (including the impact of any significant variants) on the mortgage REIT industry, credit markets, and, consequently, on our financial condition and results of operations for future periods remains uncertain. Future developments with respect to the COVID-19 pandemic, including among others, the emergence of new variants, the effectiveness and durability of current vaccines and government stimulus measures, could materially and adversely affect our business, operations, operating results, financial condition, liquidity, or capital levels.

Executive Summary

During the second quarter of 2021, we continued to focus our efforts on growing our portfolio of Residential Credit Investments, investing in residential mortgage loans with the intent to securitize these assets as market conditions permit. We completed two rated Non-QM securitizations and continued to purchase Non-QM Loans from both third-party originators as well as Arc Home. During the quarter, we sold Agency RMBS, Non-Agency RMBS, and Commercial Investments to continue reallocating capital to our Non-QM Loan portfolio. The information presented below provides a summary of investment and capital activity during the current quarter:

Investment Activity

•Purchased $446.2 million of Non-QM Loans, $197.5 million of which were purchased from Arc Home, a licensed mortgage originator we invest in alongside other Angelo Gordon funds;

◦During the quarter we entered into or amended certain financing arrangements to increase the maximum uncommitted borrowing capacity to $800 million to finance the acquisition of Non-QM Loans;

◦Subsequent to quarter end, we purchased an additional $86.1 million of Non-QM Loans, inclusive of $58.5 million which were purchased from Arc Home, while also increasing our maximum uncommitted borrowing capacity under certain financing arrangements to support our continued growth within the Non-QM Loan market;

•Net sold 30 Year Fixed Rate Agency RMBS, Non-Agency RMBS, and CMBS positions for total net proceeds of $244.2 million, of which $104.6 million is unsettled as of June 30, 2021;

◦Subsequent to quarter end, we sold our remaining CMBS portfolio for proceeds of $33.7 million;

•Participated in a rated securitization in which Non-QM Loans with a fair value of $223.9 million were securitized, converting financing from recourse financing with mark-to-market margin calls to non-recourse financing without mark-to-market margin calls; and

•Alongside private funds under the management of Angelo Gordon, participated through our unconsolidated ownership interest in MATT, in a rated Non-QM Loan securitization in which Non-QM Loans with a fair value of $171.4 million were securitized. Certain senior tranches in the securitization were sold to third parties with us and private funds under the management of Angelo Gordon retaining the subordinate tranches, which had a fair value of $25.7 million as of June 30, 2021. We have a 44.6% interest in the retained subordinate tranches. Subsequent to this transaction, MATT had securitized a majority of Non-QM Loans previously acquired and its remaining portfolio consisted primarily of the subordinate tranches retained from this securitization and past securitizations.

Capital Activity

•Utilized our ATM program to issue 0.2 million shares of common stock, raising net proceeds of approximately $3.1 million;

•Entered into a privately negotiated exchange offer with existing holders of the preferred stock, issuing 0.4 million shares of common stock in exchange for 0.2 million shares of preferred stock; and

•Implemented a reverse stock split primarily to decrease volatility in trading for our common stock. The reverse stock split was effective following the close of business on July 22, 2021 (the "Effective Time"). At the Effective Time, every three issued and outstanding shares of our common stock was converted into one share of common stock. No fractional shares were issued in connection with the reverse stock split. Instead, each stockholder holding fractional shares was entitled to receive, in lieu of such fractional shares, cash in an amount determined based on the closing price of our common stock on the date of the Effective Time.

Our company

We are a mortgage REIT that opportunistically invests in a diversified risk adjusted portfolio of Credit Investments and Agency RMBS. Our Credit Investments include Residential Investments and Commercial Investments. We are a Maryland corporation ~~focused on investing in, acquiring~~ and ~~managing a diversified portfolio of residential mortgage assets, other real estate-related securities and financial assets, which we refer to as our target assets. We~~ are externally managed by our Manager, a wholly-owned subsidiary of Angelo Gordon, pursuant to a management agreement. Our Manager, pursuant to ~~the~~a delegation agreement dated as of June 29, 2011, has delegated to Angelo Gordon the overall responsibility of its day-to-day duties and obligations arising under the management agreement. We conduct our operations to qualify and be taxed as a real estate investment trust ~~or REIT,~~("REIT"), for U.S. federal income tax purposes. Accordingly, we generally will not be subject to U.S. federal income taxes on our taxable income that we distribute currently to our stockholders as long as we maintain our intended qualification as a ~~REIT.~~REIT, with the exception of our domestic taxable REIT subsidiaries ("TRS"). We also operate our business in a manner that permits us to maintain our exemption from registration under the Investment Company Act of 1940, as amended, or the Investment Company Act. Our common stock is traded on the New York Stock Exchange, or the NYSE, under the symbol MITT. Our 8.25% Series A Cumulative Redeemable Preferred Stock and our 8.00% Series B Cumulative Redeemable Preferred Stock trade on the NYSE under the symbols MITT-PA and MITT-PB, respectively.

Our investment portfolio

Our investment portfolio is comprised of our Credit Investments and Agency ~~RMBS,~~RMBS. Our Credit Investments include Residential Investments and Commercial Investments. These investments are described in more detail below.

Credit Investments

Residential Investments

Our Residential Investments include:

•Non-QM Loans, which include:

◦Residential mortgage loans that do not qualify for the Consumer Finance Protection Bureau's (the "CFPB") safe harbor provision for "qualifying mortgages," or "QM." When held directly, these investments are included in the "Residential mortgage loans, at fair value" line item on our consolidated balance sheets.

◦Non-QM Loans held alongside other private funds under the management of Angelo Gordon are held in one of our unconsolidated subsidiaries, Mortgage Acquisition Trust I LLC ("MATT") (see the "Contractual obligations" section below for more detail). These investments are included in the "Investments in debt and equity of affiliates" line item on our consolidated balance sheets.

◦Non-QM Loans in securitized form that are issued by MATT. The securitizations typically take the form of various classes of notes. These investments are included in the "Investments in debt and equity of affiliates" line item on our consolidated balance sheets.

•Re/Non-Performing Loans, which include:

◦RPLs or NPLs in securitized form issued by an entity in which we own an equity interest and that we hold alongside other private funds under the management of Angelo Gordon. The securitizations typically take the form of equity and various classes of notes. These investments are included in the "RMBS" and "Investments in debt and equity of affiliates" line items on our consolidated balance sheets.

◦RPLs or NPLs we hold through interests in certain consolidated trusts. These investments are secured by residential real property, including prime, Alt-A, and subprime mortgage loans, and are included in the "Residential mortgage loans, at fair value" line item on our consolidated balance sheets.

•Land Related Financing includes first mortgage loans we originate to third-party land developers and home builders for purposes of the acquisition and horizontal development of land. These loans may be held through our unconsolidated subsidiaries. These loans are included in the "Investments in debt and equity of affiliates" line item on our consolidated balance sheets.

The Residential Investments that we own also include residential mortgage-backed securities ("RMBS") that are not issued or guaranteed by Ginnie Mae or a GSE. We collectively refer to these investments as our Non-Agency RMBS. The mortgage loan collateral for residential Non-Agency RMBS consists of residential mortgage loans that do not generally conform to underwriting guidelines issued by U.S. government agencies or U.S. government-sponsored entities. Our Non-Agency RMBS include investment grade and non-investment grade fixed and floating-rate securities.

Commercial Investments

Our Commercial Investments include:

•Fixed and ~~ABS, each of~~floating rate commercial mortgage-backed securities ("CMBS") secured by commercial mortgage loans to multiple borrowers ("Conduit") or secured by a single commercial mortgage loan which is ~~described below.~~

backed by a single asset (usually a large commercial property) or by a pool of cross collateralized mortgage obligations to a single borrower or related borrowers ("Single-Asset/Single-Borrower");

•Interest Only securities (CMBS backed by interest-only strips);

•Commercial real estate loans secured by commercial real property, including first mortgages and mezzanine loans for construction or redevelopment of a property; and

•CMBS, Interest-Only securities and CMBS principal-only securities which are regularly-issued by Freddie Mac as structured pass-through securities backed by multifamily mortgage loans ("Freddie Mac K-Series" or "K-Series").

Agency RMBS

Our investment portfolio ~~is comprised primarily of residential mortgage-backed securities, or~~includes RMBS. Certain of the assets in our RMBS portfolio have ~~an explicit~~a guarantee of principal and interest by a U.S. government agency such as the Government National Mortgage Association, or Ginnie Mae, or by a government-sponsored entity such as the Federal National Mortgage Association, or Fannie Mae, or the Federal Home Loan Mortgage Corporation, or Freddie Mac (each, a ~~“GSE”~~"GSE"). We refer to these securities as Agency ~~RMBS.~~RMBS ("Agency RMBS"). Our Agency RMBS ~~portfolio includes:~~

~~Fixed rate securities (held as mortgage pass-through securities);~~

~~Sequential pay fixed rate collateralized mortgage obligations (“CMOs”),~~

CMOs where the holder is entitled only to the interest payments made on the mortgages underlying certain mortgage backed securities (“MBS”) whose coupon has an inverse relationship to its benchmark rate, such as LIBOR (“Inverse interest-only securities”);

~~CMOs where the holder is entitled only to the interest payments made on the mortgages underlying certain MBS “interest-only strips” (“Interest-only securities”);~~

~~Excess mortgage servicing rights (“Excess MSRs”) whose underlying collateral is securitized~~includes fixed rate securities held as mortgage pass-through securities, as well as excess mortgage servicing rights ("Excess MSRs"). Excess MSRs are interests in mortgage servicing rights ("MSR"), representing a ~~trust held by a U.S. government agency or GSE (grouped with Agency RMBS interest-only securities throughout this Item 2); and~~

~~Certain Agency RMBS for which the underlying collateral is not identified until shortly (generally two days) before the purchase or sale settlement date (“TBAs”).~~

~~Residential Investments~~

~~Our investment portfolio also includes a significant~~ portion of ~~Residential Investments. The Residential Investments that we own include RMBS that are not issued or guaranteed by Ginnie Mae~~the interest payment collected from a pool of mortgage loans, net of a basic servicing fee paid to the mortgage servicer. An MSR provides a mortgage servicer with the right to service a mortgage loan or a ~~GSE, which we refer to as our Non-Agency RMBS. Our Non-Agency RMBS include investment grade and non-investment grade fixed and floating-rate securities. We categorize certain~~pool of ~~our Residential Investments by weighted average credit score at origination:~~

~~Prime (weighted average credit score above 700)~~

~~Alt-A (weighted average credit score between 700 and 620); and~~

~~Subprime (weighted average credit score below 620)~~

~~The Residential Investments that we do not categorize by weighted average credit score at origination include our:~~

~~RMBS Interest-Only securities (Non-Agency RMBS backed by interest-only strips)~~

~~Excess MSRs whose underlying collateral is securitized in a trust not held by a U.S. government agency~~mortgages in exchange for a portion of the interest payments made on the mortgage or ~~GSE (grouped with RMBS Interest-Only securities throughout this Item 2)~~

~~CRTs (defined below)~~

~~RPL/NPL (described below); and~~

~~Residential Whole Loans (described below).~~

~~Credit Risk Transfer securities (“CRTs”) include:~~

Unguaranteed and unsecured mezzanine, junior mezzanine and first loss securities issued by Fannie Mae and Freddie Mac to transfer their exposure to mortgage default risk to private investors. These securities reference a specific pool of newly originated single family mortgages from a specified time period (typically around the time of origination). The risk of loss on the reference pool of mortgages is transferred to investors who may experience losses when adverse credit events such as defaults, liquidations or delinquencies occur in the underlying mortgages. ~~Owners of these securities receive an uncapped floating interest rate equal to a predetermined spread over one-month LIBOR.~~

~~RPL/NPL include:~~

Mortgage-backed securities collateralized by re-performing mortgage loans (“RPL”) and/or non-performing mortgage loans (“NPL”). The RPL/NPL that we own represent the senior and mezzanine tranches of such securitizations. These RPL/NPL securitizations are structured with significant credit enhancement (typically, approximately 50% to the senior tranche and 40% to the mezzanine tranche), which mitigates our exposure to credit risk on these securities. “Credit enhancement” refers to the value of the subordinated tranches available to absorb all credit losses prior to those losses being allocated to more senior tranches. For a senior tranche in this type of securitization to experience loss, the value of the collateral underlying the securitization would have to decrease by 50%. Subordinate tranches typically receive no cash flow (interest or principal) until the senior and mezzanine tranches have been paid off. In addition, the RPL/NPL that we own contain an “interest rate step-up” feature, whereby the interest rate or “coupon” on the senior tranche increases by typically 300 basis points or typically 400 basis points in the case of mezzanine tranches (a “step up”) if the security that we hold has not been redeemed or repurchased by the issuer within 36 months of issuance. We expect that the combination of the priority cash flow of the senior and mezzanine tranches and the 36-month step-up feature will result in these securities exhibiting short average lives and, accordingly, reduced interest rate sensitivity.

~~Residential Whole Loans include:~~

~~RPLs or NPLs in securitized form that we purchase from an affiliate (or affiliates) of the Manager. The securitizations typically take the form of various classes of notes and a trust certificate.~~

RPLs or NPLs that we hold through interests in certain consolidated trusts. These investments are included in the “Residential mortgage loans, at fair value” line item on our consolidated balance sheets.

~~Commercial Investments~~

We also invest in Commercial Investments. Our Commercial Investments include commercial mortgage-backed securities, or CMBS, Freddie Mac K-Series CMBS (described below), CMBS interest-only securities (CMBS backed by interest-only strips) and commercial mortgage loans.

~~Freddie Mac K-Series CMBS (“K-Series CMBS”) include:~~

CMBS, CMBS interest-only and CMBS principal-only securities which are regularly-issued by Freddie Mac as pass-through securities backed by multifamily mortgage loans. These K-Series CMBS feature a wide range of investor options which include guaranteed senior and interest-only bonds as well as unguaranteed senior, mezzanine, subordinate and interest-only bonds. Our K-Series CMBS portfolio includes unguaranteed senior, mezzanine, subordinate and interest-only bonds. Throughout Item 2, we categorize our Freddie Mac K-Series CMBS interest-only bonds as part of our “CMBS Interest-Only” assets.

~~ABS~~

We also invest in asset backed securities, or ABS. Our ABS portfolio may include securities collateralized by various asset classes, including automobiles, credit cards and student loans, among others.

Investment classification

Throughout this ~~Item 2,~~report, (1) we use the terms ~~“credit portfolio”~~"credit portfolio" and ~~“credit investments”~~"credit investments" to refer to our Residential Investments and Commercial Investments, ~~and ABS,~~ inclusive of investments held within affiliated entities but exclusive of AG Arc (discussed below); (2) we refer to our ~~residential mortgage loans~~Re/Non-Performing Loans (exclusive of our ~~Residential Whole Loans)~~RPLs or NPLs in securitized form), Non-QM Loans (exclusive of those in securitized form), Land Related Financing, and commercial ~~mortgage~~real estate loans, collectively, as our ~~“loans”~~"loans"; (3) we use the term ~~“credit securities”~~"credit securities" to refer to our credit portfolio, excluding ~~Excess MSRs and~~ loans; and (4) we use the term ~~“real~~"real estate ~~securities”~~securities" or ~~“securities”~~"securities" to refer to our Agency RMBS portfolio, exclusive of Excess MSRs, and our credit securities. Our ~~“investment portfolio”~~"investment portfolio" refers to our combined Agency RMBS portfolio and credit portfolio and encompasses all of the investments described above.

We also use the term ~~“GAAP~~"GAAP investment ~~portfolio”~~portfolio" which consists of (i) our Agency RMBS, exclusive of ~~TBAs~~(x) to-be-announced securities ("TBAs"), if any, and (y) any investment classified as "Other assets" on our consolidated balance sheets (our ~~“GAAP~~"GAAP Agency RMBS ~~portfolio”~~portfolio"), and (ii) our credit portfolio, exclusive of (x) all investments held within affiliated entities ~~(our “GAAP credit portfolio”),~~ and (y) any investments classified as ~~“Other assets”~~"Other assets" on our consolidated balance ~~sheets.~~sheets (our "GAAP credit portfolio"). See Note 2 to the ~~Notes~~"Notes to Consolidated Financial ~~Statements~~Statements" for a discussion of our investments held within affiliated entities.

For a reconciliation of our investment portfolio to our GAAP investment portfolio, see the GAAP Investment Portfolio Reconciliation Table below.

This presentation of our investment portfolio is consistent with how our management evaluates our business, and we believe this presentation, when considered with the GAAP presentation, provides supplemental information useful for investors in evaluating our investment portfolio and financial condition.

Arc Home LLC

~~In December 2015, we,~~

We, alongside private funds under the management of Angelo Gordon, through AG Arc LLC, one of our indirect subsidiaries (“("AG ~~Arc”~~Arc"), formed Arc Home LLC (“("Arc ~~Home”~~Home"). In June 2016, Arc Home closed on the acquisition of a Fannie Mae, Freddie Mac, Federal Housing Administration (“FHA”), Veteran’s Administration (“VA”) and Ginnie Mae seller/servicer of mortgages with licenses to conduct business in 47 states, including Washington D.C. Through this subsidiary, Arc Home originates conforming, Government, Jumbo, Non-QM, and other non-conforming residential mortgage loans and retains the mortgage servicing rights associated with the loans that it ~~originates,~~originates. From time to time, Arc Home may sell originated loans to us or other private funds under the management of Angelo Gordon. See Note 10 to the "Notes to Consolidated Financial Statements (unaudited)" for additional financial information regarding transactions with affiliates.

Market conditions

During the second quarter of 2021, the financial markets generally continued their recovery from the unprecedented dislocation caused by the COVID-19 pandemic and ~~purchases additional~~the resulting economic shutdown across much of the U.S. economy. We believe several factors have contributed to the momentum of the ongoing rise in risk asset prices, including, most recently, vaccination rates, reopening of businesses, demand for fixed income assets, and improving economic data. The Federal Reserve has also consistently signaled that it intends to maintain low interest rates for the foreseeable future. Home price indices continued to point to double-digit growth for national home prices, and in its April 2021 reading, the Case-Shiller index rose almost 15% year-over-year. We expect that the mortgage ~~servicing rights from third-party sellers.~~

~~Market overview~~

~~Spreads for most Agency RMBS, Residential Investment~~ and ~~ABS markets tightened during the third quarter, resulting in a 3.5% increase in our book value. Legacy RMBS securities~~consumer sectors will continue to benefit from ~~a combination~~the unemployment support, which some states are phasing out, and stimulus disbursements, which were included in the Bipartisan-Bicameral Omnibus COVID Relief Deal bill, which was passed by Congress in December 2020.

Non-QM Whole Loans and Securitizations: In the second quarter of ~~strong~~2021, loan originators shifted their monetization strategies away from broadly syndicated sales in favor of negotiated flow agreements and loan sales targeted towards much smaller audiences. In the securitization space, we observed over $5 billion of Non-QM transactions price, almost twice the volume observed in the first quarter. We expect volumes to continue at this pace throughout the year as rates in the Non-QM space have noticeably decreased over the course of this year. In general, the price of residential whole loans continued to remain high as aggregators accounted for the decreased cost of funds in securitization, new government stimulus packages, and the demand ~~and stable fundamentals. Additionally, the supply/demand imbalance in legacy RMBS help fuel a further tightening in new issue spreads. During the quarter, the Federal Reserve laid out its plan~~ for ~~implementing the gradual reduction of its balance sheet reinvestment. This allowed for~~Non-QM assets remains outsized compared to originators ability to reach pre-COVID volumes.

Agency RMBS: Nominal spreads on generic Agency RMBS ~~to realize their best spread performance of the year, with nominal spreads tightening to~~versus benchmark rates ~~by eight to ten basis points during the quarter. Relatively rangebound interest rates, subdued implied volatility and modest supply have~~ continued to serve as a favorable backdrop for Agency RMBS and support our tactical rotation of capital to the sector. The Credit Risk Transfer (“CRT”) sector initially rallied during the quarter, but the arrival of Hurricanes Harvey and Irma put heavy pressure on spreads. Relatively benign loss estimates following the hurricanes caused spreads to retrace some of the widening and the mezzanine tranches that we own ultimately ended the quarter unchanged.

~~Housing, economic and interest rate trends~~

Inclusive of distressed sales, home prices nationwide increased by 6.9% on a year-over-year basis in August 2017 as compared with August 2016, according to data released by CoreLogic. This marks the 67th consecutive monthly increase year-over-year in national home prices. The housing market remains strong, and we expect home price appreciation to persist around current levels due to tight supply conditions across most of the nation. The U.S. government agencies and the Federal Reserve (the “Fed”) policy sponsorship of housing via lower mortgage rates coupled with a stable broader domestic economy have provided support for the housing market recovery.

~~According to CoreLogic, the aggregate negative equity value (homes where the homeowner owes more on the home than the home is worth) decreased $700 million to $284.4 billion~~experience volatility in the second quarter 2021. Although there was continued positive momentum in April 2021, spreads began widening during the following two months. Continued strong bank demand and steady buying by the Federal Reserve remain broadly supportive of ~~2017, from $285.1 billion~~the sector, but the Federal Reserve has signaled that it is beginning to prepare for a reduction of its asset purchases in the future. Payups on specified pools also saw significant volatility during the second quarter of 2016, a decrease of 0.2%. For much of the country, the negative equity epidemic that developed during the 2008-2009 recession has lifted due to the rise in home prices over the past five years. Additionally, credit performance in terms of serious delinquencies and subsequent default rates continued to be stable-to-improving in 2017 and is anticipated to remain stable in the near future.

At its September meeting, the Fed maintained the federal funds interest rate but commenced its previously communicated plan for reducing the size of its balance sheet. Progress continues to be made with respect to the Fed’s dual mandate of full employment and price stability, as unemployment remains below 5%, however inflation has softened recently2021, initially falling sharply in response to market participants selling higher coupon pools and a ~~series~~slowing of ~~transitory factors.~~ collateralized mortgage obligation activity, then partially recovering late in the quarter as lower yields forced accounts to refocus on prepayment protection.

Non-Agency RMBS: Spread tightening for most securitized residential debt sectors extended through the second quarter supported by strong collateral fundamentals, sharply higher home prices, demand for yield, and the ongoing employment recovery. Spreads for most mortgage sub-asset classes narrowed to levels below February 2020 levels, including AAA tranches of re-performing and non-qualified mortgage securitizations and mezzanine Credit Risk Transfer ("CRT") tranches. Issuance of new RMBS rose 35% from the first quarter to over $40 billion, largely due to prime and agency-eligible issuance, which nearly doubled to $16.5 billion. Issuance of non-QM loans and CRT rose 36% to $6 billion and 20% to $6.7 billion, respectively. RMBS volume in the first half of 2021 totaled $70 billion and was around 11% higher than the same period in 2019 (comparison provided to 2019 as volumes in 2020 were impacted as a result of the COVID-19 pandemic).

In light of various market uncertainties, in particular the ~~September update~~pervasive uncertainties of ~~its Summary of Economic Projections,~~ the ~~Fed increased its median forecast for real GDP growth in 2017 and 2019 and maintained its median forecast for 2018 as well decreased its median forecast~~COVID-19 pandemic for the ~~unemployment rate~~U.S. and global economy, there can be no assurance that the trends and conditions described above will not change in ~~2018 and 2019. Ultimately, in light of both~~ a cyclically and structurally depressed neutral interest rate, the Fed may not be able to raise the federal funds rate in-line with its median projected rate of 2.1% by the end of 2018. This, combined with a persistent global bid for high quality fixed income securities, supports a benign range bound outlook for interest rates through year end.

The rise in savings rates since the financial crisis, continued low interest rates, steady employment gains and low energy costs have all contributed to significant improvement in the consumer’s balance sheet. This continues to fuel our optimism about the prospects of further housing recovery and longer term moderate home price appreciation. However, we expect that, without an increase in median income, the pace of home price appreciation is likely to moderate over the coming years.

The market movements outlined above may have a meaningful impact on our operating results and our existing portfolio and may cause us to adjust our investment and financing strategies over time as new opportunities emerge and the risk profiles of our business changes.

~~Recent government activity~~

The current regulatory environment may be impacted by future legislative developments, such as amendments to key provisions of the Dodd-Frank Act or significant reform of the Internal Revenue Code, including significant changesmanner materially adverse to the ~~taxation of business entities. There is a lack of clarity around both the timing and the exact details of any such tax~~ mortgage REIT industry and/or ~~regulatory reform and the impact of such potential reform on~~ our ~~operations.~~

Company.

Results of ~~operations~~

Operations

Our operating results can be affected by a number of factors and primarily depend on the size and composition of our investment portfolio, the level of our net interest income, the ~~market~~fair value of our assets and the supply of, and demand for, our ~~target assets~~investments in residential mortgages in the marketplace, among other things, which can be impacted by unanticipated credit events, such as defaults, liquidations or delinquencies, experienced by borrowers whose mortgage loans are included in our ~~RMBS.~~investment portfolio and other unanticipated events in our markets. Our primary source of net income or loss available to common stockholders is our net interest income, less our cost of hedging, which represents the difference between the interest

earned on our investment portfolio and the costs of financing and ~~hedging our investment portfolio. Our net interest income varies primarily as a result of changes~~economic hedges in ~~market interest rates, prepayment speeds, as measured by the Constant Prepayment Rate (“CPR”)~~place on ~~the Agency RMBS in~~ our investment portfolio, ~~and~~as well as any income or losses from our ~~funding and hedging costs.~~

equity investments in affiliates.

Three Months Ended June 30, 2021 compared to the Three Months Ended June 30, 2020

The table below presents certain information from our consolidated ~~statement~~statements of operations for the three ~~and nine~~ months ended ~~September~~June 30, ~~2017~~2021 and ~~September 30, 2016:~~

Three Months Ended Three Months Ended Nine Months Ended Nine Months Ended
September 30, 2017 September 30, 2016 September 30, 2017 September 30, 2016
Statement of Operations Data:
Net Interest Income
Interest income $ 33,592,587 $ 30,573,134 $ 92,773,014 $ 91,470,588
Interest expense 11,959,225 8,525,365 30,322,030 25,482,661
21,633,362 22,047,769 62,450,984 65,987,927

Other Income
Net realized gain/(loss) 22,286 9,578,488 (12,527,278 ) (8,725,255 )
Realized loss on periodic interest settlements of derivative instruments, net (2,147,452 ) (1,034,251 ) (5,614,971 ) (5,019,565 )
Unrealized gain/(loss) on real estate securities and loans, net 14,892,809 13,461,216 53,189,925 33,260,103
Unrealized gain/(loss) on derivative and other instruments, net 2,422,713 6,961,061 4,224,010 (4,792,369 )
Other income 2,325 341,345 34,207 368,731
15,192,681 29,307,859 39,305,893 15,091,645

Expenses
Management fee to affiliate 2,454,083 2,451,387 7,373,679 7,322,312
Other operating expenses 2,602,473 2,870,662 8,247,060 8,581,726
Servicing fees 22,991 121,806 184,993 359,150
Equity based compensation to affiliate 60,859 75,774 225,877 217,928
Excise tax 375,000 238,167 1,125,000 988,167
5,515,406 5,757,796 17,156,609 17,469,283

Income/(loss) before equity in earnings/(loss) from affiliates 31,310,637 45,597,832 84,600,268 63,610,289
Equity in earnings/(loss) from affiliates 4,700,800 534,133 9,699,962 1,154,390
Net Income/(Loss) 36,011,437 46,131,965 94,300,230 64,764,679

Dividends on preferred stock 3,367,354 3,367,354 10,102,062 10,102,062

Net Income/(Loss) Available to Common Stockholders $ 32,644,083 $ 42,764,611 $ 84,198,168 $ 54,662,617

Share Data:
Earnings/(Loss) Per Share of Common Stock
Basic $ 1.17 $ 1.54 $ 3.03 $ 1.95
Diluted $ 1.17 $ 1.54 $ 3.03 $ 1.95

~~Net Income/(Loss) Available to Common Stockholders~~

Net income/(loss) available to common stockholders decreased $10.2 million from $42.8 million for the three months ended September 30, 2016 to $32.6 million for the three months ended September 30, 2017, primarily due to one time realized gains taken on certain real estate securities and loans for the three months ended September 30, 2016, lower derivative prices, which decreased our “Unrealized gain/(loss) on derivative and other instruments, net,” and higher financing costs, which increased our “Interest expense.”

Net income/(loss) available to common stockholders increased $29.5 million from $54.7 million for the nine months ended September 30, 2016 to $84.2 million for the nine months ended September 30, 2017, primarily due to higher prices on our securities, which increased our “Unrealized gain/(loss) on real estate securities and loans, net,” coupled with higher derivative prices, which increased our “Unrealized gain/(loss) on derivative and other instruments, net,” offset by higher financing costs, which increased our “Interest expense.”

2020 (in thousands):

Three Months Ended
June 30, 2021 June 30, 2020 Increase/(Decrease)
Statement of Operations Data:
Net Interest Income
Interest income $ 14,228 $ 13,369 $ 859
Interest expense 5,294 8,613 (3,319)
Total Net Interest Income 8,934 4,756 4,178
Other Income/(Loss)
Net realized gain/(loss) 4,374 (91,609) 95,983
Net interest component of interest rate swaps (1,573) — (1,573)
Unrealized gain/(loss), net 9,685 100,179 (90,494)
Other income/(loss), net — (155) 155
Total Other Income/(Loss) 12,486 8,415 4,071
Expenses
Management fee to affiliate 1,667 1,678 (11)
Other operating expenses 4,866 4,557 309
Restructuring related expenses — 7,104 (7,104)
Servicing fees 672 566 106
Total Expenses 7,205 13,905 (6,700)
Income/(loss) before equity in earnings/(loss) from affiliates 14,215 (734) 14,949
Equity in earnings/(loss) from affiliates 1,278 3,434 (2,156)
Net Income/(Loss) from Continuing Operations 15,493 2,700 12,793
Net Income/(Loss) from Discontinued Operations — 361 (361)
Net Income/(Loss) 15,493 3,061 12,432
Gain on Exchange Offers, net 114 — 114
Dividends on preferred stock (4,689) (5,667) 978
Net Income/(Loss) Available to Common Stockholders $ 10,918 $ (2,606) $ 13,524

Interest income

Interest income is calculated using the effective interest method for our GAAP investment portfolio and calculated based on the actual coupon ~~rate and the outstanding principal balance on our U.S. Treasury securities.~~

~~Three Months Ended September 30, 2017 compared to the Three Months Ended September 30, 2016~~

rate.

Interest income increased ~~by $3.0 million~~ from ~~$30.6 million at September~~June 30, ~~2016~~2020 to ~~$33.6 million at September~~June 30, ~~2017~~2021 primarily due to an increase in the size of our portfolio. The weighted average amortized cost of our GAAP investment portfolio ~~and U.S. Treasury securities period over period~~increased by ~~$0.4~~$0.7 billion from ~~$2.8~~$1.0 billion ~~at September~~for the three months ended June 30, ~~2016~~2020 to ~~$3.2~~$1.7 billion ~~at September~~for the three months ended June 30, ~~2017.~~2021. The increase was primarily driven by purchases of Non-QM Loans and Agency RMBS during the period. This increase was offset by a decrease in the weighted average yield ~~on our GAAP investment portfolio and U.S. Treasury securities, if applicable, during the period of 0.10% from 4.35% at September 30, 2016 to 4.25% at September 30, 2017.~~

~~Nine Months Ended September 30, 2017 compared to the Nine Months Ended September 30, 2016~~

Interest income increased by $1.3 million from $91.5 million at September 30, 2016 to $92.8 million at September 30, 2017 primarily due to an increase in the weighted average yield on our GAAP investment portfolio and U.S. Treasury securities during the period of 0.33% from 4.19% at September 30, 2016 to 4.52% at September 30, 2017. This was offset by a decrease in the weighted average cost of our GAAP investment portfolio ~~and U.S. Treasury securities, if applicable, period over period~~ by ~~$0.2 billion~~1.82% from ~~$2.9 billion at September~~5.14% for the three months ended June 30, ~~2016~~2020 to ~~$2.7 billion at September~~3.32% for the three months ended June 30, ~~2017.~~

2021.

Interest expense

Interest expense is calculated based on the actual financing rate and the outstanding financing balance of our GAAP investment ~~portfolio and U.S. Treasury securities.~~

~~Three Months Ended September 30, 2017 compared to the Three Months Ended September 30, 2016~~

portfolio.

Interest expense ~~increased by $3.5 million~~decreased from ~~$8.5 million at September~~June 30, ~~2016~~2020 to ~~$12.0 million at September~~June 30, ~~2017~~2021 primarily due to ~~an increase~~a decrease in the weighted average financing rate on our GAAP investment portfolio ~~and U.S. Treasury securities, if applicable,~~ during the ~~period,~~period. The weighted average financing rate on our GAAP investment portfolio decreased by ~~0.40%~~4.44% from ~~1.49% at September~~6.25% for the three months ended June 30, ~~2016~~2020 to ~~1.89% at September~~1.81% for the three months ended June 30, ~~2017.~~2021. This was ~~coupled with~~offset by an increase in the weighted average financing balance on our GAAP investment portfolio ~~and U.S. Treasury securities~~ during the period of ~~$0.2~~$0.6 billion from ~~$2.3~~$0.6 billion ~~at September~~for the three months ended June 30, ~~2016~~2020 to ~~$2.5~~$1.2 billion ~~at September~~for the three months ended June 30, ~~2017. Refer to the “Financing activities” section below for a discussion of our cost of funds.~~

~~Nine Months Ended September 30, 2017 compared to the Nine Months Ended September 30, 2016~~

Interest expense increased by $4.8 million from $25.5 million at September 30, 2016 to $30.3 million at September 30, 2017 primarily due to an increase in the weighted average financing rate on our GAAP investment portfolio and U.S. Treasury securities, if applicable, during the period, by 0.44% from 1.42% at September 30, 2016 to 1.86% at September 30, 2017. This was offset by a decrease in the weighted average financing balance on our GAAP investment portfolio and U.S. Treasury securities during the period of $0.2 billion from $2.4 billion at September 30, 2016 to $2.2 billion at September 30, 2017. Refer to the “Financing activities” section below for a discussion of our cost of funds.

2021. Additionally,

Net realized gain/(loss)

Net realized gain/(loss) represents the net gain or loss recognized on any sales out of our GAAP investment portfolio, Other assets, derivatives, or other instruments, other-than-temporary-impairment (“OTTI”) charges recorded during the period, as well as transfers from Residential mortgage loans to Other assets. Refer to Note 2, Note 3 and Note 4 of the “Notes to Consolidated Financial Statements (Unaudited)” for further discussion on OTTI.

The following table presents a summary of Net realized gain/(loss) for the three ~~and nine~~ months ended ~~September~~June 30, ~~2017~~2021 and ~~September 30, 2016, respectively:~~

Three Months Ended Nine Months Ended
September 30, 2017 September 30, 2016 September 30, 2017 September 30, 2016
Real Estate Securities 2,365,126 9,806,146 1,274,428 9,050,494
Loans - 3,407,112 2,333,855 3,407,112
Loans transferred to Other assets (140,733 ) 277,978 (56,764 ) 277,978
Sale of Other assets (189,957 ) 295,919 (374,613 ) 295,918
Settlement of TBAs 1,671,836 420,547 3,002,891 445,586
Settlement of certain derivatives and other instruments (1,714,187 ) (3,609,103 ) (11,896,957 ) (8,776,734 )
OTTI (1,969,799 ) (1,020,111 ) (6,810,118 ) (13,425,609 )
Total Net realized gain/(loss) 22,286 9,578,488 (12,527,278 ) (8,725,255 )

~~Realized loss on periodic~~2020 (in thousands):

Three Months Ended
June 30, 2021 June 30, 2020
Sales/Seizures of real estate securities $ (4,382) $ (36,288)
Sales of loans and loans transferred to or sold from Other assets 7,859 (55,798)
Settlement of derivatives and other instruments 897 477
Total Net realized gain/(loss) $ 4,374 $ (91,609)

Net interest ~~settlement~~component of ~~derivative instruments, net~~

~~Realized loss on periodic~~ interest ~~settlement~~rate swaps

Net interest component of ~~derivative instruments, net~~interest rate swaps represents the net interest income received or expense paid on our interest rate swaps.

~~Three Months Ended September~~

Net interest component of interest rate swaps decreased from June 30, ~~2017 compared~~2020 to June 30, 2021. As of the ~~Three Months Ended September~~June 30, ~~2016~~

~~Realized loss on periodic~~2021, we held an interest ~~settlement~~rate swap portfolio of ~~derivative instruments, net increased by $1.1~~$806.0 million ~~from $1.0 million at September 30, 2016 to $2.1 million at September 30, 2017 due to an increase in the~~of notional with a weighted average ~~swap notional from $0.4 billion~~receive-variable rate of 0.17% and a weighted average pay-fix rate of 0.74%. We did not hold any interest rate swaps during the three months ended June 30, 2020.

Unrealized gain/(loss), net

The following table presents a summary of Unrealized gain/(loss), net for the three months ended ~~September~~June 30, ~~2016~~2021 and 2020 (in thousands):


	Three Months Ended
	June 30, 2021		June 30, 2020
Real estate securities	$	19,693	$	48,924
Loans	6,823		60,708
Excess mortgage servicing rights	(176)		(888)
Derivatives	(15,798)		(186)
Securitized debt	(857)		(8,379)
Total Unrealized gain/(loss), net	$	9,685	$	100,179

Other income/(loss), net

Other income/(loss), net includes gains or losses on foreign currency pertaining to ~~$1.8 billion for~~the effects of remeasuring the monetary assets and liabilities of our foreign investments into U.S. dollars using foreign currency exchange rates at the end of the reporting period. During the three months ended ~~September~~June 30, ~~2017. This was offset by an increase~~2021, we did not hold any positions denominated in ~~the average three-month LIBOR rate from 0.787% for the three months ended September 30, 2016 to 1.315% for the three months ended September 30, 2017.~~

~~Nine Months Ended September 30, 2017 compared to the Nine Months Ended September 30, 2016~~

Realized loss on periodic interest settlement of derivative instruments, net increased by $0.6 million from $5.0 million at September 30, 2016 to $5.6 million at September 30, 2017 due to an increase in the weighted average swap notional from $0.6 billion for the nine months ended September 30, 2016 to $1.2 billion for the nine months ended September 30, 2017. This was offset by an increase in the average three-month LIBOR rate from 0.686% for the nine months ended September 30, 2016 to 1.197% for the nine months ended September 30, 2017.

foreign currencies.

~~Unrealized gain/(loss) on real estate securities and loans, net~~

Refer to the “Market overview” section of this Item 2 for a discussion of the changes in market pricing which drive our “Unrealized gain/(loss) on real estate securities and loans, net” and “Unrealized gain/(loss) on derivative and other instruments, net” line items. Realized gains and losses on sales also generally impact unrealized gains and losses.

~~Three Months Ended September 30, 2017 compared to the Three Months Ended September 30, 2016~~

For the three months ended September 30, 2017 and September 30, 2016, Unrealized gain/(loss) on real estate securities and loans, net was $14.9 million and $13.5 million, respectively. The $14.9 million at September 30, 2017 was comprised of unrealized gains on securities and loans of $14.3 million and $0.6 million, respectively, during the period.

~~Nine Months Ended September 30, 2017 compared to the Nine Months Ended September 30, 2016~~

For the nine months ended September 30, 2017 and September 30, 2016, Unrealized gain/(loss) on real estate securities and loans, net was $53.2 million and $33.3 million, respectively. The $53.2 million at September 30, 2017 was comprised of unrealized gains on securities and loans of $52.5 million and $0.7 million, respectively, during the period.

~~Unrealized gain/(loss) on derivative and other instruments, net~~

~~Three Months Ended September 30, 2017 compared to the Three Months Ended September 30, 2016~~

For the three months ended September 30, 2017 and September 30, 2016, Unrealized gain/(loss) on derivative and other instruments, net was $2.4 million and $7.0 million, respectively. The $2.4 million at September 30, 2017 was comprised primarily of unrealized gains on interest rate swaps during the period.

~~Nine Months Ended September 30, 2017 compared to the Nine Months Ended September 30, 2016~~

For the nine months ended September 30, 2017 and September 30, 2016, Unrealized gain/(loss) on derivative and other instruments, net was $4.2 million and $(4.8) million, respectively. The $4.2 million at September 30, 2017 was comprised of unrealized gains on certain derivatives of $5.2 million, offset by unrealized losses on TBAs of $1.0 million during the period.

~~Other income~~

~~Other income pertains to certain fees we receive on our residential mortgage loans.~~

~~Three Months Ended September 30, 2017 compared to the Three Months Ended September 30, 2016~~

For the three months ended September 30, 2017 and September 30, 2016, Other income was $2,325 and $341,345, respectively. The decrease in Other income pertains to increased fees we received on one of our residential mortgage loan pools during the three months ended September 30, 2016.

~~Nine Months Ended September 30, 2017 compared to the Nine Months Ended September 30, 2016~~

For the nine months ended September 30, 2017 and September 30, 2016, Other income was $34,207 and $368,731, respectively. The decrease in Other income pertains to increased fees we received on one of our residential mortgage loan pools during the nine months ended September 30, 2016.

Management fee to affiliate

Our management fee is based upon a percentage of our Stockholders’ ~~Equity after excluding unrealized gains or losses and other non-cash items.~~Equity. See the ~~“Contractual obligations”~~"Contractual obligations" section of this Item 2 for further detail on the calculation of our management fee and for the definition of Stockholders’ Equity.

~~Three Months Ended September 30, 2017 compared to the Three Months Ended September 30, 2016~~

~~For the three months ended September 30, 2017 and September 30, 2016, our management fees were $2.5 million and $2.5 million, respectively.~~ Management fees ~~increased slightly due~~remained relatively flat from June 30, 2020 to ~~the increase in our Stockholders’ Equity as calculated pursuant to our Management Agreement.~~

~~Nine Months Ended September~~June 30, ~~2017 compared to the Nine Months Ended September 30, 2016~~

For the nine months ended September 30, 2017 and September 30, 2016, our management fees were $7.4 million and $7.3 million, respectively. Management fees increased slightly due to the increase in our Stockholders’ Equity as calculated pursuant to our Management Agreement.

2021.

Other operating expenses

~~These amounts are~~

This amount is primarily comprised of professional fees, directors’ and officers’ (“("D~~&O”~~&O") insurance and directors’ fees, as well as certain expenses reimbursable to the Manager. We are required to reimburse our Manager or its affiliates for operating expenses ~~which are~~ incurred by our Manager or its affiliates on our behalf, including certain salary expenses and other expenses relating to legal, accounting, due diligence, and other services. Refer to the ~~“Contractual obligations”~~"Contractual obligations" section below for more detail on certain expenses reimbursable to the Manager.

~~Three Months Ended September~~ The following table presents a summary of expenses within Other operating expenses broken out between non-investment related expenses and investment related expenses for the three months ended June 30, ~~2017 compared~~2021 and 2020 (in thousands):

Three Months Ended
June 30, 2021 June 30, 2020
Non Investment Related Expenses
Affiliate expense reimbursement - Operating expenses (1) $ 1,000 $ 1,697
Professional fees 480 648
D&O insurance 394 174
Directors' compensation 167 173
Equity based compensation to affiliate — 75
Other 258 198
Total Non Investment Related Expenses 2,299 2,965
Investment Related Expenses
Affiliate expense reimbursement - Deal related expenses 48 162
Affiliate expense reimbursement - Transaction related expenses 80 —
Residential mortgage loan related expenses 642 887
Transaction related expenses and deal related performance fees (2) 1,805 373
Other (8) 170
Total Investment Expenses 2,567 1,592
Total Other operating expenses $ 4,866 $ 4,557

(1)For the year ended December 31, 2021, the Manager agreed to ~~the Three Months Ended September 30, 2016~~

waive its right to receive expense reimbursements of $0.8 million. For the three months ended ~~September~~June 30, ~~2017 other operating expenses were $2.6 million. This balance, exclusive of certain expenses reimbursable to the Manager, was comprised primarily of (i) $0.3 million related to professional fees, (ii)~~2021, $0.2 million ~~related to residential mortgage loan~~of the reduction in reimbursable expenses is included within the "Affiliated expense reimbursement - Operating expenses" line item above.

(2)The increase in Transaction related expenses ~~(iii) $0.1 million~~and deal related ~~to D&O insurance, and (iv) $0.1 million related to directors’~~performance fees ~~and stock compensation.~~

~~For~~from the three months ended ~~September~~June 30, ~~2016 other operating expenses were $2.9 million. This balance, exclusive of certain expenses reimbursable~~2020 to the ~~Manager, was comprised~~three months ended June 30, 2021 is primarily a result of ~~(i) $0.4 million~~expenses incurred in relation to the settlement of the June 2021 securitization of Non-QM Loans.

Restructuring related ~~to professional fees, (ii) $0.2 million related to residential mortgage loan~~expenses

Restructuring related expenses ~~(iii) $0.2 million related~~relate to ~~D&O insurance,~~legal and ~~(iv) $0.1 million related to directors’~~consulting fees primarily incurred in connection with executing the Forbearance Agreement and ~~stock compensation.~~

~~Nine Months Ended September 30, 2017 compared~~subsequent Reinstatement Agreement in 2020. Refer to the ~~Nine Months Ended September 30, 2016~~

~~For~~"Financing activities" section below for more information regarding the ~~nine months ended September 30, 2017 other operating expenses were $8.2 million. This balance, exclusive of certain expenses reimbursable to~~Forbearance Agreement and the Manager, was comprised primarily of (i) $1.1 million related to professional fees, (ii) $0.6 million related to residential mortgage loan related expenses (iii) $0.5 million related to D&O insurance, and (iv) $0.4 million related to directors’ fees and stock compensation.

For the nine months ended September 30, 2016 other operating expenses were $8.6 million. This balance, exclusive of certain expenses reimbursable to the Manager, was comprised primarily of (i) $1.2 million related to professional fees, (ii) $0.6 million related to residential mortgage loan related expenses (iii) $0.6 million related to D&O insurance, and (iv) $0.3 million related to directors’ fees and stock compensation.

Reinstatement Agreement.

Servicing fees

We incur servicing fee expenses in connection with the servicing of our ~~residential~~Residential mortgage loans. As of ~~September~~June 30, ~~2017~~2021 and ~~September~~June 30, ~~2016,~~2020, we owned Residential mortgage loans with a fair ~~market~~ value of ~~$23.9~~$1.0 billion and $379.8 million, ~~and $42.6 million,~~ respectively.

~~Three Months Ended September 30, 2017 compared to~~ This increase in the ~~Three Months Ended September 30, 2016~~

fair value of the Residential mortgage loans was a result of net purchases of Non-QM Loans in 2021. For the three months ended ~~September~~June 30, ~~2017~~2021 and ~~September 30, 2016~~2020, our servicing fees ~~were $22,991 and $121,806, respectively. The decrease in fees primarily pertains to sales of residential mortgage loans from prior periods.~~

~~Nine Months Ended September 30, 2017 compared to the Nine Months Ended September 30, 2016~~

For the nine months ended September 30, 2017 and September 30, 2016 our servicing fees were $184,993 and $359,150, respectively. The decrease in fees primarily pertains to sales of residential mortgage loans during the period.

~~Equity based compensation to affiliate~~

Equity based compensation to affiliates represents the amortization of the fair value of our restricted stock units remeasured quarterly, less the present value of dividend expected to be paid on the underlying shares through the requisite period.

~~Three Months Ended September 30, 2017 compared to the Three Months Ended September 30, 2016~~

~~Equity based compensation to affiliates remained relatively flat period over period for the three months ended September 30, 2017 and September 30, 2016.~~

~~Nine Months Ended September 30, 2017 compared to the Nine Months Ended September 30, 2016~~

~~Equity based compensation to affiliates remained relatively flat period over period for the nine months ended September 30, 2017 and September 30, 2016.~~

~~Excise tax~~

Excise tax represents a four percent tax on the required amount of our ordinary income and net capital gains not distributed during the year. The quarterly expense is calculated in accordance with applicable tax regulations.

~~Three Months Ended September 30, 2017 compared to the Three Months Ended September 30, 2016~~

For the three months ended September 30, 2017 and September 30, 2016 we recorded excise tax expense of $0.3 million and $0.2 million, respectively. The increase pertains to the receipt of a tax refund in 2016increased as a result of ~~filing our 2015 tax return.~~

~~Nine Months Ended September 30, 2017 compared to the Nine Months Ended September 30, 2016~~

For the nine months ended September 30, 2017 and September 30, 2016 we recorded excise tax expense of $1.1 million and $1.0 million, respectively. The increase pertains to the receipt of a tax refund in 2016 as a result of filing our 2015 tax return.

these net purchases.

Equity in earnings/(loss) from affiliates

Equity in earnings/(loss) from affiliates represents our share of earnings and profits of investments held within affiliated entities. ~~A majority~~Substantially all of these investments are comprised of real estate securities, loans, and our investment in AG Arc.

~~Three Months Ended September 30, 2017 compared~~ The below table reconciles the net income/(loss) to the ~~Three Months Ended September~~"Equity in earnings/(loss) from affiliates" line item on our consolidated statements of operations (in thousands).

Three Months Ended
June 30, 2021 June 30, 2020
Non-QM Loans (1) $ 1,275 $ (8,115)
AG Arc (2) (2,706) 9,510
Land Related Financing 540 473
Other 2,169 1,566
Equity in earnings/(loss) from affiliates $ 1,278 $ 3,434

(1)The increase in earnings within MATT for the three months ended June 30, ~~2016~~

2020 to the three months ended June 30, 2021 was the primarily the result of mark-to-market gains on the Non-QM Loan portfolio.

(2)The loss at AG Arc during the three months ended June 30, 2021 was primarily the result of losses on the fair value of the MSR portfolio held by Arc Home. The loss recognized by AG Arc also does not include our portion of gains recorded by Arc Home in connection with the sale of residential mortgage loans to us. For the three months ended ~~September~~June 30, ~~2017~~2021, we eliminated $1.4 million of intra-entity profits recognized by Arc Home and ~~September~~also decreased the cost basis of the underlying loans we purchased by the same amount. Refer to Note 2 to the "Notes to Consolidated Financial Statements (unaudited)" for more information on this accounting policy.

Gain on Exchange Offers, net

We completed a privately negotiated exchange offer during the three months ended June 30, ~~2016,~~2021. As a result of the exchange offer, we ~~recorded~~ exchanged 86,478 shares of our 8.00% Series B Cumulative Redeemable Preferred Stock ("Series B Preferred Stock") and 154,383 shares of our 8.000% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock ("Series C Preferred Stock") for a total of 429,802 shares of common stock. We recognized a gain of $0.1 million in connection with the offer. Refer to the "Liquidity and capital resources" section below for more information on the exchange offer.

Six Months Ended June 30, 2021 compared to the Six Months Ended June 30, 2020

The table below presents certain information from our consolidated statements of operations for the six months ended June 30, 2021 and 2020 (in thousands):


	Six Months Ended
	June 30, 2021		June 30, 2020		Increase/(Decrease)
Statement of Operations Data:
Net Interest Income
Interest income	$	26,347	$	53,637	$	(27,290)
Interest expense	9,355		28,584		(19,229)
Total Net Interest Income	16,992		25,053		(8,061)

Other Income/(Loss)
Net realized gain/(loss)	336		(242,752)		243,088
Net interest component of interest rate swaps	(2,314)		923		(3,237)
Unrealized gain/(loss), net	29,534		(208,032)		237,566


Other income/(loss), net	37		1,497		(1,460)
Total Other Income/(Loss)	27,593		(448,364)		475,957

Expenses
Management fee to affiliate	3,321		3,827		(506)
Other operating expenses	8,849		5,487		3,362
Restructuring related expenses	—		8,604		(8,604)

Excise tax	—		(815)		815
Servicing fees	1,287		1,145		142
Total Expenses	13,457		18,248		(4,791)

Income/(loss) before equity in earnings/(loss) from affiliates	31,128		(441,559)		472,687

Equity in earnings/(loss) from affiliates	27,614		(40,758)		68,372
Net Income/(Loss) from Continuing Operations	58,742		(482,317)		541,059
Net Income/(Loss) from Discontinued Operations	—		361		(361)
Net Income/(Loss)	58,742		(481,956)		540,698

Gain on Exchange Offers, net	472		—		472
Dividends on preferred stock	(9,613)		(11,334)		1,721

Net Income/(Loss) Available to Common Stockholders	$	49,601	$	(493,290)	$	542,891

Interest income

Interest income decreased from June 30, 2020 to June 30, 2021 primarily due to a decrease in the size of our portfolio. The weighted average amortized cost of our GAAP investment portfolio decreased by $0.7 billion from $2.3 billion for the six months ended June 30, 2020 to $1.6 billion for the six months ended June 30, 2021. The decrease was driven by sales and seizures which occurred primarily during the first and second quarters of 2020 due to market volatility caused by the COVID-19 pandemic.

Interest expense

Interest expense decreased from June 30, 2020 to June 30, 2021 primarily due to a decrease in the amount of financing on our GAAP investment portfolio during the period. The weighted average financing balance on our GAAP investment portfolio during the period decreased by $0.8 billion from $1.8 billion for the six months ended June 30, 2020 to $1.0 billion for the six

months ended June 30, 2021. The decrease was driven by financing removed on sales and seizures which occurred primarily during the first and second quarters of 2020 due to market volatility caused by the COVID-19 pandemic. This was offset by a decrease in the weighted average financing rate on our GAAP investment portfolio of 1.34% from 3.20% for the six months ended June 30, 2020 to 1.86% for the six months ended June 30, 2021.

Net realized gain/(loss)

The following table presents a summary of Net realized gain/(loss) for the six months ended June 30, 2021 and 2020 (in thousands):


	Six Months Ended
	June 30, 2021		June 30, 2020
Sales/Seizures of real estate securities	$	(4,882)	$	(122,593)
Sales of loans and loans transferred to or sold from Other assets	4,486		(58,765)
Settlement of derivatives and other instruments	732		(61,394)

Total Net realized gain/(loss)	$	336	$	(242,752)

Net interest component of interest rate swaps

We recognized losses on net interest component of interest rate swaps for the six months ended June 30, 2021 compared with gains for the six months June 30, 2020 primarily due to the difference in terms on the outstanding interest rate swaps during the periods coupled with our exiting our interest rate swap portfolio in the first quarter of 2020. As of the June 30, 2021, we held an interest rate swap portfolio of $806.0 million of notional with a weighted average receive-variable rate of 0.17% and a weighted average pay-fix rate of 0.74%.

Unrealized gain/(loss), net

The following table presents a summary of Unrealized gain/(loss), net for the six months ended June 30, 2021 and 2020 (in thousands):


	Six Months Ended
	June 30, 2021		June 30, 2020
Real estate securities	$	(4,266)	$	(154,427)
Loans	24,124		(49,838)
Excess mortgage servicing rights	(108)		(3,524)
Derivatives	12,686		(12,079)
Securitized debt	(2,902)		11,836
Total Unrealized gain/(loss), net	$	29,534	$	(208,032)

Other income/(loss), net

During the six months ended June 30, 2020, the value of GBP relative to USD decreased, resulting in a gain on the liabilities held in foreign currencies. As of June 30, 2021, we did not hold any positions denominated in foreign currencies.

Management fee to affiliate

Management fees decreased from June 30, 2020 to June 30, 2021 primarily due to a decrease in our Stockholders' Equity as calculated pursuant to our Management Agreement.

Other operating expenses

The following table presents a summary of expenses within Other operating expenses broken out between non-investment related expenses and investment related expenses for the six months ended June 30, 2021 and 2020 (in thousands):


	Six Months Ended
	June 30, 2021		June 30, 2020
Non Investment Related Expenses
Affiliate expense reimbursement - Operating expenses (1)	$	2,250	$	3,576
Professional fees	1,705		1,193
D&O insurance	788		348
Directors' compensation	335		391
Equity based compensation to affiliate	—		163
Other	414		427
Total Non Investment Related Expenses	5,492		6,098

Investment Related Expenses
Affiliate expense reimbursement - Deal related expenses	$	329	$	324
Affiliate expense reimbursement - Transaction related expenses	80		—

Residential mortgage loan related expenses	1,250		1,579
Transaction related expenses and deal related performance fees (2)	1,638		(2,846)
Other	60		332
Total Investment Expenses	3,357		(611)
Total Other operating expenses	$	8,849	$	5,487

(1)For the year ended December 31, 2021, the Manager agreed to waive its right to receive expense reimbursements of $0.8 million. For the six months ended June 30, 2021, $0.4 million of the reduction in reimbursable expenses is included within the "Affiliated expense reimbursement - Operating expenses" line item above.

(2)The increase in Transaction related expenses and deal related performance fees from the six months ended June 30, 2020 to the six months ended June 30, 2021 is the result of accrued deal related performance fees being reversed in the period ended March 31, 2020 due to a decline in the price of the related assets, as well as the seizure of such assets by financing counterparties, coupled with expenses incurred in relation to the settlement of the June 2021 securitization of Non-QM Loans in Q2 2021.

Restructuring related expenses

Restructuring related expenses relate to legal and consulting fees primarily incurred in connection with executing the Forbearance Agreement and subsequent Reinstatement Agreement in 2020. Refer to the "Financing activities" section below for more information regarding the Forbearance Agreement and the Reinstatement Agreement.

Excise tax

During the six months ended June 30, 2020, we reversed previously accrued excise taxes primarily as a result of losses associated with COVID-19. We did not record any excise taxes for the six months ended June 30, 2021.

Servicing fees

For the six months ended June 30, 2021 and 2020, our servicing fees increased as a result of net purchases of Non-QM Loans during 2021.

Equity in earnings/(loss) from affiliates ~~of $4.7 million and $0.5 million, respectively.~~

The ~~increase primarily pertains to a larger portfolio due to additions to investments held within affiliated entities, coupled with increased security prices.~~

~~Nine Months Ended September 30, 2017 compared~~below table reconciles the net income/(loss) to the ~~Nine Months Ended September 30, 2016~~

~~For the nine months ended September 30, 2017 and September 30, 2016, we recorded Equity~~"Equity in earnings/(loss) from ~~affiliates~~affiliates" line item on our consolidated statements of ~~$9.7~~operations (in thousands).


	Six Months Ended
	June 30, 2021		June 30, 2020
Non-QM Loans (1)	$	15,921	$	(34,844)
AG Arc (2)	3,634		(516)
Land Related Financing	1,250		1,137
Other	6,809		(6,535)

Equity in earnings/(loss) from affiliates	$	27,614	$	(40,758)

(1)The increase in earnings within MATT for the six months ended June 30, 2020 to the six months ended June 30, 2021 was the primarily the result of mark-to-market gains on the Non-QM Loan portfolio and related financing.

(2)The earnings at AG Arc during the six months ended June 30, 2021 were primarily the result of $4.4 million net income related to Arc Home's lending and servicing operations, offset by $(1.2) million related to changes in the fair value of the MSR portfolio held by Arc Home. The loss recognized by AG Arc also does not include our portion of gains recorded by Arc Home in connection with the sale of residential mortgage loans to us. For the six months ended June 30, 2021, we eliminated $1.9 million of intra-entity profits recognized by Arc Home and also decreased the cost basis of the underlying loans we purchased by the same amount. Refer to Note 2 to the "Notes to Consolidated Financial Statements (unaudited)" for more information on this accounting policy.

Gain on Exchange Offers, net

We completed two privately negotiated exchange offers during the six months ended June 30, 2021. As a result of the exchange offers, we exchanged 153,325 shares of our 8.25% Series A Cumulative Redeemable Preferred Stock ("Series A Preferred Stock"), 437,087 shares of our Series B Preferred Stock, and 154,383 shares of our Series C Preferred Stock for a total of 1,367,264 shares of common stock. We recognized a gain of $0.5 million in connection with the offers. Refer to the "Liquidity and capital resources" section below for more information on the exchange offers.

Book value and Adjusted book value per share

On July 12, 2021, we announced a one-for-three reverse stock split of our outstanding shares of common stock. The reverse stock split was effected following the close of business on July 22, 2021. All per share amounts and common shares outstanding for all periods presented have been adjusted on a retroactive basis to reflect the one-for-three reverse stock split.

Per share amounts for book value are calculated using all outstanding common shares in accordance with GAAP, including all vested shares issued to our Manager, and our independent directors under our equity incentive plans as of quarter-end. As of June 30, 2021, the net proceeds for the Series A Preferred Stock, Series B Preferred Stock, and our Series C Preferred Stock were $40.1 million, $90.2 million, and ~~$1.2~~$90.2 million, respectively. ~~The increase primarily pertains to gains recognized on a sold security, additions to the portfolio of investments held within affiliated entities and increased security prices.~~

~~Book value per share~~

As of ~~September~~June 30, ~~2017,~~2021, the liquidation preference for the issued and outstanding Series A Preferred Stock, Series B Preferred Stock, and Series C Preferred Stock was $41.6 million, $93.2 million, and $93.2 million, respectively.

As of June 30, 2021 and December 31, ~~2016 and September 30, 2016,~~2020, our book value per common share calculated using stockholders’ equity less net proceeds on our preferred stock as the numerator was ~~$19.35, $17.86~~$15.18 and ~~$18.49,~~$12.40, respectively.

As of June 30, 2021 and December 31, 2020, our adjusted book value per common share calculated using stockholders’ equity less the liquidation preference of our preferred stock as the numerator was $14.72 and $11.81, respectively

Presentation of investment, financing and hedging activities

In the ~~“Investment~~"Investment activities,~~” “Financing~~" "Financing activities,~~” “Hedging activities”~~" "Hedging activities," and ~~“Liquidity~~"Liquidity and capital ~~resources”~~resources" sections of this Item 2, where we disclose our investment portfolio and the related ~~repurchase agreements that finance it,~~financing arrangements, we have presented this information inclusive of (i) unconsolidated ownership interests in affiliates that are accounted for under GAAP using the equity method and (ii) TBAs, which are accounted for as derivatives under GAAP. Our investment portfolio and the related ~~repurchase agreements that finance it~~financing arrangements are presented along with a reconciliation to GAAP. This presentation of our investment portfolio is consistent with how our management team evaluates the business, and we believe this presentation, when considered with the GAAP presentation, provides supplemental information useful for investors in evaluating our investment portfolio and financial condition. See Note 2 to the ~~“Notes~~"Notes to Consolidated Financial Statements ~~(Unaudited)”~~(unaudited)" for a discussion of investments in debt and equity of ~~affiliates and TBAs.~~

~~Net interest margin~~

affiliates.

Net interest margin isand leverage ratio

GAAP net interest margin and non-GAAP net interest margin, a non-GAAP financial measure, are calculated by subtracting the

weighted average cost of funds from the weighted average yield for our GAAP investment portfolio or our investment portfolio, respectively, both of which ~~excludes~~exclude cash held by us and any net TBA position. The weighted average yield on our ~~investment~~credit portfolio and our Agency RMBS portfolio represents an effective interest rate, which utilizes all estimates of future cash flows and adjusts for actual prepayment and cash flow activity as of quarter-end. The calculation of weighted average yield is weighted on fair value at quarter-end. The weighted average cost of funds is the sum of the weighted average funding costs on total financing arrangements outstanding at quarter-end, including all non-recourse financing arrangements, and our weighted average hedging cost, which is the weighted average of the net pay rate on our interest rate ~~swaps, the net receive/pay rate on our Treasury long and short positions, respectively, and the net receivable rate on our IO index derivatives, if any.~~swaps. Both elements of cost of funds are weighted by the outstanding ~~repurchase agreements~~financing arrangements on our GAAP investment portfolio or our investment portfolio and securitized debt ~~and loan participation payable~~ at ~~quarter-end, exclusive of repurchase agreements associated with U.S. Treasury securities.~~

~~Our GAAP net interest margin is calculated by subtracting the~~quarter-end.

As our capital allocation shifts, our weighted average yields and weighted average cost of funds will also shift. Our Agency Investments, given their liquidity and high credit quality, are eligible for higher levels of leverage, while our Credit Investments, with less liquidity and/or more exposure to credit risk and prepayment, utilize lower levels of leverage. As a result, our leverage ratio is determined by our portfolio mix as well as many additional factors, including the liquidity of our portfolio, the availability and price of our financing, the diversification of our counterparties and their available capacity to finance our assets, and anticipated regulatory developments. Our debt-to-equity ratio is directly correlated to the composition of our portfolio; specifically, the higher percentage of Agency Investments we hold, the higher our leverage ratio is, while the higher percentage of Credit Investments we hold, the lower our leverage ratio is.

Net interest margin and leverage ratio are metrics that management believes should be considered when evaluating the performance of our investment portfolio. See the "Financing activities" section below for more detail on our GAAP investment portfolio from the weighted average yield for our GAAP investment portfolio, which excludes cash held by us and any net TBA position. Both elements of cost of funds on our GAAP investment portfolio are weighted by the outstanding repurchase agreements on our GAAP investment portfolio, securitized debt, and loan participation payable at quarter-end, exclusive of repurchase agreements associated with U.S. Treasury securities.

~~See~~leverage ratio.

The chart below ~~for a chart setting~~sets forth the net interest margin and leverage ratio from our investment portfolio as of ~~September~~June 30, ~~2017~~2021 and ~~September~~June 30, ~~2016~~2020 and ~~for~~ a reconciliation to our GAAP investment portfolio:

September 30, 2017
Weighted Average GAAP Investment Portfolio Other Assets Investments in Debt and
Equity of Affiliates Investment Portfolio (1)
Yield 4.49 % 7.58 % 13.74 % 4.69 %
Cost of Funds 2.12 % - 3.51 % 2.12 %
Net Interest Margin 2.37 % 7.58 % 10.23 % 2.57 %

September 30, 2016
Weighted Average GAAP Investment Portfolio Investments in Debt
and Equity of Affiliates Investment Portfolio (1)
Yield 4.57 % 13.08 % 4.73 %
Cost of Funds 1.74 % 3.30 % 1.76 %
Net Interest Margin 2.83 % 9.78 % 2.97 %

~~(1)~~


June 30, 2021
Weighted Average	GAAP Investment Portfolio		Investments in Debt and Equity of Affiliates		Investment Portfolio (a)
Yield	3.43	%	16.55	%	4.36	%
Cost of Funds (b)	1.66	%	3.11	%	1.70	%
Net Interest Margin	1.77	%	13.44	%	2.66	%
Leverage Ratio (c)	3.4x		(d)		2.2x

June 30, 2020
Weighted Average	GAAP Investment Portfolio		Investments in Debt and Equity of Affiliates		Investment Portfolio (a)
Yield	5.55	%	8.00	%	6.52	%
Cost of Funds (b)	3.34	%	4.94	%	3.86	%
Net Interest Margin	2.21	%	3.06	%	2.66	%
Leverage Ratio (c)	1.3x		(d)		0.8x

(a)Excludes ~~any~~ net TBA ~~position.~~

position, if any.

(b)Includes cost of non-recourse financing arrangements.

(c)The leverage ratio on our GAAP investment portfolio represents GAAP leverage. The leverage ratio on our investment portfolio represents Economic Leverage as defined below in the "Financing Activities" section.

(d)Refer to the "Financing activities" section below for an aggregate breakout of leverage.

Core Earnings

We define ~~core earnings,~~Core Earnings, a non-GAAP financial measure, as Net Income/(loss) available to common stockholders excluding ~~both~~(i) (a) unrealized gains/(losses) on real estate securities, loans, derivatives and other investments, inclusive of our investment in AG Arc, and (b) net realized gains/(losses) on the sale or termination of ~~securities~~such instruments, (ii) any transaction related expenses incurred in connection with the acquisition or disposition of our investments, (iii) accrued deal-related performance fees payable to Arc Home and third party operators to the extent the primary component of the accrual relates to items that are excluded from Core Earnings, such as unrealized and realized gains/(losses), (iv) realized and unrealized changes in the fair value of Arc Home's net mortgage servicing rights and the ~~related tax expense/benefit or disposition expense,~~derivatives intended to offset changes in the fair value of those net mortgage servicing rights, (v) deferred taxes recognized at our taxable REIT subsidiaries, if any, (vi) any foreign currency gain/(loss) relating to monetary assets and liabilities, (vii) income from discontinued operations, and (viii) any gains/(losses)

associated with exchange transactions on ~~such sale, including~~our common and preferred stock. Items (i) ~~investments~~through (viii) above include any amount related to those items held in affiliated ~~entities~~entities. Management considers the transaction related expenses referenced in (ii) above to be similar to realized losses incurred at the acquisition or disposition of an asset and ~~(ii) derivatives.~~ does not view them as being part of its core operations. Management views the exclusion described in (iv) above to be consistent with how it calculates Core Earnings on the remainder of its portfolio. Management excludes all deferred taxes because it believes deferred taxes are not representative of current operations.

As defined, Core Earnings include the net interest income and other income earned on ~~these~~our investments on a yield adjusted basis, including ~~credit derivatives, investments in debt and equity of affiliates, inverse Agency Interest-Only securities, interest rate derivatives,~~ TBA ~~drop~~dollar roll income or any other investment activity that may earn or pay net interest or its economic equivalent. One of our objectives is to generate net income from net interest margin on the portfolio, and management uses Core Earnings, as one of several metrics, to help measure our performance against this objective. Management believes that this non-GAAP measure, when considered with ~~the Company’s~~our GAAP ~~financials,~~financial statements, provides supplemental information useful for investors ~~in evaluating~~to help evaluate our ~~results of operations.~~financial performance. This metric, in conjunction with related GAAP measures, provides greater transparency into the information used by our management team in its financial and operational decision-making. Our presentation of Core Earnings may not be comparable to similarly-titled measures of other companies, who may use different calculations. This non-GAAP measure should not be considered a substitute for, or superior to, the financial measures calculated in accordance with GAAP. Our GAAP financial results and the reconciliations from these results should be carefully evaluated. Refer to the ~~“Results~~"Results of ~~Operations”~~Operations" section above for a detailed discussion of our GAAP financial results.

A reconciliation of ~~“Net~~"Net Income/(loss) available to common ~~stockholders”~~stockholders" to Core Earnings for the three ~~months~~ and ~~nine~~six months ended ~~September~~June 30, ~~2017~~2021 and ~~September 30, 2016~~2020 is set forth ~~below:~~

Three Months Ended Three Months Ended Nine Months Ended Nine Months Ended
September 30, 2017 September 30, 2016 September 30, 2017 September 30, 2016
Net Income/(loss) available to common stockholders $ 32,644,083 $ 42,764,611 $ 84,198,168 $ 54,662,617
Add (Deduct):
Net realized (gain)/loss (22,286 ) (9,578,488 ) 12,527,278 8,725,255
Drop income 1,525,466 129,883 2,626,313 216,927
Equity in (earnings)/loss from affiliates (4,700,800 ) (534,133 ) (9,699,962 ) (1,154,390 )
Net interest income and expenses from equity method investments (1) 2,195,983 1,653,043 6,457,822 3,218,360
Unrealized (gain)/loss on real estate securities and loans, net (14,892,809 ) (13,461,216 ) (53,189,925 ) (33,260,103 )
Unrealized (gain)/loss on derivative and other instruments, net (2,422,713 ) (6,961,061 ) (4,224,010 ) 4,792,369
Core Earnings $ 14,326,924 $ 14,012,639 $ 38,695,684 $ 37,201,035

Core Earnings, per Diluted Share $ 0.51 $ 0.50 $ 1.39 $ 1.33

below (in thousands, except per share data):
Three Months Ended Six Months Ended
June 30, 2021 June 30, 2020 June 30, 2021 June 30, 2020
Net Income/(loss) available to common stockholders $ 10,918 $ (2,606) $ 49,601 $ (493,290)
Add (Deduct):
Net realized (gain)/loss (4,374) 91,609 (336) 242,752
Unrealized (gain)/loss, net (9,685) (100,179) (29,534) 208,032
Transaction related expenses and deal related performance fees (1) 2,024 572 2,012 (2,840)
Equity in (earnings)/loss from affiliates (1,278) (3,434) (27,614) 40,758
Net interest income and expenses from equity method investments (2)(3) 2,539 11,233 9,861 12,466
Net (income)/loss from discontinued operations — (361) — (361)
Other (income)/loss, net — 156 (14) (1,493)
(Gains) from Exchange Offers, net (114) — (472) —
Drop income — — — 322
Core Earnings $ 30 $ (3,010) $ 3,504 $ 6,346
Core Earnings, per Diluted Share (4) $ — $ (0.27) $ 0.24 $ 0.58

(1)For the three months ended ~~September~~June 30, ~~2017, we recognized~~2021 and 2020, total transaction related expenses and deal related performance fees included $1.9 million and $0.4 million, respectively, recorded within the "Other operating expenses" line item and $0.1 million ~~or $0.00 per share~~and $0.2 million, respectively, recorded within the "Interest expense" line item, which relates to the amortization of ~~net income/(loss) attributed to our investment in AG Arc.~~deferred financing costs. For the ~~nine~~six months ended ~~September~~June 30, ~~2017, we recognized $0.5~~2021 and 2020, total transaction related expenses and deal related performance fees included $1.7 million ~~or $0.02 per share~~and $(2.8) million, respectively, recorded within the "Other operating expenses" line item and $0.3 million and a de minimis amount, respectively, recorded within the "Interest expense" line item, which relates to the amortization of ~~net income/(loss) attributed tko our investment in AG Arc.~~ deferred financing costs.

(2)For the three months ended ~~September~~June 30, ~~2016, we recognized $0.2~~2021 and 2020, $(1.5) million or ~~$0.01~~$(0.10) per share and $(0.4) million or $(0.04) per share, respectively; and for the six months ended June 30, 2021 and 2020, $1.1 million or $0.07 per share and $(5.0) million or $(0.46) per share, respectively, of realized and unrealized changes in the fair value of Arc Home's net ~~income/(loss) attributed~~mortgage servicing rights and corresponding derivatives net of taxes were excluded from Core Earnings per diluted share.

(3)Core income or loss recognized by AG Arc does not include our portion of gains recorded by Arc Home in connection with the sale of residential mortgage loans to us. For the three and six months ended June 30, 2021, we eliminated $1.4 million and $1.9 million of intra-entity profits recognized by Arc Home, respectively, and also decreased the cost basis of the underlying loans we purchased by the same amount. We did not eliminate any intra-entity profits for the three and six months ended June 30, 2020. Refer to Note 2 to the "Notes to Consolidated Financial Statements (unaudited)"

for more information on this accounting policy.

(4)All per share amounts for all periods presented have been adjusted to reflect the one-for-three reverse stock split.

For the first three quarters of 2020, we determined that Core Earnings, as we have historically calculated it, did not appropriately capture our business, liquidity, results of operations, financial condition, or our ability to make distributions to our stockholders due to the impact of COVID-19 on our business.

Investment activities

Overall, our intention is to allocate capital to investment opportunities with attractive risk/return profiles in our target asset classes. Historically, our investment portfolio has consisted of Residential Investments, Agency RMBS, and Commercial Investments however, we have focused our efforts more recently on growing our portfolio of Residential Credit Investments, investing in residential mortgage loans with the intent to securitize these assets as market conditions permit. Our capital allocation to each of these investments is set forth in more detail below. Our investment and capital allocation decisions depend on prevailing market conditions and compliance with Investment Company Act and REIT tests, among other factors, and may change over time in response to opportunities available in different economic and capital market environments. The risk-reward profile of our investment opportunities changes continuously with the market, with labor, housing and economic fundamentals, and with U.S. monetary policy, among others. As a result, in reacting to market conditions and taking into account a variety of other factors, including liquidity, duration, interest rate expectations and hedging, the mix of our assets changes over time as we opportunistically deploy capital.

Our credit investments are subject to risk of loss with regard to principal and interest payments. We evaluate each investment in ~~AG Arc. For~~our credit portfolio based on the ~~nine months ended September 30, 2016,~~characteristics of the underlying collateral, the securitization structure, expected return, geography, collateral type, and the cost and availability of financing, among others. We maintain a comprehensive portfolio management process that generally includes day-to-day oversight by the portfolio management team and a quarterly credit review process for each investment that examines the need for a potential reduction in accretable yield, missed or late contractual payments, significant declines in collateral performance, prepayments, projected defaults, loss severities and other data that may indicate a potential issue in our ability to recover our capital from the investment. These processes are designed to enable our Manager to evaluate and proactively to manage asset-specific credit issues and identify credit trends on a portfolio-wide basis. Nevertheless, we ~~recognized $(0.3) million~~cannot be certain that our review will identify all issues within our portfolio due to, among other things, adverse economic conditions or ~~$(0.01) per share of net income/(loss) attributed to~~events adversely affecting specific assets. Therefore, potential future losses may also stem from issues with our ~~investment in AG Arc.~~

~~Investment activities~~

investments that are not identified by our credit reviews.

We evaluate investments in Agency RMBS using factors including, among others, expected future prepayment trends, supply of and demand for Agency RMBS, costs of financing, costs of hedging, liquidity, expected future interest rate volatility and the overall shape of the U.S. Treasury and interest rate swap yield curves. Prepayment speeds, as reflected by the CPR, and interest rates vary according to the type of investment, conditions in financial markets, competition and other factors, none of which can be predicted with any certainty. In general, as prepayment speeds on our Agency RMBS portfolio increase, the related purchase premium amortization increases, thereby reducing the net yield on such assets.

Our credit investments are subject to risk of loss with regard to principal and interest payments. We evaluate each investment in our credit portfolio based on the characteristics of the underlying collateral and the securitization structure. We maintain a comprehensive portfolio management process that generally includes day-to-day oversight by the portfolio management team and a quarterly credit review process for each investment that examines the need for a potential reduction in accretable yield, missed or late contractual payments, significant declines in collateral performance, prepayments, projected defaults, loss severities and other data which may indicate a potential issue in our ability to recover our capital from the investment. These processes are designed to enable our Manager to evaluate and proactively manage asset-specific credit issues and identify credit trends on a portfolio-wide basis. Nevertheless, we cannot be certain that our review will identify all issues within our portfolio due to, among other things, adverse economic conditions or events adversely affecting specific assets. Therefore, potential future losses may also stem from issues with our investments that are not identified by our credit reviews.

The risk-reward profile of our investment opportunities changes continuously with the market, including with labor, housing and economic fundamentals and U.S. monetary policy. As a result, in reacting to market conditions and taking into account a variety of other factors, including liquidity, duration, interest rate expectations and hedging, the mix of our assets changes over time. Our portfolio management and investment decisions have led to a decrease in the size of our portfolio over time.

As of September 30, 2017, we had a $3.3 billion GAAP investment portfolio, which consisted of $2.1 billion, or 61.7%, of assets in our GAAP Agency RMBS portfolio and $1.2 billion, or 38.3%, of assets in our GAAP credit portfolio. As of September 30, 2017, our investment portfolio totaled $3.5 billion, which consisted of $2.2 billion, or 61.7%, of assets in our Agency RMBS portfolio and $1.3 billion, or 38.3%, of assets in our credit portfolio. This compares with a $2.4 billion GAAP investment portfolio as of December 31, 2016, which consisted of $1.1 billion, or 43.5%, of assets in our GAAP Agency RMBS portfolio and $1.3 billion, or 56.5%, of assets in our GAAP credit portfolio. As of December 31, 2016, our investment portfolio was $2.5 billion, which consisted of $1.1 billion, or 43.5%, of assets in our Agency RMBS portfolio and $1.4 billion, or 56.5%, of assets in our credit portfolio.

The following table presents a ~~general summary~~detailed break-down of our investment portfolio as of ~~September~~June 30, ~~2017~~2021 and December 31, ~~2016:~~

Amortized Cost Fair Value Weighted Average
Yield Weighted Average
Funding Cost (a) Net Interest Margin (a) Leverage Ratio (b)
September 30,
2017 December 31,
2016 September 30,
2017 December 31,
2016 September
30, 2017 December
31, 2016 September
30, 2017 December
31, 2016 September
30, 2017 December
31, 2016 September
30, 2017 December
31, 2016
Agency RMBS $ 2,167,255,767 $ 1,104,119,758 $ 2,180,978,238 $ 1,108,913,726 3.18 % 3.17 % 1.33 % 0.97 % 1.85 % 2.20 % 7.1 x 5.1 x
Residential Investments 904,548,485 1,071,183,137 963,278,080 1,091,168,253 6.42 % 6.31 % 2.64 % 2.37 % 3.78 % 3.94 % 3.1 x 2.7 x
Commercial Investments 329,828,326 327,333,471 336,535,328 325,740,321 8.39 % 7.91 % 2.72 % 2.50 % 5.67 % 5.41 % 1.1 x 1.2 x
ABS 53,232,661 21,667,978 53,223,788 21,231,956 8.73 % 6.32 % 2.98 % 2.33 % 5.75 % 3.99 % 1.0 x 2.4 x
Total: Investment Portfolio $ 3,454,865,239 $ 2,524,304,344 $ 3,534,015,434 $ 2,547,054,256 4.69 % 5.18 % 2.12 % 2.02 % 2.57 % 3.16 % 4.2 x 2.9 x

Investments in Debt and Equity of Affiliates $ 74,575,924 $ 65,120,616 $ 76,538,053 $ 63,561,582 13.74 % 14.54 % 3.51 % 3.51 % 10.23 % 11.03 % (c ) (c )

Other Assets $ 248,103 $ - $ 243,207 $ - 7.58 % - N/A N/A 7.58 % - N/A N/A

TBAs $ 121,583,125 $ 51,427,734 $ 121,125,315 $ 51,250,000 N/A N/A N/A N/A N/A N/A (c ) (c )

Total: GAAP Investment Portfolio $ 3,258,458,087 $ 2,407,755,994 $ 3,336,108,859 $ 2,432,242,674 4.49 % 4.94 % 2.12 % 2.01 % 2.37 % 2.93 % 4.0 x 2.9 x

~~(a)~~

~~Total weighted average funding cost and total net interest margin includes cost of hedging.~~

~~(b)~~

~~Leverage ratio is calculated off of allocated equity. Total leverage ratio includes any net receivables on TBAs.~~

~~(c)~~

~~Refer~~2020 and a reconciliation to ~~the “Financing activities” section below for an aggregate breakout of leverage.~~

~~In managing~~ our GAAP Investment Portfolio ($ in thousands):


	Fair Value			Percent of Investment Portfolio Fair Value						Leverage Ratio (a)
		June 30, 2021		December 31, 2020		June 30, 2021		December 31, 2020			June 30, 2021	December 31, 2020
Residential Investments		$	1,172,851	$	691,478	59.6	%	49.5	%		0.9x	0.2x
Commercial Investments		93,893		182,296		4.8	%	13.1	%		0.8x	0.9x
Agency RMBS		699,568		521,843		35.6	%	37.4	%		6.6x	6.1x

Total: Investment Portfolio		$	1,966,312	$	1,395,617	100.0	%	100.0	%		2.2x	1.5x
Investments in Debt and Equity of Affiliates (b)		$	139,985	$	217,964	N/A		N/A			(c)	(c)

Total: GAAP Investment Portfolio		$	1,826,327	$	1,177,653	N/A		N/A			3.4x	2.4x

(a)The leverage ratio on our investment portfolio werepresents Economic Leverage as defined below in the "Financing Activities" section and is calculated by dividing each investment type's total recourse financing arrangements by its allocated equity (described in the chart below). Cash posted as collateral has been allocated pro-rata by each respective asset class's Economic Leverage amount. The Economic Leverage Ratio excludes any fully non-recourse financing arrangements and includes any net receivables or payables on TBA. The leverage ratio on our GAAP Investment Portfolio represents GAAP leverage.

(b)Certain Re/Non-Performing Loans held in securitized form are presented net of non-recourse securitized debt.

(c)Refer to the "Financing activities" section below for an aggregate breakout of leverage.

We allocate our equity by investment using the fair ~~market~~ value of our investment portfolio, less any associated leverage, inclusive of any long TBA position (at cost). We allocate all non-investment portfolio related ~~items~~assets and liabilities to our investment portfolio based on ~~their respective~~the characteristics of such assets and liabilities in order to sum to ~~stockholders’~~stockholders' equity per the consolidated balance sheets. Our equity allocation method is a non-GAAP methodology and may not be comparable to the similarly titled measure or concepts of other companies, who may use different ~~calculations.~~

calculations and allocation methodologies.

The following table presents a summary of the allocated equity of our investment portfolio as of ~~September~~June 30, ~~2017~~2021 and December 31, ~~2016:~~

Allocated Equity Percent of Equity
September 30,
2017 December 31,
2016 September 30,
2017 December 31,
2016
Agency RMBS 279,215,794 189,280,511 39.5 % 28.9 %
Residential Investments 242,870,226 306,911,537 34.4 % 46.8 %
Commercial Investments 157,641,180 153,225,309 22.3 % 23.4 %
ABS 26,898,681 6,459,033 3.8 % 0.9 %
Total 706,625,881 655,876,390 100.0 % 100.0 %

2020 ($ in thousands):


	Allocated Equity				Percent of Equity
	June 30, 2021		December 31, 2020		June 30, 2021		December 31, 2020
Residential Investments	$	313,133	$	229,183	67.2	%	56.0	%
Commercial Investments	53,269		99,668		11.4	%	24.3	%
Agency RMBS	99,475		80,854		21.4	%	19.7	%

Total	$	465,877	$	409,705	100.0	%	100.0	%

The following table presents a reconciliation of our ~~investment portfolio~~Investment Portfolio to our GAAP ~~investment portfolio~~Investment Portfolio as of ~~September~~June 30, ~~2017:~~

Instrument Current Face Amortized Cost Unrealized Mark-to-
Market Fair Value (1) Weighted Average
Coupon (2) Weighted
Average Yield Weighted Average
Life (Years) (3) (8)
Agency RMBS:
30 Year Fixed Rate $ 1,676,807,359 $ 1,750,830,091 $ 9,552,127 $ 1,760,382,218 3.77 % 3.11 % 8.62
Fixed Rate CMO 54,267,762 54,695,495 904,953 55,600,448 3.00 % 2.79 % 4.17
ARM 183,361,500 182,342,286 3,918,224 186,260,510 2.35 % 2.83 % 4.82
Inverse Interest Only 125,517,421 16,904,789 246,358 17,151,147 3.85 % 7.06 % 4.43
Interest Only and Excess MSR (4) 862,279,325 40,899,981 (441,381 ) 40,458,600 2.51 % 6.49 % 5.30
Fixed Rate 30 Year TBA (5) 116,000,000 121,583,125 (457,810 ) 121,125,315 3.80 % N/A N/A
Credit Investments:
Residential Investments
Prime (6) 552,016,023 438,241,782 34,739,648 472,981,430 4.39 % 6.40 % 9.51
Alt-A (6) 255,419,594 162,125,599 12,685,083 174,810,682 4.57 % 5.95 % 7.07
Subprime (6) 87,300,355 83,392,128 1,323,989 84,716,117 4.71 % 5.72 % 6.45
Credit Risk Transfer 121,512,326 121,586,944 7,010,289 128,597,233 5.03 % 5.24 % 6.56
RPL/NPL 43,235,382 43,183,788 95,915 43,279,703 4.82 % 6.15 % 1.83
RMBS Interest Only and Excess MSR (7) 433,681,726 3,580,289 (438,001 ) 3,142,288 0.21 % 10.26 % 3.34
Residential Whole Loans 78,512,741 52,437,955 3,312,672 55,750,627 5.32 % 11.74 % 4.51
Commercial Investments
CMBS 202,106,820 152,578,776 (553,507 ) 152,025,269 5.42 % 6.02 % 3.81
Freddie Mac K-Series CMBS 194,814,918 63,474,420 2,267,011 65,741,431 5.98 % 14.81 % 9.88
CMBS Interest Only (9) 3,264,829,223 57,223,259 4,146,706 61,369,965 0.30 % 6.69 % 3.79
Commercial Whole Loans 57,738,472 56,551,871 846,792 57,398,663 7.93 % 9.15 % 2.00
ABS 53,497,625 53,232,661 (8,873 ) 53,223,788 8.34 % 8.73 % 5.32
Total: Investment Portfolio $ 8,362,898,572 $ 3,454,865,239 $ 79,150,195 $ 3,534,015,434 2.20 % 4.69 % 5.63

Investments in Debt and Equity of Affiliates $ 1,519,472,909 $ 74,575,924 $ 1,962,129 $ 76,538,053 0.18 % 13.74 % 6.00

Other Assets $ 56,727,627 $ 248,103 $ (4,896 ) $ 243,207 N/A 7.58 % 5.64

TBAs $ 116,000,000 $ 121,583,125 $ (457,810 ) $ 121,125,315 3.80 % N/A N/A

Total: GAAP Investment Portfolio $ 6,670,698,036 $ 3,258,458,087 $ 77,650,772 $ 3,336,108,859 2.61 % 4.49 % 5.55

~~(1) Included~~2021 and December 31, 2020 ($ in ~~Residential Investments and Commercial Investments are $9.2 million fair market value and $67.3 million fair market value, respectively, that are~~thousands):


	June 30, 2021													December 31, 2020
Instrument	Current Face		Amortized Cost		Unrealized Mark- to-Market		Fair Value (1)		Weighted Average Coupon (2)		Weighted Average Yield		Weighted Average Life (Years) (3)	Fair Value (1)
Credit Investments:
Residential Investments
Non-QM Loans (4)	$	621,095	$	647,651	$	7,501	$	655,152	4.86	%	3.61	%	3.85	$	—
MATT Non-QM Loans (5)	1,082,974		75,316		2,367		77,683		0.68	%	14.49	%	0.82	153,200
Re/Non-Performing Loans	490,424		400,663		18,713		419,376		3.74	%	7.63	%	6.21	478,565
Land Related Financing	17,857		17,857		—		17,857		14.50	%	14.50	%	0.86	22,824
Prime	6,874		2,228		467		2,695		3.50	%	15.21	%	10.48	8,665
Alt-A/Subprime	—		—		—		—		—	%	—	%	—	11,496
Credit Risk Transfer	—		—		—		—		—	%	—	%	—	13,308

Non-U.S. RMBS	—		—		—		—		—	%	—	%	—	3,100
Interest Only and Excess MSR	28,711		188		(100)		88		N/A		8.71	%	3.78	320
Total Residential Investments	2,247,935		1,143,903		28,948		1,172,851		3.23	%	5.96	%	2.90	691,478
Commercial Investments
Commercial Real Estate Loans (6)	69,809		69,472		(7,193)		62,279		2.69	%	3.77	%	2.29	125,508
Conduit	—		—		—		—		—	%	—	%	—	3,295
Single-Asset/Single-Borrower	35,500		35,452		(3,838)		31,614		4.03	%	4.39	%	0.67	40,190
Freddie Mac K-Series	—		—		—		—		—	%	—	%	—	9,000
CMBS Interest Only (7)	—		—		—		—		—	%	—	%	—	4,303
Total Commercial Investments	105,309		104,924		(11,031)		93,893		3.15	%	3.98	%	1.74	182,296

Total Credit Investments	2,353,244		1,248,827		17,917		1,266,744		3.22	%	4.13	%	2.85	873,774

Agency RMBS:
30 Year Fixed Rate	677,514		701,843		(5,139)		696,704		2.26	%	1.73	%	7.81	518,352




Excess MSR	489,643		4,491		(1,627)		2,864		N/A		0.58	%	5.62	3,491

Total Agency RMBS	1,167,157		706,334		(6,766)		699,568		2.26	%	1.72	%	6.89	521,843

Total: Investment Portfolio	$	3,520,401	$	1,955,161	$	11,151	$	1,966,312	2.96	%	4.36	%	4.19	$	1,395,617
Investments in Debt and Equity of Affiliates	$	1,245,802	$	129,858	$	10,127	$	139,985	1.38	%	16.55	%	1.16	$	217,964

Total: GAAP Investment Portfolio	$	2,274,599	$	1,825,303	$	1,024	$	1,826,327	3.51	%	3.43	%	5.85	$	1,177,653

(1)Refer to Note 2 to the "Notes of the Consolidated Financial Statements (unaudited)" for more detail on what is included in ~~the “Investments~~our "Investments in debt and equity of ~~affiliates”~~affiliates" line item on our consolidated balance ~~sheet.~~

sheets. Our assets held through Investments in debt and equity of affiliates are included in the "MATT Non-QM Loans," "Re/Non-Performing Loans," "Land Related Financing," and "Excess MSR" line items above.

(2)Equity residuals, principal only securities and Excess MSRs with a zero coupon rate are excluded from this calculation.

(3) ~~Fixed Rate 30 Year TBA are excluded from this calculation.~~

~~(4) Excess MSRs whose underlying collateral~~Weighted average life is ~~securitized in a trust held by a U.S. government agency or GSE.~~

~~(5) Represents long positions in Fixed Rate 30 Year TBA.~~

~~(6) Non-Agency RMBS with credit scores above 700, between 700 and 620 and below 620 at origination~~based on projected life. Typically, actual maturities are ~~classified as Prime, Alt-A, and Subprime, respectively. The weighted average credit scores of our Prime, Alt-A and Subprime Non-Agency RMBS were 724, 667 and 602, respectively.~~

~~(7) Excess MSRs whose underlying collateral is securitized in a trust not held by a U.S. government agency or GSE.~~

~~(8) Actual maturities of investments and loans are generally~~ shorter than stated contractual maturities. Maturities are affected by the contractual lives of the underlying mortgages, periodic payments of principal, and prepayments of principal.

~~(9) Includes~~

(4)Prior to 2021, we acquired Non-QM Loans through our equity method investment in MATT. This line item represents direct purchases of Non-QM Loans, which began in Q1 2021.

(5)As of June 30, 2021, this line item primarily includes retained tranches from securitizations.

(6)Yield on Commercial Real Estate Loans includes any exit fees.

(7)Comprised of Freddie Mac K-Series ~~CMBS~~ interest-only bonds.

Credit Investments

The following table presents the fair value of the securities and loans in our credit portfolio, and a reconciliation ~~of our investment portfolio~~ to our GAAP ~~investment~~credit portfolio (in thousands):


	Fair Value
	June 30, 2021		December 31, 2020
Residential loans (1)	$	1,061,732	$	563,263
Commercial real estate loans	62,279		125,508
Total loans	1,124,011		688,771

Non-Agency RMBS (2)	$	111,119	$	128,215
CMBS (3)	31,614		56,788

Total Credit securities	142,733		185,003

Total Credit Investments	$	1,266,744	$	873,774
Less: Investments in Debt and Equity of Affiliates	$	139,641	$	217,547
Total GAAP Credit Portfolio	$	1,127,103	$	656,227

(1)Includes Re/Non-Performing Loans, Non-QM Loans, and Land Related Financing not held in securitized form.

(2)Includes Prime, Alt-A/Subprime, Credit Risk Transfer, Non-U.S RMBS, Interest-Only and Excess MSR, Re/Non-Performing Loans, and Non-QM Loans held in securitized form.

(3)Includes Conduit, Single-Asset/Single-Borrower, Freddie Mac K-Series, and Interest-Only investments.

Residential loans

The following tables present certain information regarding credit quality for certain categories within our Residential loan portfolio ($ in thousands):


	June 30, 2021															December 31, 2020
					Weighted Average (1)(2)			Aging by Unpaid Principal Balance (1)(2)
	Unpaid Principal Balance		Fair Value		Current LTV Ratio		Current FICO (3)	Current		30-59 Days		60-89 Days		90+ Days		Fair Value
Non-QM Loans	$	621,095	$	655,152	68.60	%	734	$	612,436	$	8,659	$	—	$	—	$	—
MATT Non-QM Loans	12,005		12,327		58.36	%	690	2,980		874		1,338		6,813		100,264
Re/Non-Performing Loans	418,829		376,396		80.41	%	634	269,914		36,398		11,993		92,403		440,175
Land Related Financing	17,857		17,857		N/A		N/A	N/A		N/A		N/A		N/A		22,824
Total Residential loans	$	1,069,786	$	1,061,732	73.13	%	694	$	885,330	$	45,931	$	13,331	$	99,216	$	563,263
Less: Investments in Debt and Equity of Affiliates	32,749		32,488		63.27	%	671	3,582		1,048		1,500		8,762		127,822
Total GAAP Residential Loans	$	1,037,037	$	1,029,244	73.27	%	694	$	881,748	$	44,883	$	11,831	$	90,454	$	435,441

(1)Weighted average and aging data excludes residual positions where we consolidate a securitization and the positions are recorded on our balance sheet as Re/Non-Performing Loans. There may be limited data available regarding the underlying collateral of ~~December 31, 2016:~~

Instrument Current Face Amortized Cost Unrealized Mark-to-
Market Fair Value (1) Weighted Average
Coupon (1) Weighted
Average Yield (2) Weighted Average
Life (Years) (3) (7)
Agency RMBS:
30 Year Fixed Rate $ 713,234,586 $ 741,572,808 $ (1,845,087 ) $ 739,727,721 3.64 % 2.99 % 8.68
Fixed Rate CMO 62,570,005 63,101,436 595,962 63,697,398 3.00 % 2.80 % 4.73
ARM 208,592,111 206,958,936 4,385,116 211,344,052 2.35 % 2.84 % 5.07
Inverse Interest Only 99,127,607 11,977,729 377,150 12,354,879 3.50 % 7.30 % 4.35
Interest Only 317,774,720 29,081,115 1,458,561 30,539,676 2.46 % 8.65 % 4.09
Fixed Rate 30 Year TBA (4) 50,000,000 51,427,734 (177,734 ) 51,250,000 3.50 % N/A N/A
Credit Investments:
Residential Investments
Prime (5) 619,345,362 497,837,476 14,920,082 512,757,558 4.17 % 5.98 % 10.44
Alt-A (5) 279,857,391 181,398,827 4,012,575 185,411,402 4.54 % 5.57 % 7.82
Subprime (5) 127,967,069 122,497,412 135,065 122,632,477 4.04 % 5.31 % 4.93
Credit Risk Transfer 60,682,441 60,592,617 1,969,919 62,562,536 5.57 % 6.82 % 6.98
RPL/NPL 114,976,337 114,301,187 (1,141,699 ) 113,159,488 4.39 % 4.88 % 1.12
RMBS Interest Only and Excess MSR (6) 508,621,868 4,013,463 160,630 4,174,093 0.25 % 14.68 % 3.45
Residential Whole Loans 125,543,596 90,542,155 (71,456 ) 90,470,699 4.89 % 12.07 % 4.13
Commercial Investments
CMBS 209,526,282 152,985,726 (2,150,419 ) 150,835,307 5.04 % 6.03 % 3.22
Freddie Mac K-Series CMBS 158,976,049 57,058,621 (733,708 ) 56,324,913 5.66 % 13.06 % 9.21
CMBS Interest Only (8) 2,855,494,786 57,993,758 517,543 58,511,301 0.31 % 6.48 % 3.76
Commercial Whole Loans 60,800,000 59,295,366 773,434 60,068,800 7.39 % 9.19 % 1.54
ABS 22,025,000 21,667,978 (436,022 ) 21,231,956 5.43 % 6.32 % 4.50
Total: Investment Portfolio $ 6,595,115,210 $ 2,524,304,344 $ 22,749,912 $ 2,547,054,256 1.99 % 5.18 % 5.26

Investments in Debt and Equity of Affiliates $ 1,057,695,652 $ 65,120,616 $ (1,559,034 ) $ 63,561,582 0.22 % 14.54 % 5.93

TBAs $ 50,000,000 $ 51,427,734 $ (177,734 ) $ 51,250,000 3.50 % N/A N/A

Total: GAAP Investment Portfolio $ 5,487,419,558 $ 2,407,755,994 $ 24,486,680 $ 2,432,242,674 2.28 % 4.94 % 5.14

~~(1) Included in Residential Investments~~the residual positions.

(2)Weighted average and ~~Commercial Investments are $9.5 million fair market value and $54.1 million fair market value, respectively, that are included~~aging data excludes Land Related Financing.

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

See Note 3 to the "Notes to Consolidated Financial Statements (unaudited)" for a breakout of geographic concentration of credit risk within loans we include in the ~~“Investments in debt and equity of affiliates”~~"Residential mortgage loans, at fair value" line item on our consolidated balance ~~sheet.~~

~~(2) Equity residuals, principal only securities and MSRs with a zero coupon rate are excluded from this calculation.~~

~~(3) Fixed Rate 30 Year TBA are excluded from this calculation.~~

~~(4) Represents long positions in Fixed Rate 30 Year TBA.~~

(5) Non-Agency RMBS with credit scores above 700, between 700 and 620 and below 620 at origination are classified as Prime, Alt-A, and Subprime, respectively. The weighted average credit scores of our Prime, Alt-A and Subprime Non-Agency RMBS were 725, 667 and 603, respectively.

~~(7) Excess MSRs whose underlying collateral is securitized in a trust not held by a U.S. government agency or GSE.~~

~~(8) Actual maturities of investments and~~sheets.

Commercial loans ~~are generally shorter than stated contractual maturities. Maturities are affected by~~

Refer to Note 3 to the ~~contractual lives~~"Notes of the ~~underlying mortgages, periodic payments of principal and prepayments of principal.~~

~~(9) Includes Freddie Mac K-Series CMBS interest-only bonds.~~

~~The following table presents certain information grouped by vintage as it relates to~~Consolidated Financial Statements (unaudited)" section for more detail on what is included in our ~~credit~~"Commercial Loans" line item on our consolidated balance sheets.

Credit securities ~~portfolio as of September 30, 2017. We have also presented a reconciliation to GAAP.~~

Credit Securities: Current Face Amortized Cost Unrealized Mark-to-
Market Fair Value Weighted Average
Coupon (1) Weighted
Average Yield Weighted Average
Life (Years) (2)
Pre 2005 $ 47,516,970 $ 46,115,243 $ 784,694 $ 46,899,937 4.76 % 7.02 % 4.25
2005 172,092,744 135,741,627 15,958,747 151,700,374 4.42 % 6.92 % 9.48
2006 236,946,515 152,839,840 14,140,725 166,980,565 4.38 % 6.21 % 8.02
2007 154,419,472 117,192,616 10,953,009 128,145,625 4.41 % 6.53 % 12.80
2008 22,512,421 18,667,752 297,249 18,965,001 6.98 % 6.66 % 8.25
2011 7,070,577 5,971,316 24,009 5,995,325 3.49 % 4.68 % 5.97
2012 73,267,348 10,932,546 123,019 11,055,565 2.04 % 5.80 % 2.57
2013 136,865,174 69,253,204 1,470,214 70,723,418 3.19 % 5.76 % 4.25
2014 1,078,393,986 70,718,411 3,605,128 74,323,539 0.41 % 10.87 % 1.55
2015 1,260,994,472 241,907,151 4,662,672 246,569,823 1.06 % 6.39 % 4.13
2016 1,372,824,219 170,598,918 8,019,946 178,618,864 0.97 % 6.76 % 5.46
2017 641,273,839 167,156,338 3,029,333 170,185,671 1.52 % 7.02 % 6.45
Total: Credit Securities $ 5,204,177,737 $ 1,207,094,962 $ 63,068,745 $ 1,270,163,707 1.45 % 6.82 % 4.84

Investments in Debt and Equity of Affiliates $ 1,517,461,844 $ 73,317,974 $ 1,892,585 $ 75,210,559 0.17 % 13.81 % 5.99

Total: GAAP Basis $ 3,686,715,893 $ 1,133,776,988 $ 61,176,160 $ 1,194,953,148 1.92 % 6.38 % 4.37

~~(1) Equity residual investments and principal only securities are excluded from this calculation.~~

(2) Actual maturities of mortgage-backed securities are generally shorter than stated contractual maturities. Actual maturities are affected by the contractual lives of the underlying mortgages, periodic payments of principal and prepayments of principal.

~~The following table presents certain information grouped by vintage as it relates to our credit securities portfolio as of December 31, 2016. We have also presented a reconciliation to GAAP.~~

Credit Securities: Current Face Amortized Cost Unrealized Mark-to-
Market Fair Value Weighted Average
Coupon (1) Weighted
Average Yield Weighted Average
Life (Years) (2)
Pre 2005 $ 88,697,196 $ 86,085,152 $ 376,229 $ 86,461,381 3.68 % 6.44 % 4.70
2005 193,951,980 154,998,772 6,941,224 161,939,996 4.31 % 5.95 % 11.37
2006 280,083,255 182,839,758 6,743,899 189,583,657 4.14 % 6.02 % 9.50
2007 188,265,662 148,015,242 4,266,444 152,281,686 4.17 % 6.27 % 11.73
2008 16,424,000 13,638,581 491,993 14,130,574 7.00 % 5.73 % 9.06
2011 7,113,232 5,716,817 (276,523 ) 5,440,294 3.14 % 5.77 % 7.66
2012 81,928,364 20,325,054 (178,093 ) 20,146,961 2.43 % 6.04 % 2.93
2013 140,878,507 72,931,048 335,727 73,266,775 2.92 % 5.46 % 4.43
2014 1,149,462,384 122,144,577 (62,871 ) 122,081,706 0.56 % 9.13 % 1.76
2015 1,376,578,039 286,726,007 (3,060,150 ) 283,665,857 1.10 % 6.58 % 4.09
2016 1,443,943,577 227,893,324 650,169 228,543,493 1.06 % 6.31 % 5.69
Total: Credit Portfolio $ 4,967,326,196 $ 1,321,314,332 $ 16,228,048 $ 1,337,542,380 1.51 % 6.48 % 4.92

Investments in Debt and Equity of Affiliates $ 1,054,695,758 $ 63,163,256 $ (1,522,800 ) $ 61,640,456 0.21 % 14.74 % 5.93

Total: GAAP Basis $ 3,912,630,438 $ 1,258,151,076 $ 17,750,848 $ 1,275,901,924 1.82 % 6.09 % 4.64

~~(1) Equity residual investments and principal only securities are excluded from this calculation.~~

The following table presents the fair value of our credit securities portfolio by credit rating as of ~~September~~June 30, ~~2017~~2021 and December 31, ~~2016:~~

Credit Rating - Credit Securities (1) September 30, 2017 December 31, 2016
AAA $ 71,730,504 $ 88,002,613
A 63,068,142 101,877,530
BBB 10,709,344 21,304,102
BB 76,178,009 33,965,384
B 133,604,088 71,712,259
Below B 400,889,930 503,636,658
Not Rated 513,983,690 517,043,834
Total: Credit Securities $ 1,270,163,707 $ 1,337,542,380

Investments in Debt and Equity of Affiliates $ 75,210,559 $ 61,640,456

Total: GAAP Basis $ 1,194,953,148 $ 1,275,901,924

2020 (in thousands):


Credit Rating - Credit Securities (1)	June 30, 2021 (2)(3)		December 31, 2020 (2)(3)
AAA	$	—	$	630


BB	5,728		9,037
B	18,422		25,318
Below B	16,035		17,046
Not Rated	102,548		132,972
Total: Credit Securities	$	142,733	$	185,003
Less: Investments in Debt and Equity of Affiliates	$	107,153	$	89,725
Total: GAAP Basis	$	35,580	$	95,278

(1)Represents the minimum rating for rated assets of S&P, Moody and Fitch credit ratings, stated in terms of the S&P equivalent.

~~The following table presents the CPR experienced on our GAAP Agency RMBS portfolio, on an annualized basis, for the quarterly periods presented:~~

Three Months Ended (1) (2)
Agency RMBS September 30, 2017 September 30, 2016
30 Year Fixed Rate 6 % 10 %
Fixed Rate CMO 12 % 10 %
ARM 13 % 19 %
Interest Only 14 % 17 %
Weighted Average 7 % 12 %

~~(1) Represents the weighted average monthly CPRs published during the quarter for our in-place portfolio during the same period.~~

~~(2) Source: Bloomberg~~

(2)Certain Re/Non-Performing Loans held in securitized form are presented net of non-recourse securitized debt.

(3)As of June 30, 2021 and December 31, 2020, includes $0.1 million of credit Excess MSRs.

The following tables present the geographic concentration of the underlying collateral for our Non-Agency RMBS~~and CMBS portfolios:~~

September 30, 2017
Non-Agency RMBS CMBS
State Percentage State Percentage
California 22.9 % California 10.3 %
Florida 7.9 % Texas 8.5 %
New York 7.0 % New York 8.3 %
Texas 4.1 % New Jersey 7.4 %
Georgia 3.5 % Nevada 5.8 %
Other 54.6 % Other 59.7 %
Total 100.0 % Total 100.0 %

December 31, 2016
Non-Agency RMBS CMBS
State Percentage State Percentage
California 23.6 % California 11.4 %
Florida 8.1 % Texas 9.7 %
New York 7.7 % Florida 7.7 %
Texas 4.1 % New Jersey 6.7 %
New Jersey 3.9 % Nevada 6.0 %
Other 52.6 % Other 58.5 %
Total 100.0 % Total 100.0 %

portfolio ($ in thousands).


June 30, 2021					December 31, 2020
State	Fair Value (1)		Percentage (1)		State	Fair Value (2)		Percentage (2)
California	$	40,538	32.8	%	California	$	40,593	32.5	%
New York	19,544		17.9	%	New York	17,742		14.2	%
Florida	8,971		8.5	%	Florida	10,982		8.8	%
New Jersey	3,438		3.3	%	Texas	4,216		3.4	%
Maryland	3,310		3.3	%	New Jersey	4,028		3.2	%
Other	35,318		34.2	%	Other	50,654		37.9	%
Total	$	111,119	100.0	%	Total	$	128,215	100.0	%

(1)As of June 30, 2021, Non-Agency RMBS fair value includes $0.1 million of credit Excess MSRs where there was no data regarding the underlying collateral. These positions were excluded from the percent calculation.

(2)As of December 31, 2020, Non-Agency RMBS fair value includes $3.2 million of investments where there was no data regarding the underlying collateral, including $0.1 million of credit Excess MSRs. These positions were excluded from the percent calculation.

Agency RMBS

The following ~~tables present certain information regarding credit quality~~table presents the fair value ($ in thousands) and the Constant Prepayment Rate ("CPR") experienced on our GAAP Agency RMBS portfolio for ~~certain categories within~~the periods presented.


	Fair Value				CPR (1)(2)
Agency RMBS	June 30, 2021		December 31, 2020		June 30, 2021		December 31, 2020
30 Year Fixed Rate	$	696,704	$	518,352	4.4	%	2.7	%

(1)Represents the weighted average monthly CPRs published during the period for our ~~Non-Agency RMBS~~in-place portfolio.

(2)Source: Bloomberg.

Investments in debt and ~~CMBS portfolios:~~

September 30, 2017
Non-Agency RMBS (1)
Category Weighted Average 60+
Days Delinquent Weighted Average Loan
Age (Months) Weighted Average
Credit Enhancement
Prime 9.7 % 115.64 14.8 %
Alt-A 14.2 % 142.08 22.8 %
Subprime 18.1 % 150.87 57.9 %
Credit Risk Transfer 0.1 % 17.04 1.0 %
RPL/NPL 55.0 % 137.38 54.3 %

CMBS (1)
Category Weighted Average 60+
Days Delinquent Weighted Average Loan
Age (Months) Weighted Average
Credit Enhancement
CMBS 3.4 % 36.89 16.3 %
Freddie Mac K Series CMBS 0.0 % 29.51 0.9 %

December 31, 2016
Non-Agency RMBS (1)
Category Weighted Average 60+
Days Delinquent Weighted Average Loan
Age (Months) Weighted Average
Credit Enhancement
Prime 10.5 % 107.29 15.7 %
Alt-A 13.9 % 127.18 22.7 %
Subprime 17.9 % 158.67 69.4 %
Credit Risk Transfer 0.1 % 16.10 0.8 %
RPL/NPL 63.4 % 108.06 46.0 %

CMBS (1)
Category Weighted Average 60+
Days Delinquent Weighted Average Loan
Age (Months) Weighted Average
Credit Enhancement
CMBS 3.0 % 41.00 14.7 %
Freddie Mac K Series CMBS 0.0 % 26.24 1.5 %

~~(1) Sources: Intex, Trepp~~

equity of affiliates

The below table details our investments in debt and equity of affiliates as of June 30, 2021 and December 31, 2020 (in thousands):


	June 30, 2021						December 31, 2020
	Assets		Liabilities		Equity		Assets		Liabilities		Equity
MATT Non-QM Loans (2)	$	77,683	$	(48,813)	$	28,870	$	153,200	$	(111,135)	$	42,065
Re/Non-Performing Loans (1)	44,101		(11,351)		32,750		41,523		(5,588)		35,935
Land Related Financing	17,857		—		17,857		22,824		—		22,824
Total Residential Investments	139,641		(60,164)		79,477		217,547		(116,723)		100,824






Excess MSR	344		—		344		417		—		417


Total Investments excluding AG Arc	139,985		(60,164)		79,821		217,964		(116,723)		101,241

AG Arc, at fair value	50,862		—		50,862		45,341		—		45,341

Cash and Other assets/(liabilities) (3)	8,177		(2,992)		5,185		5,279		(1,194)		4,085

Investments in debt and equity of affiliates	$	199,024	$	(63,156)	$	135,868	$	268,584	$	(117,917)	$	150,667

(1)Certain Re/Non-Performing Loans held in securitized form are presented net of non-recourse securitized debt.

(2)As of June 30, 2021 and December 31, 2020, Non-QM Loans excluded loans with an unpaid principal balance of $11.2 million and $17.3 million, respectively, whereby an affiliate of MATT has the right, but not the obligation, to repurchase loans from a trust that are 90 days or more delinquent at its discretion. These loans, which are eligible to be repurchased, would be recorded on the balance sheet of MATT, an unconsolidated equity method investee of the Company, with a corresponding and offsetting liability.

(3)Includes financing arrangements of $(9.4) thousand on real estate owned as of December 31, 2020.

Financing activities

We use leverage to ~~complete~~finance the purchase of ~~real estate securities and loans in~~ our investment portfolio. ~~Through September 30, 2017,~~In 2021 and 2020, our leverage has primarily been in the form of repurchase agreements, revolving facilities, and securitized ~~debt, and loan participations.~~debt. Repurchase agreements involve the sale and a simultaneous agreement to repurchase the transferred assets or similar assets at a future date. The amount borrowed generally is equal to the fair value of the assets pledged less an agreed-upon discount, referred to as a ~~“haircut.”~~"haircut." The size of the haircut reflects the perceived risk associated with the pledged asset. Haircuts may change as our ~~repurchase agreements~~financing arrangements mature or roll and are sensitive to governmental regulations. We ~~have not~~ experienced fluctuations in our haircuts that ~~altered~~caused us to alter our business and financing strategies for the ~~three~~year ended December 31, 2020. As previously described, this resulted in us raising liquidity and ~~nine months ended September 30, 2017, but we continue to monitor~~reducing the ~~regulatory environment, which may influence the timing and amount of~~risk within our ~~repurchase agreement activity. We seek to obtain financing from several different counterparties in order to reduce our financing risk related to any single counterparty.~~portfolio. We had outstanding ~~debt~~financing arrangements with ~~28 and 23~~5 counterparties ~~at September~~as of June 30, ~~2017~~2021 and December 31, ~~2016, respectively, on a GAAP basis.~~

2020.

Our repurchase agreements are accounted for as financings and require the repurchase of the transferred securities or loans or repayment of the advance at the end of each agreement’s term, typically 30 to 90 days. If we maintain the beneficial interest in the specific assets pledged during the term of the borrowing, we receive the related principal and interest payments. If we do not maintain the beneficial interest in the specific assets pledged during the term of the borrowing, wethe lender will ~~have~~remit to us the related principal and interest ~~payments remitted to us by the lender.~~payments. Interest rates on borrowings are fixed based on prevailing rates corresponding to the terms of the borrowings, and interest is paid at the termination of the borrowing at which time we may enter into a new borrowing arrangement at prevailing market rates with the same counterparty or repay that counterparty and negotiate financing with a different counterparty.

We have also entered into revolving facilities to purchase certain loans in our investment portfolio. These facilities typically have longer stated maturities than repurchase agreements. Interest rates on these facilities are based on prevailing rates corresponding to the terms of the borrowings, and interest is paid on a monthly basis.

Our 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 we fail 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 repurchase agreements and revolving facilities are generally recourse to us. As of June 30, 2021, we are in compliance with all of our financial covenants.

In response to declines in fair value of pledged assets due to changes in market conditions, ~~or the publishing of monthly security paydown factors,~~ lenders typically require us to post additional assets as collateral, pay down borrowings or establish cash margin accounts with the counterparties in order to re-establish the agreed-upon collateral requirements, referred to as margin calls. ~~As of September 30, 2017 and December 31, 2016, we have met all margin call requirements.~~

For the year ended September 30, 2017, we noted changes in the spread of our financing arrangements, particularly on the financing of our credit portfolio. Spreads on credit repos tightened as a result of increased availability of credit financing. In addition, as a result of the rotation from credit investments to Agency RMBS in our investment portfolio, the financing on our investment portfolio is more weighted on Agency RMBS, which carry cheaper financing than credit securities. As a result, despite an increase of 25bps in the federal-funds rate in March 2017 and again in June 2017, the cost of financing increased by only 8bps from 1.72% at December 31, 2016 to 1.80% at September 30, 2017.

The following table presents the quarter-end balance, average quarterly balance and maximum balance at any month-end for the Company’s (i) repurchase agreements on its investment portfolio, U.S Treasury securities, and FHLBC Advances, (ii) unlinked repurchase agreements and (iii) repurchase agreements through affiliated entities, excluding any financing utilized in our investment in AG Arc, with a reconciliation of all quarterly figures to GAAP. Refer to ~~the “Hedging Activities”~~"Liquidity and capital resources" section below for more ~~information~~information.

The balance on ~~repurchase agreements secured by U.S. Treasury securities.~~

Quarter Ended Quarter-End
Balance Average Quarterly
Balance Maximum Balance at
Any Month-End
September 30, 2017
Non-GAAP Basis $ 2,703,068,550 $ 2,596,533,544 $ 2,746,150,804
Less: Investments in Debt and Equity of Affiliates 8,516,726 8,697,487 8,868,455
GAAP Basis $ 2,694,551,824 $ 2,587,836,057 $ 2,737,282,349
June 30, 2017
Non-GAAP Basis $ 2,265,226,741 $ 2,209,990,873 $ 2,339,132,696
Less: Investments in Debt and Equity of Affiliates 8,484,353 8,805,678 9,115,429
GAAP Basis $ 2,256,742,388 $ 2,201,185,195 $ 2,330,017,267
March 31, 2017
Non-GAAP Basis $ 1,887,766,585 $ 1,813,668,360 $ 1,887,766,585
Less: Investments in Debt and Equity of Affiliates 8,424,063 8,787,942 9,172,241
GAAP Basis $ 1,879,342,522 $ 1,804,880,418 $ 1,878,594,344
December 31, 2016
Non-GAAP Basis $ 1,910,508,715 $ 1,972,784,763 $ 2,009,130,688
Less: Investments in Debt and Equity of Affiliates 9,998,909 $ 10,525,232 11,019,272
GAAP Basis $ 1,900,509,806 $ 1,962,259,531 $ 1,998,111,416
September 30, 2016
Non-GAAP Basis $ 2,237,848,414 $ 2,242,396,467 $ 2,275,367,639
Less: Investments in Debt and Equity of Affiliates 11,484,705 $ 12,147,413 12,842,577
GAAP Basis $ 2,226,363,709 $ 2,230,249,054 $ 2,262,525,062
June 30, 2016
Non-GAAP Basis $ 2,263,590,848 $ 2,305,132,749 $ 2,368,334,965
Less: Investments in Debt and Equity of Affiliates 13,594,846 $ 14,627,811 15,534,683
GAAP Basis $ 2,249,996,002 $ 2,290,504,938 $ 2,352,800,282
March 31, 2016
Non-GAAP Basis $ 2,573,321,330 $ 2,559,321,654 $ 2,582,943,709
Less: Investments in Debt and Equity of Affiliates 16,405,130 $ 17,168,967 17,982,309
GAAP Basis $ 2,556,916,200 $ 2,542,152,687 $ 2,564,961,400
December 31, 2015
Non-GAAP Basis $ 2,450,495,579 $ 2,611,418,224 $ 2,737,440,514
Less: Investments in Debt and Equity of Affiliates 18,638,119 $ 19,119,157 19,643,832
GAAP Basis $ 2,431,857,460 $ 2,592,299,067 $ 2,717,796,682
September 30, 2015
Non-GAAP Basis $ 2,585,828,163 $ 2,509,992,155 $ 2,585,828,163
Less: Investments in Debt and Equity of Affiliates 20,212,522 $ 20,566,999 20,876,667
GAAP Basis $ 2,565,615,641 $ 2,489,425,156 $ 2,564,951,496
June 30, 2015
Non-GAAP Basis $ 2,534,309,367 $ 2,618,201,220 $ 2,689,179,519
Less: Investments in Debt and Equity of Affiliates 21,091,153 $ 21,209,044 21,267,990
GAAP Basis $ 2,513,218,214 $ 2,596,992,176 $ 2,667,911,529
March 31, 2015
Non-GAAP Basis $ 2,691,920,394 $ 2,713,017,544 $ 2,807,851,545
Less: Investments in Debt and Equity of Affiliates 21,305,161 $ 21,305,161 21,305,161
GAAP Basis $ 2,670,615,233 $ 2,691,712,383 $ 2,786,546,384
December 31, 2014
Non-GAAP Basis $ 2,779,624,982 $ 2,809,867,811 $ 2,838,591,258
Less: Linked Transactions 113,363,873 $ 130,264,304 142,279,249
Less: Investments in Debt and Equity of Affiliates 21,305,161 $ 18,880,600 21,305,161
GAAP Basis $ 2,644,955,948 $ 2,660,722,907 $ 2,675,006,848
September 30, 2014
Non-GAAP Basis $ 2,871,453,629 $ 2,956,548,421 $ 3,102,782,512
Less: Linked Transactions 131,106,935 $ 142,459,846 149,986,999
GAAP Basis $ 2,740,346,694 $ 2,814,088,575 $ 2,952,795,513

~~As noted, we finance the purchase of~~ our ~~investments with repurchase agreements. Our repurchase agreement balance~~financing arrangements can reasonably be expected to (i) increase as the size of our investment portfolio increases primarily through equity capital raises and as we increase our investment allocation to Non-QM Loans not held in securitized form and Agency RMBS and (ii) decrease as the size of our portfolio decreases through asset sales, principal paydowns, and as we increase our investment allocation to credit ~~investments. Credit~~ investments, ~~due~~excluding Non-QM Loans not held in securitized form. Due to their ~~elevated~~ risk profile, credit investments generally have lower ~~allowable~~ leverage ratios than Agency RMBS, which restricts our financing counterparties from providing as much ~~repurchase agreement~~ financing to us and lowers the balance of our total ~~repurchase~~financing.

Forbearance and Reinstatement Agreements

In connection with the market disruption created by the COVID-19 pandemic, in March 2020, we received notifications of alleged events of default and deficiency notices from several of our financing counterparties. We engaged in discussions with our financing counterparties and, as a result, entered into a series of forbearance agreements (collectively, the "Forbearance Agreement") with certain of our financing counterparties (the "Participating Counterparties") pursuant to which each Participating Counterparty agreed to forbear from exercising its rights and remedies with respect to events of default and any and all other defaults under the applicable financing arrangement (each, a "Bilateral Agreement") for the period ending June 15, 2020.

On June 10, 2020, we and the Participating Counterparties entered into a reinstatement agreement ~~balance.~~

(the "Reinstatement Agreement"), pursuant to which the Forbearance Agreement was terminated and each Participating Counterparty permanently waived all existing and prior events of default under the applicable Bilateral Agreements. Pursuant to the Reinstatement Agreement, the Bilateral Agreements were reinstated with certain amendments to reflect current market terms (i.e., increased haircuts and higher coupons), updated financial covenants, and various reporting requirements from us to the Participating Counterparties, releases, certain netting obligations and cross-default provisions. As a result of the Reinstatement Agreement, default interest on our outstanding borrowings under the Bilateral Agreements ceased to accrue as of June 10, 2020, all cash margin was applied to outstanding balances owed by us, and principal and interest payments on the underlying collateral were permitted to flow to and be used by us, just as it was prior to the Forbearance Agreements. In addition, pursuant to the terms of the Reinstatement Agreement, the security interests granted to Participating Counterparties as additional collateral under the Forbearance Agreement have been terminated and released. We also agreed to pay the reasonable fees and out-of-pocket expenses of counsel and other professional advisors for the Participating Counterparties and the collateral agent.

~~Master repurchase agreements~~

Concurrently, on June 10, 2020, We entered a separate reinstatement agreement with one of our financing counterparties on substantially the same terms as those set forth in the Reinstatement Agreement.

Refer to Note 12 in the "Notes to Consolidated Financial Statements (unaudited)" for more information on deficiencies that are now settled.

Recourse and non-recourse financing

We utilize both recourse and non-recourse debt to finance our portfolio. Non-recourse financing includes securitized debt and other non-recourse financing. Recourse financing includes the secured debt from our Manager, as further described in the "Contractual obligations–Secured debt" section below, and other recourse financing. The below table provides detail on the breakout between recourse and non-recourse financing as of June 30, 2021 and December 31, 2020 (in thousands):
June 30, 2021 December 31, 2020
Recourse financing $ 1,241,114 $ 580,037
Non-recourse financing 509,051 466,294
Total (1) 1,750,165 1,046,331
Recourse financing - Investments in Debt and Equity of Affiliates 33,646 5,597
Non-recourse financing - Investments in Debt and Equity of Affiliates (2) 26,518 111,135
Total Investments in Debt and Equity of Affiliates 60,164 116,732
Total: GAAP Basis $ 1,690,001 $ 929,599

(1)As of June 30, 2021, total financing includes $1.3 billion of financing arrangements, collateralized by various asset types in our investment portfolio,

and $482.5 million of securitized debt, collateralized by Non-QM and Re/Non-Performing Loans. As of ~~September 30, 2017 and~~ December 31, ~~2016,~~2020, total financing includes $680.8 million of financing arrangements, collateralized by various asset types in our investment portfolio; $355.2 million of securitized debt, collateralized by Re/Non-Performing Loans; and $10.4 million of secured debt.

(2)On January 29, 2021, we ~~have~~and private funds under the management of Angelo Gordon entered into ~~master repurchase agreements on~~an amendment with respect to our ~~investment portfolio~~Restructured Financing Arrangement in MATT. The amendment serves to convert the existing financing to a mark-to-market facility with 39respect to margin calls that is recourse to us and ~~37 counterparties, respectively, under~~the private funds managed by Angelo Gordon that invest in MATT up to our and each funds' allocation of the $50.0 million commitment to MATH, which ~~we had outstanding debt with 28~~is further described in the "Contractual Obligations–MATT Financing Arrangement Restructuring" section below and ~~23 counterparties, respectively, inclusive~~Note 12 to the "Notes of ~~repurchase agreements in affiliated entities.~~ the Consolidated Financial Statements (unaudited)".

See Note 6 to the ~~“Notes~~"Notes to Consolidated Financial Statements (unaudited)”" for a ~~description of our material master repurchase agreements.~~

Our MRAs generally include customary representations, warranties, and covenants, but may also contain more restrictive supplemental terms and conditions. Although specific to each MRA, typical supplemental terms include requirements of minimum equity, leverage ratios, performance triggers or other financial ratios.

The following table presents the reconciliation of certain financial information related to repurchase agreements secured by real estate securities to information on a GAAP basis as of September 30, 2017:

Repurchase Agreements Maturing Within: Balance Weighted Average
Rate Weighted Average
Days to Maturity Weighted Average
Haircut
Overnight 107,066,000 1.26 % 2 3.0 %
30 days or less 2,041,360,000 1.77 % 12 9.6 %
31-60 days 369,334,000 1.87 % 43 10.3 %
61-90 days 19,965,000 2.79 % 76 26.2 %
91-180 days 111,027,000 1.55 % 107 10.0 %
Greater than 180 days 15,935,164 3.06 % 464 21.7 %
Total: Non-GAAP Basis $ 2,664,687,164 1.77 % 23 9.6 %

Investments in Debt and Equity of Affiliates $ 5,337,164 3.45 % 503 29.8 %

Total: GAAP Basis $ 2,659,350,000 1.76 % 22 9.6 %

Repurchase Agreements Maturing Within: Balance Weighted Average
Rate Weighted Average
Days to Maturity Weighted Average
Haircut
Overnight $ 70,899,000 0.66 % 3 3.5 %
30 days or less 961,185,000 1.79 % 11 14.7 %
31-60 days 465,776,000 1.23 % 47 8.6 %
61-90 days 129,119,000 1.69 % 72 13.2 %
91-180 days 16,897,000 2.81 % 151 21.6 %
Greater than 180 days 214,175,906 1.97 % 293 5.2 %
Total: Non-GAAP Basis $ 1,858,051,906 1.63 % 57 11.6 %

Investments in Debt and Equity of Affiliates $ 4,882,802 3.51 % 350 26.0 %

Total: GAAP Basis $ 1,853,169,104 1.63 % 57 11.5 %

The following table presents the reconciliation of certain financial information related to repurchase agreements secured by residential mortgage loans and real estate owned to information on a GAAP basis as of September 30, 2017:

Repurchase Agreements Maturing Within: Balance Weighted Average
Rate Weighted Average
Funding Cost Weighted Average
Days to Maturity Weighted Average
Haircut
Greater than 180 days: Non-GAAP Basis 16,585,386 3.72 % 3.90 % 545 34.2 %

Investments in Debt and Equity of Affiliates $ 3,179,562 3.61 % 3.61 % 694 30.0 %

Total: GAAP Basis $ 13,405,824 3.74 % 3.97 % 510 35.2 %

Repurchase Agreements Maturing Within: Balance Weighted Average
Rate Weighted Average
Funding Cost Weighted Average
Days to Maturity Weighted Average
Haircut
Greater than 180 days: Non-GAAP Basis $ 30,660,809 3.31 % 3.75 % 407 29.8 %

Investments in Debt and Equity of Affiliates $ 5,116,107 3.51 % 3.51 % 350 27.6 %

Total: GAAP Basis $ 25,544,702 3.27 % 3.79 % 419 30.3 %

~~The primary difference between the balance of our repurchase agreements at December 31, 2016 and September 30, 2017 is due to financing repaid in 2017 on certain sold residential mortgage loans.~~

~~The following table presents certain financial information related to repurchase agreements secured by commercial loans as of September 30, 2017:~~

~~The following table presents certain financial information related to repurchase agreements secured by commercial loans as of December 31, 2016:~~

~~The following table presents a summary of certain financial information related to repurchase agreements secured by our Investment Portfolio as of September 30, 2017:~~

Agency Credit
Repurchase Agreements Maturing Within: (1) Balance Weighted Average
Rate Balance Weighted Average
Rate
Overnight $ 107,066,000 1.26 % $ - -
30 days or less 1,315,563,000 1.33 % 725,797,000 2.56 %
31-60 days 230,096,000 1.35 % 139,238,000 2.73 %
61-90 days - - 19,965,000 2.79 %
91-180 days 100,000,000 1.40 % 11,027,000 2.96 %
Greater than 180 days - - 54,316,550 3.45 %
Total: Non-GAAP Basis $ 1,752,725,000 1.33 % $ 950,343,550 2.65 %

Investments in Debt and Equity of Affiliates $ - - $ 8,516,726 3.61 %

Total: GAAP Basis $ 1,752,725,000 1.33 % $ 941,826,824 2.64 %

~~(1)~~

~~As of September 30, 2017, our weighted average days to maturity is 31 days and our weighted average original days to maturity is 119 days.~~

~~The following table presents a summary of certain financial information related to repurchase agreements secured by our Investment Portfolio as of December 31, 2016:~~

Agency Credit
Repurchase Agreements Maturing Within: (1) Balance Weighted Average
Rate Balance Weighted Average
Rate
Overnight $ 70,899,000 0.66 % $ - -
30 days or less 300,041,000 0.95 % 661,144,000 2.18 %
31-60 days 368,362,000 0.94 % 97,414,000 2.33 %
61-90 days 67,739,000 0.94 % 61,380,000 2.51 %
91-180 days - - 16,897,000 2.81 %
Greater than 180 days 100,000,000 1.40 % 166,632,715 2.79 %
Total: Non-GAAP Basis $ 907,041,000 0.97 % $ 1,003,467,715 2.33 %

Investments in Debt and Equity of Affiliates $ - - 9,998,909 3.51 %

Total: GAAP Basis $ 907,041,000 0.97 % $ 993,468,806 2.31 %

~~(1)~~

~~As of December 31, 2016, our weighted average days to maturity is 74 days and our weighted average original days to maturity is 155 days.~~

~~Other financing transactions~~

In 2014, we entered into a resecuritization transaction, pursuant to which we created a special purpose entity (“SPE”) to facilitate the transaction (the “Resecuritization”). We determined that the SPE was a variable interest entity (“VIE”) and that the VIE should be consolidated by us under ASC 810-10 and treated as a secured borrowing (the “Consolidated VIE”). As of September 30, 2017 and December 31, 2016, the principal balancebreakout of the consolidated tranche was $17.3 million and $21.6 million, respectively. As of September 30, 2017 and December 31, 2016, the fair value of the consolidated tranche issued by the Consolidated VIE was $17.2 million and $21.5 million, respectively, which is classified as an asset in the “Non-Agency” line item and as a liability in the “Securitized debt, at fair value”"Financing arrangements" line item on our consolidated balance sheets. ~~The cost~~

Other financing transactions

In addition to our financing arrangements, we also finance our Re/Non-performing loans and certain Non-QM Loans with securitized debt. From time to time, we enter into securitization transactions of ~~financing on September~~certain Re/Non-performing loans and certain Non-QM Loans where special purpose entities ("SPEs") are created to facilitate the transactions. These SPEs are considered variable interest entities ("VIEs"), which should be consolidated under ASC 810-10. As of June 30, ~~2017~~2021 and December 31, ~~2016~~2020, we have recorded secured financing in connection with these VIEs of $482.5 million and $355.2 million, respectively, on the consolidated ~~tranche was 3.72% and 3.87%, respectively.~~balance sheets in the "Securitized debt, at fair value" line item. See Note 2 and Note 3 to the ~~Notes~~"Notes to Consolidated Financial Statements (unaudited)" for more ~~detail.~~

~~In February 2016, we originated a $12.0 million commercial loan~~detail on securitized debt and at closing, transferred a 15.0% or $1.8 million participation interest in the loan (the “Participation Interest”) to an unaffiliated third party. The Participation Interest bears interest at a rate of LIBOR+ 10.00% with a LIBOR floor of 0.25%. We determined that the Participation Interest should beour consolidated under ASC 860 due to the fact that the sale of the Participation Interest did not meet the sales criteria established under ASC 860. The commercial loan was paid off in full in February 2017. The principal and interest due on the Participation Interest was paid from these proceeds.

VIEs.

Leverage

We define ~~non-GAAP “at-risk”~~GAAP leverage as the sum ~~of: (i)~~of (1) our GAAP ~~repurchase agreements, (ii) repurchase agreements held through affiliated entities but exclusive~~financing arrangements, net of any restricted cash posted on such financing ~~utilized through AG Arc (iii)~~arrangements, (2) the amount payable on purchases that have not yet settled less the financing remaining on sales that have not yet settled, ~~(iv)~~and (3) securitized debt, at fair value. We define Economic Leverage, a non-GAAP metric, as the ~~consolidated tranche issued by~~sum of: (i) our GAAP leverage, exclusive of any fully non-recourse financing arrangements, (ii) financing arrangements held through affiliated entities, net of any restricted cash posted on such financing arrangements, exclusive of any financing utilized through AG Arc, any adjustment related to unsettled trades as described in (2) in the ~~Consolidated VIE, (v) the Participation Interest~~previous sentence, and ~~(vi)~~any non-recourse financing arrangements and (iii) our net TBA position (at cost). Our calculations of each type of leverage exclude repurchase agreements and net receivables/payables on unsettled trades pertaining to U.S. Treasury securities due to the highly liquid and temporary nature of these investments. , if any.

The calculations in the tables below divide ~~our~~GAAP leverage ~~calculations~~and Economic Leverage by our GAAP stockholders’ equity to derive our leverage ratios. The following tables present a reconciliation of our ~~non-GAAP “at-risk” leverage~~Economic Leverage ratio back to ~~GAAP.~~

Stockholders’
September 30, 2017 Leverage Equity Leverage Ratio
GAAP Leverage $ 2,807,088,863 $ 706,625,881 4.0 x
Repurchase agreements through affiliated entities 8,516,726
Net TBA receivable/(payable) adjustment 121,583,160
Non-GAAP “At Risk” Leverage $ 2,937,188,749 $ 706,625,881 4.2 x

Stockholders’
December 31, 2016 Leverage Equity Leverage Ratio
GAAP Leverage $ 1,921,225,560 $ 655,876,390 2.9 x
Repurchase agreements through affiliated entities 9,861,515
Net TBA receivable/(payable) adjustment (22,916,016 )
Non-GAAP “At Risk” Leverage $ 1,908,171,059 $ 655,876,390 2.9 x

GAAP ($ in thousands).


June 30, 2021	Leverage		Stockholders’ Equity		Leverage Ratio
GAAP Leverage	$	1,590,715	$	465,877	3.4x
Financing arrangements through affiliated entities	60,038
Non-recourse financing arrangements	(509,051)
Net TBA (receivable)/payable adjustment	(134,239)
Economic Leverage	$	1,007,463	$	465,877	2.2x

(1) Non-recourse financing arrangements include securitized debt and other non-recourse financing held within MATT.


December 31, 2020	Leverage		Stockholders’ Equity		Leverage Ratio
GAAP Leverage	$	979,303	$	409,705	2.4x
Financing arrangements through affiliated entities	116,688
Non-recourse financing arrangements	(466,294)

Economic Leverage	$	629,697	$	409,705	1.5x

(1) Non-recourse financing arrangements include securitized debt and other non-recourse financing held within MATT.

Hedging activities

Subject to maintaining our qualification as a REIT and our Investment Company Act exemption, to the extent leverage is deployed, we may utilize ~~hedging~~derivative instruments ~~including interest rate swaps, Futures, and other financial instruments such as short positions in U.S. Treasury securities,~~ in an effort to hedge the interest rate risk associated with the financing of our portfolio. Specifically, we may seek to hedge our exposure to potential interest rate mismatches between the interest we earn on our investments and our borrowing costs caused by fluctuations in short-term interest rates. We may utilize interest rate swaps, swaption agreements, and other financial instruments such as short positions in U.S. Treasury securities. In addition, we may utilize Eurodollar Futures, U.S. Treasury Futures, British Pound Futures, and Euro Futures (collectively, "Futures"). In utilizing leverage and interest rate ~~hedges,~~derivatives, our objectives are to improve risk-adjusted returns and, where possible, to lock in, on a long-term basis, a spread between the yield on our assets and the costs of our financing and hedging.

~~We utilize multiple~~ Derivatives have not been designated as hedging instruments as a means to mitigate the interest rate risk of our investment portfolio. As of September 30, 2017 we had entered into $1.9 billion notional amount of interest rate swaps, $150.0 million notional amount of short positions in Eurodollar futures and $25.0 million notional amount of short positions in U.S. Treasury futures. As of December 31, 2016, we had entered into $644.0 million notional amount of interest rate swaps, $24.0 million notional amount of short positions in U.S. Treasury securities and $141.5 million notional amount of short positions in U.S. Treasury Futures.

We exchange cash “variation margin” with the counterparties to our derivative instruments at least on a daily basis based upon daily changes in fair value as measured by the Chicago Mercantile Exchange (“CME”), the central clearinghouse through which those derivatives are cleared. In addition, the CME requires market participants to deposit and maintain an “initial margin” amount which is determined by the CME and is generally intended to be set at a level sufficient to protect the CME from the maximum estimated single-day price movement in that market participant’s contracts.

~~Receivables recognized~~ for ~~the right to reclaim cash initial margin posted in respect of derivative instruments are included~~GAAP. See Note 7 in the ~~“Restricted cash” line item in the consolidated balance sheets. Prior~~"Notes to the first quarter of 2017, the daily exchange of variation margin associated with centrally cleared derivative instruments was considered a pledge of collateral. For these prior periods, receivables recognizedConsolidated Financial Statements (unaudited)" for the right to reclaim cash variation margin posted in respect of derivative instruments are included in the “Restricted cash” line item in the consolidated balance sheets. We elected to offset any payables recognized for the obligation to return cash variation margin received from a derivative instrument counterparty against receivables recognized for the right to reclaim cash initial margin posted by us to that same counterparty.

Beginning in the first quarter of 2017, as a result of a CME amendment to their rule book which governs their central clearing activities, the daily exchange of variation margin associated with a centrally cleared derivative instrument is legally characterized as the daily settlement of the derivative instrument itself, as opposed to a pledge of collateral. Accordingly, beginning in 2017, we account for the daily receipt or payment of variation margin associated with our centrally cleared derivative instruments as a direct reduction to the carrying value of the derivative asset or liability, respectively. Beginning in 2017, the carrying amount of centrally cleared derivative instruments reflected in our consolidated balance sheets approximates the unsettled fair value of such instruments; because variation margin is exchanged on a one-day lag, the unsettled fair value of such instruments represents the change in fair value that occurred on the last day of the reporting period. Non-exchange traded derivatives were not affected by these legal interpretations and continue to be reported at fair value including accrued interest.

~~The following table presents the fair value of our derivative and other instruments and their balance sheet location at September 30, 2017 and December 31, 2016.~~

Derivatives and Other Instruments GAAP
Designation Balance Sheet Location September 30, 2017 December 31, 2016
Interest rate swaps Non-Hedge Derivative liabilities, at fair value $ (587,383 ) $ (1,847,219 )
Interest rate swaps Non-Hedge Derivative assets, at fair value 815,622 3,703,366
Short positions on Eurodollar Futures Non-Hedge Derivative assets, at fair value 75,000
Short positions on U.S. Treasury Futures Non-Hedge Derivative liabilities, at fair value - (636,211 )
Short positions on U.S. Treasury Futures Non-Hedge Derivative assets, at fair value 19,531 -
Short positions on U.S. Treasuries Non-Hedge Obligation to return securities borrowed under reverse repurchase agreements, at fair value (1) - (22,365,000 )

(1) The Company’s obligation to return securities borrowed under reverse repurchase agreements as of December 31, 2016 relates to securities borrowed to cover short sales of U.S. Treasury securities. The change in fair value of the borrowed securities is recorded in the “Unrealized gain/(loss) on derivatives and other instruments, net” line item in the Company’s consolidated statement of operations.

~~The following table summarizes the notional amount of certain of our non-hedge derivatives and other instruments:~~

Non-hedge derivatives and other instruments held long/(short): September 30, 2017 December 31, 2016
Notional amount of Pay Fix/Receive Float Interest Rate Swap Agreements $ 1,862,000,000 $ 644,000,000
Notional amount of short positions on Eurodollar Futures (1) (150,000,000 ) -
Notional amount of short positions on U.S. Treasury Futures (2) (25,000,000 ) (141,500,000 )
Notional amount of short positions on U.S. Treasuries - (24,000,000 )

~~(1) Each Eurodollar Future contract embodies $1.0 million of notional value.~~

~~(2) Each U.S. Treasury Future contract embodies $100,000 of notional value.~~

more information.

~~The following table summarizes gains/(losses) related to derivatives and other instruments:~~

Three Months Ended Three Months Ended Nine Months Ended Nine Months Ended
Non-hedge derivatives and other instruments gain/(loss): Statement of Operations Location September 30, 2017 September 30, 2016 September 30, 2017 September 30, 2016
Interest rate swaps, at fair value Unrealized gain/(loss) on derivative and other instruments, net $ 2,954,860 $ 9,700,438 $ 6,213,709 $ (9,816,031 )
Interest rate swaps, at fair value Net realized gain/(loss) (1,813,293 ) (5,205,405 ) (9,896,031 ) (10,938,839 )
Long positions on Eurodollar Futures Unrealized gain/(loss) on derivative and other instruments, net - 2,997 - 2,997
Short positions on Eurodollar Futures Unrealized gain/(loss) on derivative and other instruments, net 74,624 146,044 74,624 (4,503 )
Short positions on Eurodollar Futures Net realized gain/(loss) 323,059 242,006 323,059 242,006
Long positions on U.S. Treasury Futures Unrealized gain/(loss) on derivative and other instruments, net - 126,468 - 106,094
Long positions on U.S. Treasury Futures Net realized gain/(loss) - (351,329 ) - (224,410 )
Short positions on U.S. Treasury Futures Unrealized gain/(loss) on derivative and other instruments, net (721,752 ) (21,123 ) 658,059 -
Short positions on U.S. Treasury Futures Net realized gain/(loss) (223,953 ) 292,930 (4,054,532 ) 307,986
Long positions on U.S. Treasuries Unrealized gain/(loss) on derivative and other instruments, net - (3,081,289 ) - 4,498,750
Long positions on U.S. Treasuries Net realized gain/(loss) - 1,412,695 - 1,836,523
Short positions on U.S. Treasuries Unrealized gain/(loss) on derivative and other instruments, net - 415,782 (1,724,922 ) 215,391
Short positions on U.S. Treasuries Net realized gain - - 1,730,547 -

~~The following table summarizes the weighted average life related to derivatives and other instruments:~~

Weighted Average Life (Years) on non-hedge derivatives and other instruments September 30, 2017 December 31, 2016
Interest rate swaps 4.51 5.01
Short positions on Eurodollar Futures 0.28 -
Short positions on U.S. Treasury Futures 10.03 9.19
Short positions on U.S. Treasuries - 9.38

~~Interest rate swaps~~

To help mitigate exposure to increases in short-term interest rates, we use currently-paying and may use forward-starting, one- or three-month LIBOR-indexed, pay-fixed, receive-variable, interest rate swap agreements. This arrangement helps hedge our exposure to higher short-term interest rates because the variable-rate payments received on the swap agreements help to offset additional interest accruing on the related borrowings due to the higher interest rate, leaving the fixed-rate payments to be paid on the swap agreements as our effective borrowing rate, subject to certain adjustments including changes in spreads between variable rates on the swap agreements and actual borrowing rates.

As of September 30, 2017, our interest rate swap positions consisted of pay-fixed interest rate swaps. The following table presents information about the Company’s interest rate swaps as of September 30, 2017:

As of December 31, 2016, our interest rate swap positions consisted of pay-fixed interest rate swaps. The following table presents information about the Company’s interest rate swaps as of December 31, 2016:

Dividends

~~Dividends~~

~~We intend to continue to make regular quarterly distributions to holders of our common stock if and to the extent authorized by our board of directors.~~

Federal income tax law generally requires that a REIT distribute annually at least 90% of its REIT ordinary taxable income, without regard to the deduction for dividends paid and excluding net capital gains and that it pay tax at regular corporate rates to the extent that it annually distributes less than 100% of its net taxable income. Before we pay any dividend, whether for U.S. federal income tax purposes or otherwise, we must first meet both our operating requirements and debt service on our ~~repurchase agreements~~financing arrangements and other debt payable. If our cash available for distribution is less than our net taxable income, we could be required to sell assets or borrow funds to make required cash distributions or we may make a portion of the required distribution in the form of a taxable stock distribution or distribution of debt securities. In addition, prior to the time we have fully deployed the net proceeds of our follow-on offerings to acquire assets in our target asset classes we may fund our quarterly distributions out of such net proceeds.

As ~~mentioned~~described above, our distribution requirements are based on taxable income rather than GAAP net income. ~~The primary differences~~Differences between taxable income and GAAP net income include (i) unrealized gains and losses associated with investment and derivative portfolios which are marked-to-market in current income for GAAP purposes, but excluded from taxable income until realized or settled, (ii) temporary differences related to amortization of premiums and discounts paid on investments, (iii) the timing and amount of deductions related to stock-based compensation, (iv) temporary differences related to the recognition of realized gains and losses on sold investments and certain terminated derivatives, (v) taxes and ~~(v) taxes.~~(vi) methods of depreciation. Undistributed taxable income is based on current estimates and is not finalized until we file our annual tax return for that tax year, typically in ~~September~~October of the following year. ~~As of September 30, 2017 the Company had estimated~~We did not have any undistributed taxable income as of ~~approximately $1.59~~June 30, 2021. Refer to the "Results of operations" section above for more detail.

On March 27, 2020, we announced that our Board of Directors approved a suspension of our quarterly dividends on our Series A Preferred Stock, Series B Preferred Stock, and Series C Preferred Stock, beginning with the preferred dividend that would have been declared in May 2020, as well as a suspension of the quarterly dividend on the common stock, beginning with the dividend that normally would have been declared in March 2020, in order to conserve capital and improve its liquidity position during the market volatility due to the COVID-19 pandemic. Under the terms of the Articles Supplementary governing our series of preferred stock, we cannot pay cash dividends with respect to our common stock if dividends on our preferred stock are in arrears.

On December 17, 2020, we paid our Series A Preferred Stock, Series B Preferred Stock, and Series C Preferred Stock dividends that were in arrears as well as the full dividends payable on the preferred stock for the fourth quarter of 2020 in the amount of $1.54689, $1.50 and $1.50 per ~~share.~~

share, respectively. On December 22, 2020, our Board of Directors declared a dividend of $0.09 per common share for the fourth quarter 2020 which was paid on January 29, 2021 to shareholders of record at the close of business on December 31, 2020. During the first quarter of 2021, we declared its preferred and common dividends in the ordinary course of business.

The following table details our common stock dividends declared during the ~~nine month~~six months ended ~~September~~June 30, ~~2017 and September~~2021:

2021

Declaration Date

Record Date

Payment Date

Cash Dividend Per Share

3/22/2021

4/1/2021

4/30/2021

0.18

6/15/2021

6/30/2021

7/30/2021

0.21

Total

0.39

We did not declare any common stock dividends during the three months ended June 30, ~~2016:~~

2017
Declaration Date Record Date Payment Date Dividend Per Share
3/10/2017 3/21/2017 4/28/2017 $ 0.475
6/8/2017 6/19/2017 7/31/2017 0.475
9/11/2017 9/29/2017 10/31/2017 0.575 *

*The combined dividend of $0.575 includes a dividend of $0.475 per common share and a special cash dividend of $0.10 per common share.

2016
Declaration Date Record Date Payment Date Dividend Per Share
3/10/2016 3/21/2016 4/29/2016 $ 0.475
6/9/2016 6/20/2016 7/29/2016 0.475
9/12/2016 9/23/2016 10/31/2016 0.475

2020.

The following tables detail our preferred stock dividends declared and paid during the ~~nine~~six months ended ~~September~~June 30, ~~2017~~2021 and ~~September 30, 2016:~~

2020:


2021			Cash Dividend Per Share
Declaration Date	Record Date	Payment Date	8.25% Series A		8.00% Series B		8.000% Series C
2/16/2021	2/26/2021	3/17/2021	$	0.51563	$	0.50	$	0.50
5/17/2021	5/28/2021	6/17/2021	0.51563		0.50		0.50
Total			$	1.03126	$	1.00	$	1.00


2020			Cash Dividend Per Share
Declaration Date	Record Date	Payment Date	8.25% Series A		8.00% Series B		8.000% Series C

2/14/2020	2/28/2020	3/17/2020	$	0.51563	$	0.50	$	0.50

Liquidity and capital resources

Our liquidity determines our ability to meet our cash obligations, including ~~commitments to make~~ distributions to our stockholders, ~~pay~~payment of our expenses, ~~finance~~financing our investments and ~~satisfy~~satisfying other general business needs.

Our principal sources of cash as of ~~September~~June 30, ~~2017~~2021 consisted of borrowings under ~~repurchase agreements, payments of~~financing arrangements, principal and interest payments we receive on our ~~Agency RMBS and credit~~investment portfolio, cash generated from our operating results, and proceeds from capital market transactions. We typically use cash to repay principal and interest on our ~~repurchase agreements,~~financing arrangements, to purchase real estate securities, loans and other real estate related assets, to make dividend payments on our capital stock, and to fund our operations. At ~~September~~June 30, ~~2017,~~2021, we had ~~$166.3~~$70.8 million of liquidity, which consisted of $64.0 million of cash and $6.8 million of unencumbered assets available to support our liquidity needs, comprised of $61.7 million of cash, $82.5 million of Agency RMBS, and $22.1 million of Agency Interest-Only securities that have not been pledged as collateral under any of our financing agreements.needs. Refer to the ~~“Contractual obligations”~~"Contractual obligations" section of this Item 2 for additional obligations that could impact our liquidity.

~~Leverage~~

The amount of leverage we may deploy for particular assets depends upon our Manager’s assessment of the credit and other risks of those assets, and also depends on any limitations placed upon us through covenants contained in our master repurchase agreements. We generate income principally from the yields earned on our investments and, to the extent that leverage is deployed, on the difference between the yields earned on our investments and our cost of borrowing and the cost of any hedging activities. Subject to maintaining both our qualification as a REIT for U.S. federal income tax purposes and our Investment Company Act exemption, to the extent leverage is deployed, we may use a number of sources to finance our investments.

As of September 30, 2017, we had MRAs with 39 counterparties, allowing us to utilize leverage in our operations. As of September 30, 2017, we had debt outstanding of $2.7 billion from 28 counterparties, inclusive of repurchase agreements through affiliated entities. The borrowings under repurchase agreements have maturities between October 2, 2017 and September 5, 2019. These agreements generally include customary representations, warranties, and covenants, but may also contain more restrictive supplemental terms and conditions. Although specific to each lending agreement, typical supplemental terms include requirements of minimum equity, leverage ratios, performance triggers or other financial ratios. If we fail to meet or satisfy any covenants, supplemental terms or representations and warranties, we would be in default under these agreements and our lenders could elect to declare all amounts outstanding under the agreements to be immediately due and payable, enforce their respective interests against collateral pledged under such agreements and restrict our ability to make additional borrowings. Certain financing agreements may contain cross-default provisions, so that if a default occurs under any one agreement, the lenders under our other agreements could also declare a default.

Under our repurchase agreements, we may be required to pledge additional assets to our lenders in the event the estimated fair value of the existing pledged collateral under such agreements declines and such lenders demand additional collateral, which may take the form of additional securities or cash. Certain securities that are pledged as collateral under our repurchase agreements are in unrealized loss positions.

~~The following table presents contractual maturity information for our repurchase agreements at September 30, 2017 and December 31, 2016:~~

September 30, 2017 December 31, 2016
Overnight $ 107,066,000 $ 70,899,000
30 days or less 2,041,360,000 961,185,000
31-60 days 369,334,000 465,776,000
61-90 days 19,965,000 129,119,000
91-180 days 111,027,000 16,897,000
Greater than 180 days 54,316,550 266,632,715
Total: Non-GAAP Basis $ 2,703,068,550 $ 1,910,508,715

Less: Investments in Debt and Equity of Affiliates $ 8,516,726 $ 9,998,909

Total: GAAP Basis $ 2,694,551,824 $ 1,900,509,806

As described above in the “Financing activities” section of this Item 2, we entered into the Resecuritization in 2014 that resulted in the consolidation of the VIE created with the SPE. We recorded the proceeds from the issuance of the secured financing in the “Cash Flows from Financing Activities” section of the consolidated statement of cash flows. See Note 3 to the Notes to Consolidated Financial Statements (unaudited) for more detail.

As described above in the “Financing activities” section of this Item 2, we originated a $12.0 million commercial loan and transferred the Participation Interest to an unaffiliated third party. We recorded proceeds from the transfer in the “Cash Flows from Financing Activities” section of the consolidated statement of cash flows. The commercial loan was paid off in full in February 2017. The principal and interest due on the loan participation was paid from these proceeds.

~~The following table presents information at September 30, 2017 with respect to each counterparty that provides us with financing for which we had greater than 5% of our stockholders’ equity at risk.~~

~~The following table presents information at December 31, 2016 with respect to each counterparty that provides us with financing for which we had greater than 5% of our stockholders’ equity at risk.~~

Margin requirements

The fair value of our real estate securities and loans fluctuate according to market conditions. When the fair value of the assets pledged as collateral to secure a ~~repurchase agreement~~financing arrangement decreases to the point where the difference between the collateral fair value and the ~~repurchase agreement~~financing arrangement amount is less than the haircut, our lenders may issue a ~~“margin~~"margin call,”" which requires us to post additional collateral to the lender in the form of additional assets or cash. Under our repurchase facilities, our lenders have full discretion to determine the fair value of the securities we pledge to them. Our lenders typically value assets based on recent ~~trades~~transactions in the market. Lenders also issue margin calls as the published current principal balance factors change on the pool of mortgages underlying the securities pledged as collateral when scheduled and unscheduled paydowns are announced monthly. We experience margin calls in the ordinary course of our business. In seeking to manage effectively the margin requirements established by our lenders, we maintain a position of cash and, when owned, unpledged Agency RMBS. We refer

to this position as our ~~“liquidity.”~~"liquidity." The level of liquidity we have available to meet margin calls is directly affected by our leverage levels, our haircuts and the price changes on our securities. IfTypically, if interest rates increase or if credit spreads widen, then the prices of our collateral (and our unpledged assets that constitute our liquidity) will decline, we will experience margin calls, and we will need to use our liquidity to meet the margin calls. There can be no assurance that we will maintain sufficient levels of liquidity to meet any margin calls. If our haircuts increase, our liquidity will proportionately decrease. In addition, if we increase our borrowings, our liquidity will decrease by the amount of additional haircut on the increased level of indebtedness. We intend to maintain a level of liquidity in relation to our assets that enables us to meet reasonably anticipated margin calls but that also allows us to be substantially invested in ~~securities.~~the residential mortgage market. We may misjudge the appropriate amount of our liquidity by maintaining excessive liquidity, which would lower our investment returns, or by maintaining insufficient liquidity, which ~~would~~may force us to liquidate assets into potentially unfavorable market conditions and harm our results of operations and financial condition. Further, an unexpected rise in interest rates and a corresponding fall in the fair value of our securities may also force us to liquidate assets under difficult market conditions, thereby harming our results of operations and financial condition, in an effort to maintain sufficient liquidity to meet increased margin calls.

Similar to the margin calls that we receive on our borrowing agreements, we may also receive margin calls on our derivative instruments when their fair ~~values decline.~~value declines. This typically occurs when prevailing market rates change adversely, with the severity of the change also dependent on the terms of the derivatives involved. We may also receive margin calls on our derivatives based on the implied volatility of interest rates. Our posting of collateral with our counterparties can be done in cash or securities, and is generally bilateral, which means that if the fair value of our interest rate hedges increases, our counterparty will be required to post collateral with us.

Refer to the "Liquidity risk – derivatives" section of Item 3 below for a further discussion on margin.

Refer to the "Financing activities–Forbearance and Reinstatement Agreements" section above for information on the impact of COVID-19 on margin calls in 2020.

Cash Flows

The below details changes to our cash, cash equivalents, and restricted cash for the six months ended June 30, 2021 and 2020 (in thousands).

Six Months Ended
June 30, 2021 June 30, 2020 Change
Cash and cash equivalents and restricted cash, Beginning of Period $ 62,318 $ 125,369 $ (63,051)
Net cash provided by (used in) operating activities (1) 9,876 841 9,035
Net cash provided by (used in) investing activities (2) (742,636) 2,628,424 (3,371,060)
Net cash provided by (used in) financing activities (3) 758,147 (2,685,150) 3,443,297
Net change in cash and cash equivalents and restricted cash 25,387 (55,885) 81,272
Effect of exchange rate changes on cash 10 (250) 260
Cash and cash equivalents and restricted cash, End of Period $ 87,715 $ 69,234 $ 18,481

(1)Cash provided by operating activities is primarily attributable to net interest income less operating expenses for the six months ended June 30, 2021 and 2020, respectively.

(2)Cash used in investing activities for the six months ended June 30, 2021 was primarily attributable to purchases of investments less sales of investments and principal repayments of investments. Cash provided by investing activities for the six months ended June 30, 2020 was primarily attributable to sales of investments and principal repayments of investments, offset by purchases of investments. The difference period over period is primarily due to significant sales in 2020 as a result of the global COVID-19 pandemic.

(3)Cash provided by financing activities for the six months ended June 30, 2021 was primarily attributable to borrowings under financing arrangements offset by repayments of financing arrangements and dividend payments. Cash used in financing activities for the six months ended June 30, 2020 was primarily attributable to repayments of financing arrangements offset by borrowings under financing arrangements. The difference period over period is primarily due to a reduction in financing arrangements as a result of significant sales in 2020 due to the global COVID-19 pandemic.

Equity distribution ~~agreement~~

agreements

On May 5, 2017, we entered into an equity distribution agreement with each of Credit Suisse Securities (USA) LLC and JMP

Securities LLC (collectively, the ~~“Sales Agents”~~"Sales Agents"), which we refer to as the ~~“Equity~~"Equity Distribution ~~Agreements”,~~Agreements," pursuant to which we may sell up to $100.0 million aggregate offering price of shares of our common stock from time to time through the Sales Agents, ~~as defined in Rule 415~~ under the Securities Act of 1933. ~~As of September~~For the three months ended June 30, ~~2017,~~2021, we ~~have sold 460,932~~issued 0.2 million shares of common stock under the Equity Distribution Agreements for net proceeds of approximately ~~$8.7~~$3.1 million.

~~Real estate securities~~

~~Real estate securities in any remaining unrealized loss position as~~ For the six months ended June 30, 2021, we issued 1.0 million shares of common stock under the Equity Distribution Agreements for net proceeds of approximately $13.1 million. For the three and six months ended June 30, 2020, we issued 0.3 million shares of common stock under the Equity Distribution Agreements for net proceeds of approximately $3.5 million. Since inception of the ~~balance sheet date are not considered other than temporarily impaired as~~program, we have issued approximately 2.2 million shares of common stock under the ~~ability~~Equity Distribution Agreements for gross proceeds of $48.3 million.

Exchange Offers

On March 17, 2021, we agreed to issue an aggregate of 937,462 shares of our common stock in exchange for 153,325 shares of Series A Preferred Stock and ~~intent~~350,609 shares of Series B Preferred Stock, pursuant to ~~hold the securities to maturity or for~~ a ~~period of time sufficient for a forecasted market price recovery up to or above the cost~~privately negotiated exchange agreement with existing holders of the ~~investment~~preferred stock. After the transaction closed, the Series A Preferred Stock and Series B Preferred Stock exchanged pursuant to the exchange agreement were reclassified as authorized but unissued shares of preferred stock without designation as to class or series.

On June 14, 2021, we ~~are not required~~agreed to ~~sell~~issue an aggregate of 429,802 shares of our common stock in exchange for 86,478 shares of Series B Preferred Stock and 154,383 shares of Series C Preferred Stock, pursuant to privately negotiated exchange agreements with certain existing holders of the ~~security~~preferred stock. After the transaction closed, the Series B Preferred Stock and Series C Preferred Stock exchanged pursuant to the exchange agreements were reclassified as authorized but unissued shares of preferred stock without designation as to class or series.

As of June 30, 2021, we had outstanding 1,663,193 shares of Series A Preferred Stock, 3,727,641 shares of Series B Preferred Stock, and 3,728,795 shares of Series C Preferred Stock outstanding.

Common stock issuance to the Manager

Refer to "Contractual obligations–Management agreement" below for ~~regulatory or other reasons.~~

more detail related to the Second Management Agreement Amendment.

Forward-looking statements regarding liquidity

Based upon our current portfolio, leverage and available borrowing arrangements, we believe ~~that~~ the net proceeds of our common equity offerings, preferred equity offerings, and private placements, combined with cash flow from operations and our available borrowing capacity will be sufficient to enable us to meet our anticipated liquidity requirements, including funding our investment activities, paying fees under our management agreement, funding our distributions to stockholders and paying general corporate expenses.

Contractual obligations

Management agreement

On June 29, 2011, we entered into ana management agreement with our Manager, pursuant to which our Manager is entitled to receive a management fee and the reimbursement of certain expenses. The management fee is calculated and payable quarterly in arrears in an amount equal to 1.50% of our Stockholders’ Equity, per annum.

For purposes of calculating the management fee, ~~“Stockholders’ Equity”~~"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 our retained earnings at the end of such quarter (without taking into account any non-cash equity compensation expense or other non-cash items described below incurred in current or prior periods), less any amount that we pay for repurchases of our common stock, excluding any unrealized gains, losses or other non-cash items that have impacted stockholders’ equity as reported in our 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 our independent directors and after approval by a majority of our independent directors. Stockholders’ Equity, for purposes of calculating the management fee, could be greater or less than the amount of stockholders’ equity shown on our financial statements. For the three and ~~nine~~six months ended ~~September~~June 30, ~~2017,~~2021, we

incurred management fees of approximately $1.7 million and $3.3 million, respectively. For the three and six months ended June 30, 2020, we incurred management fees of approximately ~~$2.5~~$1.7 million and ~~$7.4~~$3.8 million, respectively. ~~For the three~~As of June 30, 2021 and ~~nine months ended September 30, 2016,~~December 31, 2020, we ~~incurred~~have recorded management fees payable of ~~approximately $2.4~~$1.7 million and ~~$7.3~~$1.7 million, respectively.

Our Manager uses the proceeds from its management fee in part to pay compensation to its officers and personnel, who, notwithstanding that certain of them also are our officers, receive no compensation directly from us. We are required to reimburse our Manager or its affiliates for operating expenses ~~which are~~ incurred by our Manager or its affiliates on our behalf, including certain salary expenses and other expenses relating to legal, accounting, due diligence and other services. Our 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 our ~~board~~Board of ~~directors.~~Directors and discussions with our Manager. Of the ~~$2.6~~$4.9 million and ~~$8.2~~$8.8 million of Other operating expenses for the three and ~~nine~~six months ended ~~September~~June 30, ~~2017,~~2021, respectively, we have ~~accrued $1.4~~incurred $1.1 million and ~~$4.8~~$2.7 million, respectively, representing a reimbursement of expenses. Of the ~~$2.9~~$4.6 million and ~~$8.6~~$5.5 million of Other operating expenses for the three and ~~nine~~six months ended ~~September~~June 30, ~~2016,~~2020, respectively, we ~~have accrued $1.8~~incurred $1.9 million and ~~$5.3~~$3.9 million, respectively, representing a reimbursement of expenses.

~~Share-based compensation~~

As of June 30, 2021 and December 31, 2020, we recorded a reimbursement payable to the Manager of $1.5 million and $1.8 million, respectively. For the year ended December 31, 2021, the Manager agreed to waive its right to receive expense reimbursements of $0.8 million.

On April 6, 2020, we executed an amendment to the management agreement, pursuant to which the Manager agreed to defer our payment of the management fee and reimbursement of expenses, effective the first quarter of 2020 through September 30, 2020. All deferred expense reimbursements were paid as of September 30, 2020.

On September 24, 2020, we executed an amendment (the "Second Management Agreement Amendment") to the management agreement, pursuant to which the Manager agreed to receive a portion of the deferred base management fee in shares of common stock. Pursuant to the Second Management Agreement Amendment, the Manager ~~Equity Incentive Plan and the Equity Incentive Plan, we can award up~~agreed to ~~277,500~~purchase (i) 405,123 shares of common stock in full satisfaction of the ~~form~~deferred base management fee of ~~restricted~~$3.8 million payable by us in respect to the first and second quarters of 2020 and (ii) 51,500 shares of common stock in satisfaction of $0.5 million of the base management fee payable by us in respect to the third quarter of 2020. The shares of common stock ~~options, restricted~~issued to the Manager were valued at $9.45 per share based on the midpoint of the estimated range of our book value per share as of August 31, 2020. The remaining third quarter 2020 management fee was paid in the normal course of business.

Secured debt

On April 10, 2020, in connection with the first Forbearance Agreement, we issued a secured promissory note (the "Note") to the Manager evidencing a $10 million loan made by the Manager to us. Additionally, on April 27, 2020, in connection with the second Forbearance Agreement, we entered into an amendment to the Note to reflect an additional $10 million loan by the Manager to us. The $10 million loan made by the Manager on April 10, 2020 was repaid in full with interest when it matured on March 31, 2021, and the $10 million loan made on April 27, 2020 was repaid in full with interest when it matured on July 27, 2020. The unpaid balance of the Note accrued interest at a rate of 6.0% per annum. Interest on the Note was payable monthly in kind through the addition of such accrued monthly interest to the outstanding principal balance of the Note. The Note and accrued interest on the Note, when outstanding, were included within the due to affiliates amount, which is included within the "Other Liabilities" line item in the consolidated balance sheets.

Share-based compensation

Effective on April 15, 2020 upon the approval of our stockholders at our 2020 annual meeting of stockholders, the 2020 Equity Incentive Plan provides for 666,666 shares of common stock ~~units or other types~~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 ~~to our directors, officers, advisors, consultants and other personnel and to our Manager.~~based on the grant date fair value). As of ~~September~~June 30, ~~2017, 65,238~~2021, 612,676 shares of common stock were available to be awarded under the equity incentive plans. Awards under the equity incentive plans are forfeitable until they become vested. An award will become vested only if the vesting conditions set forth in the applicable award agreement (as determined by the compensation committee) are satisfied. The vesting conditions may include performance of services for a specified period, achievement of performance goals, or a combination of both. The compensation committee also has the authority to provide for accelerated vesting of an award upon the occurrence of certain events in its discretion.

~~As of September 30, 2017,~~Equity Incentive Plan.

Since our IPO, we have granted an aggregate of ~~52,012~~35,264 and 53,990 shares of restricted common stock to our independent directors ~~and 160,250 shares of restricted common stock to our Manager~~ under our equity incentive ~~plans.~~plans, dated July 6, 2011 (the "2011 Equity Incentive Plans") and our 2020 Equity Incentive Plan, respectively. As of ~~September~~June 30, ~~2017, 52,012 and 100,250~~2021, all shares of restricted common stock granted to our independent directors ~~and Manager, respectively,~~ have vested.

~~On July 1, 2017,~~

Following approval of our stockholders at our 2021 annual meeting of stockholders, the ~~Company granted 60,000~~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 to be issued to our Manager. As of June 30, 2021, there were no shares or awards issued under the 2021 Manager Plan.

Further, since our IPO, we have issued 13,416 shares of restricted common stock and 40,000 restricted stock units to ~~the~~our Manager ~~that represent the right to receive an equivalent number of shares of the Company’s common stock if and when the units vest. Annual vesting of approximately 20,000 units will occur on each~~under our 2011 Equity Incentive Plans. As of July 1, ~~2018, July 1, 2019,~~2020, all shares of restricted common stock and ~~July 1, 2020. The~~restricted stock units ~~do not entitle the participant the rights of a holder~~granted to our Manager have fully vested.

Unfunded commitments

See Note 12 of the ~~Company’s common stock, such~~"Notes to Consolidated Financial Statements (unaudited)" for detail on our commitments as ~~dividend~~of June 30, 2021.

MATT Financing Arrangement Restructuring

See Note 10 and ~~voting rights, until shares are issued in settlement~~Note 12 of the ~~vested units. The vesting of such units is subject~~"Notes to Consolidated Financial Statements (unaudited)" for detail on the ~~continuation of the management agreement. If the management agreement terminates, all unvested units then held by the Manager or the Manager’s transferee shall be immediately cancelled~~MATT Restructured Financing Arrangement and ~~forfeited without consideration.~~

~~Mortgage Acquisition Trust I LLC~~

In August 2017, we, alongside private funds under the management of Angelo, Gordon, formed Mortgage Acquisition Holding I LLC (“MATH”) to conduct a residential mortgage investment strategy. MATH in turn sponsored the formation of an entity called Mortgage Acquisition Trust I LLC (“MATT”), which is expected to make an election to be treated as a Real Estate Investment Trust beginning with the 2018 tax year. MATT intends to purchase residential mortgage loans that are not eligible for delivery to Fannie Mae, Freddie Mac or Ginnie Mae. In furtherance of this business, MATH’s sponsoring funds, which include us, have agreed to provide up to $75.0 million of capital to MATH for use in this mortgage investment business. Our share of MATH’s total capital commitment to MATT is $33.4 million~~. We will invest in MATT through MATH and~~our commitments as of ~~September~~June 30, ~~2017, we had not funded any of our commitment to MATH.~~

2021.

~~Other~~

We have presented a table that details the contractual maturity of our financing arrangements at September 30, 2017 in the “Liquidity and capital resources” section for this Item 2. As of September 30, 2017 and December 31, 2016, we are obligated to pay accrued interest on our repurchase agreements in the amount of $5.3 million and $2.5 million, respectively, inclusive of accrued interest accounted for through investments in debt and equity of affiliates, and exclusive of accrued interest on any financing utilized through AG Arc. The change in accrued interest on our repurchase agreements resulted from the increase in our repurchase agreement balance from $1.9 billion as of December 31, 2016 to $2.7 billion as of September 30, 2017.

Off-balance sheet arrangements

~~We have committed to invest up to $33.4 million in MATT through our ownership of MATH. As of September 30, 2017, we have not funded any of this commitment.~~

We have entered into TBA positions to facilitate the future purchase or sale of Agency RMBS. We record TBA purchases and sales on the trade date and present the purchase or receipt net of the corresponding payable or receivable until the settlement date of the transaction. As of September 30, 2017, we had a net long TBA position with a net payable amount of $122.5 million and fair market value of $121.1 million. We recorded $0.1 million and $1.5 million, in the “Derivative assets, at fair value” and “Derivative liabilities, at fair value” line items, respectively, on our consolidated balance sheets.

Our investments in debt and equity of affiliates ~~are comprised~~primarily consist of real estate securities, loans, and ~~loans,~~ our interest in AG ~~Arc, associated repurchase agreements and interest receivable/payable on such accounts.~~Arc. Investments in debt and equity of affiliates are accounted for using the equity method of accounting. AsMATT performs securitizations of ~~September 30, 2017, our real estate securities~~Non-QM Loans and ~~loans, and interest in AG Arc had a fair market value of $97.6 million. As of September 30, 2017,~~retains tranches from these ~~investments, inclusive of associated repurchase agreements and interest receivable/payable had a fair market value of $89.1 million~~securitizations which isare included in the ~~“Investments~~MATT Non-QM Loans line item of our investment portfolio. See Note 2 to the "Notes to Consolidated Financial Statements (unaudited)" for a discussion of investments in debt and equity of ~~affiliates” line item~~affiliates.

In addition to our investments in debt and equity of affiliates described above, we also have commitments outstanding on certain loans. For additional information on our ~~consolidated balance sheets.~~

~~Certain related person transactions~~

~~Our board~~commitments as of ~~directors has adopted a policy regarding the approval of any “related person transaction,” which is any transaction or series of transactions in which (i) we or any of our subsidiaries is or are~~June 30, 2021, refer to be a participant, (ii) the amount involved exceeds $120,000, and (iii) a “related person” (as defined under SEC rules) has a direct or indirect material interest. Under the policy, a related person would need to promptly disclose to our Secretary or Assistant Secretary any related person transaction and all material facts about the transaction. Our Secretary or Assistant Secretary, in consultation with outside counsel, to the extent appropriate, would then assess and promptly communicate that information to the audit committee of our board of directors. Based on its consideration of allNote 12 of the relevant facts and circumstances, the audit committee will review, approve or ratify such transactions as appropriate. The audit committee will not approve or ratify a related person transaction unless it shall have determined that such transaction is in, or is not inconsistent with, our best interests and does not create a conflict of interest. If we become aware of an existing related person transaction that has not been approved under this policy, the transaction will be referred to the audit committee which will evaluate all options available, including ratification, revision or termination of such transaction. Our policy requires any director who may be interested in a related person transaction to recuse himself or herself from any consideration of such related person transaction.

~~Grants of restricted common stock~~

As of September 30, 2017, we have granted an aggregate of 52,012 shares of restricted common stock to our independent directors and 160,250 shares of restricted common stock to our Manager under our equity incentive plans. As of September 30, 2017, 52,012 and 100,250 shares of restricted common stock granted to our independent directors and Manager, respectively, have vested. See Note 10 to the Notes"Notes to Consolidated Financial Statements (unaudited) ~~for further detail on restricted stock grants.~~

~~Red Creek~~

~~In connection with~~." Exclusive of our investments in residential loans and Securitized Whole Loans, we may engage asset managers to provide advisory, consultation, asset management and other services to formulate and implement strategic plans to manage, collect and dispose of loans in a manner that is reasonably expected to maximize the amount of proceeds from each loan. Beginning in November 2015, we engaged Red Creek Asset Management LLC (“Asset Manager”), an affiliate of the Manager and direct subsidiary of Angelo, Gordon, as the asset manager for certain of our residential loans and Securitized Whole Loans. The Asset Manager acknowledges that we will at all times have and retain ownership and control of all loans and that the Asset Manager will not acquire (i) title to any loan, (ii) any security interest in any loan, or (iii) any other rights or interests of any kind or any nature whatsoever in or to any loan. We pay separate arm’s-length asset management fees (as assessed and confirmed by a third party valuation firm) for the Asset Manager’s services related to non-performing loans and reperforming loans. For the three and nine months ended September 30, 2017, the fees paid by us to the Asset Manager, inclusive of fees paid through affiliated entities, totaled $41,732 and $137,022, respectively. For the three and nine months ended September 30, 2016, the fees paid by us to the Asset Manager, inclusive of fees paid through affiliated entities, totaled $67,189 and $202,175, respectively.

~~Arc Home~~

On December 9, 2015, we, alongside private funds under the management of Angelo, Gordon, through AG Arc, entered into the Amended and Restated Limited Liability Company Agreement of Arc Home, a Delaware limited liability company. Arc Home, through its subsidiary, originates conforming, Government, Jumbo and other non-conforming residential mortgage loans, retains the mortgage servicing rights associated with the loans it originates, and purchases additional mortgage servicing rights from third-party sellers.

~~Our investment in Arc Home, which is conducted through AG Arc, one of our indirect subsidiaries, is reflected on the “Investments~~ in debt and equity of ~~affiliates” line item~~affiliates described above, we do not expect these commitments, taken as a whole, to be significant to, or to have a material impact on, our overall liquidity or capital resources or our operations.

Critical accounting policies

We prepare our consolidated balance sheets and had a fair value of $17.8 million and $12.9 million on September 30, 2017 and December 31, 2016, respectively. On March 8, 2016, an affiliate of the Manager (“the Affiliate”) became a member of AG Arc. The Affiliate acquired an ownership interestfinancial statements in ~~AG Arc which resulted in our ownership interest being reduced on a pro-rata basis.~~

~~Arc Home may sell loans to affiliates of our Manager. Arc Home may also enter into agreements~~conformity with us, third parties, or affiliates of our Manager to sell Excess MSRs on the mortgage loans that it either purchases from third parties or originates. In March of 2017, we entered into an agreement with Arc Home to purchase rights to receive the excess servicing spread related to certain of its MSRs and as of September 30, 2017, these Excess MSRs had fair value of approximately $2.6 million.

In connection with our investments in Excess MSRs purchased through Arc Home, we pay a sourcing fee to Arc Home based on the net equity invested by us for these investments. For the three and nine months ended September 30, 2017, the sourcing fees paid by us to Arc Home totaled $2,921 and $6,364, respectively. No sourcing fees were paid by us to Arc Home for the three or nine months ended September 30, 2016.

~~Mortgage Acquisition Trust I LLC~~

~~In August 2017, we, alongside private funds under the management of Angelo, Gordon entered into the MATH LLC Agreement~~GAAP, which requires the use of estimates and assumptions that ~~MATH fund a capital commitment~~affect reported amounts of ~~$75.0 million to MATT. Our share~~assets and liabilities and disclosure of ~~MATH’s total capital commitment to MATT is $33.4 million. As of September 30, 2017, we had not funded any of our commitment to MATH.~~

~~Management agreement~~

~~On June 29, 2011 we entered into a management agreement with our Manager, which governs the relationship between us~~contingent assets and our Manager and describes the services to be provided by our Manager and its compensation for those services. The terms of our management agreement, including the fees payable by us to Angelo, Gordon, were not negotiatedliabilities at arm’s length, and its terms may not be as favorable to us as if they had been negotiated with an unaffiliated party. Our Manager, pursuant to the delegation agreement dated as of June 29, 2011, has delegated to Angelo, Gordon the overall responsibility of its day-to-day duties and obligations arising under our management agreement. For further detail on the Management Agreement, see the “Contractual obligations–Management agreement” section of this Item 2.

~~Other transactions with affiliates~~

In May 2015, we completed an arm’s-length securitization with other investors managed by an affiliate of the Manager (the “Related Parties”) by combining the assets of a prior private securitization, in which we held a 10.0% ownership interest, with the assets of another private securitization held entirely by the Related Parties. Our investment in this securitization is reflected on the “Non-Agency” line item on the consolidated balance sheets and had a fair value of $3.1 million as of the date of the ~~securitization.~~financial statements and the reported amounts of revenues and expenses during the reporting period. These estimates are based, in part, on our judgment and assumptions regarding various economic conditions that we believe are reasonable based on facts and circumstances existing at the time of reporting. We ~~completed another similar arm’s-length securitization~~believe that the estimates, judgments and assumptions utilized in ~~July 2015 with~~ the ~~Related Parties by combining the assets~~preparation of a private securitization, in which we held a 7.5% ownership interest, with the assets of another private securitization held entirely by the Related Parties. Our investment in this securitization is reflected on the “Non-Agency” line item on theour consolidated ~~balance sheets~~financial statements are prudent and ~~had a fair value of $5.1 million~~reasonable. Although our estimates contemplate conditions as of June 30, 2021 and how we expect them to change in the future, it is reasonably possible that actual conditions could be different than anticipated in arriving at those estimates, which could materially affect reported amounts of assets, liabilities and accumulated other comprehensive income at the date of the ~~securitization. The remaining interests in each securitization were owned by certain~~consolidated financial statements and the reported amounts of income, expenses and other comprehensive income during the ~~Related Parties. Each securitization was backed by collateral consisting of seasoned NPLs and RPLs. We obtained third party pricing for each transaction.~~

In July 2015, we completed an arm’s-length investment purchase at fair value. Certain entities managed by an affiliate of our Manager (“Related Entities”) had previously formed a joint venture (“Joint Venture”) with an unaffiliated third party. The Joint Venture owns certain multi-family properties for which the mortgages partly collateralize a securitization wherein we purchased certain bond tranches. To ensure an arm’s-length transaction, the Manager delegated its decision making rights with respect to the securitization to a third party servicer. In addition, the members of the Joint Venture agreed to cease sharing material non-public information with our investment team regarding the collateral. Our investment in these bond tranches was reflected on the “Investments in debt and equity of affiliates” line item on the consolidated balance sheets with a fair value of $7.1 million as of the date of the purchase.

periods presented.

In June 2016, in accordance with our Affiliated Transactions Policy, we executed two trades whereby we acquired real estate securities from two separate affiliates of the Manager (the “June Selling Affiliates”). As of the date of the trades, the securities acquired from the June Selling Affiliates had a total fair value of $6.9 million. In each case, the June Selling Affiliates sold the real estate securities through a BWIC (Bids Wanted in Competition). Prior to the submission of the BWIC by the June Selling Affiliates, we submitted our bid for the real estate securities to the June Selling Affiliates. The pre-submission of our bid allowed us to confirm third-party market pricing and best execution.

In February 2017, in accordance with our Affiliated Transactions Policy, we executed one trade whereby we acquired a real estate security from a separate affiliate of the Manager (the “February Selling Affiliate”). As of the date of the trade, the security acquired from the February Selling Affiliate had a total fair value of $2.0 million. The February Selling Affiliate sold the real estate security through a BWIC. Prior to the submission of the BWIC by the February Selling Affiliate, we submitted its bid for the real estate security to the February Selling Affiliate. The pre-submission of our bid allowed us to confirm third-party market pricing and best execution.

In July 2017, in accordance with our Affiliated Transactions Policy, we acquired certain real estate securities from an affiliate of the Manager (the “July Selling Affiliate”). As of the date of the trade, the securities acquired from the July Selling Affiliate had a total fair value of $0.2 million. As procuring market bids for the real estate securities was determined to be impracticable in the Manager’s reasonable judgement, appropriate pricing was based on a valuation prepared by an independent third-party pricing vendor. The third-party pricing vendor us to confirm third-party market pricing and best execution.

~~Critical accounting policies~~

Our consolidated financial statements are prepared in accordance with GAAP, which requires the use of estimates that involve the exercise of judgment and the use of assumptions as to future uncertainties. A discussion of the critical accounting policies and the possible effects of changes in estimates on our consolidated financial statements is included in Item 8 of our Annual Report on Form 10-K for the year ended December 31, 2020 and in Note 2 to the "Notes to Consolidated Financial Statements (unaudited)." Our most critical accounting policies are believed to include (i) Valuation of financial instruments, (ii) Accounting for real estate securities, (iii) Accounting for loans, (iv) Interest income recognition, and (v) Financing arrangements.

See Note 2 to the "Notes to Consolidated Financial Statements (unaudited)" for more detail on these critical accounting policies. These policies involve decisions and assessments that could affect our reported assets and liabilities, as well as our reported revenues and expenses. We believe that all of the decisions and assessments upon which our consolidated financial statements are based are reasonable at the time made and based upon information available to us at that time. We rely upon ~~independent~~third-party pricing of our assets at ~~each quarter~~each-quarter end to arrive at what we believe to be reasonable estimates of fair ~~market~~ value, whenever available. For more information on our fair value measurements, see Note 5 ~~of our “Notes~~to the "Notes to Consolidated Financial Statements (unaudited)".” For a review of our significant accounting policies and the recent accounting pronouncements that may impact our results of operations, see Note 2 ~~of our “Notes~~to the "Notes to Consolidated Financial Statements (unaudited).”

Inflation

Virtually all of our assets and liabilities are interest rate sensitive in nature. As a result, interest rates and other factors influence our performance far more than inflation. Changes in interest rates do not necessarily correlate with inflation rates or changes in inflation rates.

~~Other matters~~

Compliance with Investment Company Act and REIT tests

We intend to conduct our business so as to maintain our exempt status under, and not to become regulated as an investment company for purposes, of the Investment Company Act. Under Section 3(a)(1)(A) of the Investment Company Act, a company is an investment company if it is, or holds itself out as being, engaged primarily, or proposes to engage primarily, in the business of investing, reinvesting or trading in securities. Under Section 3(a)(1)(C) of the Investment Company Act, a company is deemed to be an investment company if it is engaged, or proposes to engage, in the business of investing, reinvesting, owning, holding or trading in securities and owns or proposes to acquire "investment securities" having a value exceeding 40% of the value of its total assets (exclusive of U.S. government securities and cash items) on an unconsolidated basis (the "40% Test"). "Investment securities" do not include, among other things, U.S. government securities, and securities issued by majority-owned subsidiaries that (i) are not investment companies and (ii) are not relying on the exceptions from the definition of investment company provided by Section 3(c)(1) or 3(c)(7) of the Investment Company Act (the so called "private investment company" exemptions). As of December 31, 2020 and for the three months ended June 30, 2021, we determined that we maintained compliance with the 40% test requirements.

If we failed to ~~maintain our exempt status~~ comply with the 40% Test or another exemptionunder the Investment Company Act and became regulated as an investment company, our ability to, among other things, use leverage would be substantially reduced and, as a result, we would be unable to conduct our business as described in this ~~report.~~Report. Accordingly, ~~we monitor our compliance with both the 55% Test and the 80% Test of the Investment Company Act~~ in order to maintain our exempt ~~status.~~status, we monitor our subsidiaries' compliance with Section 3(c)(5)(C) of the Investment Company Act, which exempts from the definition of "investment company" entities primarily engaged in the business of purchasing or otherwise acquiring mortgages and other liens on and interests in real estate. The staff of the Securities and Exchange Commission, or the SEC, generally requires an entity relying on Section 3(c)(5)(C) to invest at least 55% of its portfolio in "qualifying assets" and at least another 25% in additional qualifying assets or in "real estate-related" assets (with no more than 20% comprised of miscellaneous assets). As of December 31, ~~2016,~~2020 and for the three months ended June 30, 2021, we determined that weour subsidiaries maintained compliance with both the 55% Test and the 80% Test requirements.

We calculate that at least 75% of our assets were real estate assets, cash and cash items and government securities for the year ended December 31, ~~2016.~~2020. We also calculate that a sufficient portion of our revenue qualifies for the 75% gross income test and for the 95% gross income test rules for the year ended December 31, ~~2016.~~2020. Overall, we believe that we met the REIT income and asset tests. We also believe that we met all other REIT requirements, including the ownership of our ~~common~~ stock and the distribution of our ~~net~~taxable income. Therefore, for the year ended December 31, ~~2016,~~2020, we believe that we qualified as a REIT under the Code.

~~ITEM 3.~~

~~QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK.~~

ITEM 3. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK

The primary components of our market risk relate to interest rates, liquidity, prepayment rates, real estate, credit and ~~credit~~basis risk. While we do not seek to avoid risk completely, we seek to assume risk that can be reasonably quantified from historical experience and to actively manage that risk, to earn sufficient returns to justify taking those risks and to maintain capital levels consistent with the risks we undertake.

Many of these risks have become particularly heightened due to the COVID-19 pandemic and related economic and market conditions.

Interest rate risk

Interest rate risk is highly sensitive to many factors, including governmental monetary, fiscal and tax policies, domestic and international economic and political considerations and other factors beyond our control. We are subject to interest rate risk in connection with both our investments and the financing under our ~~repurchase agreements.~~financing arrangements. We generally seek to manage this risk by monitoring the reset index and the interest rate related to our ~~target assets~~investment portfolio and our financings; by structuring our financing ~~agreements~~arrangements to have a range of maturity terms, amortizations and interest rate adjustment periods; and by using ~~hedging~~derivative instruments to adjust interest rate sensitivity of our ~~target assets~~investment portfolio and borrowings.

Our hedging techniques can be highly complex, and the value of our investment portfolio and derivatives may be adversely affected as a result of changing interest rates.

Interest rate effects on net interest income

Our operating results depend in large part upon differences between the yields earned on our investments and our cost of borrowing and upon the effectiveness of our interest rate hedging activities. The majority of our ~~repurchase agreements~~financing arrangements are short term in nature with an initial term of between 30 and 90 days. The financing rate on these agreements will generally be determined at the outset of each transaction by reference to prevailing ~~short-term~~ rates plus a spread. As a result, our borrowing costs will tend to increase during periods of rising ~~short-term~~ interest rates as we renew, or ~~“roll”~~"roll", maturing transactions at the higher prevailing rates. When combined with the fact that the income we earn on our fixed interest rate investments will remain substantially unchanged, this will result in a narrowing of the net interest spread between the related assets and borrowings and may even result in losses. We have obtained term financing on certain borrowing arrangements. The financing on term facilities generally are fixed at the outset of each transaction by reference to a pre-determined interest rate plus a spread.

In an attempt to offset the increase in funding costs related to rising ~~short term~~ interest rates, our Manager ~~enters~~may cause us to enter into hedging transactions structured to provide us with positive cash flow in the event ~~short term~~ interest rates rise. Our Manager accomplishes this through the use of interest rate derivatives. Some hedging strategies involving the use of derivatives are highly complex, may produce volatile returns and may expose us to increased risks relating to counterparty defaults.

Interest rate effects on fair value

Another component of interest rate risk is the effect that changes in interest rates will have on the ~~market~~fair value of the assets that we acquire.

Generally, in a rising interest rate environment, the fair value of our real estate securities and loan portfolios would be expected to decrease, all other factors being held constant. In particular, the portion of our real estate securities and loan portfolios with fixed-rate coupons would be expected to decrease in value more severely than that portion with a floating-rate coupon. This is because fixed-rate coupon assets tend to have significantly more duration, or price sensitivity to changes in interest rates, than floating-rate coupon assets. Fixed-rate assets currently ~~comprise~~represent a majority of our portfolio.

The fair value of our investment portfolio could change at a different rate than the fair value of our liabilities when interest rates change. We measure the sensitivity of our portfolio to changes in interest rates by estimating the duration of our assets and liabilities. Duration is the approximate percentage change in fair value for a 100 basis point parallel shift in the yield curve. In general, our assets have higher duration than our liabilities. In order to reduce this exposure, we use hedging instruments to reduce the gap in duration between our assets and liabilities.

We calculate estimated effective duration (i.e., the price sensitivity to changes in risk-free interest rates) to measure the impact of changes in interest rates on our portfolio value. We estimate duration based on third-party models. Different models and methodologies can produce different effective duration estimates for the same securities. We allocate the net duration by asset type based on the interest rate sensitivity.

~~On September~~ Duration does not include our investment in AG Arc LLC.

The following chart details information about our duration gap as of June 30, ~~2017, we computed an estimated net effective duration of 1.36 years, comprised of 2.68 Agency RMBS duration, 0.92 of credit investment duration, (2.20) hedge duration~~2021:


Duration (1)						Years
Residential Loans (2)						1.29
Agency RMBS						2.02
Hedges						(2.87)
Subtotal						0.44

Credit Investments, excluding Residential Loans (2)						0.02
Duration Gap						0.46

(1)Duration related to financing arrangements is netted within its respective line items.

(2)Residential Loans include Re/Non Performing Loans, Non-QM Loans, and ~~(0.04) liability duration.~~

Land Related Financing.

The following table quantifies the estimated percent changes in GAAP equity, the fair value of our assets, and projected net interest income ~~and GAAP equity~~ should interest rates go up or down instantaneously by 25, 50, and ~~100~~75 basis points, assuming (i) the yield curves of the rate shocks will be parallel to each other and the current yield curve and (ii) all other market risk factors remain constant. These estimates were compiled using a combination of third-party services and models, market data and internal models. All changes in ~~income~~equity, assets and ~~equity~~income are measured as percentage changes from the projected net interest income and GAAP equity from our base interest rate scenario. The base interest rate scenario assumes spot and forward interest rates ~~which existed~~existing as of ~~September~~June 30, ~~2017.~~2021. Actual results could differ materially from these estimates.

Agency RMBS assumptions attempt to predict default and prepayment activity at projected interest rate levels. To the extent that these estimates or other assumptions do not hold true, actual results will likely differ materially from projections and could beresult in percentage changes larger or smaller than the estimates in the table below. Moreover, if different models were employed in the analysis, materially different projections could result. In addition, while the table below reflects the estimated impact of interest rate increases and decreases on a static portfolio as of ~~September~~June 30, ~~2017,~~2021, our Manager may from time to time sell any of our investments as a part of the overall management of our investment portfolio.


Change in Interest Rates (basis points) (1)(2)	Change in Fair Value as a Percentage of GAAP Equity		Change in Fair Value as a Percentage of Assets		Percentage Change in Projected Net Interest Income (3)
75	(1.9)	%	(0.4)	%	(2.6)	%
50	(1.2)	%	(0.3)	%	(1.7)	%
25	(0.5)	%	(0.1)	%	(0.9)	%
(25)	0.3	%	0.1	%	(1.5)	%
(50)	0.5	%	0.1	%	(6.1)	%
(75)	0.4	%	0.1	%	(10.7)	%

Change in Interest Rates
(basis points) (1)(2) Change in Market
Value as a Percentage
of GAAP Equity Change in Market
Value as a
Percentage of Assets Percentage Change in
Projected Net Interest
Income
+100 -10.4 % -2.1 % -4.7 %
+50 -4.6 % -0.9 % -2.2 %
-50 2.7 % 0.5 % 1.6 %
-100 3.0 % 0.6 % 2.7 %

(1)Includes investments held through affiliated entities that are reported as ~~“Investments~~"Investments in debt and equity of ~~affiliates”~~affiliates" on our consolidated balance sheet, but excludes AG Arc.

(2)Does not include cash investments, which typically have overnight maturities and are not expected to change in value as interest rates change.

~~Certain assumptions have been made in connection with the calculation~~

(3)Interest income includes trades settled as of the information set forth in the foregoing interest rate sensitivity table and, as such, there can be no assurance that assumed events will occur or that other events will not occur that would affect the outcomes. The base interest rate scenario assumes interest rates at SeptemberJune 30, 2017. Furthermore, while we generally expect to retain such assets and the associated interest rate risk to maturity, future purchases and sales of assets could materially change our interest rate risk profile.

2021.

The information set forth in the interest rate sensitivity table above and all related disclosures constitute forward-looking statements within the meaning of Section 27A of the Securities Act and Section 21E of the Exchange Act. Actual results could differ significantly from those estimated in the foregoing interest rate sensitivity table.

See below for additional risks which may impact the fair value of our assets, GAAP equity and net income.

Liquidity risk

Our primary liquidity risk arises from financing long-maturity assets with shorter-term ~~borrowing~~financings primarily in the form of financing arrangements. Our Manager seeks to mitigate our liquidity risks by maintaining a prudent level of leverage, monitoring our liquidity position on a daily basis and maintaining a substantial cushion of cash and unpledged real estate securities and loans in our portfolio in order to meet future margin calls. In addition, our Manager seeks to further mitigate our liquidity risk by (i) maintaining relationships with a broad number of financing counterparties and (ii) monitoring the ongoing financial stability of our financing counterparties.

As discussed throughout this report, the COVID-19 pandemic-driven disruptions in the real estate, mortgage and financial markets have negatively affected and may continue to negatively affect our liquidity. During the three months ended March 31, 2020, we observed a mark-down of a portion of our assets by the counterparties to our repurchase agreements, resulting in us having to pay cash or additional securities to counterparties to satisfy margin calls that were well beyond historical norms. To conserve capital, protect assets and to pause the escalating negative impacts caused by the market dislocation and allow the markets for many of our assets to stabilize, on March 20, 2020 we notified our repurchase agreement counterparties that we did not expect to fund the existing and anticipated future margin calls under our repurchase agreements and commenced discussions with our counterparties with regard to entering into forbearance agreements.

In response to these conditions, we sold assets, reduced the amount of our outstanding financing arrangements and the number of our financing counterparties, and entered into forbearance agreements with our largest financing counterparties. As previously described, on June 10, 2020, we entered into a Reinstatement Agreement, pursuant to which the parties thereto agreed to terminate the Forbearance Agreement and to permanently waive all existing and prior events of default under our financing agreements and to reinstate each Bilateral Agreement, as each may be amended by agreement. For additional information related to the Forbearance Agreement and the Reinstatement Agreement, see Item 2. Management's Discussion and Analysis of Financial Condition and Results of Operations - Financing activities.

Liquidity risk – ~~repurchase agreements~~

financing arrangements

We pledge real estate securities or mortgage loans and cash as collateral to secure our ~~repurchase transactions.~~financing arrangements. Should the fair value of our real estate securities or mortgage loans pledged as collateral decrease (as a result of rising interest rates, changes in prepayment speeds, widening of credit spreads or otherwise), we will likely be subject to margin calls for additional collateral from our financing counterparties. Should the fair value of our real estate securities or mortgage loans decrease materially and suddenly, margin calls will likely increase causing an adverse change to our liquidity position which could result in substantial losses. In addition, we cannot be assured that we will always be able to roll our ~~repurchase transactions~~financing arrangements at their scheduled maturities, which could cause material additional harm to our liquidity position and result in substantial losses. Further, should funding conditions tighten as they did in 2007, - 2009 and more recently in March of 2020, our ~~repurchase agreement~~financing arrangement counterparties may increase our margin requirements on new financings, including repurchase transactions that we roll at maturity with the same ~~counterparty, which~~counterparty. This would require us to post additional collateral and would reduce our ability to use leverage and could potentially cause us to incur substantial losses.

In January 2016, the FHFA issued the Final Rule, which expressly excludes captive insurance companies, including our captive insurance company, from being eligible for membership in the FHLBC and prohibits the FHLBC from making any more advances or extending any existing advances to our captive insurance company. Under the Final Rule, the FHLBC must wind down its relationships with our captive insurance company by February 19, 2017. The FHLBC cannot make any new advances or extend any existing advances to our captive insurance company. On September 30, 2017, we had no advances outstanding with the FHLBC and do not consider them a source for liquidity.

Liquidity risk - derivatives

The terms of our interest rate swaps ~~and futures~~ require us to post collateral in the form of cash or Agency RMBS to our counterparties to satisfy two types of margin requirements: variation margin and initial margin.

We and our swap ~~and futures~~ counterparties are both required to post variation margin to each other depending upon the daily moves in prevailing benchmark interest rates. The amount of this variation margin is derived from the mark to market valuation of our ~~swap or futures.~~swaps. Hence, as our swaps ~~or futures~~ lose value in a falling interest rate environment, we are required to post additional variation margin to our counterparties on a daily basis; conversely, as our swaps ~~or futures~~ gain value in a rising interest rate environment, we are able to recall variation margin from our counterparties. By recalling variation margin from our ~~swap or futures~~swaps counterparties, we are able to partially mitigate the liquidity risk created by margin calls on our repurchase transactions during periods of rising interest rates.

Initial margin works differently. Collateral posted to meet initial margin requirements is intended to create a safety buffer to benefit our counterparties if we were to default on our payment obligations under the terms of the ~~swap or futures~~swaps and our counterparties were forced to unwind the ~~swap or futures.~~swap. For ~~our non-centrally cleared instruments,~~trades executed on a bilateral basis, the initial margin is set at the outset of each trade as a fixed percentage of the notional amount of the ~~instrument.~~trade. This means that once we post initial margin at the outset of a ~~non-centrally cleared instrument,~~bilateral trade, we will have no further posting obligations as it pertains to initial margin. However, the initial margin on our centrally cleared ~~instruments~~trades varies from day to day depending upon various factors, including the absolute level of interest rates and the implied volatility of interest rates. There is a distinctly positive correlation between initial margin, on the one hand, and the absolute level of interest rates and implied volatility of interest rates, on the other hand. As a result, in times of rising interest rates or increasing rate volatility, we anticipate that the initial margin required on our centrally-cleared ~~instruments~~trades will likewise increase, potentially by a substantial amount. These margin increases will have a negative impact on our liquidity position and will likely impair the intended liquidity risk mitigation effect of our swaps and futures discussed above.

~~Our TBA dollar roll contracts~~

Real estate value risk

Residential and commercial property values are ~~also~~ subject to ~~margin requirements governed~~volatility and may be affected adversely by ~~the Mortgage-Backed Securities Division (“MBSD”)~~a number of ~~the Fixed Income Clearing Corporation~~factors

outside of our control, including, but not limited to, national, regional and local economic conditions (which may be adversely affected by ~~our prime brokerage agreements, which may establish margin levels~~industry slowdowns and other factors); local real estate conditions (such as an oversupply of housing or commercial real estate); construction quality, age and design; demographic factors; and retroactive changes to building or similar codes. Decreases in ~~excess of~~property values could cause us to suffer losses and reduce the ~~MBSD. Such provisions require that we establish an initial margin based on the notional~~ value of the ~~TBA contract, which is subject~~collateral underlying our RMBS and CMBS portfolios as well as the potential sale proceeds available to ~~increase if the estimated fair value of~~repay our TBA contract or the estimated fair value of our pledged collateral declines. The MBSD has the sole discretion to determine the value of our TBA contracts and of the pledged collateral securing such contracts. Inloans in the event of a ~~margin call, we must generally provide additional collateral, either~~default. In addition, substantial decreases in property values can increase the rate of strategic defaults by residential mortgage borrowers which can impact and create significant uncertainty in the recovery of principal and interest on our investments. Given the combination of low interest rates, government stimulus and high unemployment, and other disruptions related to the COVID-19 pandemic, it has become more difficult to predict prepayment levels for the securities ~~or cash,~~in our portfolio.

Credit risk

We are exposed to the risk of potential credit losses from an unanticipated increase in borrower defaults as well as general credit spread widening on ~~the same business day.~~

Our Manager seeks to mitigate our liquidity risks by maintaining a prudent level of leverage, monitoring our liquidity position on a daily basis and maintaining a substantial cushion of cash and unpledged real estate securities and loansany Non-Agency assets in our portfolio, ~~in order~~including residential and commercial mortgage loans as well as Non-Agency RMBS, CMBS, Excess MSRs and Interest Only investments related to ~~meet future margin calls. In addition,~~Non-Agency and CMBS. We seek to manage this risk through our ~~Manager seeks to further mitigate our liquidity risk by (i) diversifying our exposure across a broad number~~Manager’s pre-acquisition due diligence process and, if available, through the use of non-recourse financing, ~~counterparties, (ii) limiting~~which limits our exposure to ~~any single financing counterparty~~credit losses to the specific pool of collateral which is the subject of the non-recourse financing. Our Manager’s pre-acquisition due diligence process includes the evaluation of, among other things, relative valuation, supply and ~~(iii) monitoring~~demand trends, the shape of various yield curves, prepayment rates, delinquency and default rates, recovery of various sectors and vintage of collateral.

Concern surrounding the ongoing COVID-19 pandemic and certain of the actions taken to reduce its spread have caused and may continue to cause business shutdowns, limitations on commercial activity and financial ~~stability~~transactions, labor shortages, supply chain interruptions, increased unemployment and property vacancy and lease default rates, reduced profitability and ability for property owners to make loan, mortgage and other payments, and overall economic and financial market instability, all of which may cause an increase in credit risk of our credit sensitive assets. Any future period of payment deferrals, forbearance, delinquencies, defaults, foreclosures or losses will likely adversely affect our net interest income from residential loans, mezzanine loans and RMBS and CMBS investments, the fair value of these assets, our ability to liquidate the collateral that may underlie these investments and obtain additional financing ~~counterparties.~~

and the future profitability of our investments. Further, in the event of delinquencies, defaults and foreclosure, regulatory changes and policies designed to protect borrowers and renters may slow or prevent us from taking remediation actions.

Prepayment risk

Premiums arise when we acquire real estate assets at a price in excess of the principal balance of the mortgages securing such assets (i.e., par value). Conversely, discounts arise when we acquire assets at a price below the principal balance of the mortgages securing such assets. Premiums paid on our assets are amortized against interest income and accretable purchase discounts on our assets are accreted to interest income. Purchase premiums on our assets, which are primarily carried on our Agency RMBS, are amortized against interest income over the life of each respective asset using the effective yield method, adjusted for actual prepayment activity. An increase in the prepayment rate, as measured by the CPR, will typically accelerate the amortization of purchase premiums, thereby reducing the yield or interest income earned on such assets. Generally, if prepayments on our Non-Agency RMBS or mortgage loans are less than anticipated, we expect that the income recognized on such assets would be reduced due to the slower accretion of purchase ~~discounts, and impairments could result.~~

discounts.

As further discussed in Note 2 of the ~~“Critical Accounting Policies” section above,~~"Notes to Consolidated Financial Statements (unaudited)," differences between previously estimated cash flows and current actual and anticipated cash flows caused by changes to prepayment or other assumptions are adjusted retrospectively through a ~~“catch up”~~"catch up" adjustment for the impact of the cumulative change in the effective yield through the reporting date for securities accounted for under ASC 320-10 (generally, Agency RMBS) or adjusted prospectively through an adjustment of the yield over the remaining life of the investment for investments accounted for under ASC 325-40 (generally, Non-Agency RMBS, ~~ABS,~~ CMBS, Excess MSR and interest-only securities) and mortgage loans accounted for under ASC 310-30.

In addition, our interest rate hedges are structured in part based upon assumed levels of future prepayments within our real estate securities or mortgage loan portfolio. If prepayments are slower or faster than assumed, the life of the real estate securities or mortgage loans will be longer or shorter than assumed, respectively, which could reduce the effectiveness of our Manager’s hedging strategies and may cause losses on such transactions.

Our Manager seeks to mitigate our prepayment risk by investing in real estate assets with a variety of prepayment ~~characteristics as well as by attempting to maintain in our portfolio a mix of assets purchased at a premium with assets purchased at a discount.~~

~~Real estate value risk~~

Residential and commercial property values are subject to volatility and may be affected adversely by a number of factors outside of our control, including, but not limited to, national, regional and local economic conditions (which may be adversely affected by industry slowdowns and other factors); local real estate conditions (such as an oversupply of housing or commercial real estate); construction quality, age and design; demographic factors; and retroactive changes to building or similar codes. Decreases in property values reduce the value of the collateral underlying our RMBS and CMBS portfolios as well as the potential sale proceeds available to repay our loans in the event of a default. In addition, substantial decreases in property values can increase the rate of strategic defaults by residential mortgage borrowers which can impact and create significant uncertainty in the recovery of principal and interest on our investments.

~~Credit risk~~

Although we expect to encounter only de minimis credit risk in our Agency RMBS portfolio, we are exposed to the risk of potential credit losses from an unanticipated increase in borrower defaults as well as general credit spread widening on any Non-Agency assets in our portfolio, including residential and commercial mortgage loans as well as Non-Agency RMBS, ABS and CMBS. We seek to manage this risk through our Manager’s pre-acquisition due diligence process and, if available, through the use of non-recourse financing, which limits our exposure to credit losses to the specific pool of collateral which is the subject of the non-recourse financing. Our Manager’s pre-acquisition due diligence process includes the evaluation of, among other things, relative valuation, supply and demand trends, the shape of various yield curves, prepayment rates, delinquency and default rates, recovery of various sectors and vintage of collateral.

characteristics.

Basis risk

Basis risk refers to the possible decline in ~~our~~ book value triggered by the risk of incurring losses on the fair value of ~~our~~ Agency RMBS as a result of widening market spreads between the yields on ~~our~~ Agency RMBS and the yields on comparable duration Treasury securities. The basis risk associated with fluctuations in fair value of ~~our~~ Agency RMBS may relate to factors impacting the mortgage and fixed income markets other than changes in benchmark interest rates, such as actual or anticipated monetary policy actions by the Federal Reserve, market liquidity, or changes in required rates of return on different assets. Consequently, while we use interest rate swaps and other hedges to protect against moves in interest rates, such instruments will generally not protect our net book value against basis risk.

~~ITEM 4.~~

~~CONTROLS AND PROCEDURES.~~

Capital Market Risk

We are exposed to risks related to the equity capital markets, and our related ability to raise capital through the issuance of our common stock, preferred stock or other equity instruments. We are also exposed to risks related to the debt capital markets, and our related ability to finance our business through revolving facilities or other debt instruments. As a REIT, we are required to distribute a significant portion of our taxable income annually, which constrains our ability to accumulate operating cash flow and therefore may require us to utilize debt or equity capital to finance our business. We seek to mitigate these risks by monitoring the debt and equity capital markets to inform our decisions on the amount, timing, and terms of capital we raise.

ITEM 4. CONTROLS AND PROCEDURES

(a) Evaluation of Disclosure Controls and Procedures

Our management is responsible for establishing and maintaining disclosure controls and procedures that are designed to ensure that information the Company is required to disclose in the reports that it files or submits under the Securities Exchange Act of 1934, as amended (the ~~“Exchange Act”~~"Exchange Act") is recorded, processed, summarized and reported, within the time periods specified in the SEC’s rules and forms. Disclosure controls and procedures include controls and procedures designed to ensure that the Company’s management, including its principal executive officer and principal financial officer, as appropriate, allow for timely decisions regarding required disclosure.

We have evaluated, with the participation of our principal executive officer and principal financial officer, the effectiveness of our disclosure controls and procedures as of ~~September~~June 30, ~~2017.~~2021. There are inherent limitations to the effectiveness of any system of disclosure controls and procedures, including the possibility of human error and the circumvention or overriding of the controls and procedures. Accordingly, even effective disclosure controls and procedures can only provide reasonable assurance of achieving their control objectives. Based upon our evaluation, our principal executive officer and principal financial officer concluded that our disclosure controls and procedures were effective to provide reasonable assurance that information required to be disclosed by us in the reports that we file or submit under the Exchange Act is recorded, processed, summarized and reported, within the time periods specified in the applicable rules and forms, and that it is accumulated and communicated to our management, including our principal executive officer and principal financial officer, as appropriate to allow for timely decisions regarding required disclosure.

(b) Changes in Internal Control over Financial Reporting

No change occurred in our internal control over financial reporting (as defined in Rule 13a-15(f) and 15d-15(f) of the Exchange Act) during the period covered by this quarterly report that has materially affected, or is reasonably likely to materially affect, our internal control over financial reporting.

PART II — OTHER INFORMATION

~~ITEM~~1.
			ITEM 1.			LEGAL PROCEEDINGS.

We are at times subject to various legal proceedings arising in the ordinary course of business. In addition, in the ordinary course of business, we can be and are involved in governmental and regulatory examinations, information gathering requests, investigations, proceedings and settlements. As of the date of this report, we are not party to any litigation or legal proceedings, or to our knowledge, any threatened litigation or legal proceedings, which we believe, individually or in the aggregate, would have a material adverse effect on our results of operations or financial condition.

~~ITEM~~~~1A.~~
			ITEM 1A.			RISK FACTORS.

Refer to the risks identified under the caption ~~“Risk Factors”~~"Risk Factors", in our Annual Report on Form 10-K for the year ended December 31, ~~2016~~2020 and our subsequent filings, which are available on the Securities and Exchange Commission’s website atwww.sec.gov, and in the ~~“Forward-Looking Statements”~~"Forward-Looking Statements" and ~~“Management’s~~"Management’s Discussion and Analysis of Financial Condition and Results of ~~Operations”~~Operations" sections herein.

~~Financial institutions, in their capacity as trustee, may withhold funds to cover legal costs that would otherwise be due to owners of certain residential mortgage-backed securities.~~

In June 2017, Wells Fargo Bank, N.A., in its capacity as trustee in 20 residential mortgage-backed securitizations, withheld more than $90 million due to the bondholders of the securities in those securitizations. The funds were withheld to cover potential legal costs in suits brought by investors to recover losses suffered during the financial crisis in which the investors claim that the trustees breached certain duties to such investors. It is not clear if Wells Fargo, as trustee in other deals, will withhold funds to cover legal expenses in these other deals or whether other financial institutions, as trustees in these types of securitizations, will withhold funds for similar reasons. We do not hold the bonds in any of the 20 residential mortgage-backed securitizations where Wells Fargo Bank, N.A. withheld funds. However, if funds are withheld by trustees in securitizations where we hold securities, we could incur losses that may materially and adversely affect our financial condition and results of operations.

~~ITEM~~2.
			ITEM2.			UNREGISTERED SALES OF EQUITY SECURITIES AND USE OF PROCEEDS.

~~None.~~

On April 1, 2021, in connection with our non-employee director compensation policy, the Company granted an aggregate of 6,440 shares of restricted common stock to its independent directors under the Company's 2020 Equity Incentive Plan in a private transaction exempt from registration pursuant to Section 4(a)(2) of the Securities Act of 1933, as amended. The shares of restricted common stock were fully vested upon grant.

~~ITEM~~3.
			ITEM 3.			DEFAULTS UPON SENIOR SECURITIES.

None.

~~ITEM~~4.
			ITEM 4.			MINE SAFETY DISCLOSURES

~~None.~~

None.

~~ITEM 5.~~

~~OTHER INFORMATION.~~

~~None.~~

~~ITEM 6.~~

~~EXHIBITS.~~

~~Exhibit~~ ~~No.~~		~~Description~~
			ITEM 5.			OTHER INFORMATION.

None.


			ITEM 6.			EXHIBITS.


Exhibit No.		Description
*3.1		Articles of Amendment and Restatement of AG Mortgage Investment Trust, Inc., incorporated by reference to Exhibit 3.1 of Amendment No. 2 to ~~our~~the Company's Registration Statement on Form S-11, filed with the Securities and Exchange Commission on April 18, 2011 (“("Pre-Effective Amendment No. 2”2").

*3.2		Articles of Amendment to Articles of Amendment and Restatement of AG Mortgage Investment Trust, Inc., incorporated by reference to Exhibit 3.1 of the Company's Current Report on Form 8-K, filed with the Securities and Exchange Commission on May 5,8, 2017.

*3.3		Amended and Restated Bylaws of AG Mortgage Investment Trust, Inc., incorporated by reference to Exhibit ~~3.1~~3.2 of Pre-Effective Amendment No. 2.

*3.4		Articles Supplementary of 8.25% Series A Cumulative Redeemable Preferred Stock, incorporated by reference to Exhibit 3.1 of the Company's Current Report on Form 8-K, filed with the Securities and Exchange Commission on August 2, 2012.

*3.5		Articles Supplementary of 8.00% Series B Cumulative Redeemable Preferred Stock, incorporated by reference to Exhibit 3.1 of the Company's Current Report on Form 8-K, filed with the Securities and Exchange Commission on September 24, 2012.

*4.13.6		~~Specimen~~Articles Supplementary of 8.000% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, ~~Certificate~~incorporated by reference to Exhibit 3.5 of the Company's Registration Statement on Form 8-A12B, filed with the Securities and Exchange Commission on September 16, 2019.

3.7		Articles of Amendment of AG Mortgage Investment Trust, Inc., incorporated by reference to Exhibit ~~4.1~~3.1 of ~~Pre-Effective Amendment No. 2.~~the Company's Current Report on Form 8-K, filed with the Securities and Exchange Commission on July 27, 2021.

*3.8		Articles of Amendment of AG Mortgage Investment Trust, Inc., incorporated by reference to Exhibit 3.2 of the Company's Current Report on Form 8-K, filed with the Securities and Exchange Commission on July 27, 2021.

4.1		Specimen Common Stock Certificate of AG Mortgage Investment Trust, Inc., incorporated by reference to Exhibit 4.1 on Form 10-Q filed with the Securities and Exchange Commission on May 7, 2021

4.2		Specimen 8.25% Series A Cumulative Redeemable Preferred Stock Certificate, incorporated by reference to Exhibit 4.1 of the Company's Current Report on Form 8-K, filed with the Securities and Exchange Commission on August 2, 2012.

*4.3		Specimen 8.00% Series B Cumulative Redeemable Preferred Stock Certificate, incorporated by reference to Exhibit 4.1 of the Company's Current Report onForm 8-K, filed with the Securities and Exchange Commission on September 24, 2012.

*10.14.4		~~Form of Registration Rights Agreement by and between the Company and the purchasers of units and shares in the private placement, dated June 29, 2011,~~Specimen 8.000% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock Certificate, incorporated by reference to Exhibit ~~10.1~~3.9 of ~~Amendment No. 7 to our~~the Company's Registration Statement on Form ~~S-11, filed with the Securities and Exchange Commission on June 29, 2011 (“Pre-Effective Amendment No. 7”).~~

*10.2	Form of Management Agreement, dated June 29, 2011 by and between the Company and AG REIT Management, LLC, incorporated by reference to Exhibit 10.3 of Amendment No. 3 to our Registration Statement on Form S-11, filed with the Securities and Exchange Commission on April 25, 2011.**

*10.3	Equity Incentive Plan, dated July 6, 2011, incorporated by reference to Exhibit 10.4 of Pre-Effective Amendment No. 2.**

*10.4	Manager Equity Incentive Plan, dated July 6, 2011, incorporated by reference to Exhibit 10.5 of Pre-Effective Amendment No. 2.**

*10.5	Form of Manager Equity Incentive Plan Restricted Stock Award Agreement, dated July 6, 2011, incorporated by reference to Exhibit 10.6 of Pre-Effective Amendment No. 2.**

*10.6	Form of Equity Incentive Plan Restricted Stock Award Agreement, dated July 6, 2011, incorporated by reference to Exhibit 10.7 of Pre-Effective Amendment No. 2.**

*10.7	Form of Indemnification Agreement, dated July 6, 2011, by and between the Company and the Company’s directors and officers, incorporated by reference to Exhibit 10.10 of Pre-Effective Amendment No. 7.

*10.8	Amended and Restated Master Repurchase and Securities Contract dated as of April 12, 2013 between AG MIT, LLC, AG Mortgage Investment Trust, Inc. and Wells Fargo Bank, National Association, incorporated by reference to Exhibit 99.1 of Form 8-K, filed with the Securities and Exchange Commission on April 15, 2013.

*10.9		Guarantee Agreement dated as of April 9, 2012 by AG Mortgage Invest Trust, Inc. in favor of Wells Fargo Bank, National Association, incorporated by reference to Exhibit 99.2 of Form 8-K, filed with the Securities and Exchange Commission on April 10, 2012.

*10.10		Amended and Restated Master Repurchase and Securities Contract dated as of February 11, 2014 between AG MIT WFB1 2014 LLC and Wells Fargo Bank, National Association, incorporated by reference to Exhibit 99.1 of Form 8-K, filed with the Securities and Exchange Commission on February 21, 2014.

*10.11		Guarantee Agreement dated as of February 11, 2014 by AG MIT, LLC and AG Mortgage Invest Trust, Inc. in favor of Wells Fargo Bank, National Association, incorporated by reference to Exhibit 99.2 of Form 8-K, filed with the Securities and Exchange Commission on February 21, 2014.

*10.12		Master Repurchase and Securities Contract dated as of September 17, 2014, as amended by Omnibus Amendment No.1, dated as of August 4, 2015, between AG MIT CREL LLC and Wells Fargo Bank, National Association, incorporated by reference to Exhibit 99.1 of Form 8-K,8-A12B, filed with the Securities and Exchange Commission on September ~~18, 2014.~~16, 2019.

*10.13
~~Guarantee Agreement dated as of September 17, 2014 as amended by Omnibus Amendment No.1, dated as of August 4, 2015, by AG MIT, LLC and~~ 10.1*†						AG Mortgage Investment Trust, Inc. ~~in favor of Wells Fargo Bank, National Association, incorporated by reference to Exhibit 99.2 of Form 8-K, filed with the Securities and Exchange Commission on September 18, 2014.~~2020 Equity Incentive Plan.

10.2*~~10.14~~†						Form of Restricted Stock Unit Award Agreement, dated July 1, 2014, incorporated by reference to Exhibit 10.14 on Form 10-Q, filed with the Securities and Exchange Commission on November 6, 2014.**AG Mortgage Investment Trust, Inc. 2021 Manager Equity Incentive Plan.



*10.15		Omnibus Amendment No.1 to Master Repurchase and Securities Contract, Guarantee Agreement and Fee and Pricing Letter dated as of August 4, 2015 between AG MIT CREL, LLC and Wells Fargo Bank, National Association, incorporated by reference to Exhibit 10.15 of Form 10-Q, filed with the Securities and Exchange Commission on August 6, 2015.

*10.16	Form of Restricted Stock Unit Award Agreement, dated July 1, 2017.**

31.1*		Certification of David N. Roberts pursuant to Rule 13a-14(a), as adopted pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.

31.2*			Certification of ~~Brian C. Sigman~~Anthony W. Rossiello pursuant to Rule 13a-14(a), as adopted pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.


32.1*						Certification of David N. Roberts pursuant to Rule 13a-14(b) and 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.

32.2*						Certification of ~~Brian C. Sigman~~Anthony W. Rossiello pursuant to Rule 13a-14(b) and 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.

101.INS						XBRL Instance Document

101.SCH						XBRL Taxonomy Extension Schema Document

101.CAL						XBRL Taxonomy Extension Calculation Linkbase Document

101.DEF						XBRL Taxonomy Extension Definition Linkbase Document

101.LAB						XBRL Taxonomy Extension Label Linkbase Document

101.PRE						XBRL Taxonomy Extension Presentation Linkbase Document

*	~~Fully or partly previously filed.~~
**
104		Cover Page Interactive Data File (formatted as Inline XBRL)


			*			Filed herewith.


			†			Management contract or compensatory plan or arrangement.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized.


		AG MORTGAGE INVESTMENT TRUST, INC.

~~November 1, 2017~~August 2, 2021		By:	/s/ DAVID N. ROBERTS
		David N. Roberts
		~~David N. Roberts~~
	Chief Executive Officer (principal executive officer)

~~November 1, 2017~~August 2, 2021		By:	/s/ ~~Brian C. Sigman~~ANTHONY W. ROSSIELLO
		~~Brian C. Sigman~~Anthony W. Rossiello
		Chief Financial Officer ~~and Treasurer~~ (principal financial officer and principal accounting officer)

~~AG MORTGAGE INVESTMENT TRUST, INC.~~

~~FORM 10-Q~~
~~September 30, 2017~~

~~INDEX OF EXHIBITS~~

~~Exhibit~~ ~~No.~~		~~Description~~
*3.1		Articles of Amendment and Restatement of AG Mortgage Investment Trust, Inc., incorporated by reference to Exhibit 3.1 of Amendment No. 2 to our Registration Statement on Form S-11, filed with the Securities and Exchange Commission on April 18, 2011 (“Pre-Effective Amendment No. 2”).

*3.2		Articles of Amendment to Articles of Amendment and Restatement of AG Mortgage Investment Trust, Inc., incorporated by reference to Exhibit 3.1 of Form 8-K, filed with the Securities and Exchange Commission on May 5, 2017.

*3.3		~~Amended and Restated Bylaws of AG Mortgage Investment Trust, Inc., incorporated by reference to Exhibit 3.1 of Pre-Effective Amendment No. 2.~~

*3.4		Articles Supplementary of 8.25% Series A Cumulative Redeemable Preferred Stock, incorporated by reference to Exhibit 3.1 of Form 8-K, filed with the Securities and Exchange Commission on August 2, 2012.

*3.5		Articles Supplementary of 8.00% Series B Cumulative Redeemable Preferred Stock, incorporated by reference to Exhibit 3.1 of Form 8-K, filed with the Securities and Exchange Commission on September 24, 2012.

*4.1		~~Specimen Stock Certificate of AG Mortgage Investment Trust, Inc., incorporated by reference to Exhibit 4.1 of Pre-Effective Amendment No. 2.~~

*4.2		~~Specimen 8.25% Series A Cumulative Redeemable Preferred Stock Certificate, incorporated by reference to Exhibit 4.1 of Form 8-K, filed with the Securities and Exchange Commission on August 2, 2012.~~

*4.3		Specimen 8.00% Series B Cumulative Redeemable Preferred Stock Certificate, incorporated by reference to Exhibit 4.1 of Form 8-K, filed with the Securities and Exchange Commission on September 24, 2012.

*10.1		Form of Registration Rights Agreement by and between the Company and the purchasers of units and shares in the private placement, dated June 29, 2011, incorporated by reference to Exhibit 10.1 of Amendment No. 7 to our Registration Statement on Form S-11, filed with the Securities and Exchange Commission on June 29, 2011 (“Pre-Effective Amendment No. 7”).

*10.2		Form of Management Agreement, dated June 29, 2011 by and between the Company and AG REIT Management, LLC, incorporated by reference to Exhibit 10.3 of Amendment No. 3 to our Registration Statement on Form S-11, filed with the Securities and Exchange Commission on April 25, 2011.**

*10.3		Equity Incentive Plan, dated July 6, 2011, incorporated by reference to Exhibit 10.4 of Pre-Effective Amendment No. 2.**

*10.4		Manager Equity Incentive Plan, dated July 6, 2011, incorporated by reference to Exhibit 10.5 of Pre-Effective Amendment No. 2.**

*10.5		Form of Manager Equity Incentive Plan Restricted Stock Award Agreement, dated July 6, 2011, incorporated by reference to Exhibit 10.6 of Pre-Effective Amendment No. 2.**

*10.6		Form of Equity Incentive Plan Restricted Stock Award Agreement, dated July 6, 2011, incorporated by reference to Exhibit 10.7 of Pre-Effective Amendment No. 2.**

*10.7		Form of Indemnification Agreement, dated July 6, 2011, by and between the Company and the Company’s directors and officers, incorporated by reference to Exhibit 10.10 of Pre-Effective Amendment No. 7.

*10.8		Amended and Restated Master Repurchase and Securities Contract dated as of April 12, 2013 between AG MIT, LLC, AG Mortgage Investment Trust, Inc. and Wells Fargo Bank, National Association, incorporated by reference to Exhibit 99.1 of Form 8-K, filed with the Securities and Exchange Commission on April 15, 2013.

*10.9		Guarantee Agreement dated as of April 9, 2012 by AG Mortgage Invest Trust, Inc. in favor of Wells Fargo Bank, National Association, incorporated by reference to Exhibit 99.2 of Form 8-K, filed with the Securities and Exchange Commission on April 10, 2012.

*10.10		Amended and Restated Master Repurchase and Securities Contract dated as of February 11, 2014 between AG MIT WFB1 2014 LLC and Wells Fargo Bank, National Association, incorporated by reference to Exhibit 99.1 of Form 8-K, filed with the Securities and Exchange Commission on February 21, 2014.

*10.11		Guarantee Agreement dated as of February 11, 2014 by AG MIT, LLC and AG Mortgage Invest Trust, Inc. in favor of Wells Fargo Bank, National Association, incorporated by reference to Exhibit 99.2 of Form 8-K, filed with the Securities and Exchange Commission on February 21, 2014.

*10.12		Restated Master Repurchase and Securities Contract dated as of September 17, 2014, as amended by Omnibus Amendment No.1, dated as of August 4, 2015, between AG MIT CREL LLC and Wells Fargo Bank, National Association, incorporated by reference to Exhibit 99.1 of Form 8-K, filed with the Securities and Exchange Commission on September 18, 2014.

*10.13		Guarantee Agreement dated as of September 17, 2014 as amended by Omnibus Amendment No.1, dated as of August 4, 2015, between AG MIT, LLC and AG Mortgage Investment Trust, Inc. in favor of Wells Fargo Bank, National Association, incorporated by reference to Exhibit 99.2 of Form 8-K, filed with the Securities and Exchange Commission on September 18, 2014.

*10.14		Form of Restricted Stock Unit Award Agreement, dated July 1, 2014, incorporated by reference to Exhibit 10.14 on Form 10-Q, filed with the Securities and Exchange Commission on November 6, 2014.**

*10.15		Omnibus Amendment No.1 to Master Repurchase and Securities Contract, Guarantee Agreement and Fee and Pricing Letter dated as of August 4, 2015 between AG MIT CREL, LLC and Wells Fargo Bank, National Association, incorporated by reference to Exhibit 10.15 of Form 10-Q, filed with the Securities and Exchange Commission on August 6, 2015.

*10.16		Form of Restricted Stock Unit Award Agreement, dated July 1, 2017.**

~~31.1~~		~~Certification of David N. Roberts pursuant to Rule 13a-14(a), as adopted pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.~~

~~31.2~~		~~Certification of Brian C. Sigman pursuant to Rule 13a-14(a), as adopted pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.~~

~~32.1~~		~~Certification of David N. Roberts pursuant to Rule 13a-14(b) and 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.~~

~~32.2~~		~~Certification of Brian C. Sigman pursuant to Rule 13a-14(b) and 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.~~

~~101.INS~~		~~XBRL Instance Document~~

~~101.SCH~~		~~XBRL Taxonomy Extension Schema Document~~

~~101.CAL~~		~~XBRL Taxonomy Extension Calculation Linkbase Document~~

~~101.DEF~~		~~XBRL Taxonomy Extension Definition Linkbase Document~~

~~101.LAB~~		~~XBRL Taxonomy Extension Label Linkbase Document~~

~~101.PRE~~		~~XBRL Taxonomy Extension Presentation Linkbase Document~~

*	~~Fully or partly previously filed.~~
**	~~Management contract or compensatory plan or arrangement.~~

~~Maryland~~	~~27-5254382~~
Maryland		27-5254382
(State or Other Jurisdiction of Incorporation or Organization)		(I.R.S. Employer Identification No.)

245 Park Avenue, 26th Floor New York, New York	10167
(Address of Principal Executive Offices)		(Zip Code)

	x
☒			QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

	¨
☐			TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

	September 30, 2017			December 31, 2016

Assets
Real estate securities, at fair value:
Agency - $1,857,336,576 and $972,232,174 pledged as collateral, respectively	$	2,057,208,953		$	1,057,663,726
Non-Agency - $905,878,564 and $990,985,143 pledged as collateral, respectively		929,893,801			1,043,017,308
ABS - $35,918,646 and $21,231,956 pledged as collateral, respectively		53,223,788			21,231,956
CMBS - $208,535,553 and $201,464,058 pledged as collateral, respectively		211,835,559			211,652,660
Residential mortgage loans, at fair value - $20,767,883 and $31,031,107 pledged as collateral, respectively		23,867,531			38,195,576
Commercial loans, at fair value - $32,800,000 pledged as collateral		57,398,663			60,068,800
Investments in debt and equity of affiliates		89,081,520			72,215,919
Excess mortgage servicing rights, at fair value		2,680,564			412,648
Cash and cash equivalents		61,716,545			52,469,891
Restricted cash		40,853,714			26,583,527
Interest receivable		11,798,960			8,570,383
Receivable on unsettled trades - $0 and $3,057,814 pledged as collateral, respectively		-			3,633,161
Receivable under reverse repurchase agreements		-			22,680,000
Derivative assets, at fair value		1,027,846			3,703,366
Other assets		3,347,648			5,600,341
Due from broker		538,842			945,304
Total Assets	$	3,544,473,934		$	2,628,644,566

Liabilities
Repurchase agreements	$	2,694,551,824		$	1,900,509,806
Securitized debt, at fair value		17,221,071			21,491,710
Loan participation payable, at fair value		-			1,800,000
Obligation to return securities borrowed under reverse repurchase agreements, at fair value		-			22,365,000
Payable on unsettled trades		95,429,430			-
Interest payable		5,342,257			2,570,854
Derivative liabilities, at fair value		2,124,550			2,907,255
Dividend payable		16,208,929			13,157,573
Due to affiliates		4,377,194			3,967,622
Accrued expenses		799,895			1,068,779
Taxes payable		1,176,883			1,717,883
Due to broker		616,020			1,211,694
Total Liabilities		2,837,848,053			1,972,768,176
Commitments and Contingencies (Note 12)
Stockholders’ Equity
Preferred stock - $0.01 par value; 50,000,000 shares authorized:
8.25% Series A Cumulative Redeemable Preferred Stock, 2,070,000 shares issued and outstanding ($51,750,000 aggregate liquidation preference)		49,920,772			49,920,772
8.00% Series B Cumulative Redeemable Preferred Stock, 4,600,000 shares issued and outstanding ($115,000,000 aggregate liquidation preference)		111,293,233			111,293,233
Common stock, par value $0.01 per share; 450,000,000 shares of common stock authorized and 28,189,441 and 27,700,154 shares issued and outstanding at September 30, 2017 and December 31, 2016, respectively		281,896			277,002
Additional paid-in capital		585,395,566			576,276,322
Retained earnings/(deficit)		(40,265,586	)		(81,890,939	)
Total Stockholders’ Equity		706,625,881			655,876,390

Total Liabilities & Stockholders’ Equity	$	3,544,473,934		$	2,628,644,566

	Three Months Ended			Three Months Ended			Nine Months Ended			Nine Months Ended
	September 30, 2017			September 30, 2016			September 30, 2017			September 30, 2016
Net Interest Income
Interest income	$	33,592,587		$	30,573,134		$	92,773,014		$	91,470,588
Interest expense		11,959,225			8,525,365			30,322,030			25,482,661
		21,633,362			22,047,769			62,450,984			65,987,927

Other Income
Net realized gain/(loss)		22,286			9,578,488			(12,527,278	)		(8,725,255	)
Realized loss on periodic interest settlements of derivative instruments, net		(2,147,452	)		(1,034,251	)		(5,614,971	)		(5,019,565	)
Unrealized gain/(loss) on real estate securities and loans, net		14,892,809			13,461,216			53,189,925			33,260,103
Unrealized gain/(loss) on derivative and other instruments, net		2,422,713			6,961,061			4,224,010			(4,792,369	)
Other income		2,325			341,345			34,207			368,731
		15,192,681			29,307,859			39,305,893			15,091,645

Expenses
Management fee to affiliate		2,454,083			2,451,387			7,373,679			7,322,312
Other operating expenses		2,602,473			2,870,662			8,247,060			8,581,726
Servicing fees		22,991			121,806			184,993			359,150
Equity based compensation to affiliate		60,859			75,774			225,877			217,928
Excise tax		375,000			238,167			1,125,000			988,167
		5,515,406			5,757,796			17,156,609			17,469,283

Income/(loss) before equity in earnings/(loss) from affiliates		31,310,637			45,597,832			84,600,268			63,610,289
Equity in earnings/(loss) from affiliates		4,700,800			534,133			9,699,962			1,154,390
Net Income/(Loss)		36,011,437			46,131,965			94,300,230			64,764,679

Dividends on preferred stock		3,367,354			3,367,354			10,102,062			10,102,062

Net Income/(Loss) Available to Common Stockholders	$	32,644,083		$	42,764,611		$	84,198,168		$	54,662,617

Earnings/(Loss) Per Share of Common Stock
Basic	$	1.17		$	1.54		$	3.03		$	1.95
Diluted	$	1.17		$	1.54		$	3.03		$	1.95

Weighted Average Number of Shares of Common Stock Outstanding
Basic		27,841,452			27,802,124			27,756,357			28,036,809
Diluted		27,856,765			27,804,154			27,770,299			28,036,809

							8.25 % Series A		8.00 % Series B
							Cumulative		Cumulative
	Common Stock						Redeemable		Redeemable		Additional			Retained
	Shares			Amount			Preferred Stock		Preferred Stock		Paid-in Capital			Earnings/(Deficit)			Total
Balance at January 1, 2016		28,286,210		$	282,863		$	49,920,772	$	111,293,233	$	584,581,995		$	(79,134,150	)	$	666,944,713
Repurchase of common stock		(614,695	)		(6,147	)		-		-		(8,723,881	)		-			(8,730,028	)
Grant of restricted stock and amortization of equity based compensation		26,735			267			-		-		307,567			-			307,834
Common dividends declared		-			-			-		-		-			(39,812,571	)		(39,812,571	)
Preferred Series A dividends declared		-			-			-		-		-			(3,202,062	)		(3,202,062	)
Preferred Series B dividends declared		-			-			-		-		-			(6,900,000	)		(6,900,000	)
Net Income/(Loss)		-			-			-		-		-			64,764,679			64,764,679
Balance at September 30, 2016		27,698,250		$	276,983		$	49,920,772	$	111,293,233	$	576,165,681		$	(64,284,104	)	$	673,372,565

Balance at January 1, 2017		27,700,154		$	277,002		$	49,920,772	$	111,293,233	$	576,276,322		$	(81,890,939	)	$	655,876,390
Net proceeds from issuance of common stock		460,932			4,610			-		-		8,713,545			-			8,718,155
Grant of restricted stock and amortization of equity based compensation		28,355			284			-		-		405,699			-			405,983
Common dividends declared		-			-			-		-		-			(42,572,815	)		(42,572,815	)
Preferred Series A dividends declared		-			-			-		-		-			(3,202,062	)		(3,202,062	)
Preferred Series B dividends declared		-			-			-		-		-			(6,900,000	)		(6,900,000	)
Net Income/(Loss)		-			-			-		-		-			94,300,230			94,300,230
Balance at September 30, 2017		28,189,441		$	281,896		$	49,920,772	$	111,293,233	$	585,395,566		$	(40,265,586	)	$	706,625,881

			Premium /					Gross Unrealized (1)							Weighted Average
	Current Face		(Discount)			Amortized Cost		Gains		Losses			Fair Value		Coupon (2)			Yield
Agency RMBS:
30 Year Fixed Rate	$	1,676,807,359	$	74,022,732		$	1,750,830,091	$	11,807,760	$	(2,255,633	)	$	1,760,382,218		3.77	%		3.11	%
Fixed Rate CMO		54,267,762		427,733			54,695,495		904,953		-			55,600,448		3.00	%		2.79	%
ARM		183,361,500		(1,019,214	)		182,342,286		3,918,224		-			186,260,510		2.35	%		2.83	%
Interest Only		493,398,549		(438,168,547	)		55,230,002		2,065,371		(2,329,596	)		54,965,777		2.85	%		6.51	%
Credit Securities:
Non-Agency RMBS		1,090,004,702		(220,692,385	)		869,312,317		59,663,549		(1,944,549	)		927,031,317		4.55	%		6.27	%
Non-Agency RMBS Interest Only		384,799,372		(381,467,836	)		3,331,536		151,223		(620,275	)		2,862,484		0.21	%		8.62	%
ABS		53,497,625		(264,964	)		53,232,661		234,954		(243,827	)		53,223,788		8.34	%		8.73	%
CMBS		209,691,239		(49,523,424	)		160,167,815		1,055,860		(1,359,640	)		159,864,035		5.52	%		6.11	%
CMBS Interest Only		1,948,722,955		(1,900,990,296	)		47,732,659		4,249,838		(10,973	)		51,971,524		0.43	%		6.66	%
Total	$	6,094,551,063	$	(2,917,676,201	)	$	3,176,874,862	$	84,051,732	$	(8,764,493	)	$	3,252,162,101		2.54	%		4.35	%

	Less than 12 months					Greater than 12 months
As of	Fair Value		Unrealized Losses			Fair Value		Unrealized Losses
September 30, 2017	$	449,405,332	$	(5,631,244	)	$	143,555,637	$	(3,133,249	)
December 31, 2016		756,302,518		(12,017,743	)		203,287,535		(7,747,463	)

	Agency RMBS (1)							Agency IO							Credit Securities (2)
Weighted Average Life (3)	Fair Value		Amortized Cost		Weighted Average Coupon			Fair Value		Amortized Cost		Weighted Average Coupon			Fair Value		Amortized Cost		Weighted Average Coupon (4)
Less than or equal to 1 year	$	-	$	-		-		$	-	$	-		-		$	93,754,194	$	93,920,244		1.62	%
Greater than one year and less than or equal to five years		241,860,958		237,037,781		2.50	%		30,432,477		31,393,317		2.38	%		435,916,455		420,829,214		1.09	%
Greater than five years and less than or equal to ten years		1,709,144,728		1,699,698,089		3.77	%		24,533,300		23,836,685		4.28	%		455,084,524		428,855,357		2.83	%
Greater than ten years		51,237,490		51,132,002		3.50	%		-		-		-			210,197,975		190,172,173		5.80	%
Total	$	2,002,243,176	$	1,987,867,872		3.61	%	$	54,965,777	$	55,230,002		2.85	%	$	1,194,953,148	$	1,133,776,988		1.92	%

								Gross Unrealized (1)							Weighted Average
	Unpaid Principal Balance		Premium (Discount)			Amortized Cost		Gains		Losses			Fair Value		Coupon			Yield			Weighted Average Life (Years) (2)
Residential mortgage loans	$	31,855,577	$	(9,399,640	)	$	22,455,937	$	1,445,123	$	(33,529	)	$	23,867,531		6.00	%		10.87	%		5.90

	September 30, 2017				December 31, 2016
Loan Pool	Fair Value		Unpaid Principal Balance		Fair Value		Unpaid Principal Balance
Re-Performing	$	15,866,356	$	20,364,085	$	26,665,750	$	35,645,382
Non-Performing		8,001,175		11,491,492		11,529,826		18,181,954
	$	23,867,531	$	31,855,577	$	38,195,576	$	53,827,336

Concentration of Credit Risk	September 30, 2017			December 31, 2016
Percentage of fair value of mortgage loans with unpaid principal balance to current property value in excess of 100%		91	%		98	%
Percentage of fair value of mortgage loans secured by properties in the following states:
Representing 5% or more of fair value:
New York		31	%		25	%
California		10	%		9	%
Maryland		6	%		6	%
New Jersey		5	%		4	%
Texas		5	%		4	%
Florida		3	%		5	%

								Gross Unrealized (1)						Weighted Average
Loan (3) (7)	Current Face		Premium (Discount)			Amortized Cost		Gains		Losses		Fair Value		Coupon (5)			Yield			Weighted Average Life (Years) (6)		Initial Stated Maturity Date	Extended Maturity Date (8)	Location
Loan B (2)		32,800,000		-			32,800,000		-		-		32,800,000		5.98	%		6.36	%		1.79	July 1, 2016	July 1, 2019	TX
Loan E (4)		14,521,806		(1,096,214	)		13,425,592		756,405		-		14,181,997		9.58	%		12.37	%		3.24	April 9, 2017	April 9, 2021	Various
Loan F (4)		10,416,666		(90,387	)		10,326,279		90,387		-		10,416,666		11.74	%		13.55	%		0.96	September 9, 2018	September 9, 2019	MN
		57,738,472		(1,186,601	)		56,551,871		846,792		-		57,398,663		7.93	%		9.15	%		2.00

								Gross Unrealized (1)							Weighted Average
Loan (2) (4) (9)	Current Face		Premium (Discount)			Amortized Cost		Gains		Losses			Fair Value		Coupon (7)			Yield			Weighted Average Life (Years) (8)		Initial Stated Maturity Date	Extended Maturity Date (10)	Location
Loan B (3)	$	32,800,000	$	(1,294	)	$	32,798,706	$	1,294	$	-		$	32,800,000		5.40	%		5.65	%		0.52	July 1, 2016	July 1, 2019	TX
Loan D (5) (11)		12,000,000		(211,692	)		11,788,308		296,278		(84,586	)		12,000,000		10.62	%		14.33	%		0.62	February 11, 2017	August 11, 2017	NY
Loan E (6)		16,000,000		(1,291,648	)		14,708,352		560,448		-			15,268,800		9.05	%		12.76	%		4.33	April 9, 2017	April 9, 2021	Various
	$	60,800,000	$	(1,504,634	)	$	59,295,366	$	858,020	$	(84,586	)	$	60,068,800		7.39	%		9.19	%		1.54

	Fair Value at September 30, 2017
	Level 1		Level 2			Level 3			Total
Assets:
Agency RMBS:
30 Year Fixed Rate	$	-	$	1,760,382,218		$	-		$	1,760,382,218
Fixed Rate CMO		-		55,600,448			-			55,600,448
ARM		-		186,260,510			-			186,260,510
Interest Only		-		54,965,777			-			54,965,777
Credit Investments:
Non-Agency RMBS		-		152,800,460			774,230,857			927,031,317
Non-Agency RMBS Interest Only		-		-			2,862,484			2,862,484
ABS		-		-			53,223,788			53,223,788
CMBS		-		13,996,904			145,867,131			159,864,035
CMBS Interest Only		-		-			51,971,524			51,971,524
Residential mortgage loans		-		-			23,867,531			23,867,531
Commercial loans		-		-			57,398,663			57,398,663
Excess mortgage servicing rights		-		-			2,680,564			2,680,564
Derivative assets		94,531		933,315			-			1,027,846
AG Arc		-		-			17,824,219			17,824,219
Total Assets Carried at Fair Value	$	94,531	$	2,224,939,632		$	1,129,926,761		$	3,354,960,924

Liabilities:
Securitized debt	$	-	$	-		$	(17,221,071	)	$	(17,221,071	)
Derivative liabilities		-		(2,124,550	)		-			(2,124,550	)
Total Liabilities Carried at Fair Value	$	-	$	(2,124,550	)	$	(17,221,071	)	$	(19,345,621	)

	Fair Value at December 31, 2016
	Level 1			Level 2			Level 3			Total
Assets:
Agency RMBS:
30 Year Fixed Rate	$	-		$	739,727,721		$	-		$	739,727,721
Fixed Rate CMO		-			63,697,398			-			63,697,398
ARM		-			211,344,052			-			211,344,052
Interest Only		-			42,894,555			-			42,894,555
Credit Investments:
Non-Agency RMBS		-			321,495,328			717,760,534			1,039,255,862
Non-Agency RMBS Interest Only		-			-			3,761,446			3,761,446
ABS		-			-			21,231,956			21,231,956
CMBS		-			28,726,319			130,789,615			159,515,934
CMBS Interest Only		-			-			52,136,726			52,136,726
Residential mortgage loans		-			-			38,195,576			38,195,576
Commercial loans		-			-			60,068,800			60,068,800
Excess mortgage servicing rights		-			-			412,648			412,648
Derivative assets		-			3,703,366			-			3,703,366
AG Arc		-			-			12,894,819			12,894,819
Total Assets Carried at Fair Value	$	-		$	1,411,588,739		$	1,037,252,120		$	2,448,840,859

Liabilities:
Securitized debt	$	-		$	-		$	(21,491,710	)	$	(21,491,710	)
Loan participation payable		-			-			(1,800,000	)		(1,800,000	)
Securities borrowed under reverse repurchase agreements		(22,365,000	)		-			-			(22,365,000	)
Derivative liabilities		(636,211	)		(2,271,044	)		-			(2,907,255	)
Total Liabilities Carried at Fair Value	$	(23,001,211	)	$	(2,271,044	)	$	(23,291,710	)	$	(48,563,965	)

Unrealized gain/(loss) on real estate securities and loans, net	$	13,630,181
Unrealized gain/(loss) on derivative and other instruments, net		(6,331	)
Net realized gain/(loss)		517,481
Equity in earnings/(loss) from affiliates		111,662
Total	$	14,252,993


Unrealized gain/(loss) on real estate securities and loans, net	$	11,894,849
Unrealized gain/(loss) on derivative and other instruments, net		(6,331	)
Equity in earnings/(loss) from affiliates		111,660
Total	$	12,000,178

Unrealized gain/(loss) on real estate securities and loans, net	$	16,577,429
Unrealized gain/(loss) on derivative and other instruments, net		(74,431	)
Net realized gain/(loss)		10,294,447
Equity in earnings/(loss) from affiliates		170,324
Total	$	26,967,769

Unrealized gain/(loss) on real estate securities and loans, net	$	15,734,149
Unrealized gain/(loss) on derivative and other instruments, net		(74,431	)
Equity in earnings/(loss) from affiliates		170,324
Total	$	15,830,042

Unrealized gain/(loss) on real estate securities and loans, net	$	37,249,857
Unrealized gain/(loss) on derivative and other instruments, net		(195,192	)
Net realized gain/(loss)		(144,392	)
Equity in earnings/(loss) from affiliates		470,400
Total	$	37,380,673

Unrealized gain/(loss) on real estate securities and loans, net	$	34,036,085
Unrealized gain/(loss) on derivative and other instruments, net		(40,265	)
Equity in earnings/(loss) from affiliates		470,398
Total	$	34,466,218

Unrealized gain/(loss) on real estate securities and loans, net	$	9,761,156
Unrealized gain/(loss) on derivative and other instruments, net		(245,908	)
Net realized gain/(loss)		1,900,153
Equity in earnings/(loss) from affiliates		(331,025	)
Total	$	11,084,376

Unrealized gain/(loss) on real estate securities and loans, net	$	8,702,016
Unrealized gain/(loss) on derivative and other instruments, net		(245,908	)
Equity in earnings/(loss) from affiliates		(331,025	)
Total	$	8,125,083

Asset Class	Fair Value at September 30, 2017		Valuation Technique	Unobservable Input	Range (Weighted Average)
Non-Agency RMBS	$	751,813,956	Discounted Cash Flow	Yield	1.80% - 11.63% (4.37%)
				Projected Collateral Prepayments	0.00% - 35.00% (9.80%)
				Projected Collateral Losses	0.00% - 30.00% (3.07%)
				Projected Reperforming Rates	24.64% - 56.76% (41.33%)
				Projected Collateral Severities	0.00% - 100.00% (34.83%)
				Projected Timeline to Liquidation (Months)	18.80 - 22.99 (21.23)
	$	22,416,901	Consensus Pricing	Offered Quotes	21.50 - 102.73 (82.82)
Non-Agency RMBS Interest Only	$	2,456,181	Discounted Cash Flow	Yield	21.00% - 21.00% (21.00%)
				Projected Collateral Prepayments	17.25% - 17.25% (17.25%)
				Projected Collateral Losses	0.50% - 0.50% (0.50%)
				Projected Collateral Severities	10.00% - 10.00% (10.00%)
	$	406,303	Consensus Pricing	Offered Quotes	0.80 - 0.80 (0.80)
ABS	$	32,719,493	Discounted Cash Flow	Yield	5.63% - 9.26% (7.72%)
				Projected Collateral Prepayments	20.00% - 40.00% (22.49%)
				Projected Collateral Losses	0.00% - 2.00% (1.75%)
				Projected Collateral Severities	0.00% - 50.00% (43.78%)
	$	20,504,295	Consensus Pricing	Offered Quotes	100.00 - 100.00 (100.00)
CMBS	$	142,567,125	Discounted Cash Flow	Yield	-4.24% - 8.32% (5.74%)
				Projected Collateral Prepayments	0.00% - 0.00% (0.00%)
				Projected Collateral Losses	0.00% - 0.00% (0.00%)
				Projected Collateral Severities	0.00% - 0.00% (0.00%)
	$	3,300,006	Consensus Pricing	Offered Quotes	5.90 - 7.41 (6.88)
CMBS Interest Only	$	51,971,524	Discounted Cash Flow	Yield	2.56% - 5.85% (4.28%)
				Projected Collateral Prepayments	100.00% - 100.00% (100.00%)
				Projected Collateral Losses	0.00% - 0.00% (0.00%)
				Projected Collateral Severities	0.00% - 0.00% (0.00%)
Residential Mortgage Loans	$	23,867,531	Discounted Cash Flow	Yield	6.25% - 9.00% (7.56%)
				Projected Collateral Prepayments	3.46% - 6.91% (4.66%)
				Projected Collateral Losses	5.21% - 7.02% (5.40%)
				Projected Reperforming Rates	8.67% - 43.58% (22.59%)
				Projected Collateral Severities	19.73% - 43.24% (35.85%)
				Projected Timeline to Liquidation (Months)	14.64 - 29.81 (17.31)
Commercial Loans	$	32,800,000	Discounted Cash Flow	Yield	6.36% - 6.36% (6.36%)
				Credit Spread	4.75 bps - 4.75 bps (4.75 bps)
				Recovery Percentage (1)	100.00% - 100.00% (100.00%)
	$	24,598,663	Consensus Pricing	Offered Quotes	97.66 - 100.00 (98.65)
Excess Mortgage Servicing Rights	$	2,400,760	Discounted Cash Flow	Yield	9.34% - 11.65% (10.01%)
	$	2,400,760	Discounted Cash Flow	Projected Collateral Prepayments	8.07% - 12.91% (10.13%)
	$	279,804	Consensus Pricing	Offered Quotes	0.05 - 0.52 (0.48)
AG Arc	$	17,824,219	Comparable Multiple	Book Value Multiple	1.0x


Asset Class	Fair Value at June 30, 2021 (in thousands)		Valuation Technique	Unobservable Input	Range (Weighted Average) (1)
				Yield	1.62% - 10.00% (3.42%)
Residential Mortgage Loans	$	982,331	Discounted Cash Flow	Projected Collateral Prepayments	4.41% - 37.62% (14.40%)
				Projected Collateral Losses	0.05% - 4.65% (0.96%)
				Projected Collateral Severities	-15.61% - 26.81% (11.99%)
	$	5,684	Consensus Pricing	Offered Quotes	85.67 - 113.14 (104.07)
	$	40,363	Recent Transaction	Cost	N/A
				Yield	8.37% - 8.37% (8.37%)
Non-Agency RMBS	$	1,183	Discounted Cash Flow	Projected Collateral Prepayments	5.41% - 5.41% (5.41%)
				Projected Collateral Losses	2.92% - 2.92% (2.92%)
				Projected Collateral Severities	-30.09% - -30.09% (-30.09%)



















				Yield	10.12% - 30.06% (13.28%)
Commercial Loans	$	62,279	Discounted Cash Flow	Credit Spread	901 bps - 2,568 bps (1,185 bps)
				Recovery Percentage (2)	100.00% - 100.00% (100.00%)
				Loan-to-Value	48.10% - 92.70% (73.46%)
Excess Mortgage Servicing Rights			Discounted Cash Flow	Yield	9.00% - 9.70% (9.09%)
	$	2,521		Projected Collateral Prepayments	10.97% - 16.00% (12.06%)
	$	87	Consensus Pricing	Offered Quotes	0.30 - 0.30 (0.30)
AG Arc	$	50,862	Comparable Multiple	Book Value Multiple	1.06x - 1.06x (1.06x)

Liability Class	Fair Value at June 30, 2021 (in thousands)		Valuation Technique	Unobservable Input	Range (Weighted Average)
				Yield	0.98% - 5.00% (2.04%)
Securitized debt	$	(482,533)	Discounted Cash Flow	Projected Collateral Prepayments	5.44% - 11.03% (8.65%)
				Projected Collateral Losses	0.36% - 3.27% (1.42%)
				Projected Collateral Severities	8.49% - 16.97% (12.33%)

Asset Class	Fair Value at December 31, 2016		Valuation Technique	Unobservable Input	Range (Weighted Average)
Non-Agency RMBS	$	694,948,644	Discounted Cash Flow	Yield	1.70% - 18.56% (5.11%)
				Projected Collateral Prepayments	0.00% - 35.00% (9.84%)
				Projected Collateral Losses	0.00% - 38.00% (5.22%)
				Projected Reperforming Rates	18.53% - 46.77% (33.39%)
				Projected Collateral Severities	0.00% - 100.00% (38.57%)
				Projected Timeline to Liquidation (Months)	16.13 - 23.09 (20.72)
	$	22,811,890	Consensus Pricing	Offered Quotes	21.50 - 100.07 (78.89)
Non-Agency RMBS Interest Only	$	3,761,446	Discounted Cash Flow	Yield	17.50% - 17.50% (17.50%)
				Projected Collateral Prepayments	18.00% - 18.00% (18.00%)
				Projected Collateral Losses	0.50% - 0.50% (0.50%)
				Projected Collateral Severities	10.00% - 10.00% (10.00%)
ABS	$	21,231,956	Discounted Cash Flow	Yield	4.16% - 6.47% (4.98%)
				Projected Collateral Prepayments	1.50% - 40.00% (22.31%)
				Projected Collateral Losses	0.00% - 2.00% (0.88%)
				Projected Collateral Severities	0.00% - 50.00% (9.81%)
CMBS	$	121,056,008	Discounted Cash Flow	Yield	3.32% - 9.16% (6.13%)
				Projected Collateral Prepayments	0.00% - 0.00% (0.00%)
				Projected Collateral Losses	0.00% - 0.00% (0.00%)
				Projected Collateral Severities	0.00% - 0.00% (0.00%)
	$	9,733,607	Consensus Pricing	Offered Quotes	5.03 - 99.81 (68.64)
CMBS Interest Only	$	52,136,726	Discounted Cash Flow	Yield	2.51% - 9.49% (5.85%)
				Projected Collateral Prepayments	100.00% - 100.00% (100.00%)
				Projected Collateral Losses	0.00% - 0.00% (0.00%)
				Projected Collateral Severities	0.00% - 0.00% (0.00%)
Residential Mortgage Loans	$	38,195,576	Discounted Cash Flow	Yield	6.50% - 8.00% (7.42%)
				Projected Collateral Prepayments	3.18% - 5.82% (4.51%)
				Projected Collateral Losses	5.16% - 5.32% (5.18%)
				Projected Reperforming Rates	9.59% - 34.53% (22.91%)
				Projected Collateral Severities	25.19% - 84.80% (45.34%)
				Projected Timeline to Liquidation (Months)	12.32 - 29.85 (14.33)
Commercial Loans	$	44,800,000	Discounted Cash Flow	Yield	5.65% - 21.70% (7.98%)
				Credit Spread	4.75 bps - 10 bps (6.16 bps)
				Recovery Percentage (1)	100.00% - 100.00% (100.00%)
	$	15,268,800	Consensus Pricing	Offered Quotes	95.43 - 95.43 (95.43)
Excess Mortgage Servicing Rights	$	412,648	Consensus Pricing	Offered Quotes	0.09 - 0.62 (0.55)
AG Arc	$	12,894,819	Comparable Multiple	Book Value Multiple	1.0x

	Repurchase Agreements								Collateral Pledged
Repurchase Agreements Maturing Within:	Balance		Weighted Average Rate			Weighted Average Haircut			Fair Value Pledged		Amortized Cost		Accrued Interest
Overnight	$	107,066,000		1.26	%		3.0	%	$	110,372,484	$	109,526,493	$	313,586
30 days or less		2,039,853,000		1.77	%		9.6	%		2,297,649,801		2,231,098,823		7,932,198
31-60 days		369,334,000		1.87	%		10.3	%		425,787,109		419,340,738		1,349,706
61-90 days		19,965,000		2.79	%		26.2	%		27,056,415		26,820,517		106,417
91-180 days		111,027,000		1.55	%		10.0	%		124,326,562		124,458,675		341,221
Greater than 180 days		12,105,000		2.89	%		17.9	%		14,804,895		14,808,920		19,952
Total / Weighted Average	$	2,659,350,000		1.76	%		9.6	%	$	2,999,997,266	$	2,926,054,166	$	10,063,080

	September 30, 2017		December 31, 2016
Fair Value of investments pledged as collateral under repurchase agreements
Agency RMBS	$	1,849,664,503	$	965,154,048
Non-Agency RMBS		905,878,564		990,985,143
ABS		35,918,646		21,231,956
CMBS		208,535,553		201,464,058
Residential Mortgage Loans		20,767,883		31,031,107
Commercial Mortgage Loans		32,800,000		32,800,000
Cash pledged (i.e., restricted cash) under repurchase agreements		10,855,418		17,149,022
Fair Value of unsettled trades pledged as collateral under repurchase agreements:		-		3,057,814
Total collateral pledged under Repurchase agreements	$	3,064,420,567	$	2,262,873,148

	September 30, 2017		December 31, 2016
Repurchase agreements secured by investments:
Agency RMBS	$	1,752,725,000	$	907,041,000
Non-Agency RMBS		721,638,000		776,459,104
ABS		26,248,000		15,283,000
CMBS		158,739,000		154,386,000
Residential Mortgage Loans		13,405,824		25,544,702
Commercial Mortgage Loans		21,796,000		21,796,000
Gross Liability for Repurchase agreements	$	2,694,551,824	$	1,900,509,806

							Gross Amounts Not Offset in the Consolidated Balance Sheets
Description	Gross Amounts of Recognized Liabilities		Gross Amounts Offset in the Consolidated Balance Sheets		Net Amounts of Liabilities Presented in the Consolidated Balance Sheets		Financial Instruments Posted		Cash Collateral Posted		Net Amount
Repurchase Agreements	$	2,694,551,824	$	-	$	2,694,551,824	$	2,694,551,824	$	-	$	-