UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549


FORM 10-Q

__________________________________________________

(Mark One)

x
☒QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

For the quarterly period ended September 30, 2017

March 31, 2022

OR

¨
☐TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

For the transition period from ______________ to ______________

Commission file number 001-35151

_____________________________________________________________________ 

AG MORTGAGE INVESTMENT TRUST, INC.

(Exact name of registrant as specified in its charter)
_____________________________________________________________________ 

Maryland27-5254382
Maryland27-5254382
(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)

(212) 692-2000

(Registrant’s Telephone Number, Including Area Code)

Securities registered pursuant to Section 12(b) of the Act:
Title of each class:Trading Symbols:Name of each exchange on which registered:
Common Stock, $0.01 par value per shareMITTNew York Stock Exchange (NYSE)
8.25% Series A Cumulative Redeemable Preferred StockMITT PrANew York Stock Exchange (NYSE)
8.00% Series B Cumulative Redeemable Preferred StockMITT PrBNew York Stock Exchange (NYSE)
8.000% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred StockMITT PrCNew York Stock Exchange (NYSE)
Indicate by check mark whether the registrant: (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days.  Yes   xý    No   ¨

Indicate by check mark whether the registrant has submitted electronically and posted on its corporate website, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 and Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files).   Yes   xý    No  ¨

Indicate by check mark whether the registrant is a large accelerated filed,filer, an accelerated filer, a non-accelerated filer, a smaller reporting company, or an emerging growth company. See the definitions of “large"large accelerated filer,” “accelerated" "accelerated filer,” “smaller" "smaller reporting company”company" and “emerging"emerging growth company”company" in Rule 12b-2 of the Exchange Act. (Check one):

Large Accelerated filer¨     Accelerated filerxý Non-Accelerated filer¨ Smaller reporting company ¨☒  Emerging growth company  ¨ (Do not check if a smaller reporting company)

☐

If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act.¨

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act).   
Yes   ¨☐     No   x

ý


As of October 23, 2017,May 2, 2022, there were 28,192,54123,924,005 outstanding shares of common stock of AG Mortgage Investment Trust, Inc.



AG MORTGAGE INVESTMENT TRUST, INC.

TABLE OF CONTENTS

Page
Page
PART I.FINANCIAL INFORMATION
13
24
35
46
58
41
7064
7468
7469
7469
7469
7469
7469
7469
7570
7571




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)
March 31, 2022December 31, 2021
Assets
Securitized residential mortgage loans, at fair value - $208,312 and $119,947 pledged as collateral, respectively (1)$2,105,572 $1,158,134 
Residential mortgage loans, at fair value - $1,160,870 and $1,469,358 pledged as collateral, respectively1,167,061 1,476,972 
Real estate securities, at fair value - $196,911 and $444,481 pledged as collateral, respectively246,004 514,470 
Investments in debt and equity of affiliates87,086 92,023 
Cash and cash equivalents50,541 68,079 
Restricted cash45,630 32,150 
Receivable on unsettled trades - $68,747 and $0 pledged as collateral, respectively107,788 — 
Other assets29,274 20,900 
Total Assets$3,838,956 $3,362,728 
Liabilities
Securitized debt, at fair value (1)$1,859,917 $999,215 
Financing arrangements1,411,493 1,777,743 
Dividend payable5,022 5,021 
Other liabilities14,874 10,369 
Total Liabilities3,291,306 2,792,348 
Commitments and Contingencies (Note 12)00
Stockholders’ Equity
Preferred stock - $227,991 aggregate liquidation preference220,472 220,472 
Common stock, par value $0.01 per share; 450,000 shares of common stock authorized and 23,915 and 23,908 shares issued and outstanding at March 31, 2022 and December 31, 2021, respectively239 239 
Additional paid-in capital796,549 796,469 
Retained earnings/(deficit)(469,610)(446,800)
Total Stockholders’ Equity547,650 570,380 
Total Liabilities & Stockholders’ Equity$3,838,956 $3,362,728 
(1)These balances relate to certain residential mortgage loans which were securitized resulting in the Company consolidating the variable interest entities that were created to facilitate these transactions as the Company was determined to be the primary beneficiary. See Note 3 for additional details.

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

1

3



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
March 31, 2022March 31, 2021
Net Interest Income
Interest income$33,417 $12,119 
Interest expense16,122 4,061 
Total Net Interest Income17,295 8,058 
Other Income/(Loss)
Net interest component of interest rate swaps(2,270)(741)
Net realized gain/(loss)8,783 (4,038)
Net unrealized gain/(loss)(22,420)19,849 
Other income/(loss), net— 37 
Total Other Income/(Loss)(15,907)15,107 
Expenses
Management fee to affiliate1,962 1,654 
Other operating expenses3,688 4,150 
Transaction related expenses5,879 (167)
Servicing fees1,007 615 
Total Expenses12,536 6,252 
Income/(loss) before equity in earnings/(loss) from affiliates(11,148)16,913 
Equity in earnings/(loss) from affiliates(2,054)26,336 
Net Income/(Loss)(13,202)43,249 
Gain on Exchange Offers, net (Note 11)— 358 
Dividends on preferred stock(4,586)(4,924)
Net Income/(Loss) Available to Common Stockholders$(17,788)$38,683 
Earnings/(Loss) Per Share of Common Stock (1)
Basic$(0.74)$2.74 
Diluted$(0.74)$2.74 
Weighted Average Number of Shares of Common Stock Outstanding (1)
Basic23,915 14,116 
Diluted23,915 14,116 
(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.

2


4


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 March 31, 2022
Common StockPreferred StockAdditional
Paid-in Capital		Retained
Earnings/(Deficit)
SharesAmountTotal
Balance at January 1, 202223,908 $239 $220,472 $796,469 $(446,800)$570,380 
Grant of restricted stock7 — — 80 — 80 
Common dividends declared— — — — (5,022)(5,022)
Preferred dividends declared— — — — (4,586)(4,586)
Net Income/(Loss)— — — — (13,202)(13,202)
Balance at March 31, 202223,915 $239 $220,472 $796,549 $(469,610)$547,650 

For the Three Months Ended March 31, 2021
Common Stock (1)Preferred StockAdditional
Paid-in Capital (1)		Retained
Earnings/(Deficit)
SharesAmountTotal
Balance at January 1, 202113,811 $138 $238,478 $689,147 $(518,058)$409,705 
Net proceeds from issuance of common stock745 8 — 10,025 — 10,033 
Grant of restricted stock7 — — 80 — 80 
Common dividends declared— — — — (2,791)(2,791)
Preferred dividends declared— — — — (4,961)(4,961)
Exchange Offers (Note 11)937 10 (12,181)11,803 358 (10)
Net Income/(Loss)— — — — 43,249 43,249 
Balance at March 31, 202115,500 $156 $226,297 $711,055 $(482,203)$455,305 
(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.

3

5



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)
Three Months Ended
March 31, 2022March 31, 2021
Cash Flows from Operating Activities
Net income/(loss)$(13,202)$43,249 
Adjustments to reconcile net income/(loss) to net cash provided by (used in) operating activities:
Net amortization of premium/(discount)1,818 (802)
Net realized (gain)/loss(8,783)4,038 
Net unrealized (gain)/loss22,420 (19,849)
Equity based compensation expense80 80 
(Income)/Loss from investments in debt and equity of affiliates in excess of distributions received2,393 (20,403)
Change in operating assets/liabilities:
Other assets(1,924)321 
Other liabilities1,726 (157)
Net cash provided by (used in) operating activities4,528 6,477 
Cash Flows from Investing Activities
Purchase of residential mortgage loans(948,966)(208,927)
Purchase of real estate securities(79,564)(566,731)
Origination of commercial loans— (1,881)
Purchase of commercial loans— (1,788)
Investments in debt and equity of affiliates(417)(1,122)
Proceeds from sales of real estate securities197,232 111,954 
Proceeds from sales of commercial loans— 74,579 
Principal repayments on residential mortgage loans146,388 12,294 
Principal repayments on real estate securities14,596 14,337 
Principal repayments on commercial loans— 195 
Distributions received in excess of income from investments in debt and equity of affiliates5,318 12,325 
Net settlement of interest rate swaps and other instruments30,473 27,469 
Net settlement of TBAs9,946 — 
Cash flows provided by (used in) other investing activities797 842 
Net cash provided by (used in) investing activities(624,197)(526,454)
Cash Flows from Financing Activities
Net proceeds from issuance of common stock— 10,033 
Net borrowings under (repayments of) financing arrangements(366,250)568,153 
Deferred financing costs paid(17)— 
Repayments of secured debt— (10,000)
Proceeds from issuance of securitized debt1,078,189 — 
Principal repayments on securitized debt(116,866)(12,777)
Net collateral received from (paid to) derivative counterparty30,162 — 
Dividends paid on common stock(5,021)(1,243)
Dividends paid on preferred stock(4,586)(4,961)
Net cash provided by (used in) financing activities615,611 549,205 
6


Three Months Ended
March 31, 2022March 31, 2021
Net change in cash and cash equivalents and restricted cash(4,058)29,228 
Cash and cash equivalents and restricted cash, Beginning of Period100,229 62,318 
Effect of exchange rate changes on cash— 9 
Cash and cash equivalents and restricted cash, End of Period$96,171 $91,555 
Supplemental disclosure of cash flow information:
Cash paid for interest on financing arrangements$13,532 $3,979 
Cash paid for excise and income taxes$3 $— 
Supplemental disclosure of non-cash financing and investing activities:
Receivable on unsettled trades$107,788 $— 
Common stock dividends declared but not paid$5,022 $2,791 
Exchange Offers (Note 11)$— $12,181 
Transfer from residential mortgage loans to other assets$707 $571 

The following table provides a reconciliation of cash and cash equivalents and restricted cash reported within the consolidated balance sheets that sum to the total of the same such amounts shown in the consolidated statements of cash flows:
March 31, 2022March 31, 2021
Cash and cash equivalents$50,541 $51,637 
Restricted cash45,630 39,918 
Total cash and cash equivalents and restricted cash shown in the consolidated statements of cash flows$96,171 $91,555 
The accompanying notes are an integral part of these unaudited consolidated financial statements.

4


7


AG Mortgage Investment Trust Inc. and Subsidiaries

Notes to Consolidated Financial Statements (unaudited)

September 30, 2017

(Unaudited)

March 31, 2022
1. Organization


AG Mortgage Investment Trust, Inc. (the “Company”"Company") is a residential mortgage REIT with a focus on investing in a diversified risk-adjusted portfolio of residential mortgage-related assets in the U.S. mortgage market. The Company’s investment activities primarily include acquiring and securitizing newly-originated residential mortgage loans within the growing non-agency segment of the housing market. The Company obtains its assets through Arc Home, LLC ("Arc Home"), a residential mortgage loan originator in which it owns an approximate 44.6% interest, and through other third-party origination partners.

The Company’s assets, excluding its ownership in Arc Home, include Residential Investments and Agency RMBS. Currently, its Residential Investments primarily consist of Non-Agency Loans and Agency-Eligible Loans. The Company may invest in other types of residential mortgage loans and other mortgage related assets. The Company also invests in Residential Investments through its unconsolidated ownership interest in affiliates which are included in the "Investments in debt and equity of affiliates" line item on its consolidated balance sheets.

The Company's asset classes are primarily comprised of the following:
Asset ClassDescription
Residential Investments
Non-Agency Loans
•Non-Agency Loans are loans that do not conform to the underwriting guidelines of a government-sponsored enterprise ("GSE"). Non-Agency Loans consist of Qualified mortgage loans ("QM Loans") and Non-Qualified mortgage loans ("Non-QM Loans"). QM Loans are residential mortgage loans that comply with the Ability-To-Repay rules and related guidelines of the Consumer Finance Protection Bureau ("CFPB"). Non-QM Loans are residential mortgage loans that do not satisfy the requirements for QM Loans and are therefore not deemed to be a "qualified mortgage" under the rules of the CFPB.
◦These investments are included in the "Residential mortgage loans, at fair value" and "Securitized residential mortgage loans, at fair value" line items on the consolidated balance sheets.
Agency-Eligible Loans
•Agency-Eligible Loans are loans that are underwritten in accordance with GSE guidelines and are primarily secured by investment properties.
◦These investments are included in the "Residential mortgage loans, at fair value" and "Securitized residential mortgage loans, at fair value" line items on the consolidated balance sheets.
Re- and Non-Performing Loans
•Performing, re-performing, and non-performing loans are residential mortgage loans collateralized by a first lien mortgaged property.
◦These investments are included in the "Residential mortgage loans, at fair value" and "Securitized residential mortgage loans, at fair value" line items on the consolidated balance sheets.
Non-Agency Residential Mortgage-Backed Securities ("RMBS")
•Non-Agency RMBS represent fixed- and floating-rate RMBS issued by entities other than U.S. GSEs or agencies of the U.S. government. The mortgage loan collateral consists of residential mortgage loans that do not generally conform to underwriting guidelines issued by a GSE or agency of the U.S. government.
◦These investments are included in the "Real estate securities, at fair value" line item on the consolidated balance sheets.
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.
◦These investments are included in the "Real estate securities, at fair value" line item on the consolidated balance sheets.

The Company conducts its business through 1 reportable segment, Loans and Securities, which reflects how the Company manages its business and analyzes and reports its results of operations.

8

AG Mortgage Investment Trust Inc. and Subsidiaries
Notes to Consolidated Financial Statements (Unaudited)
March 31, 2022
The Company was incorporated in the state of Maryland on March 1, 2011 and commenced operations in July 2011. The Company is focused on investing in, acquiringconducts its operations to qualify and managingbe taxed as a diversified 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 agency 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”investment trust ("REIT") represent investmentsunder the Internal Revenue Code 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 types1986, as “real estate securities” or “securities”amended (the "Code").

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

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.

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


The 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

In March 2020, the global novel coronavirus ("COVID-19") pandemic 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. Although market conditions have improved since 2020, the COVID-19 pandemic is ongoing with new variants emerging despite growing vaccination rates. As a result, 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. Certain prior periodFor all periods presented, all per share amounts and common shares outstanding have been reclassifiedadjusted on a retroactive basis to conform toreflect the current period’s presentation.Company's one-for-three reverse stock split which was effected following the close of business on July 22, 2021. In the opinion of management, all adjustments considered necessary for a fair statement for the interim period 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 and December 31, 2016, the Company held no cash equivalents. The Company places its cash with high credit quality institutions to minimize credit risk exposure. Cash pledged to the Company as collateral is unrestricted in use and, accordingly, is included as a component of “Cash and cash equivalents” on the consolidated balance sheets. Any cash held by the Company as collateral is included in the “Due to broker” 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” line item on the consolidated balance sheets and in cash flows from operating activities on the consolidated statement of cash flows.

5

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 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. 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.

Earnings/(Loss) per share

In accordance with the provisions of Accounting Standards Codification (“ASC”) 260, “Earnings per Share,” the Company calculates basic income/(loss) per share by dividing net income/(loss) available to common stockholders for the period by weighted-average shares of the Company’s common stock outstanding for that period. Diluted income per share takes into account the effect of dilutive instruments, such as stock options, warrants, unvested restricted stock and unvested restricted stock units 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. In periods in which the Company records a loss, potentially dilutive securities are excluded from the diluted loss per share calculation, as their effect on loss per share is anti-dilutive.


Valuation of financial instruments

The fair value of the financial instruments that the Company records at fair value will beis determined by the Manager, subject to oversight of the Company’s boardBoard of directors,Directors, and in accordance with ASCthe provisions of Accounting Standards Codification ("ASC") 820, “Fair"Fair Value Measurements and Disclosures.”" When possible, the Company determines fair value using independentthird-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 riskassets and others.liabilities in active markets.

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


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

9

AG Mortgage Investment Trust Inc. and Subsidiaries
Notes to Consolidated Financial Statements (Unaudited)
March 31, 2022

Accounting for real estate securities

loans

Investments in real estate securitiesloans are recorded in accordance with ASC 320-10, “Investments – Debt310-10, "Receivables" and Equity Securities”,are classified as held-for-investment when the Company has the intent and ability to hold such loans for the foreseeable future or to maturity/payoff. Loans are classified as held for sale upon the Company determining that it intends to sell or liquidate the loan in the short-term and certain criteria have been met. Loans held-for-sale are accounted for under ASC 325-40, “Beneficial Interests in Securitized Financial Assets”, or ASC 310-30, “Loans948-310, "Financial services—mortgage banking." Loans meeting all criteria for reclassification are presented separately on the consolidated balance sheets. Transfers between held-for-investment and Debt Securities Acquired with Deteriorated Credit Quality”. held-for-sale occur once the Company's intent to sell the loans changes.

The Company has chosen to make a fair value election pursuant to ASC 825 “Financial Instruments” for its real estate securitiesloan 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.

6

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’smanagement's view, more appropriately reflects the results of operations for a particular reporting period as all securitiesloan 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 As such, loans are recorded 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 aton the consolidated balance sheet date, the security is considered impaired,sheets 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 adverseperiodic 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 changerecorded 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 itemperiod earnings on the consolidated statement of operations.

operations as a component of "Net unrealized gain/(loss)." The determination asCompany recognizes certain upfront costs and fees relating to whether an OTTI exists is subjective, given that 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 projectionsloans 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 dofair value option has been elected in current period earnings as incurred and does 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 Companydefer those costs, which 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.

7

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. 825-10-25.


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

At purchase, the Company aggregatesmay aggregate its residential mortgage loans into pools based on common risk characteristics. Once a pool of loans is assembled, its composition is maintained. The Company 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 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.”

The Company amortizes or accretes any premium or discount over the life of the related loan 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, to determine whether they are impaired. A loan 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, a full recovery of income and principal becomes doubtful. When the ultimate collectability of the principal of an impaired loan 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.

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.

non-performing for purposes of this determination.

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

On at least a quarterly basis, the Company evaluates the collectability of both principal and interest 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's cost basis is impaired, the Company does not record an allowance for loan loss as it elected the fair value option on all of its loan investments.

The adjustmentCompany accrues interest income on its loan portfolio. Loans are typically moved to non-accrual status and income recognition is accountedsuspended if the loan becomes 90 days or more delinquent. A loan is written off when it is no longer realizable and/or legally discharged.

Accounting for real estate securities
Investments in real estate securities are recorded in accordance with ASC 320-10, "Investments – Debt and Equity Securities" or ASC 325-40, "Beneficial Interests in Securitized Financial Assets." The Company has chosen to make a fair value election pursuant to ASC 825, "Financial Instruments" for its real estate securities portfolio. Electing the fair value option allows the Company to record changes in fair value in the consolidated statement of operations, which, in management’s view, more appropriately reflects the results of operations for a particular reporting period as all securities activities will be recorded in a similar manner. Real estate securities are recorded at fair value on the consolidated balance sheets and the periodic change in fair value is recorded in current period earnings on the consolidated statement of operations as a change in estimate in conformity with ASC 250, “Accounting Changescomponent of "Net unrealized gain/(loss)." Purchases and Error Corrections” withsales of real estate securities are recorded on the amount of periodic accretion adjusted over the remaining life of the loan. Decreases in cash flows expectedtrade date.

10

AG Mortgage Investment Trust Inc. and Subsidiaries
Notes to be collected from previously projected 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 on a loan on which the Company previously recorded an OTTI charge if the performance of such loan subsequently improves.

Consolidated Financial Statements (Unaudited)

March 31, 2022
Investments in debt and equity of affiliates


The Company’s unconsolidated ownership interests in affiliates are accounted for using the equity method. A majoritymethod in accordance with ASC 323, "Investments – Equity Method and Joint Ventures." Substantially all of the Company’s investments held through affiliated entities are comprised of real estate securities, loans, and loans. These underlyingits interest in AG Arc LLC. 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 investmentsfinancial 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 December9, 2015, the Company, alongside private funds under the management ofmanaged by Angelo Gordon, through AG Arc LLC, one of the Company’s indirect subsidiaries (“affiliates ("AG Arc”Arc"), formed Arc Home. The Company has an approximate 44.6% interest in AG Arc. Arc Home LLC (“originates residential mortgage loans and retains the mortgage servicing rights associated with the loans it originates. Arc Home”).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 interestThe Company elected to treat its investment in AG Arc hadas a fair market valuetaxable 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 $17.8operations net of income taxes.


From time to time, the Company acquires newly originated non-agency loans from Arc Home. In connection with the sale of loans from Arc Home to the Company, gains or losses recorded by Arc Home are consolidated into AG Arc. In accordance with ASC 323-10, for loans acquired from Arc Home that remain on the Company's consolidated balance sheet at period end, the Company eliminates any profits or losses typically recognized through the "Equity in earnings/(loss) from affiliates" line item on the Company's consolidated statement of operations and adjusts the cost basis of the underlying loans resulting in unrealized gains. For the three months ended March 31, 2022 and 2021, the Company eliminated $2.4 million and $12.9$0.5 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.

MATH

On August 29, 2017, the Company, alongside private funds under the management ofmanaged by Angelo Gordon, formed Mortgage Acquisition Holding I LLC (“MATH”("MATH") to conduct a residential mortgage investment strategy. The Company has an approximate 44.6% interest in MATH. MATH in turn sponsored the formation of an entity called Mortgage Acquisition Trust I LLC (“MATT”("MATT"), which is expected to makepurchase predominantly Non-QM Loans. MATT made an election to be treated as a Real Estate Investment Trustreal estate investment trust beginning with the 2018 tax year. As of March 31, 2022, MATT intendsprimarily holds retained tranches from past securitizations which continue to purchase residential mortgage loans that are not eligible for deliveryreduce in size due to Fannie Mae, Freddie Mac or Ginnie Mae. In furtherance of this business, MATH’s sponsoring funds, which includeongoing principal repayments and the Company have agreeddoes not expect to provide up to $75.0 million of capital to MATH for use inacquire additional investments within 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,equity method investment.

LOTS

On May 15, 2019 and these indirect subsidiaries have chosen to make a fair value election on their respective financial instruments pursuant to ASC 825. As such,November 14, 2019, 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.

8

AG Mortgage Investment Trust Inc.alongside private funds managed by Angelo Gordon, formed LOT SP I LLC and Subsidiaries

Notes to Consolidated Financial Statements (unaudited)

September 30, 2017

The Company’s investments in debt and equity of affiliates are recorded at fair market value on the consolidated balance sheets in the “Investments in debt and equity of affiliates” line item and periodic changes in fair market value are recorded in current period earnings on the consolidated statement of operations as a component of “Equity in earnings/(loss) from affiliates.” Capital contributions, distributions and profits and losses of such entities are allocated in accordance with the terms of the applicable agreements.

Excess mortgage servicing rights

The Company has acquired the right to receive the excess servicing spread related to excess mortgage servicing rights (“Excess MSRs”LOT SP II LLC, respectively, (collectively, "LOTS"). The Company has chosenan approximate 47.5% and 50% interest in LOT SP I LLC and LOT SP II LLC, respectively. LOTS were formed to make a fair value election pursuantoriginate first mortgage loans to ASC 825third-party land developers and home builders for Excess MSRs. Excess MSRs are recorded at fair market value on the consolidated balance sheetsacquisition and any periodic changehorizontal development of land ("Land Related Financing"). The LOTS investments continue to reduce in fair market value is recorded in current period earnings on the consolidated statement of operations as a component of “Unrealized gain/(loss) on derivativesize due to ongoing principal repayments and other instruments, net.”

Investment consolidation and transfers of financial assets

For each investment made, the Company evaluates the underlying entity that issued the securities acquired ordoes not expect 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.” In situations where the Company is the transferor of financial assets, the Company refers to the guidance in ASC 860-10 “Transfers and Servicing.”

originate new loans within this equity method investment.


Investment consolidation
In variable interest entities (“VIEs”("VIEs"), an entity is subject to consolidation under ASC 810-10, "Consolidation" 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 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
11

AG Mortgage Investment Trust Inc. and Subsidiaries
Notes to Consolidated Financial Statements (Unaudited)
March 31, 2022
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 determineddetermines that consolidation wasis not required, it would havewill then assessedassess 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.


A Special Purpose Entity ("SPE") is an entity designed to fulfill a specific limited need of the company that organized it. SPEs are often used to facilitate transactions that involve securitizing financial assets or resecuritizing previously securitized financial assets. The objective of such transactions may include obtaining non-recourse financing, obtaining liquidity, or refinancing the underlying securitized financial assets on improved terms. Securitization involves transferring assets to an SPE to convert all or a portion of those assets into cash before they would have been realized in the normal course of business through the SPE’s issuance of debt or equity instruments. Investors in an SPE usually have recourse only to the assets in the SPE and depending on the overall structure of the transaction, may benefit from various forms of credit enhancement, such as over-collateralization in the form of excess assets in the SPE, priority with respect to receipt of cash flows relative to holders of other debt or equity instruments issued by the SPE, or a line of credit or other form of liquidity agreement that is designed with the objective of ensuring that investors receive principal and/or interest cash flow on the investment in accordance with the terms of their investment agreement.

The Company enters into securitization transactions collateralized by its Non-Agency Loans ("Non-Agency VIEs"), Agency-Eligible Loans ("Agency-Eligible VIEs"), and re- and non-performing loans ("RPL/NPL VIEs") (collectively, "Residential Mortgage Loan VIEs"), which may result 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. Based on the evaluations of each VIE, the Company may conclude that the VIEs should be consolidated and, as a result, transferred assets of these VIEs would be determined to be secured borrowings. Upon consolidation, the Company elected the fair value option pursuant to ASC 825 for the assets and liabilities of the 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 ASC 810-10 (Measuring the Financial Assets and the Financial Liabilities of a Consolidated Collateralized Financing Entity) whereby the Company determines whether the fair value of the assets or liabilities of the 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.

Transfers of financial assets

The Company may periodically enter into transactions in which it transfers assets to a third party. Upon a transfer of financial assets, the Company will sometimes retain or acquire senior or subordinated interests in the related assets. Pursuant to ASC 860-10, "Transfers and Servicing" a determination must be made as to whether a transferor has surrendered control over transferred financial assets. That determination must consider the transferor’s continuing involvement in the transferred financial asset, including all arrangements or agreements made contemporaneously with, or in contemplation of, the transfer, even if they were not entered into at the time of the transfer. The financial components approach under ASC 860-10 limits the circumstances in which a financial asset, or portion of a financial asset, should be derecognized when the transferor has not transferred the entire original financial asset to an entity that is not consolidated with the transferor in the financial statements being presented and/or when the transferor has continuing involvement with the transferred financial asset. It defines the term “participating interest”"participating interest" to establish specific conditions for reporting a transfer of a portion of a financial asset as a sale.

Under ASC 860-10, after a transfer of financial assets that meets the criteria for treatment as a sale—legal isolation, ability of transferee to pledge or exchange the transferred assets without constraint and transferred control—an entity recognizes the financial and servicing assets it acquired or retained and the liabilities it has incurred, derecognizes financial assets it has sold and derecognizes liabilities when extinguished. The transferor would then determine the gain or loss on sale of financial assets by allocating the carrying value of the underlying mortgage between securities or loans sold and the interests retained based on their fair 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.

9

12

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.

(Unaudited)

March 31, 2022
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”"Securitized 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.”

Interest income recognition

Interest income"financing."


Cash and cash equivalents

Cash is comprised of cash on deposit with financial institutions. The Company classifies highly liquid investments with original maturities of three months or less from the date of purchase as cash equivalents. Cash equivalents may include cash invested in money market funds. Cash and cash equivalents are carried at cost, which approximates fair value. The Company places its cash with high credit quality institutions to minimize credit risk exposure. Cash pledged to the Company as collateral is unrestricted in use and, accordingly, is included as a component of "Cash and cash equivalents" on the Company’s real estate securities portfolioconsolidated balance sheets. Any cash held by the Company as collateral is accrued based on the actual coupon rate and the outstanding principal balance of such securities. The Company has elected to record interest in accordance with ASC 835-30-35-2 using the effective interest method for all securities accounted for under the fair value option (ASC 825). As such, premiums and discounts are amortized or accreted into interest income over the lives of the securities in accordance with ASC 310-20, “Nonrefundable Fees and Other Costs,” ASC 320-10 or ASC 325-40 as applicable. Total interest income is recordedincluded in the “Interest income”"Other liabilities" line item on the consolidated statement of operations.

On at least a quarterly basis for securities accounted for under ASC 320-10balance sheets and ASC 310-20 (generally Agency RMBS, exclusive of interest-only securities), prepayments of the underlying collateral must be estimated, which directly affect the speed at which the Company amortizes premiums on its securities. If actual and anticipatedin cash flows differ from previous estimates, the Company recognizes a “catch-up” adjustment in the current period to the amortization of premiums for the impact of the cumulative change in the effective yield through the reporting date.

Similarly, the Company also reassesses the cash flowsfinancing activities on at least a quarterly basis for securities accounted for under ASC 325-40 (generally Non-Agency RMBS, ABS, CMBS and interest-only securities). In estimating these cash flows, there are a number of assumptions that will be subject to uncertainties 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.

For security and loan investments purchased with evidence of deterioration of credit quality for which it is probable, at acquisition, thatcash flows. Any cash due to 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 thatform of principal payments is included in 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"Other assets" line item on the consolidated balance sheets and in cash flows expectedfrom operating activities on the consolidated statement of cash flows.

Restricted cash
Restricted cash includes cash pledged as collateral for clearing and executing trades, derivatives, and financing arrangements, as well as restricted cash deposited into accounts held at certain consolidated trusts. Restricted cash is not available to the Company for general corporate purposes. Restricted cash may be collected generally should be recognized prospectively through an adjustmentreturned to the Company when the related collateral requirements are exceeded or at the maturity of the loan’s yield over its remaining life. Decreases inderivative or financing arrangement. Restricted cash flows expectedis carried at cost, which approximates fair value. Restricted cash also includes variation margin pledged on centrally cleared derivatives. Refer to be collected should be recognized as impairment.

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

10
instruments" policy below for additional detail.


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 primarily include repurchase agreements. Prior to March 31, 2016, the Companyagreements, but may 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).include revolving facilities. Repurchase agreements are and while the Company had them, FHLBC Advances were 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 Advancesrevolving 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 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 September 30, 2017, the Company had no outstanding advances with the FHLBC. See the “Other investments” section below for a discussion on FHLBC stock.

The Company pledges certain securitiesloans or loanssecurities as collateral under repurchase agreementsfinancing 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 securitiesloans or loanssecurities pledged as collateral, which fluctuatescan 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 inIf the fair value of pledged assets declines due to changes in market conditions, lenders maytypically 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 uponthe 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 30, 2017March 31, 2022 and December 31, 2016,2021, the Company hashad met all margin call requirements.

Other investments

At September 30, 2017 and December 31, 2016 the Company owned FHLBC stock totaling $2,000. The Company has chosen to make a fair value election pursuant to ASC 825 for its stock investment in FHLBC which is recorded in the “Other assets” line item on the Company’s consolidated balance sheets. When evaluating FHLBC stock for impairment, the Company considers the ultimate recoverability of the par value rather than recognizing temporary declines in value. As of September 30, 2017, the Company had not recognized an impairment charge related to its FHLBC stock. The Company is entitled to a quarterly dividend on the weighted average shares of stock it holds during the period and records the dividend in “Interest income” on its consolidated statement of operations. For the three and nine months ended September 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.


Accounting for derivative financial instruments


Derivative contracts
The Company enters into derivative contracts as a means of mitigating interest rate risk rather than to enhance returns. The Company accounts for derivative financial instruments in accordance with ASC 815-10, “Derivatives"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
13

AG Mortgage Investment Trust Inc. and Subsidiaries
Notes to Consolidated Financial Statements (Unaudited)
March 31, 2022
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 30, 2017March 31, 2022 and December 31, 2016,2021, 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 fair 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.

11


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"Net unrealized gain/(loss) on derivative and other instruments, net.”

."


Variation margin

The Company presentsmay exchange cash "variation margin" with the purchase or salecounterparties to its derivative instruments on a daily basis based upon changes in the fair value of TBAs netsuch derivative instruments as measured by the Chicago Mercantile Exchange ("CME") and the London Clearing House, the central clearinghouses ("CCPs") through which those derivatives are cleared. In addition, the CCPs require market participants to deposit and maintain an "initial margin" amount which is determined by the CCPs and is generally intended to be set at a level sufficient to protect the CCPs from the maximum estimated single-day price movement in that market participant’s contracts.

Receivables recognized for the right to reclaim cash initial margin posted in respect of derivative instruments are included in the "Restricted cash" line item in the consolidated balance sheets. The daily exchange of variation margin associated with a CCP instrument is legally characterized as the daily settlement of the corresponding payablederivative instrument itself, as opposed to a pledge of collateral. Accordingly, the Company accounts for the daily receipt or receivable, respectively, untilpayment of variation margin associated with its centrally cleared derivative instruments as a direct reduction to the settlement datecarrying value of the transaction. Contracts forderivative asset or liability, respectively. The carrying amount of centrally cleared derivative instruments reflected in the Company’s consolidated balance sheets approximates the unsettled fair value of such instruments. As variation margin is exchanged on a one-day lag, the unsettled fair value of such instruments represents the change in fair value that occurred on the last day of the reporting period.

Forward purchase or sale of Agency RMBScommitments

The Company may enter into forward purchase commitments with counterparties whereby the Company commits to purchasing residential mortgage loans at a particular price. Actual loan purchases are accounted forcontingent upon successful loan closings. The counterparties are required to deliver the committed loans on a mandatory basis. These commitments to purchase mortgage loans are classified as derivatives if they do not qualify forand are therefore recorded at fair value on the “regular way” security trade scope exception foundconsolidated balance sheets, with corresponding changes 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 arefair value recognized in the consolidated statement of operationsoperations. Derivatives with positive fair values to the Company are reported as assets and derivatives with negative fair values to the Company are reported as liabilities.

Earnings/(Loss) per share
In accordance with ASC 260, "Earnings per Share," the Company calculates basic income/(loss) per share by dividing net income/(loss) available to common stockholders for the period by weighted average shares of the Company’s common stock outstanding for that period. Diluted income per share takes into account the effect of dilutive instruments, such as stock options, warrants, unvested restricted stock and unvested restricted stock units using the average share price for the period in
14

AG Mortgage Investment Trust Inc. and Subsidiaries
Notes to Consolidated Financial Statements (Unaudited)
March 31, 2022
determining the number of incremental shares that are to be added to the weighted-average number of shares outstanding. Potential dilutive shares are excluded from the calculation, if they have an anti-dilutive effect in the line item “Unrealized gain/(loss)period.

Interest income recognition
Interest income on derivativethe Company’s loan portfolio and other instruments, net.”

U.S. Treasuryreal estate securities

The Company may purchase long or sell short U.S. Treasury securities to help mitigate the potential impact of changes in interest rates. The Company may finance its purchase 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 for as borrowing transactions, and the Company recognizes an obligation to return the borrowed securities at fair value on its consolidated balance sheets portfolio is accrued based on the actual coupon rate and the outstanding principal balance of such loans or securities. The Company has elected to record interest in accordance with ASC 835-30-35-2, "Imputation of Interest," using the effective interest method for all loans and securities accounted for under the fair value option in accordance with ASC 825, "Financial Instruments." As such, premiums and discounts are amortized or accreted into interest income over the lives of the underlying borrowedloans or securities in accordance with ASC 310-20, "Nonrefundable Fees and Other Costs," ASC 320-10 or ASC 325-40, as ofapplicable. Total interest income is recorded in 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,"Interest income" line item on the consolidated statement of operations. Realized

For Agency RMBS, exclusive of interest-only securities, prepayments of the underlying collateral are estimated on a quarterly basis, which directly affect the speed at which the Company amortizes premiums on its securities. If actual and unrealizedanticipated cash flows differ from previous estimates, the Company records an adjustment in the current period to the amortization of premiums for the impact of the cumulative change in the effective yield retrospectively through the reporting date.
Similarly, the Company also reassesses the cash flows on at least a quarterly basis for loans and securities, including Non-Agency Loans, Agency-Eligible Loans, Non-Agency RMBS, and interest-only securities. In estimating these cash flows, there are a number of assumptions made that are uncertain and subject to judgments and assumptions based on subjective and objective factors and contingencies. These include the rate and timing of principal and interest receipts (including assumptions of prepayments, repurchases, defaults and liquidations), the pass-through or coupon rate and interest rate fluctuations. In addition, interest payment shortfalls due to delinquencies on the underlying mortgage loans have to be estimated. Differences between previously estimated cash flows and current actual and anticipated cash flows are recognized prospectively through an adjustment of the yield over the remaining life of the security based on the current amortized cost of the investment.
For loan and security investments purchased with evidence of deterioration of credit quality for which it is probable, at acquisition, that the Company will be unable to collect all contractually required payments receivable, the Company will apply the provisions of ASC 310-30. For purposes of income recognition, the Company aggregates loans that have common risk characteristics into pools and uses a composite interest rate and expectation of cash flows expected to be collected for the pool. ASC 310-30 addresses accounting for differences between contractual cash flows and cash flows expected to be collected from an investor’s initial investment in loans or debt securities acquired in a transfer if those differences are attributable, at least in part, to credit quality. ASC 310-30 limits the yield that may be accreted (the "accretable yield") to the excess of the investor’s estimate of undiscounted expected principal, interest, and other cash flows (cash flows expected at acquisition to be collected) over the investor’s initial investment in the loan. ASC 310-30 requires that the excess of contractual cash flows over cash flows expected to be collected (the "nonaccretable difference") not be recognized as an adjustment of yield. Subsequent changes in cash flows expected to be collected generally should be recognized prospectively through an adjustment of the loan’s yield over its remaining life.

Realized gains and losses associated with purchases and short

Realized gains or losses on sales of U.S. Treasuryloans, securities, and derivatives are recognizedincluded in “Netthe "Net realized gain/(loss)” and “Unrealized gain/(loss) on derivative and other instruments, net,” respectively," line item on the consolidated statement of operations. AsThe cost of September 30, 2017, and December 31, 2016, the Company had no positions sold is calculated using a first 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 remain sufficient to protect the Company in the event of a default by a counterparty.first out ("FIFO") basis. Realized and unrealized gains and losses associated with purchases and short salesare recorded in earnings at the time 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.

disposition.


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 calculatedthey are earned or for which the expenses are incurred, respectively. The management fee and earned.reimbursement are included in the "Management fee to affiliate" line item and in the "Other operating expenses" and "Transaction related 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.


15

AG Mortgage Investment Trust Inc. and Subsidiaries
Notes to Consolidated Financial Statements (Unaudited)
March 31, 2022
Transaction related expenses

The Company incurs transaction related expenses associated with purchasing and securitizing residential mortgage loans. In accordance with ASC 825 "Financial Instruments," nonrefundable fees and costs associated with originating or acquiring loans that are carried at fair value shall be recognized in earnings as incurred. Transaction related expenses are accrued and expensed during the period in which they are incurred and are included in the "Transaction related expenses" line item on the consolidated statement of operations.

Income taxes

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

12

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) andwhich 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 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

The


Reverse stock split

On July 12, 2021, the Company applies the provisionsannounced that its board of ASC 718, “Compensation—Stock Compensation” with regard to its equity incentive plans. ASC 718 coversdirectors approved a wide range of share-based compensation arrangements includingone-for-three reverse stock options, restricted stock plans, performance-based awards, stock appreciation rights and employee stock purchase plans. ASC 718 requires that compensation cost relating to stock-based payment transactions be recognized in financial statements. Compensation cost is measured based on the fair valuesplit of the equity or liability instruments issued.

Compensation cost related to restrictedCompany's outstanding shares of common shares issued tostock. The reverse stock split was effected following the Company’s directors is measured at its estimated fair value at the grant date, and is amortized and expensed over the vesting periodclose of business on a straight-line basis. Compensation cost related to restricted common shares and restricted stock units issued to the Manager is initially measured at estimated fair value at the grant date, 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 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 paid 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.

13
July

16


AG Mortgage Investment Trust Inc. and Subsidiaries

Notes to Consolidated Financial Statements (unaudited)

September 30, 2017

Recent accounting pronouncements

In May 2014,(Unaudited)

March 31, 2022
22, 2021 (the "Effective Time"). At the FASBEffective Time, every three issued Accounting Standards Update (“ASU”) 2014-09, “Revenue from Contractsand 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 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 expectsreverse stock split. Instead, each stockholder holding fractional shares was entitled 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 regardinglieu of such fractional shares, cash in an amount determined based on the nature, amount, timing and uncertaintyclosing price of revenue and cash flows arising from contracts with customers. In August 2015, the FASB deferredCompany's common stock on the effective date of the new revenue recognition standardEffective 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. 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 reverse stock split. See Note 11 for further details.

Dividends on Preferred Stock

Holders of the Company’s 8.25% Series A Cumulative Redeemable Preferred Stock ("Series A Preferred Stock"), 8.00% Series B Cumulative Redeemable Preferred Stock ("Series B Preferred Stock"), and 8.000% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock ("Series C Preferred Stock") are entitled to receive cumulative cash dividends at a rate of 8.25%, 8.00% and 8.000% per annum, respectively, of the $25.00 per share liquidation preference for each series. On and after September 17, 2024, dividends on the Series C Preferred Stock will accumulate at a percentage of the $25.00 liquidation preference equal to an annual floating rate of the then three-month LIBOR (or as replaced by one year. The new standardthe existing LIBOR cessation fallback language) plus a spread of 6.476% per annum. If the Company’s Board of Directors does not declare a dividend in a given period, an accrual is effectivenot 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 first interim period within annual reporting periods beginning after December 15, 2017respective series of the preferred stock. The undeclared and early adoption is permitted. unpaid dividends on the Company’s preferred stock accrue without interest, and if dividends on the Company's preferred stock are in arrears, the Company cannot pay cash dividends with respect to its common stock. See Note 11 for further detail on the Company’s Preferred Stock.

Offering costs
The Company has concludedincurred offering costs in connection with common stock offerings, registration statements, preferred stock offerings, and exchanges. Where applicable, the offering costs were paid out of the proceeds of the respective offerings. Offering costs in connection with common stock offerings and costs in connection with registration statements have been accounted for as a reduction of additional paid-in capital. Offering costs in connection with preferred stock offerings have been accounted for as a reduction of their respective gross proceeds. Exchange costs in connection with the Company's preferred stock exchanges have been accounted for as a reduction to the Company's retained earnings.

Recent accounting pronouncements

In March 2020, FASB issued ASU 2020-04, "Reference Rate Reform (Topic 848): Facilitation of the Effects of Reference Rate Reform on Financial Reporting." This ASU provides temporary optional guidance willintended to ease the burden of reference rate reform on financial reporting. This ASU is effective as of March 12, 2020 through December 31, 2022 and may be elected over time as reference rate reform activities occur. The ASU applies to all entities that have contracts, hedging relationships and other transactions that reference LIBOR and certain other reference rates that are expected to be discontinued. However, it cannot be applied to contract modifications that occur after December 31, 2022. With certain exceptions, this ASU also cannot be applied to hedging relationships entered into or evaluated after that date. The guidance provides optional expedients and exceptions for applying existing guidance to contract modifications, hedging relationships and other transactions that are expected to be affected by reference rate reform and meet certain scope guidance.

The Manager has an established cross-functional team that focuses on evaluating exposure to LIBOR and monitoring regulatory updates to assess the potential impact to the portfolios under management from the cessation set to occur in 2023 and has established a LIBOR transition plan to facilitate an orderly transition to alternative reference rates. As of March 31, 2022, the Company is continuing to assess the impact of the LIBOR transition and does not expect the transition or the adoption of ASU 2020-04 to have a material impact on itsthe consolidated financial statements.

In January 2016, The Company's primary exposure to LIBOR includes certain financing arrangements, interest rate swaps, and the FASB issued ASU 2016-01, “RecognitionSeries C Preferred Stock. The Company's financing arrangements either have provisions in place that provide for an alternative to LIBOR upon its phase-out or contain maturities of one year or less and Measurement of Financial Assets and Financial Liabilities” (“ASU 2016-01”). The amendments in this ASU affect all entities that hold financial assets or owe financial liabilities, and address certain aspects of recognition, measurement, presentation, and disclosure of financial instruments. The classification and measurement guidance of investments in debt securities and loans are not affected by the amendments in this ASU. ASU 2016-01 is effective for public business entities for fiscal years, 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. 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 relatedtherefore would mature prior 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 costphase out 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.LIBOR in June 2023. 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 impact this guidance will have on its consolidated financial statements. Adoption of this standard may reclassify certain items on 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 require the Company has begun amending terms of certain financing arrangements, where necessary, to reconcile changes in cash, cash equivalents, and restricted cash ontransition or direct the consolidated statementtransition to an alternative benchmark. Interest rate swaps will experience an orderly market transition upon the cessation of cash flows but does not affectLIBOR, although the consolidated statement of operations or consolidated balance sheets.

In March 2017, the FASB issued ASU 2017-08, “Premium Amortization 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 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 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.

14

17


AG Mortgage Investment Trust Inc. and Subsidiaries

Notes to Consolidated Financial Statements (unaudited)

September 30, 2017

(Unaudited)

March 31, 2022
Company has begun transitioning its interest rate swap portfolio away from LIBOR benchmarks. The Company does not currently intend to amend the Series C Preferred Stock to change the existing LIBOR cessation fallback language.

3. Real Estate Securities

Loans

Residential mortgage loans

The following tables detailtable below details information regarding the Company’s real estate securitiesresidential mortgage loan portfolio as of September 30, 2017March 31, 2022 and December 31, 2016. The Company’s Agency RMBS are mortgage pass-through certificates or collateralized mortgage obligations (“CMOs”) representing interests2021 ($ in or obligations backed by pools of residential mortgage loans issued or guaranteed by Fannie Mae, Freddie Mac or Ginnie Mae. The Company’s Non-Agency RMBS, ABS and CMBS portfolios are primarily not issued or guaranteed by Fannie Mae, Freddie Mac or any agency of the U.S. Government and are therefore subject to 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 the Company’s real estate securities portfolio as of September 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.thousands). The gross unrealized stated above representsgains/(losses) in the table below represent inception to date unrealized gains/(losses).

(2) Equity residual investments and principal only securities with a zero coupon rate

 Unpaid Principal Balance  Gross Unrealized Weighted Average
March 31, 2022Premium
(Discount)		Amortized CostGainsLossesFair ValueCouponYieldLife 
(Years) (1)
Securitized residential mortgage loans, at fair value (2)
Non-Agency Loans$1,368,470 $53,404 $1,421,874 $— $(67,538)$1,354,336 4.85 %4.07 %6.36
Agency-Eligible Loans452,213 10,134 462,347 — (31,330)431,017 3.59 %3.24 %8.43
Re- and Non-Performing Loans364,103 (43,164)320,939 7,776 (8,496)320,219 3.31 %5.92 %7.76
Total Securitized residential mortgage loans, at fair value$2,184,786 $20,374 $2,205,160 $7,776 $(107,364)$2,105,572 4.33 %4.18 %7.02
Residential mortgage loans, at fair value
Non-Agency Loans$878,438 $17,153 $895,591 $1,387 $(18,725)$878,253 4.67 %4.18 %5.87
Agency-Eligible Loans293,765 6,158 299,923 2 (15,862)284,063 3.65 %3.32 %8.69
Re- and Non-Performing Loans5,977 (3,408)2,569 2,176 — 4,745 N/A44.49 %2.11
Total Residential mortgage loans, at fair value$1,178,180 $19,903 $1,198,083 $3,565 $(34,587)$1,167,061 4.42 %4.14 %6.56
Total as of March 31, 2022$3,362,966 $40,277 $3,403,243 $11,341 $(141,951)$3,272,633 4.36 %4.17 %6.86
Unpaid Principal BalanceGross UnrealizedWeighted Average
December 31, 2021Premium
(Discount)		Amortized CostGainsLossesFair ValueCouponYieldLife 
(Years) (1)
Securitized residential mortgage loans, at fair value (2)
Non-Agency Loans$777,828 $30,739 $808,567 $5,821 $(1,005)$813,383 5.13 %3.96 %4.50
Re- and Non-Performing Loans377,923 (44,971)332,952 14,914 (3,115)344,751 3.55 %5.90 %7.17
Total Securitized residential mortgage loans, at fair value$1,155,751 $(14,232)$1,141,519 $20,735 $(4,120)$1,158,134 4.61 %4.53 %5.37
Residential mortgage loans, at fair value
Non-Agency Loans$987,290 $35,647 $1,022,937 $9,336 $(1,458)$1,030,815 4.75 %3.76 %5.01
Agency-Eligible Loans429,424 10,039 439,463 1,723 (349)440,837 3.64 %3.19 %6.84
Re- and Non-Performing Loans6,528 (3,536)2,992 2,328 — 5,320 N/A31.18 %2.24
Total Residential mortgage loans, at fair value$1,423,242 $42,150 $1,465,392 $13,387 $(1,807)$1,476,972 4.41 %3.69 %5.55
Total as of December 31, 2021$2,578,993 $27,918 $2,606,911 $34,122 $(5,927)$2,635,106 4.50 %4.06 %5.47
(1)This is based on projected life. Typically, actual maturities are excluded from this calculation.

The following table detailsshorter than stated contractual maturities. Maturities are affected by 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%

(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 presents the gross unrealized losses and fair valuelives of the Company’s real estate securities by lengthunderlying mortgages, periodic payments of time that such securities have been in a continuous unrealized loss position on September 30, 2017principal, 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,prepayments of principal.

(2)Refer to the Company evaluates securities"Variable interest entities" section below 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 designated as either “temporary” or “other-than-temporary.”

15
additional details.



18

AG Mortgage Investment Trust Inc. and Subsidiaries

Notes to Consolidated Financial Statements (unaudited)

September 30, 2017

For(Unaudited)

March 31, 2022
The following tables present information regarding credit quality of the Company's residential mortgage loans ($ in thousands).
March 31, 2022
Unpaid Principal BalanceWeighted Average (1)Aging by Unpaid Principal Balance (1)(2)
Loan Count (1)Original LTV RatioCurrent FICO (3)Current30-59 Days60-89 Days90+ Days
Securitized residential mortgage loans
Non-Agency Loans$1,368,470 2,74168.67 %732$1,338,123 $22,057 $2,458 $5,832 
Agency-Eligible Loans452,213 1,57065.25 %757449,5061,972539196
Re- and Non-Performing Loans364,103 2,45979.31 %639243,34030,56415,68174,518
Total Securitized residential mortgage loans2,184,786 6,770 69.73 %7202,030,969 54,593 18,678 80,546 
Residential mortgage loans
Non-Agency Loans878,438 1,65870.34 %734861,420 7,396 1,276 8,346 
Agency-Eligible Loans293,765 70563.93 %757288,7103,868 — 1,187 
Re- and Non-Performing Loans (1)5,977 N/AN/AN/AN/AN/AN/AN/A
Total Residential mortgage loans1,178,180 2,363 68.74 %7401,150,130 11,264 1,276 9,533 
Total as of March 31, 2022$3,362,966 9,133 69.39 %728$3,181,099 $65,857 $19,954 $90,079 
December 31, 2021
Unpaid Principal BalanceWeighted Average (1)Aging by Unpaid Principal Balance (1)(2)
Loan Count (1)Original LTV RatioCurrent FICO (3)Current30-59 Days60-89 Days90+ Days
Securitized residential mortgage loans
Non-Agency Loans$777,828 1,56268.03 %733$767,734 $6,495 $1,036 $2,563 
Re- and Non-Performing Loans377,923 2,54079.20 %639256,09435,97412,32473,531
Total Securitized residential mortgage loans1,155,751 4,102 71.68 %697 1,023,828 42,469 13,360 76,094 
Residential mortgage loans
Non-Agency Loans987,290 1,88669.39 %737967,910 9,101 1,630 8,649 
Agency-Eligible Loans429,424 1,33965.44 %754425,5943,830— — 
Re- and Non-Performing Loans (1)6,528 N/AN/AN/AN/AN/AN/AN/A
Total Residential mortgage loans1,423,242 3,225 68.19 %7421,393,504 12,931 1,630 8,649 
Total as of December 31, 2021$2,578,993 7,327 69.76 %723$2,417,332 $55,400 $14,990 $84,743 
(1)Loan count, weighted average, and aging data excludes the Re- and Non-Performing Loans subcategory of Residential mortgage loans above as there may be limited data available regarding the underlying collateral of these residual positions.
(2)As of March 31, 2022, the Company had residential mortgage loans that were 90+ days delinquent and loans in the process of foreclosure with a fair value of $51.4 million and $28.3 million, respectively. As of December 31, 2021, the Company had residential mortgage loans that were 90+ days delinquent and loans in the process of foreclosure with a fair value of $47.4 million and $29.0 million, respectively.
(3)Weighted average current FICO excludes borrowers where FICO scores were not available.
During the three months ended September 30, 2017March 31, 2022, the Company recognized an OTTI chargepurchased Non-Agency Loans and Agency-Eligible Loans, as detailed below ($ in thousands). A portion of $2.0 million on its securities, which is included in the “Net realized gain/(loss)” line item on the consolidated statement of operations. these loans were purchased from Arc Home. See Note 10 for more detail.
Unpaid Principal BalanceFair Value
Non-Agency Loans$595,288 $604,562 
Agency-Eligible Loans336,277 343,342

The Company recorded $2.0 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 $2.0 million of OTTI recorded, $0.7 million related to securities where OTTI wasdid not recognized 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 as 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.

Forany residential mortgage loans during the three months ended September 30, 2016March 31, 2022 and 2021.

19

AG Mortgage Investment Trust Inc. and Subsidiaries
Notes to Consolidated Financial Statements (Unaudited)
March 31, 2022

The Company’s residential mortgage loan portfolio consisted of mortgage loans on residential real estate located throughout the Company recognized an OTTI chargeUnited States. The following is a summary of $1.0 million on its securities,the geographic concentration of credit risk as of March 31, 2022 and December 31, 2021 and includes states where the exposure is greater than 5% of the fair value the Company's residential mortgage loan portfolio.
Geographic Concentration of Credit Risk (1)March 31, 2022December 31, 2021
California34 %35 %
New York17 %15 %
Florida10 %11 %
New Jersey6 %6 %
(1)Excludes the Re- and Non-Performing Loans subcategory of Residential mortgage loans above as there may be limited data available regarding the underlying collateral of these residual positions.
The following is a summary of the changes in the accretable portion of the discount for the Company’s securitized re-performing and non-performing loan portfolios for the three months ended March 31, 2022 and 2021, which is includeddetermined by the Company’s estimate of undiscounted principal expected to be collected 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 valuesexcess 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 investmentsmortgage loan (in thousands).

 Three Months Ended
 March 31, 2022March 31, 2021
Beginning Balance$46,521 $56,907 
Accretion(1,650)(1,562)
Reclassifications from/(to) non-accretable difference1,386 (278)
Disposals— (64)
Ending Balance$46,257 $55,003 

20

AG Mortgage Investment Trust Inc. and the Company is not requiredSubsidiaries
Notes to sell the investments for regulatory or other reasons.

Consolidated Financial Statements (Unaudited)

March 31, 2022
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 Securitiesliabilities of the Residential Mortgage Loan VIEs as of September 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 of this table, Agency RMBS represent securities backed by Fixed Rate 30 Year mortgages, ARMsMarch 31, 2022 and Fixed Rate CMOs.

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

(3) ActualDecember 31, 2021 ($ in thousands).

March 31, 2022December 31, 2021
Carrying ValueWeighted AverageCarrying ValueWeighted Average
YieldLife (Years) (1)YieldLife (Years) (1)
Assets
Non-Agency VIEs$1,354,336 4.07 %6.36$813,383 3.96 %4.50
Agency-Eligible VIEs431,017 3.24 %8.43— — %—
RPL/NPL VIEs320,219 5.92 %7.76344,751 5.90 %7.17
Securitized residential mortgage loans, at fair value$2,105,572 $1,158,134 
Restricted cash1,450 1,467 
Other assets9,896 6,457 
Total Assets$2,116,918 $1,166,058 
Liabilities
Non-Agency VIEs$1,228,382 2.49 %3.69$746,970 1.63 %2.36
Agency-Eligible VIEs399,128 2.81 %8.10— — %—
RPL/NPL VIEs232,407 3.09 %2.65252,245 3.06 %3.75
Securitized debt, at fair value (2)$1,859,917 $999,215 
Financing arrangements (3)125,533 71,308 
Other liabilities4,283 1,543 
Total Liabilities$1,989,733 $1,072,066 
Total Equity$127,185 $93,992 
(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.

(4)

(2)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 Mortgage Loan VIEs.
(3)Includes financing arrangements on certain of the Company's retained interests in securitizations.

Commercial loans

As of March 31, 2022 and December 31, 2021, the Company did not hold any commercial loans.

During the first quarter of 2021, the Company sold 2 commercial loans for total proceeds of $74.3 million, recording realized losses of $2.9 million. During the third quarter of 2021, the Company's 2 remaining commercial loans were repaid in full for total proceeds of $74.1 million, recording realized gains of $0.4 million. In connection with the repayment of one of these loans, the Company received $3.0 million of deferred interest for the 12-month period following a loan modification entered into with the borrower during the fourth quarter of 2020.
21

AG Mortgage Investment Trust Inc. and Subsidiaries
Notes to Consolidated Financial Statements (Unaudited)
March 31, 2022
4. Real Estate Securities
The following tables detail the Company’s real estate securities portfolio as of March 31, 2022 and December 31, 2021 ($ in thousands). The gross unrealized gains/(losses) in the tables below represent inception to date unrealized gains/(losses). 
March 31, 2022 Current Face
 Premium /
(Discount)
Amortized CostGross Unrealized Weighted Average
 GainsLossesFair ValueCoupon (1)Yield
Agency RMBS        
30 Year Fixed Rate$223,604 $6,304 $229,908 $— $(18,059)$211,849 2.50 %2.08 %
Interest Only103,290 (87,635)15,655 — (281)15,374 3.00 %6.46 %
Total Agency RMBS326,894 (81,331)245,563 — (18,340)227,223 2.66 %2.38 %
Residential Securities
Non-Agency Securities (2)14,892 (226)14,666 — (1,335)13,331 4.35 %4.64 %
Non-Agency RMBS Interest Only (2)139,080(135,779)3,301 1,564 — 4,865 0.38 %31.33 %
Re/Non-Performing Securities61615 631 42 (88)585 5.25 %23.85 %
Total Residential Securities154,588 (135,990)18,598 1,606 (1,423)18,781 1.10 %12.15 %
Total$481,482 $(217,321)$264,161 $1,606 $(19,763)$246,004 2.34 %3.12 %
December 31, 2021 Current Face
 Premium /
(Discount)
Amortized CostGross Unrealized Weighted Average
 GainsLossesFair ValueCoupon (1)Yield
Agency RMBS        
30 Year Fixed Rate$490,435 $11,927 $502,362 $— $(6,649)$495,713 2.18 %1.78 %
Residential Securities
Non-Agency Securities (2)14,894 (236)14,658 — (58)14,600 4.36 %4.74 %
Non-Agency RMBS Interest Only (2)160,154 (156,647)3,507 — (112)3,395 0.38 %10.12 %
Re/Non-Performing Securities696 (24)672 90 — 762 5.25 %29.69 %
Total Residential Securities175,744 (156,907)18,837 90 (170)18,757 1.02 %6.73 %
Total$666,179 $(144,980)$521,199 $90 $(6,819)$514,470 1.99 %1.96 %
(1)Equity residual investments and principal only securities with a zero coupon rate are excluded from this calculation.

(2)Comprised of Non-QM securities and Non-QM interest-only bonds.

22

AG Mortgage Investment Trust Inc. and Subsidiaries
Notes to Consolidated Financial Statements (Unaudited)
March 31, 2022
The following table detailstables summarize the Company's real estate securities according to their projected weighted average life broken out by Agency RMBS, Agency IO and Credit Securitiesclassifications as of March 31, 2022 and 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%

2021 ($ in thousands).

March 31, 2022Agency RMBSResidential Securities
Weighted Average Life (1)Fair ValueAmortized CostWeighted Average CouponFair ValueAmortized Cost
Weighted Average
Coupon (2)
Less than or equal to 1 year$— $— — %$585 $631 5.25 %
Greater than one year and less than or equal to five years— — — %4,865 3,301 0.38 %
Greater than five years and less than or equal to ten years227,223 245,563 2.66 %13,331 14,666 4.35 %
Total$227,223 $245,563 2.66 %$18,781 $18,598 1.10 %

December 31, 2021Agency RMBSResidential Securities
Weighted Average Life (1)Fair ValueAmortized CostWeighted Average CouponFair ValueAmortized Cost
Weighted Average
Coupon (2)
Less than or equal to 1 year$— $— — %$543 $511 5.25 %
Greater than one year and less than or equal to five years— — — %18,214 18,326 1.00 %
Greater than five years and less than or equal to ten years474,104 480,204 2.19 %— — — %
Greater than ten years21,609 22,158 2.00 %— — — %
Total$495,713 $502,362 2.18 %$18,757 $18,837 1.02 %
(1) For purposes of this table, Agency RMBS represent securities backed by Fixed Rate 30 Year mortgages, ARMs and Fixed Rate CMOs.

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

(3) ActualThis 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.

(4)

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

For


During the three months ended September 30, 2017,March 31, 2022 and 2021, the Company sold 22real estate securities, for totalas summarized below ($ in thousands).
Three months endedNumber of SecuritiesProceedsRealized GainsRealized Losses
March 31, 2022 (1)13$304,665 $568 $(17,408)
March 31, 202127111,824 2,458 (2,958)
(1)Includes $107.7 million of proceeds on 6 security sales which were unsettled as of $206.4 million, recording realized gains of $2.5 million and realized losses of $0.1 million. For the nine months ended September 30, 2017, the Company sold 52 securities for total proceeds of $467.3 million, recording realized gains of $3.5 million and realized losses of $2.2 million.

16
March 31, 2022.



23

AG Mortgage Investment Trust Inc. and Subsidiaries

Notes to Consolidated Financial Statements (unaudited)

September 30, 2017

For(Unaudited)

March 31, 2022
5. Fair value measurements

The following tables present the three months ended September 30, 2016, the Company sold 11 securities for total proceeds of $147.1 million, with an additional $0.3 million of proceedsCompany’s financial instruments measured at fair value on 1 unsettled security salea recurring basis 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 million and realized losses of $1.6 million.

See Notes 4 and 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 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. 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, based on the Company’s involvement 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, 2017March 31, 2022 and December 31, 2016, the resecuritized asset had an aggregate principal balance2021 (in thousands).

 Fair Value at March 31, 2022
 Level 1Level 2Level 3Total
Assets:    
Securitized residential mortgage loans$— $— $2,105,572 $2,105,572 
Residential mortgage loans— 847 1,166,214 1,167,061 
30 Year Fixed Rate Agency RMBS— 211,849 — 211,849 
Agency Interest Only— 15,374 — 15,374 
Non-Agency RMBS (1)— — 13,916 13,916 
Non-Agency RMBS Interest Only— — 4,865 4,865 
Derivative assets (2)— 71,767 — 71,767 
AG Arc (3)— — 54,121 54,121 
Total Assets Measured at Fair Value$— $299,837 $3,344,688 $3,644,525 
Liabilities:
Securitized debt$— $— $(1,859,917)$(1,859,917)
Derivative liabilities— (3,313)— (3,313)
Total Liabilities Measured at Fair Value$— $(3,313)$(1,859,917)$(1,863,230)
 Fair value at December 31, 2021
 Level 1Level 2Level 3Total
Assets:    
Securitized residential mortgage loans$— $— $1,158,134 $1,158,134 
Residential mortgage loans— 915 1,476,057 1,476,972 
30 Year Fixed Rate Agency RMBS— 495,713 — 495,713 
Non-Agency RMBS (1)— — 15,362 15,362 
Non-Agency RMBS Interest Only— — 3,395 3,395 
Derivative assets (2)— 19,781 — 19,781 
AG Arc (3)— — 53,435 53,435 
Total Assets Measured at Fair Value$— $516,409 $2,706,383 $3,222,792 
Liabilities:
Securitized debt$— $— $(999,215)$(999,215)
Derivative liabilities (2)— (897)(79)(976)
Total Liabilities Measured at Fair Value$— $(897)$(999,294)$(1,000,191)
(1)Non-Agency RMBS is comprised of $26.5 millionNon-Agency and $31.5 million, respectively. Re/Non-Performing Securities.
(2)As of September 30, 2017 and DecemberMarch 31, 2016,2022, the resecuritized asset had an aggregateCompany applied a reduction in fair value of $23.7$63.6 million to its interest rate swap assets related to variation margin with a corresponding increase in restricted cash, net of collateral posted by the Company's derivative counterparties. As of December 31, 2021, the Company applied a reduction in fair value of $19.6 million and $27.4$0.9 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 September 30, 2017Derivative assets 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, which isliabilities are included in the Company’s consolidated balance sheets as “Non-Agency RMBS.” As of September 30, 2017"Other assets" 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,"Other liabilities" line items on the consolidated balance sheets, respectively. Refer to Note 2 and Note 7 for more information on the Company's accounting policies with regard to derivatives.
(3)Refer to Note 2 for more information on the Company's accounting policies with regard to AG Arc. The table above includes the Company's investment in the “SecuritizedAG Arc, which is included in its "Investments in debt at fair value”and equity of affiliates" line item. The Company recorded the proceeds from the issuance of the secured financing in the “Cash Flows from Financing Activities” section ofitem on the consolidated statement of cash flows atbalance sheets, as 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 obligationchosen to provide any other explicit or implicit supportelect the fair value option with respect to any VIE.

17
its investment pursuant to ASC 825.


24

AG Mortgage Investment Trust Inc. and Subsidiaries

Notes to Consolidated Financial Statements (unaudited)

September 30, 2017

4. Loans

Residential mortgage loans

(Unaudited)

March 31, 2022
The table below details certain information regardingvaluation of the Company’s residential mortgage loans and securitized debt relating to the Residential Mortgage Loan VIEs is determined by the Manager using third-party pricing services where available, valuation analyses from third-party pricing service providers, or model-based pricing. Third-party pricing service providers conduct independent valuation analyses based on a review of source documents, available market data, and comparable investments. The analyses provided by valuation service providers are reviewed and considered by the Manager. The evaluation considers the underlying characteristics of each loan, 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)which are observable inputs, including: coupon, maturity date, loan age, reset date, collateral type, periodic and life cap, geography, and prepayment speeds. The Company has chosen to make a fair value election pursuant to ASC 825 for itsalso considers loan portfolio. Unrealized gainsservicing data, as available, forward interest rates, general economic conditions, home price index forecasts, 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 livesvaluations of the underlying mortgages, periodic payments of principal and prepayments of principal.

properties. The table below details certain information regarding the Company’s residential mortgage loan portfolio 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 

(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) 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.

18

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 pertainingvariables considered most significant 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, the Company evaluates loans for OTTI on at least 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 fair value of a loan is less than its amortized cost at the balance sheet date, the loan is considered impaired, and 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, which is included in the “Net realized gain/(loss)” line item on the consolidated statement of operations. The Company recorded 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 hadCompany's residential mortgage loans that were in the processand securitized debt include market-implied discount rates, projections of foreclosure with a fair value of $9.1 milliondefault rates, delinquency rates, prepayment rates, loss severity, recovery rates, reperformance rates, 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%

timeline to liquidation. The Company records interest income on a level-yield basis. The accretable discount is determined byand third-party pricing service providers use loan level data and macro-economic inputs to generate loss adjusted cash flows and other information in determining the excessfair value. Because of the Company’s estimateinherent uncertainty 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.

19

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 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 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,such valuation, the fair value of financial instruments that are recorded atestablished for mortgage loans and securitized debt held by the Company may differ from the 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 establishesthat would have been established if a hierarchy that prioritizes the inputs to valuation techniques giving the highest priority to readily available unadjusted quoted prices in active marketsready market existed 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.

Valuesthese mortgage loans.


Fair values for the Company’s securities Excess MSRs, securitized debt, and derivatives are based upon prices obtained from third partythird-party pricing services, which are indicative of market activity.activity, and broker quotations may also be used. 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;coupon, maturity date;date, loan age;age, reset date;date, collateral type;type, periodic and life cap; geography;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.

20


AG Mortgage Investment Trust Inc.

The Company's investment in Arc Home is evaluated on a periodic basis using a market approach. In applying the market approach, fair value is determined by multiplying Arc Home's book value by a relevant valuation multiple observed based on a range of comparable public entities or transactions, adjusted by management as appropriate for differences between the investment and Subsidiaries

Notes to Consolidated Financial Statements (unaudited)

September 30, 2017

In valuing its derivatives, the Companyreferenced comparables. The evaluation also considers the creditworthinessunderlying financial performance 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 mortgage loans and loan participation considers data such as loan origination information, additional updated borrower information, loan servicing data, as available, forward interest rates,Arc Home, general economic conditions, home price index forecasts and valuations ofrelevant trends within the underlying properties. The variables considered most significant tomortgage banking industry.


Changes in the determination of the fair value of the Company’s mortgage loans include market-implied discount rates, projections of default rates, delinquency rates, reperformance rates, loss severity (considering mortgage insurance) and prepayment rates. The Company uses loan level data and macro-economic inputs to generate loss adjusted cash flowsmarket environment and other information in determiningevents that may occur over the fair valuelife of its mortgage loans. Because ofthese investments may cause the inherent uncertainty of such valuation,gains or losses ultimately realized to be different than the fair values established for mortgage loans held by the Company may differ from the fair values 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 may also engage specialized third party valuation service providers to assess and corroborate the valuation of a selection of investments in the Company’s loan portfolio on a periodic basis. These specialized third party valuation service providers conduct independent valuation analyses based on a review of source documents, available market data, and comparable investments. Thevaluations currently estimated. If applicable, analyses provided by valuation service providers are reviewed and considered by the Manager.

TBA instruments are similar The significant unobservable inputs used 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 managementCompany’s loans and securities are yields, prepayment rates, probability 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, VAdefault, 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 interestloss severity in the loan to an unaffiliated third party.event of default. Significant increases (decreases) in any of those inputs in isolation would result in a significantly lower (higher) fair value measurement. Generally, a change in the assumption used for the probability of default is accompanied by a directionally similar change in the assumption used for the loss severity and a directionally opposite change in the assumption used for prepayment rates. The Company categorizessignificant unobservable input used in the fair value measurement of the commercial loan and consolidated participation interest as Level 3. The commercial loan was paid offCompany’s investment in full asArc Home is the book value multiple. Significant increases (decreases) in February 2017.

21

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 atmultiple applied would result in a significantly higher (lower) 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)

measurement.

The Company did not have any transfers of assets or liabilities between Levels 1 and 2 of the fair value hierarchy during the three and nine months ended September 30, 2017March 31, 2022 and September 30, 2016.

22
2021.

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 

23

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 abovebelow 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. 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.

24


25

AG Mortgage Investment Trust Inc. and Subsidiaries

Notes to Consolidated Financial Statements (unaudited)

September 30, 2017

(Unaudited)

March 31, 2022
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 March 31, 2022 (in thousands)
Residential
Mortgage Loans (1)		Non-Agency
RMBS		Non-Agency
RMBS Interest Only		AG ArcSecuritized
debt		Derivative liabilities
Beginning balance$2,634,191 $15,362 $3,395 $53,435 $(999,215)$(79)
Purchases944,630 — — — — — 
Issuances of Securitized Debt— — — — (1,074,852)— 
Proceeds from settlement(146,388)(78)— — 116,866 — 
Total net gains/(losses) (2)
Included in net income(160,647)(1,368)1,470 686 97,284 79 
Ending Balance$3,271,786 $13,916 $4,865 $54,121 $(1,859,917)$— 
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held as of March 31, 2022 (3)$(161,896)$(1,368)$1,470 $686 $97,284 $— 
(1) Includes Securitized residential mortgage loans.
(2) Gains/(losses) are recorded in the following line items in the consolidated statement of operations:
Net unrealized gain/(loss)$(63,095)
Net realized gain/(loss)(87)
Equity in earnings/(loss) from affiliates686 
Total$(62,496)
(3) Unrealized gains/(losses) are recorded in the following line items in the consolidated statement of operations:
Net unrealized gain/(loss)$(64,510)
Equity in earnings/(loss) from affiliates686 
Total$(63,824)

Three Months Ended March 31, 2021 (in thousands)
Residential
Mortgage Loans (1)		Non-Agency
RMBS		Commercial
Loans		Excess Mortgage
Servicing Rights		AG ArcSecuritized
debt
Beginning balance$433,307 $3,100 $125,508 $3,158 $45,341 $(355,159)
Transfers (2):
Transfers out of level 3— (1,499)— — — — 
Purchases208,060 — 3,669 — — — 
Proceeds from sales of assets— — (74,342)— — — 
Proceeds from settlement(12,294)(32)(195)— — 12,777 
Total net gains/(losses) (3)
Included in net income11,666 72 3,569 (158)6,797 (2,047)
Ending Balance$640,739 $1,641 $58,209 $3,000 $52,138 $(344,429)
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held as of March 31, 2021 (4)$11,761 $72 $738 $(158)$6,797 $(2,047)
(1) Includes Securitized residential mortgage loans.
(2) Transfers are assumed to occur at the beginning of the period. During the three months ended March 31, 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.
(3) Gains/(losses) are recorded in the following line items in the consolidated statement of operations:
Net unrealized gain/(loss)$16,101 
Net realized gain/(loss)(2,999)
Equity in earnings/(loss) from affiliates6,797 
Total$19,899 
(4) Unrealized gains/(losses) are recorded in the following line items in the consolidated statement of operations:
Net unrealized gain/(loss)$10,366 
Equity in earnings/(loss) from affiliates6,797 
Total$17,163 


26

AG Mortgage Investment Trust Inc. and Subsidiaries
Notes to Consolidated Financial Statements (Unaudited)
March 31, 2022
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%)

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


25
Asset ClassFair Value at March 31, 2022
(in thousands)		Valuation TechniqueUnobservable InputRange
(Weighted Average) (1)
Yield4.17% - 13.00% (4.75%)
Securitized residential mortgage loans$2,105,572 Discounted Cash FlowProjected Collateral Prepayments4.02% - 8.64% (7.87%)
Projected Collateral Losses0.07% - 4.35% (0.43%)
Projected Collateral Severities-19.96% - 26.35% (12.28%)
Yield3.93% - 7.50% (4.51%)
Residential mortgage loans$1,162,316 Discounted Cash FlowProjected Collateral Prepayments0.00% - 21.97% (12.81%)
Projected Collateral Losses0.00% - 18.14% (0.26%)
Projected Collateral Severities-15.18% - 10.00% (9.87%)
$3,898 Consensus PricingOffered Quotes91.82 - 112.22 (102.04)
Yield4.83% - 8.68% (6.44%)
Non-Agency RMBS$13,916 Discounted Cash FlowProjected Collateral Prepayments10.59% - 10.59% (10.59%)
Projected Collateral Losses0.24% - 0.24% (0.24%)
Projected Collateral Severities10.00% - 10.00% (10.00%)
Yield10.00% - 12.50% (12.11%)
Non-Agency RMBS Interest Only$4,865 Discounted Cash FlowProjected Collateral Prepayments10.59% - 10.59% (10.59%)
Projected Collateral Losses0.24% - 0.24% (0.24%)
Projected Collateral Severities10.00% - 10.00% (10.00%)
AG Arc$54,121 Comparable MultipleBook Value Multiple1.01x - 1.01x (1.01x)
Liability ClassFair Value at March 31, 2022
(in thousands)		Valuation TechniqueUnobservable InputRange
(Weighted Average) (1)
Yield3.75% - 6.42% (4.16%)
Securitized debt$(1,859,917)Discounted Cash FlowProjected Collateral Prepayments5.80% - 14.26% (8.51%)
Projected Collateral Losses0.07% - 2.41% (0.40%)
Projected Collateral Severities3.73% - 15.00% (12.44%)

(1)Amounts are weighted based on fair value.

27

AG Mortgage Investment Trust Inc. and Subsidiaries

Notes to Consolidated Financial Statements (unaudited)

September 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%)

(1) Represents the proportion of the principal expected to be collected relative to the loan balances as of December(Unaudited)

March 31, 2016.

As further described above, values for the Company’s securities portfolio are based upon prices obtained from 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 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 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 valuations 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.

2022
26
Asset ClassFair Value at December 31, 2021
(in thousands)		Valuation TechniqueUnobservable InputRange
(Weighted Average) (1)
Yield2.26% - 13.00% (3.12%)
Securitized residential mortgage loans$1,158,134 Discounted Cash FlowProjected Collateral Prepayments4.75% - 11.05% (9.51%)
Projected Collateral Losses0.38% - 4.40% (0.83%)
Projected Collateral Severities-18.08% - 29.11% (10.10%)
Yield2.77% - 7.50% (3.37%)
Residential mortgage loans$1,465,523 Discounted Cash FlowProjected Collateral Prepayments0.00% - 25.89% (15.28%)
Projected Collateral Losses0.00% - 15.37% (0.30%)
Projected Collateral Severities-14.86% - 10.00% (9.97%)
$4,405 Consensus PricingBroker Quotes88.57 - 112.89 (102.59)
$6,129 Recent TransactionCostN/A
Yield3.42% - 15.00% (5.32%)
Non-Agency RMBS$15,362 Discounted Cash FlowProjected Collateral Prepayments5.70% - 12.99% (12.63%)
Projected Collateral Losses0.23% - 2.66% (0.35%)
Projected Collateral Severities-43.98% - 10.00% (7.32%)
Yield10.00% - 12.50% (12.10%)
Non-Agency RMBS Interest Only$3,395 Discounted Cash FlowProjected Collateral Prepayments12.99% - 12.99% (12.99%)
Projected Collateral Losses0.23% - 0.23% (0.23%)
Projected Collateral Severities10.00% - 10.00% (10.00%)
AG Arc$53,435 Comparable MultipleBook Value Multiple1.06x - 1.06x (1.06x)
Liability ClassFair Value at December 31, 2021
(in thousands)		Valuation TechniqueUnobservable InputRange
(Weighted Average) (1)
Yield1.56% - 4.49% (2.15%)
Securitized debt$(999,215)Discounted Cash FlowProjected Collateral Prepayments5.86% - 11.05% (9.66%)
Projected Collateral Losses0.38% - 2.93% (0.83%)
Projected Collateral Severities6.36% - 12.89% (10.15%)
Yield3.02% - 3.11% (3.03%)
Derivative liabilities$(79)Discounted Cash FlowProjected Collateral Prepayments14.08% - 15.14% (14.23%)
Projected Collateral Losses0.15% - 0.20% (0.15%)
Projected Collateral Severities10.00% - 10.00% (10.00%)
Pull Through Percentages90.00% - 95.00% (90.69%)

(1)Amounts are weighted based on fair value.


28

AG Mortgage Investment Trust Inc. and Subsidiaries

Notes to Consolidated Financial Statements (unaudited)

September 30, 2017

(Unaudited)

March 31, 2022
6. Repurchase agreements

Financing arrangements


The following table presents a summary of the Company's financing arrangements as of March 31, 2022 and December 31, 2021 ($ in thousands).
March 31, 2022December 31, 2021
Weighted AverageCollateral (1)(2)
Repurchase AgreementsCarrying ValueStated MaturityFunding CostLife (Years)Amortized Cost BasisFair ValueCarrying Value
Securitized residential mortgage loans (3)$125,533 Apr 2022 to June 20221.94 %0.10$207,014 $208,312 $71,308 
Residential mortgage loans (4)(5)1,035,248 July 2022 to Mar 20232.21 %0.831,193,987 1,160,870 1,286,287 
Agency RMBS (6)240,653 Apr 20220.39 %0.03268,540 247,462 409,935 
Non-Agency RMBS10,059 Apr 20221.87 %0.0417,967 18,196 10,213 
Total Financing Arrangements$1,411,493 1.87 %0.62$1,687,508 $1,634,840 $1,777,743 
(1)The Company pledges certain real estate securitiesalso had $5.4 million and loans as collateral$5.0 million of cash pledged under repurchase agreements with financial institutions, the termsas of March 31, 2022 and conditions 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, typically 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. December 31, 2021, respectively.
(2)Under the terms of the Company’s master repurchasefinancing agreements, the Company's financing counterparties may, in certain cases, sell or re-hypothecate the pledged collateral.

(3)Amounts pledged as collateral under Securitized residential mortgage loans include certain of the Company's retained interests in securitizations. Refer to Note 3 for more information on the Residential Mortgage Loan VIEs.
(4)The Company's Residential mortgage loan financing arrangements include a maximum uncommitted borrowing capacity of $2.3 billion on facilities used to finance Non-Agency and Agency-Eligible Loans.
(5)The funding cost includes deferred financing costs. The weighted average stated rate on the Residential mortgage loans repurchase agreements was 2.14% as of March 31, 2022.
(6)As of March 31, 2022, financing arrangements on Agency RMBS included $66.4 million of repurchase agreements on unsettled sales that subsequently settled in April 2022.

The following table presents certain financialcontractual maturity information regardingabout the Company’s repurchase agreements secured by real estate securitiesCompany's borrowings under financing arrangements as of September 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 

March 31, 2022 ($ in thousands).

Repurchase AgreementsWithin 30 DaysOver 30 Days to 3 MonthsOver 3 Months to 12 MonthsTotal
Securitized residential mortgage loans$79,123 $46,410 $— $125,533 
Residential mortgage loans— — 1,035,248 1,035,248 
Agency RMBS240,653 — — 240,653 
Non-Agency RMBS10,059 — — 10,059 
Total Financing Arrangements$329,835 $46,410 $1,035,248 $1,411,493 

Counterparties

The following table presents certain financial information regarding the Company’s repurchase agreements secured by real estate securitiesCompany had exposure to 5 counterparties as of DecemberMarch 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 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 

27

AG Mortgage Investment Trust Inc. and Subsidiaries

Notes to Consolidated Financial Statements (unaudited)

September 30, 2017

The following table presents certain financial information regarding the Company’s repurchase agreements secured by interests in commercial 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 $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, 20172022 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 

2021.


The following table presentstables present information with respect to the Company’s total borrowings under repurchase agreements on September 30, 2017as of March 31, 2022 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  $-  $- 

28

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, 20172021 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.

29


AG Mortgage Investment Trust Inc. and Subsidiaries

Notes to Consolidated

March 31, 2022December 31, 2021
CounterpartyStockholders' Equity
at Risk		Weighted Average
Maturity (days)		Percentage of
Stockholders' Equity		Stockholders' Equity
at Risk		Weighted Average
Maturity (days)		Percentage of
Stockholders' Equity
Credit Suisse AG, Cayman Islands Branch$116,031 30721.2 %$129,526 10122.7 %
Barclays Capital Inc.70,032 25312.8 %89,230 2315.6 %
BofA Securities, Inc.34,279 1706.3 %33,153 3175.8 %

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 MRAsfinancing 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 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. The Company may also utilize other instruments to manage interest rate risk, including long and short positions in U.S. Treasury securities.

The Company exchanges cash “variation margin” with the counterparties to its 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.triggers. 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 in the “Restricted cash” line item in the consolidated balance sheets. Prior 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 recognized 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 settlementsome 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 associatedfinancing arrangements contain cross default features, whereby default under an agreement 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.

30
one

29


AG Mortgage Investment Trust Inc. and Subsidiaries

Notes to Consolidated Financial Statements (unaudited)

September 30, 2017

(Unaudited)

March 31, 2022
lender simultaneously causes default under agreements with other lenders. To the extent that the Company fails to comply with the covenants contained in these financing arrangements or is otherwise found to be in default under the terms of such agreements, the counterparty has the right to accelerate amounts due under the associated agreement. Financings pursuant to repurchase agreements and revolving facilities are generally recourse to the Company. As of March 31, 2022, the Company is in compliance with all of its financial covenants.

7. Other assets and liabilities

The following table details certain information related to the Company's "Other assets" and "Other liabilities" line items on its consolidated balance sheet as of March 31, 2022 and December 31, 2021 (in thousands).
March 31, 2022December 31, 2021
Other assets
Interest receivable$15,523 $14,263 
Derivative assets, at fair value8,171 231 
Other assets3,825 4,519 
Due from broker1,755 1,887 
Total Other assets$29,274 $20,900 
Other liabilities
Due to affiliates (1)$4,051 $4,106 
Interest payable5,292 2,925 
Derivative liabilities, at fair value3,313 92 
Purchase price payable on Agency-Eligible Loans (2)— 87 
Accrued expenses2,216 2,169 
Due to broker2 990 
Total Other liabilities$14,874 $10,369 
(1)Refer to Note 10 for more information.
(2)Represents the portion of the purchase price on Agency-Eligible Loans that had not yet settled as of December 31, 2021.

Derivatives

The following table presents the fair value of the Company’s derivativeCompany's derivatives and other instruments and their balance sheet location at September 30, 2017as of March 31, 2022 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)

2021 (in thousands).

Derivatives and Other Instruments (1)Balance Sheet 
Location		March 31, 2022December 31, 2021
Pay Fix/Receive Float Interest Rate Swap Agreements (2)Other assets$1,438 $231 
Long TBAsOther liabilities(211)— 
Short TBAsOther assets6,733 — 
Short TBAsOther liabilities(3,102)(13)
Forward Purchase CommitmentsOther liabilities— (79)
(1) The Company’s obligation to return securities borrowed under reverse repurchase agreements asAs of March 31, 2022 and December 31, 2016 relates to securities borrowed to cover short sales2021, all derivatives held by the Company are not designated as hedges.
(2)As of U.S. Treasury securities. The changeMarch 31, 2022, the Company applied a reduction in fair value of $63.6 million to its interest rate swap assets related to variation margin with a corresponding increase in restricted cash, net of collateral posted by the borrowed securities is recordedCompany's derivative counterparties. As of December 31, 2021, the Company applied a reduction in the “Unrealized gain/(loss) on derivativesfair value of $19.6 million and other instruments, net” line item$0.9 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.

30

AG Mortgage Investment Trust Inc. and Subsidiaries
Notes to Consolidated Financial Statements (Unaudited)
March 31, 2022
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 CurrencyMarch 31, 2022December 31, 2021
Pay Fix/Receive Float Interest Rate Swap Agreements (1)USD$1,419,000 $888,500 
Long TBAsUSD150,000 — 
Short TBAsUSD— 385,963 
Forward Purchase CommitmentsUSD— 25,292 
(1) Each Eurodollar Future contract embodies $1.0 millionAs of notional value.

(2) Each U.S. Treasury Future contract embodies $100,000March 31, 2022, the Company's pay fix/receive float interest rate swaps had a weighted average pay-fixed rate of notional value.

The following table summarizes gains/(losses) related1.27%, a weighted average receive-variable rate of 0.30%, and a weighted average years to derivativesmaturity of 5.33 years. As of December 31, 2021, the Company's pay fix/receive float interest rate swaps had a weighted average pay-fixed rate of 0.85%, a weighted average receive-variable rate of 0.15%, 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 salesa weighted average years to maturity 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.

31
5.51 years.


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 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 informationMarch 31, 2022 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).

2021, if applicable. The Company has not offset or netted any derivatives or other instruments with any financial instruments or cash collateral posted or received.

The Company must post cash or securities as collateral on its derivative instruments when their fair value declines. This typically occurs when prevailing market rates change adversely, with the severity of the change also dependent on the term of the derivatives involved. The posting of collateral is generally bilateral, meaning that if the fair value of the Company’s derivatives increases, its counterparty will post collateral to it. On September 30, 2017,As of March 31, 2022, the Company's restricted cash balance included $38.8 million of collateral related to certain derivatives, of which $5.4 million represents cash collateral posted by the Company pledged real estate securities with a fair valueand $33.4 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, 2016,2021, the Company's restricted cash balance included $25.7 million of collateral related to certain derivatives, of which $7.0 million represents cash collateral posted by the Company pledged real estate securities with a fair value of $7.1and $18.7 million represents amounts related to variation margin.

The following table summarizes gains/(losses) related to derivatives and cash of $9.4 million as collateral against certain derivatives. The Company’s counterparties posted cash of $0.9 million to it as collateral for certain derivatives.

Interest rate swaps

To help mitigate exposure to increases in short-term interest rates, the Company uses 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 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.

32
other instruments (in thousands).

Three Months Ended
March 31, 2022March 31, 2021
Included within Net unrealized gain/(loss)
Interest Rate Swaps$46,404 $28,420 
Long TBAs(211)— 
Short TBAs3,645 — 
Forward Purchase Commitments79 — 
British Pound Futures— 64 
49,917 28,484 
Included within Net realized gain/(loss)
Interest Rate Swaps15,707 — 
Short TBAs9,946 — 
British Pound Futures— (165)
25,653 (165)
Total income/(loss)$75,570 $28,319 


31

AG Mortgage Investment Trust Inc. and Subsidiaries

Notes to Consolidated Financial Statements (unaudited)

September 30, 2017

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

As of December(Unaudited)

March 31, 2016, the Company’s interest rate swap positions consist 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 

2022

TBAs

As discussed in Note 2, the Company has entered into TBAs.

The following table presents information about the Company’s TBAs for the three and nine months ended September 30, 2017 and September 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)

33
March 31, 2022 (in thousands). The Company did not hold any TBA positions during the three months ended March 31, 2021.  

Beginning
Notional
Amount
Buys or CoversSales or Shorts
Ending Net Notional
Amount
Net Fair Value as of
Period End
Net Receivable/(Payable)
from/to Broker
Derivative
Asset
Derivative
Liability
Long TBAs$— $150,000 $— $150,000 $150,270 $(150,481)$— $(211)
Short TBAs(385,963)1,320,852 (934,889)— — 3,631 6,733 (3,102)

AG Mortgage Investment Trust Inc. and Subsidiaries

Notes to Consolidated Financial Statements (unaudited)

September 30, 2017



8. Earnings per share

Basic earnings


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 (“EPS”) is calculated by dividing net income/(loss) availableamounts and common shares outstanding for all periods presented in the unaudited consolidated financial statements have been adjusted on a retroactive basis to common stockholders for the period by the weighted- average shares ofreflect the Company’s commonone-for-three reverse stock outstandingsplit. Refer to Note 2 and Note 11 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 unvested 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 and September 30, 2016, the Company’s outstanding warrants and unvested restricted stock units 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 effect would be anti-dilutive.

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 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.

additional information.


The following table presents a reconciliation of the earnings and shares used in calculating basic and diluted EPSearnings per share for the three and nine months ended September 30, 2017March 31, 2022 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 

2021 (in thousands, except per share data).


Three Months Ended
March 31, 2022March 31, 2021
Numerator:  
Net Income/(Loss)$(13,202)$43,249 
Gain on Exchange Offers, net (Note 11)— 358 
Dividends on preferred stock(4,586)(4,924)
Net income/(loss) available to common stockholders$(17,788)$38,683 
Denominator:
Basic weighted average common shares outstanding23,915 14,116 
Diluted weighted average common shares outstanding23,915 14,116 
Earnings/(Loss) Per Share of Common Stock
Basic$(0.74)$2.74 
Diluted$(0.74)$2.74 

Dividends

The following tables detail ourthe Company's common stock dividends fordeclared during the ninethree months ended September 30, 2017,March 31, 2022 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 

2021.

34
2022
Declaration DateRecord DatePayment DateCash Dividend Per Share
3/18/20223/31/20224/29/2022$0.21 
2021
Declaration DateRecord DatePayment DateCash Dividend Per Share
3/22/20214/1/20214/30/2021$0.18 


32

AG Mortgage Investment Trust Inc. and Subsidiaries

Notes to Consolidated Financial Statements (unaudited)

September 30, 2017

(Unaudited)

March 31, 2022
The following tables detail ourthe Company's preferred stock dividends declared and paid during the ninethree months ended September 30, 2017,March 31, 2022 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 

2021.


2022  Cash Dividend Per Share
Declaration DateRecord DatePayment Date8.25% Series A8.00% Series B8.000% Series C
2/18/20222/28/20223/17/2022$0.51563 $0.50 $0.50 
2021  Cash Dividend Per Share
Declaration DateRecord DatePayment Date8.25% Series A8.00% Series B8.000% Series C
2/16/20212/26/20213/17/2021$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 months ended March 31, 2022 and 2021, the Company did not record any excise tax expense.

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

The Company electedexaminations 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.

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.

Company.

Based on the Company’sits analysis of any potential uncertain income tax positions, the Company concluded it did not have any uncertain tax positions that meet the recognition or measurement criteria of ASC 740 as of September 30, 2017 or DecemberMarch 31, 2016.2022. 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.

35


AG Mortgage Investment Trust Inc. and Subsidiaries

Notes to Consolidated Financial Statements (unaudited)

September 30, 2017

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 agreement.

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
33

AG Mortgage Investment Trust Inc. and Subsidiaries
Notes to Consolidated Financial Statements (Unaudited)
March 31, 2022
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 months ended September 30, 2017,March 31, 2022 and 2021, the Company incurred management fees of approximately $2.5$2.0 million and $7.4$1.7 million, respectively. For the threeAs of March 31, 2022 and nine months ended September 30, 2016,December 31, 2021, the Company incurredrecorded management fees payable of approximately $2.4$2.0 million and $7.3$1.8 million, respectively.


Incentive fee

In connection with the common stock offering in November 2021, including the Manager's purchase of 700,000 shares in the offering, on November 22, 2021, the Company and the Manager executed an amendment (the "Third Management Agreement Amendment") to the management agreement, pursuant to which the Company will pay the Manager an annual incentive fee in addition to the base management fee. Pursuant to the Third Amendment, the Manager waived the annual incentive fee with respect to the fiscal years ending December 31, 2021 and December 31, 2022, and the annual incentive fee will first be payable with respect to the fiscal year ending December 31, 2023.

The annual incentive fee with respect to each applicable fiscal year will be equal to 15% of the amount by which the Company's cumulative adjusted net income from the date of the Third Amendment exceeds the cumulative hurdle amount, which represents an 8% return (cumulative, but not compounding) on an equity hurdle base consisting of the sum of (i) the Company's adjusted book value (calculated in the manner described in the Company's public filings) as of October 31, 2021, (ii) $80.0 million, and (iii) the gross proceeds of any subsequent public or private common stock offerings by the Company. The annual incentive fee will be payable in cash, or, at the option of the Company's Board of Directors, shares of common stock or a combination of cash and shares.

In addition, pursuant to the Third Amendment, the term of the management agreement was extended until June 30, 2023, unless earlier terminated in accordance with its terms. Thereafter, the management agreement will continue to renew automatically each year for an additional one-year period, unless the Company or the Manager exercise its respective termination rights. All other terms and conditions of the management agreement continued without change.

Termination fee

The termination fee, payable upon

Upon the occurrence of (i) the Company’s termination of the management agreement without cause or (ii) the Manager’s termination of the management agreement upon a breach by the Company of any material term of the management agreement, the Manager will be entitled to a termination fee equal to three times the average annual management fee during the 24-month period prior to such termination, calculated as of the end of the most recently completed fiscal quarter. As of September 30, 2017March 31, 2022 and December 31, 2016,2021, no event of termination of the management agreement had occurred.

Expense reimbursement

The Company is required to reimburse the Manager or its affiliates for operating expenses which are incurred by the Manager or its affiliates on behalf of the Company, including expenses relating to legal, accounting, due diligence and other services. The Company’s reimbursement obligation is not subject to any dollar limitation; however, the reimbursement is subject to an annual budget process which combines guidelines from the Management Agreementmanagement agreement with oversight by the Company’s boardBoard 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 million and $8.2 million of Other operating expenses for

For the three and nine months ended September 30, 2017, respectively,March 31, 2022 and 2021, the Company has accrued $1.4incurred $2.5 million and $4.8$1.5 million, respectively, representing a reimbursement of expenses. Ofexpenses which are recorded within the $2.9 million"Other operating expenses" and $8.6 million of Other operating expenses for the three and nine months ended September 30, 2016, respectively, the Company has accrued $1.8 million and $5.3 million, respectively, representing a reimbursement of expenses.

36
"Transaction related

34


AG Mortgage Investment Trust Inc. and Subsidiaries

Notes to Consolidated Financial Statements (unaudited)

September 30, 2017

(Unaudited)

March 31, 2022
expenses" line items on the consolidated statements of operations. As of March 31, 2022 and December 31, 2021, the Company recorded a reimbursement payable to the Manager of $1.9 million and $2.1 million, respectively.

For the year ended December 31, 2021, the Manager agreed to waive its right to receive expense reimbursements of $0.8 million. For the three months ended March 31, 2021, the Company reduced its expense reimbursement amount by $0.2 million.
Restricted stock grants

Pursuant to

Equity Incentive Plans

Effective on April 15, 2020 upon the Company’s Managerapproval 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 277,500provides 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 formvalue of restricted stock, stock options, restricted stock units or other types ofany 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 30, 2017, 65,238March 31, 2022, 591,532 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.

2020 Equity Incentive Plan.

As of September 30, 2017,March 31, 2022, the Company has granted an aggregate of 52,01275,134 shares of restricted common stock to its independent directors under its 2020 Equity Incentive Plan, all of which have vested.

Manager Equity Incentive Plans

Following approval of the Company's stockholders at its 2021 annual meeting of stockholders, the AG Mortgage Investment Trust, Inc. 2021 Manager Equity Incentive Plan (the "2021 Manager Plan") became effective on April 7, 2021 and 160,250provides for a maximum of 573,425 shares of restricted common stock that may be subject to its Manager under its equity incentive plans.awards thereunder to the Manager. As of September 30, 2017, 52,012 and 100,250March 31, 2022, there were no shares of restricted common stock granted toor awards issued under the Company’s independent directors and2021 Manager respectively, have vested.

On July 1, 2014, the Company granted 60,000 restricted stock units to the Manager that represent the right to receive an equivalent number of shares of the Company’s common stock to be issued if and when such units vest. Annual vesting of approximately 20,000 units occurred on each of July 1, 2015, July 1, 2016, and July 1, 2017.

On July 1, 2017, the Company granted 60,000 restricted stock units to the 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 of July 1, 2018, July 1, 2019, and July 1, 2020. The units do not entitle the participant the rights of a holder of the Company’s common stock, such as dividend and voting rights, until shares are issued in settlement of 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 Manager or the Manager’s transferee shall be immediately cancelled and forfeited without consideration.

Plan.


Director compensation


The Company pays a $120,000 annual base director’sdirector's fee tofor each independent director. Base director’s fees are paid 50%director is $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 histheir service as an independent member of the Company’s board.

As of March 31, 2022, the Company's Board of Directors consisted of 4 independent directors.

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. As of September 30, 2017
35

AG Mortgage Investment Trust Inc. and DecemberSubsidiaries
Notes to Consolidated Financial Statements (Unaudited)
March 31, 2016,2022

The below table reconciles the Company’s share of these investments had a fair market value of $79.8 million and $69.0 million, respectively.

The Company’s investment in AG Arc is reflected oninvestments to the “Investments"Investments in debt and equity of affiliates”affiliates" line item on itsthe Company's consolidated balance sheets as of March 31, 2022 and December 31, 2021 (in thousands).

March 31, 2022December 31, 2021
AssetsLiabilitiesEquityAssetsLiabilitiesEquity
MATT Non-QM Loans$41,270 $(28,086)$13,184 $45,837 $(30,471)$15,366 
Land Related Financing13,569 — 13,569 16,891 — 16,891 
Re/Non-Performing Loans8,045 (5,408)2,637 9,298 (5,538)3,760 
Total Residential Investments62,884 (33,494)29,390 72,026 (36,009)36,017 
AG Arc, at fair value54,121 — 54,121 53,435 — 53,435 
Cash and Other assets/(liabilities)4,340 (765)3,575 3,698 (1,127)2,571 
Investments in debt and equity of affiliates$121,345 $(34,259)$87,086 $129,159 $(37,136)$92,023 

The below table reconciles the net income/(loss) to the "Equity in earnings/(loss) from affiliates" line item on the Company's consolidated statements of operations for the three months ended March 31, 2022 and 2021 (in thousands).
Three Months Ended
March 31, 2022March 31, 2021
MATT Non-QM Loans$(889)$14,646 
Land Related Financing502 710 
Re/Non-Performing Loans3 4,623 
AG Arc (1)(1,670)6,340 
Other— 17 
Equity in earnings/(loss) from affiliates$(2,054)$26,336 
(1)The earnings/(loss) at aAG Arc during the three months ended March 31, 2022 were primarily the result of $3.1 million related to changes in the fair value of $17.8the MSR portfolio held by Arc Home, offset by $(2.4) million of losses related to Arc Home's lending and servicing operations. Earnings/(loss) recognized by AG Arc do not include the Company's portion of gains recorded by Arc Home in connection with the sale of residential mortgage loans to the Company. For the three months ended March 31, 2022 and 2021, we eliminated $2.4 million and $12.9$0.5 million of intra-entity profits recognized by Arc Home, respectively, and also decreased the cost basis of the underlying loans the Company purchased by the same amount, respectively. Refer to Note 2 for more information on September 30, 2017this accounting policy.

Transactions with affiliates
Transactions with Red Creek Asset Management LLC

In connection with the Company’s investments in residential mortgage loans, the Company engages asset managers to provide advisory, consultation, asset management and other services. The Company engaged Red Creek Asset Management LLC ("Asset Manager"), a related party of the Manager and direct subsidiary of Angelo Gordon, as the asset manager for certain of its residential mortgage loans. The Company pays the Asset Manager separate arm’s-length asset management fees as assessed periodically by a third-party valuation firm. The fees paid by the Company to the Asset Manager totaled $0.6 million for the three months ended March 31, 2022 and 2021. As of March 31, 2022 and December 31, 2016,2021, the Company recorded asset management fees payable of $0.2 million and $0.2 million, respectively. On

36

AG Mortgage Investment Trust Inc. and Subsidiaries
Notes to Consolidated Financial Statements (Unaudited)
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 2016,31, 2022

Transactions with 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.


Arc Home may sell loans to the Company, to third parties,third-parties, or to affiliates of the Manager. The below table details the unpaid principal balance of Non-Agency Loans and Agency-Eligible Loans sold to the Company and a private fund under the management of Angelo Gordon during the three months ended March 31, 2022 and 2021 (in thousands).
Three Months Ended
March 31, 2022March 31, 2021
Residential mortgage loans sold to the Company$377,832 $57,665 
Residential mortgage loans sold to private funds under the management of Angelo Gordon125,702 76,829 

Arc Home may also enter into agreements with third partiesthird-parties or affiliates of the Manager to sell rights to receive the excess servicing spread related to MSRs that it either purchases from third partiesthird-parties or originates. In March of 2017, theThe Company, directly or through its subsidiaries, previously entered into an agreementagreements with Arc Home to purchase rights to receive the excess servicing spread related to certain of itsArc Home's MSRs, andall of which were sold during 2021 as of September 30, 2017, these Excess MSRs had fair value of approximately $2.6 million.

detailed below.


In August 2017,July 2021, the Company, alongside private funds under the management of Angelo Gordon, entered into MATH’s Limited Liability Company Agreement (the “MATH LLC Agreement”), which requires that MATH fundsold its remaining Agency Excess MSRs to Arc Home for total proceeds of $9.9 million. The portfolio had a capital commitmenttotal unpaid principal balance of $75.0 million to MATT.$2.0 billion. The Company’sCompany's share of MATH’sthe total capital commitmentproceeds was $2.7 million, representing its approximate 45% ownership interest. Arc Home subsequently sold its MSR portfolio to MATT is $33.4 million. As of September 30, 2017,a third party.

Securitization Transactions

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.

In November 2021, the Company, alongside a private fund under the management of Angelo Gordon, participated in a rated Non-QM Loan securitization, in which Non-QM Loans with a fair value of $225.9 million were securitized. Upon evaluating its investment in the VIE, the Company determined it was not funded anythe primary beneficiary and, as a result, did not consolidate the securitization trust. In addition, the Company determined the sale of the residential mortgage loans into the securitization qualified for sale accounting and derecognized the loans from its commitmentconsolidated balance sheets. Certain senior tranches in the securitization were sold to MATH.

37
third-parties with the Company and the private fund under the management of Angelo Gordon retaining the subordinate tranches, which had a fair value of $44.0 million as of December 31, 2021. The Company has a 40.9% interest in the retained subordinate tranches which represents its continuing involvement in the securitization trust. These retained subordinate tranches are included within the "Real estate securities, at fair value" line item on its consolidated balance sheets.


37

AG Mortgage Investment Trust Inc. and Subsidiaries

Notes to Consolidated Financial Statements (unaudited)

September 30, 2017

(Unaudited)

March 31, 2022
Transactions with affiliates

In May 2015,under the Company's Affiliated Transaction Policy


The below table details transactions where the Company completed an arm’s-length securitization with other investors managed bypurchased or sold assets from or to an affiliate of the Manager, (the “Related Parties”) by combining the assets of a prior private securitization,respectively ($ in which the Company held a 10.0% ownership interest, with the assets of another private securitization held entirely by the Related Parties.millions). 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 securitizationtransactions 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 an affiliate (or affiliates) of the Manager (“Securitized Whole Loans”), the Company 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, the Company engaged Red Creek Asset Management LLC (“Asset 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 Loans. The Asset Manager acknowledges that the Company 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. The Company pays separate arm’s-length asset management fees as assessed and confirmed by a third party valuation firm for (i) non-performing loans and (ii) reperforming loans. For the three and nine months ended September 30, 2017, the fees paid by the Company 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 the Company to the Asset Manager, inclusive of fees paid through affiliated entities, totaled $67,189 and $202,715, respectively.

In connection with 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. For the three and nine months ended September 30, 2017, the sourcing fees paid by the Company to Arc Home totaled $2,921 and $6,364, respectively. No sourcing fees were paid by the Company to Arc Home for the three or nine months ended September 30, 2016.

In June 2016,executed in accordance with the Company’sCompany's Affiliated Transactions Policy, the Company executed two trades whereby the Company acquired real estate securities from two separate affiliates of the Manager (the “June Selling Affiliates”). Transaction Policy.


DateTransactionFair value (1)Pricing methodology
March 2021Sale of real estate securities$6.9 Competitive bidding process (2)
April 2021Sale of real estate securities16.8 Third party pricing vendors (3)
July 2021Sale of real estate securities17.6 Competitive bidding process (2)
October 2021Purchase of real estate securities (4)3.5 Third party pricing vendors (3)
November 2021Purchase of residential mortgage loans (5)181.8 Third party pricing vendors (3)
(1)As of the date of the trades,transaction date.
(2)The affiliate submitted an offer to purchase the securities acquired from the June Selling Affiliates hadCompany in 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, the Company submitted its bid for the real estate securities to the June Selling Affiliates. The Company’s pre-submission of its bidcompetitive bidding process, which allowed the Company to confirm third-party market pricing and best execution.

In February 2017,

(3)Pricing was based on valuations prepared by third-party pricing vendors in accordance with the Company's policy.
(4)The Company purchased the real estate securities through one of its unconsolidated affiliated entities.
(5)MATT exercised its call rights on 2 securitization trusts in which it held interests in the subordinate tranches. Upon exercising its call rights and acquiring the remaining residential mortgage loans within the trusts, MATT sold the loans to the Company and a private fund under the management of Angelo Gordon in accordance with the Company’s Affiliated Transactions Policy, the Company executed one trade whereby the Company acquired a real estate security from a separate affiliate of the Manager (the “February Selling Affiliate”).Policy. As of the date of the trade,transaction, the security acquired fromresidential mortgage loans sold to the February Selling Affiliateprivate fund had a total fair value of $2.0$183.6 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,

11. Equity

Reverse stock split

On July 12, 2021, the Company submittedannounced that its bid for the real estate security to the February Selling Affiliate. The Company’s pre-submissionBoard of Directors approved a one-for-three reverse stock split of its bid allowed the Company to confirm third-party market pricing and best execution.

In July 2017, in accordance with the Company’s Affiliated Transactions Policy, the Company 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 allowed the Company to confirm third-party market pricing and best execution.

38

AG Mortgage Investment Trust Inc. and Subsidiaries

Notes to Consolidated Financial Statements (unaudited)

September 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 shareoutstanding shares of common stock. Each private placement warrant had an exercise priceThe reverse stock split was effected following the close of $20.50 per share (as adjusted for reorganizations, reclassifications, consolidations, mergers, sales, transfers or other dispositions) and is set to expirebusiness on July 6, 2018. No warrants were exercised for22, 2021. At the Effective Time, every three issued and nine months ended September 30, 2017 and September 30, 2016.

The Company’s Series A and Series B Preferred 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 tooutstanding shares of the Company’s common stock. Holdersstock were converted into one share of the Company’s Series A and Series B Preferred Stock have no voting rights, except under limited conditions, and holders arecommon stock. No fractional shares were issued in connection with the reverse stock split. Instead, each stockholder holding fractional shares was entitled to receive, cumulativein lieu of such fractional shares, cash dividends at a rate of 8.25% and 8.00% per annumin an amount determined based on the Series A and Series B Preferred Stock, respectively,closing price of the $25.00Company'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. All per share liquidation preference before holders ofamounts and common shares outstanding for all periods presented in the commonunaudited consolidated financial statements have been adjusted on a retroactive basis to reflect the Company's one-for-three reverse stock are entitled to receive any dividends. Shares of the Company’s Series A and Series B Preferred split.


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 boardBoard of directorsDirectors authorized a stock repurchase program (“("Repurchase Program”Program") to repurchase up to $25.0 million of itsthe 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. No shares were repurchased under the Repurchase Program during the ninethree months ended September 30, 2017March 31, 2022 and approximately $14.62021. Approximately $11.0 million of common stock remained authorized for future share repurchases under the Repurchase Program.

The following table presents a summaryProgram as of our common stock repurchases under the Repurchase Program for the nine months ended September 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.

39
March 31, 2022.


38

AG Mortgage Investment Trust Inc. and Subsidiaries

Notes to Consolidated Financial Statements (unaudited)

September 30, 2017

(Unaudited)

March 31, 2022
On February 22, 2021, the Company's Board of Directors authorized a stock repurchase program (the "Preferred Repurchase Program") pursuant to which the Company's Board of Directors granted a repurchase authorization to acquire shares of its Series A Preferred Stock, Series B Preferred Stock, and Series C Preferred Stock having an aggregate value of up to $20.0 million. No share repurchases under the Preferred Repurchase Program have been made since its authorization.

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. AsFor the three months ended March 31, 2022, the Company did not issue any shares of September 30, 2017,common stock under the Equity Distribution Agreements. For the three months ended March 31, 2021, the Company sold 460,9320.7 million shares of common stock under the Equity Distribution Agreements for net proceeds of approximately $8.7$10.0 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.

Common stock offering

On November 22, 2021, the Company completed a public offering of 7.0 million shares of its common stock and subsequently issued an additional 1.1 million shares pursuant to the underwriters' exercise of their over-allotment option at a price of $9.98 per share. Net proceeds to the Company from the offering were approximately $80.0 million, after deducting offering expenses.

Preferred stock

The Company is authorized to designate and issue up to 50.0 million shares of preferred stock, par value $0.01 per share, in one or more classes or series. As of March 31, 2022 and December 31, 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.

The following table includes a summary of preferred stock issued and outstanding as of March 31, 2022 ($ and shares in thousands).
Preferred Stock SeriesIssuance DateShares OutstandingCarrying ValueAggregate Liquidation Preference (1)Optional Redemption
Date (2)		Rate (3)(4)
Series A Preferred StockAugust 3, 20121,663 $40,110 $41,580 August 3, 20178.25 %
Series B Preferred StockSeptember 27, 20123,728 90,187 93,191 September 17, 20178.00 %
Series C Preferred StockSeptember 17, 20193,729 90,175 93,220 September 17, 20248.000 %
Total9,120 $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 (or as replaced by the existing LIBOR cessation fallback language) 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.
39

AG Mortgage Investment Trust Inc. and Subsidiaries
Notes to Consolidated Financial Statements (Unaudited)
March 31, 2022

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.
Exchange offers

The below details privately negotiated exchange agreements with existing holders of the Company's preferred shares exchanged for common shares during 2021. The Company did not complete any exchange offers during the three months ended March 31, 2022. Subsequent to each transaction, the Preferred Stock exchanged pursuant to the exchange agreement was reclassified as authorized but unissued shares of preferred stock without designation as to class or series ($ in thousands).
Preferred Shares Exchanged
DateShares of Series A Preferred StockShares of Series B Preferred StockShares of Series C Preferred StockTotal Preferred Stock Par ValueCommon Shares Exchanged
March 17, 2021153,325 350,609 — $12,598 937,462 
June 14, 2021— 86,478 154,383 6,022 429,802 

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.

On December 9, 2015, As of March 31, 2022, the Company alongside private funds underwas not involved in any material legal proceedings.


The below table details the managementCompany's outstanding commitments as of Angelo, Gordon, through AG Arc, entered into Arc Home’s LLC AgreementMarch 31, 2022 (in thousands).
Commitment typeDate of CommitmentTotal CommitmentFunded CommitmentRemaining Commitment
Land Related Financing (1)Various$17,640 $13,569 $4,071 
MATT Non-QM Loans (1)January 28, 202215,607 — 15,607 
Total$33,247 $13,569 $19,678 
(1)Refer to Note 2 and agreedNote 10 "Investments in debt and equity of affiliates" for more information regarding LOTS and MATH.

13. Subsequent Events

The Company executed a rated Agency-Eligible securitization, in which loans with a fair value of $398.7 million were securitized. The securitization converted financing from recourse financing with mark-to-market margin calls to fund an initial capital commitmentnon-recourse financing without mark-to-market margin calls.

The Company announced that on May 2, 2022 its Board of $30.0 million. On April 25, 2017, the Company, alongside private funds under the management of Angelo, Gordon, agreed to fund an additional capital commitment to Arc HomeDirectors declared second quarter 2022 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 June 17, 2022 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.

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.

40
record on May 31, 2022.


ITEM2.MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS.

40


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.

2021, 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 limitedwithout limitation:

•the uncertainty and economic impact of the COVID-19 pandemic (including the impact 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 availabilityloans 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;
•our ability to enter into securitization transactions on the terms and pace anticipated or at all;
•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 and Agency RMBS, Non-Agency RMBS, ABS and CMBS securities and loans, and RMBS;
•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 (the "Investment Company Act").

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, 20162021 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.


41


Executive Summary

During the first quarter of 2022, we continued to grow our portfolio of newly-originated residential mortgage loans and increase our pace of securitization activity in order to obtain long-term, non-recourse financing without mark-to-market margin calls. We also reduced our exposure to Agency RMBS and ended the quarter with $137.9 million of liquidity to provide for continued growth and execution of our business strategy. Total liquidity consisted of $50.5 million of cash, $48.5 million of unencumbered Agency RMBS that we held as of quarter end, and $38.9 million of unencumbered Agency RMBS which we sold during March 2022, but which settled in April 2022. See below for detail on these activities during the first quarter 2022.

Investment Activity

•Purchased Non-Agency Loans with a fair value of $604.6 million, $329.2 million of which were purchased from Arc Home, our residential mortgage loan originator in which we own an approximate 44.6% interest; and
•Purchased Agency-Eligible Loans with a fair value of $343.3 million, $57.3 million of which were purchased from Arc Home.

Financing Activity

•Executed three rated securitizations converting financing from recourse financing with mark-to-market margin calls to non-recourse financing without mark-to-market margin calls;
◦Securitized Non-Agency Loans with a total unpaid principal balance of $681.8 million;
◦Securitized Agency-Eligible Loans with a total unpaid principal balance of $464.3 million; and
•Subsequent to quarter end, executed our second rated securitization of Agency-Eligible Loans, in which loans with an unpaid principal balance of $425.5 million were securitized.

Our company

We are a Maryland corporation focusedresidential mortgage REIT with a focus on investing in acquiring and managing a diversified risk-adjusted portfolio of residential mortgage-related assets in the U.S. mortgage market. Our objective is to provide attractive risk-adjusted returns to our stockholders over the long-term, primarily through dividends and capital appreciation.

We focus our investment activities primarily on acquiring and securitizing newly-originated residential mortgage loans within the growing non-agency segment of the housing market. We obtain our assets through Arc Home, LLC ("Arc Home"), our residential mortgage loan originator in which we own an approximate 44.6% interest, and through other real estate-related securitiesthird-party origination partners. We finance our acquired loans through various financing lines on a short-term basis and financial assets,utilize Angelo, Gordon & Co., L.P.'s ("Angelo Gordon") proprietary securitization platform to secure long-term, non-recourse, non-mark-to-market financing as market conditions permit. Through our ownership in Arc Home, we also have exposure to mortgage banking activities. Arc Home is a multi-channel licensed mortgage originator and servicer primarily engaged in the business of originating and selling residential mortgage loans while retaining the mortgage servicing rights associated with certain loans that it originates.

42


Our investment portfolio (which excludes our ownership in Arc Home) includes Residential Investments and Agency RMBS. Currently, our Residential Investments primarily consist of newly originated Non-Agency Loans and Agency-Eligible Loans, which we refer to as our target assets. In addition, we may also invest in other types of residential mortgage loans and other mortgage related assets. As of March 31, 2022, the Company's investment portfolio consisted of the following: 

Asset ClassDescription
Target Assets
Non-Agency Loans
•Non-Agency Loans are loans that do not conform to the underwriting guidelines of a government-sponsored enterprise ("GSE"). Non-Agency Loans consist of Qualified mortgage loans ("QM Loans") and Non-Qualified mortgage loans ("Non-QM Loans"). QM Loans are residential mortgage loans that comply with the Ability-To-Repay rules and related guidelines of the Consumer Finance Protection Bureau ("CFPB"). Non-QM Loans are residential mortgage loans that do not satisfy the requirements for QM Loans and are therefore not deemed to be a "qualified mortgage," under the rules of the CFPB.
◦Non-Agency Loans are either held directly by us or held indirectly through our investment in Mortgage Acquisition Trust I LLC ("MATT").
◦Non-Agency Loans held directly are included in the "Residential mortgage loans, at fair value" or the "Securitized residential mortgage loans, at fair value" line items on our consolidated balance sheets.
◦Non-Agency Loans held indirectly through MATT are included in the "Investments in debt and equity of affiliates" line item on our consolidated balance sheets.
◦Certain retained tranches from unconsolidated Non-Agency Loan securitizations are included in the "Real estate securities, at fair value" line item on our consolidated balance sheets.
Agency-Eligible Loans
•Agency-Eligible Loans are loans that are underwritten in accordance with GSE guidelines and are primarily secured by investment properties.
◦Agency-Eligible Loans held directly are included in the "Residential mortgage loans, at fair value" or the "Securitized residential mortgage loans, at fair value" line items on our consolidated balance sheets.
Other Residential Mortgage Related Assets
Re/Non-Performing Loans
•Performing, re-performing, and non-performing loans are residential mortgage loans collateralized by a first lien mortgaged property.
◦Re/Non-Performing loans are primarily held through interests in certain consolidated trusts. These investments are included in the "Securitized residential mortgage loans, at fair value" line item on our consolidated balance sheets.
◦Certain retained tranches from unconsolidated Re/Non-Performing Loan securitizations which we hold alongside other private funds under the management of Angelo Gordon are included in the "Investments in debt and equity of affiliates" line item on our consolidated balance sheets.
Land Related Financing
•First mortgage loans originated to third-party land developers and home builders for purposes of the acquisition and horizontal development of land.
◦These loans are held through our unconsolidated affiliates and are included in the "Investments in debt and equity of affiliates" line item on our consolidated balance sheets.
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.
◦These investments are included in the "Real estate securities, at fair value" line item on our consolidated balance sheets.

Our primary sources of income are net interest income from our investment portfolio, changes in the fair value of our investments, and income from our investment in Arc Home. Net interest income consists of the interest income we earn on investments less the interest expense we incur on borrowed funds and any costs related to hedging. Income from our investment in Arc Home is generated through its mortgage banking activities which represents the origination and subsequent sale of residential mortgage loans and servicing income sourced from its portfolio of mortgage servicing rights.

We are externally managed by our Manager, a wholly-owned subsidiary of Angelo, Gordon, pursuant to a management agreement. Our Manager, pursuant to the delegation agreement dated as of June 29,were incorporated in Maryland on March 1, 2011 has delegated to Angelo, Gordon the overall responsibility of its day-to-day duties and obligations arising under the management agreement.commenced operations in July 2011. We conduct our operations to qualify and be taxed as a real estate investment trust, or 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 business conducted in our domestic taxable REIT subsidiaries ("TRS") which are subject to corporate income tax. We also operate our business in a manner that permits us to maintain our exemption from registration under the Investment Company ActAct.

43


Our Manager and Angelo Gordon

We are externally managed by AG REIT Management, LLC (our "Manager"), a subsidiary of 1940,Angelo, Gordon & Co., L.P. ("Angelo Gordon"), pursuant to a management agreement. Pursuant to the terms of our management agreement, our Manager provides us with our management team, including our officers, along with appropriate support personnel. All of our officers are employees of Angelo Gordon or its affiliates. We do not have any employees. Our Manager is at all times subject to the supervision and oversight of our Board of Directors and has only such functions and authority as amended,our Board of Directors delegates to it. Our Manager has delegated to Angelo Gordon the overall responsibility with respect to our Manager’s day-to-day duties and obligations arising under our management agreement.

Through our relationship with our Manager, we benefit from the expertise and relationships that Angelo Gordon has established which provides us with resources to generate attractive risk-adjusted returns for our stockholders. Our management has significant experience in the mortgage industry and expertise in structured credit investments. We are able to leverage our Manager, along with our ownership interest in Arc Home, a vertically integrated origination platform, to access investment opportunities in the non-agency residential mortgage loan market. This strategic advantage has enabled us to grow our investment portfolio and remain active in the securitization markets, utilizing Angelo Gordon's proprietary securitization platform to deliver non-agency investments to a diverse mix of investors.

Market conditions

During the first quarter 2022, the financial markets were generally weaker and volatile amid the Federal Reserve rate-hike cycle, high inflation readings, the Ukraine-Russia war and the uncertainty as to whether the Federal Reserve can formulate and implement monetary policy that will avoid recession and generate a so called soft landing for the economy. Notwithstanding the macro environment, mortgage fundamentals continued to be favorable, and some signs of normalization to pre-pandemic levels continued to emerge. Prepayment speeds have declined and were 10% to 20% higher than pre-pandemic levels after having been as much as 150% higher. The overall forbearance rate in the mortgage market continued to fall, and servicers began offering more modifications to cure delinquent statuses. The latest reading from the S&P/CoreLogic Case-Shiller index showed home prices increased by 19.2% year over year in January 2022, while the CoreLogic Home Price Index rose 20% in February 2022. Limited availability of homes against fundamentally strong housing demand has been a driving factor for persistent home price appreciation.

Non-Agency Loans and Securitizations: Expectations for the Federal Reserve to begin a cycle of tightening drove benchmark rates as well as credit spreads considerably higher throughout the quarter. Generic new issue AAA Non-QM yields ended the quarter slightly above 4% compared to being just under 2% to at the end of 2021. Credit spreads began the quarter approximately 100 basis points over benchmark rates and widened out steadily before finding some stability in the final weeks of the quarter, settling in at approximately 175 basis points over benchmark rates. Originators and whole loan pricing were similarly negatively affected as mortgage rates rose materially where the Freddie Mac Primary Mortgage Market Survey ended 2021 at 3.11% and rose to 4.67% by March 31, 2022. Some newly originated loan packages transacted in the quarter were priced at a discount as consumers were able to lock in lower interest rates prior to the recent increase experienced in the market. Non-QM loans were hit particularly hard as securitization remains the primary means for monetization, whereas alternative sources of liquidity exists for other sectors through outlets such as the GSEs or banks.

Agency RMBS: Nominal spreads on Agency MBS finally capitulated to the Investment Company Act. Our common stock is tradedFederal Reserve’s recent focus on the New York Stock Exchange, rate-hike cycle with the spreads between current coupon and a blend of 5-year and 10-year US Treasury yields widening by roughly 40bps to levels not seen since 2014 outside of March of 2020. While origination has fallen materially with the move in rates, significant rate volatility and uncertainty over the path of the Federal Reserve’s balance sheet reduction, with talk of outright sales of MBS, has reduced demand sharply from investors. Spreads now incorporate an elevated risk premium, but continued uncertainty and rate volatility pose headwinds to a recovery near-term.

Non-Agency RMBS: Spreads for securitized residential debt sectors were wider, sometimes sharply, during the first quarter amid broad-based risk-off sentiment and risk-free rate increase that occupied much of the tone to start the year. Credit risk transfer ("CRT") tranches were as much 200 to 300 basis points wider to end the quarter. As the quarter turned, CRT spreads started to reverse course as risk appetite increased with new issuances several times oversubscribed owing to relative value against corporate credit and additional demand generated by new investors to the CRT market. Other mortgage credit sectors also widened during the quarter. Seasoned RMBS widened by 80 basis points to around 200 to 230 basis points, and AAA rated tranches of Non-QM transactions also widened by 80 basis points to 170 basis points. Quarterly new issuance of RMBS rose 24% year-over-year to $51 billion in the first quarter on higher Non-QM, CRT and agency-eligible issuance, and compared to the fourth quarter, RMBS new issuance was a little lower, falling from $64 billion at the end of 2021. Non-QM and Jumbo
44


loans were the most active sectors during the first quarter, at $12.6 billion and $11.3 billion, respectively, followed by CRT at $9.1 billion.

In light of various market uncertainties, such as uncertainties of the COVID-19 pandemic for the U.S. and global economy, geopolitical risks and interest rate volatility, there can be no assurance that the trends and conditions described above will not change in a manner materially adverse to the mortgage REIT industry and/or our Company.

Presentation of investment, financing and hedging activities
In the NYSE, under the symbol MITT. Our 8.25% Series A Cumulative Redeemable Preferred Stock"Investment activities," "Financing activities," "Hedging activities," and our 8.00% Series B Cumulative Redeemable Preferred Stock trade"Liquidity and capital resources" sections of this Item 2, we present information on the NYSE under the symbols MITT-PA and MITT-PB, respectively.

Ourour investment portfolio

and the related financing arrangements inclusive of unconsolidated ownership interests in affiliates that are accounted for under GAAP using the equity method. Our investment portfolio is comprised of Agency RMBS, Residential Investments, Commercial Investments, and ABS, each of which is described below.

41
excludes our investment in Arc Home.


Agency RMBS

Our investment portfolio is comprised primarily of residential mortgage-backed securities, or RMBS. Certain ofand the assets in our RMBS portfolio have an explicit guarantee of principal and interest byrelated financing arrangements are presented along with 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”). We referreconciliation to these securities as 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 in 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 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 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 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.

42

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, (1) we use the terms “credit portfolio” and “credit investments” to refer to our Residential Investments, 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 (exclusive of our Residential Whole Loans) and commercial mortgage loans, collectively, as our “loans”; (3) we use the term “credit securities” to refer to our credit portfolio, excluding Excess MSRs and loans; and (4) we use the term “real estate securities” or “securities” to refer to our Agency RMBS portfolio, exclusive of Excess MSRs, and our credit securities. Our “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 investment portfolio” which consists of (i) our Agency RMBS, exclusive of TBAs (our “GAAP Agency RMBS 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” on our consolidated balance sheets. See Note 2 to the Notes to Consolidated Financial Statements for a discussion of our investments held within affiliated entities.

GAAP. This presentation of our investment portfolio is consistent with how our management team evaluates ourthe 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, alongside private funds under See Notes 2 and 10 to the management"Notes to Consolidated Financial Statements (unaudited)" for a discussion of Angelo, Gordon, through AG Arc LLC, oneinvestments in debt and equity of affiliates. See below for further terms used when describing our indirect subsidiaries (“AG Arc”), formed Arc Home LLC (“Arc Home”). In June 2016, Arc Home closed on the acquisitioninvestment portfolio.


•Our "Investment portfolio" includes our Residential Investments and Agency RMBS, inclusive of a Fannie Mae, Freddie Mac, Federal Housing Administration (“FHA”), Veteran’s Administration (“VA”) and Ginnie Mae seller/servicer of mortgages with licensesTBAs.
•Our "Residential Investments" refer to conduct business in 47 states, including Washington D.C. Through this subsidiary, Arc Home originates conforming, Government, Jumbo and other non-conformingour residential mortgage loans retainsand Non-Agency RMBS.
◦"Residential mortgage loans" or "Loans" refer to our Non-Agency Loans, Agency-Eligible Loans, and Re/Non-Performing Loans (exclusive of retained tranches from unconsolidated securitizations) and Land Related Financing.
◦"Non-Agency RMBS" refer to the retained tranches from unconsolidated securitizations of Non-Agency Loans and Re/Non-Performing Loans.
•"Real estate securities" refers to our Non-Agency RMBS and Agency RMBS, inclusive of TBAs.
•Our "GAAP Investment portfolio" includes our GAAP Residential Investments and Agency RMBS.
•Our "GAAP Residential Investments" refer to our Residential Investments exclusive of all 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.

Special Note Regarding COVID-19 Pandemic

In 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.

Although market conditions have improved, the COVID-19 pandemic is ongoing with new variants emerging despite growing vaccination rates. As a result, the full impact of COVID-19 (including the impact of any significant variants) on the mortgage servicing rights associated with the loans that it originates,REIT industry, credit markets, and, purchases additional mortgage servicing rights from third-party sellers.

Market overview

Spreadsconsequently, on our financial condition and results of operations 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 continue to benefit from a combination of strong 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 Agency RMBS to realize their best spread performance of the year, with nominal spreads tightening to 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.

43

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 marketfuture periods 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 in the second quarter of 2017, from $285.1 billion in 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 madeuncertain. Future developments with respect to the Fed’s dual mandateCOVID-19 pandemic, including among others, the emergence of full employmentnew variants, the effectiveness and price stability, as unemployment remains below 5%, however inflation has softened recently in response to a seriesdurability of transitory factors. In the September update of its Summary of Economic Projections, the Fed increased its median forecast for real GDP growth in 2017current vaccines and 2019government stimulus measures, could materially and maintained its median forecast for 2018 as well decreased its median forecast for the unemployment rate 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 fueladversely affect 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 ourbusiness, operations, 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 Actfinancial condition, liquidity, or significant reform of the Internal Revenue Code, including significant changes to the taxation of business entities. There is a lack of clarity around both the timing and the exact details of any such tax or regulatory reform and the impact of such potential reform on our operations.

capital levels.


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 marketfair value of our assets and the supply of, and demand for, our target assetsinvestments in residential mortgage loans in the marketplace, among other things, which can be impacted by unanticipated credit events, such as defaults, liquidations or delinquencies, experienced by borrowers whose residential 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
45


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 changeseconomic hedges in market interest rates, prepayment speeds, as measured by the Constant Prepayment Rate (“CPR”)place on the Agency RMBS in our investment portfolio, andas well as any income or losses from our funding and hedging costs.

44
equity investments in affiliates.

Three Months Ended March 31, 2022 compared to the Three Months Ended March 31, 2021

The table below presents certain information from our consolidated statementstatements of operations for the three and nine months ended September 30, 2017March 31, 2022 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.”

2021 (in thousands).

Three Months Ended
March 31, 2022March 31, 2021Increase/(Decrease)
Statement of Operations Data:   
Net Interest Income   
Interest income$33,417 $12,119 $21,298 
Interest expense16,122 4,061 12,061 
Total Net Interest Income17,295 8,058 9,237 
Other Income/(Loss)  
Net interest component of interest rate swaps(2,270)(741)(1,529)
Net realized gain/(loss)8,783 (4,038)12,821 
Net unrealized gain/(loss)(22,420)19,849 (42,269)
Other income/(loss), net— 37 (37)
Total Other Income/(Loss)(15,907)15,107 (31,014)
Expenses  
Management fee to affiliate1,962 1,654 308 
Other operating expenses3,688 4,150 (462)
Transaction related expenses5,879 (167)6,046 
Servicing fees1,007 615 392 
Total Expenses12,536 6,252 6,284 
Income/(loss) before equity in earnings/(loss) from affiliates(11,148)16,913 (28,061)
Equity in earnings/(loss) from affiliates(2,054)26,336 (28,390)
Net Income/(Loss)(13,202)43,249 (56,451)
Gain on Exchange Offers, net— 358 (358)
Dividends on preferred stock(4,586)(4,924)338 
Net Income/(Loss) Available to Common Stockholders$(17,788)$38,683 $(56,471)

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

portfolio.

Interest income increased by $3.0 million from $30.6 million at September 30, 2016March 31, 2021 to $33.6 million at September 30, 2017March 31, 2022 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 periodincreased by $0.4$2.0 billion from $2.8$1.4 billion at September 30, 2016for the three months ended March 31, 2021 to $3.2$3.4 billion at September 30, 2017.for the three months ended March 31, 2022. The increase was primarily driven by purchases of Non-Agency Loans and Agency-Eligible Loans during the period. This increase was offset by a decreasecoupled with an increase of 0.59% 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 from $2.9 billion at September 30, 20163.39% for the three months ended March 31, 2021 to $2.7 billion at September 30, 2017.

45
3.98% for the three months ended March 31, 2022.


46


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 from $8.5 million at September 30, 2016March 31, 2021 to $12.0 million at September 30, 2017March 31, 2022 primarily due to an increase in the amount of financing on our GAAP investment portfolio, inclusive of securitized debt, during the period. The weighted average financing balance on our GAAP investment portfolio, inclusive of securitized debt, increased by $1.9 billion from $1.2 billion for the three months ended March 31, 2021 to $3.1 billion for the three months ended March 31, 2022. The increase was driven by the issuance of securitized debt as well as financing added on purchases of Non-Agency Loans and Agency-Eligible Loans during the period. This was coupled with an increase of 0.74% in the weighted average financing rate on our GAAP investment portfolio, and U.S. Treasury securities, if applicable, duringinclusive of securitized debt, from 1.37% for the period, by 0.40% from 1.49% at September 30, 2016three months ended March 31, 2021 to 1.89% at September 30, 2017. This was coupled with an increase in2.11% for the weighted average financing balancethree months ended March 31, 2022.

Net interest component of interest rate swaps

Net interest component of interest rate swaps represents the net interest income received or expense paid on our GAAP investment portfolio and U.S. Treasury securities during the periodinterest rate swaps.
The net interest component of $0.2 billion from $2.3 billion at September 30, 2016 to $2.5 billion at September 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

Interestinterest rate swap expense increased by $4.8 million from $25.5 million at September 30, 2016March 31, 2021 to $30.3 million at September 30, 2017March 31, 2022 primarily due to an increase in the size of our interest rate swap portfolio and an increase in the net pay rate. As of March 31, 2022, we held an interest rate swap portfolio with a notional value of $1.4 billion, a weighted average financingreceive-variable rate on our GAAP investment portfolioof 0.30%, 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 investmentpay-fix rate of 1.27%. As of March 31, 2021, we held an interest rate swap portfolio with a notional value of $1.1 billion, a weighted average receive-variable rate of 0.20%, and U.S. Treasury securities during the perioda weighted average pay-fix rate 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.

0.80%.


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 Netnet realized gain/(loss) for the three and nine months ended September 30, 2017March 31, 2022 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 interest settlement2021 (in thousands).

Three Months Ended
 March 31, 2022March 31, 2021
Sales of residential mortgage loans and loans transferred to or sold from Other assets$(58)$(469)
Sales of real estate securities(16,840)(500)
Settlement of derivatives and other instruments25,681 (165)
Sales of commercial loans— (2,904)
Total Net realized gain/(loss)$8,783 $(4,038)

Net unrealized gain/(loss)

The following table presents a summary of derivative instruments, net

Realized loss on periodic interest settlement of derivative instruments, net represents the net interest expense paid on our interest rate swaps.

Three Months Ended September 30, 2017 compared to the Three Months Ended September 30, 2016

Realized loss on periodic interest settlement of derivative instruments, net increased by $1.1 million from $1.0 million at September 30, 2016 to $2.1 million at September 30, 2017 due to an increase in the weighted average swap notional from $0.4 billionunrealized gain/(loss) for the three months ended September 30, 2016 to $1.8 billion for the three months ended September 30, 2017. This was offset by an increase 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.

46
March 31, 2022 and 2021 (in thousands).

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

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 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.

47
Three Months Ended
 March 31, 2022March 31, 2021
Residential mortgage loans$(158,147)$10,829 
Real estate securities(11,425)(23,960)
Securitized debt97,235 (2,045)
Derivatives49,917 28,484 
Commercial loans— 6,473 
Excess mortgage servicing rights— 68 
Total Net unrealized gain/(loss)$(22,420)$19,849 


47


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 slightlyfrom March 31, 2021 to March 31, 2022 primarily due to thean increase in our Stockholders’Stockholder's Equity as calculated pursuant to our Management Agreement.

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,Agreement resulting from 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.

November 2021 common stock offering.


Other operating expenses

These amounts are

Other operating expenses is primarily comprised of professional fees, directors’ and officers’ (“("D&O”&O") insurance, directors’ compensation, and directors’ fees, as well as certain non-investment related and investment related 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 salarycompensation 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 30, 2017 compared The following table presents a summary of Other operating expenses broken out between non-investment related expenses and investment related expenses for the three months ended March 31, 2022 and 2021 (in thousands).

Three Months Ended
 March 31, 2022March 31, 2021
Non Investment Related Expenses
Affiliate expense reimbursement - Operating expenses (1)$1,405 $1,250 
Professional fees467 1,225 
D&O insurance327 394 
Directors' compensation168 168 
Other307 156 
Total Non Investment Related Expenses2,674 3,193 
Investment Related Expenses
Affiliate expense reimbursement - Deal related expenses135 281 
Residential mortgage loan asset management fees544 427 
Other335 249 
Total Investment Related Expenses1,014 957 
Total Other operating expenses$3,688 $4,150 
(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 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)March 31, 2021, $0.2 million of the waived reimbursable expenses is included within the "Affiliated expense reimbursement - Operating expenses" line item above.

Transaction related toexpenses

Transaction related expenses are expenses associated with purchasing and securitizing residential mortgage loanloans as well as certain other transaction and performance related expenses (iii) $0.1 million related to D&O insurance, and (iv) $0.1 million related to directors’ fees and stock compensation.

Forassociated with assets we invest in. These fees increased from the three months ended September 30, 2016 other operating expenses were $2.9 million. This balance, exclusive of certain expenses reimbursableMarch 31, 2021 to the Manager, was comprised primarily of (i) $0.4 million related to professional fees, (ii) $0.2 million related to residential mortgage loan related expenses (iii) $0.2 million related to D&O insurance, and (iv) $0.1 million related to directors’ fees and stock compensation.

Nine Months Ended September 30, 2017 compared to the Nine Months Ended September 30, 2016

For the ninethree months ended September 30, 2017 other operatingMarch 31, 2022 primarily as a result of the upfront expenses on the three securitizations transacted in the first quarter of 2022. No securitizations were $8.2 million. This balance, exclusivetransacted during the first quarter of certain expenses reimbursable to 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.

2021.


Servicing fees

We incur servicing fee expenses in connection with the servicing of our residential mortgage loans. AsThe weighted average cost of September 30, 2017 and September 30, 2016, we owned Residential mortgage loans with fair market value of $23.9 million and $42.6 million, respectively.

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 servicing fees were $22,991 and $121,806, respectively. The decrease in fees primarily pertains to sales ofGAAP residential mortgage loansloan portfolio increased by $2.5 billion from prior periods.

48

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$0.5 billion for the three months ended September 30, 2017 and September 30, 2016.

Nine Months Ended September 30, 2017 comparedMarch 31, 2021 to the Nine Months Ended September 30, 2016

Equity based compensation to affiliates remained relatively flat period over period$3.0 billion 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, 2017March 31, 2022 resulting from purchases of Non-Agency Loans and September 30, 2016 we recorded excise tax expense of $0.3 million and $0.2 million, respectively. The increase pertainsAgency-Eligible Loans. As a result, servicing fees increased from the three months ended March 31, 2021 to the receipt of a tax refund in 2016 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 ninethree 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.

March 31, 2022.

48


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 majoritySubstantially all of these investments are comprised of real estate securities, loans, and our investment in AG Arc.

Three Months Ended September 30, 2017 comparedArc which holds our investment in Arc Home. The below table reconciles the net income/(loss) to the Three Months Ended September 30, 2016

"Equity in earnings/(loss) from affiliates" line item on our consolidated statements of operations (in thousands).

Three Months Ended
March 31, 2022March 31, 2021
MATT Non-QM Loans$(889)$14,646 
Land Related Financing502 710 
Re/Non-Performing Loans3 4,623 
AG Arc (1)(1,670)6,340 
Other— 17 
Equity in earnings/(loss) from affiliates$(2,054)$26,336 
(1)The earnings/(loss) at AG Arc during the three months ended March 31, 2022 were primarily the result of $3.1 million related to changes in the fair value of the MSR portfolio held by Arc Home, offset by $(2.4) million of losses related to Arc Home's lending and servicing operations. The earnings recognized by AG Arc do 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 30, 2017March 31, 2022 and September 30, 2016,2021, we recorded Equity in earnings/(loss) from affiliates of $4.7eliminated $2.4 million and $0.5 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, respectively. The increase primarily pertainsRefer to a larger portfolio due to additions to investments held within affiliated entities, coupled with increased security prices.

Nine Months Ended September 30, 2017 comparedNote 2 to the Nine Months Ended September 30, 2016

For"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 ninethree months ended September 30, 2017March 31, 2021. As a result of the exchange offer, we exchanged 153,325 shares of our 8.25% Series A Cumulative Redeemable Preferred Stock ("Series A Preferred Stock") and September 30, 2016, we recorded Equity350,609 shares of our 8.00% Series B Cumulative Redeemable Preferred Stock ("Series B Preferred Stock") for a total of 937,462 shares of common stock. We recognized a gain of $0.4 million in earnings/(loss) from affiliates of $9.7 millionconnection with the offer. There were no exchange offers transacted during the three months ended March 31, 2022.

Book value and $1.2 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.

BookAdjusted book value per share

As of September 30, 2017, December 31, 2016


The below table details book value and September 30, 2016, ouradjusted book value per common share. Per share was $19.35, $17.86amounts for book value are calculated using all outstanding common shares in accordance with GAAP, including all vested shares issued to our Manager and $18.49, respectively.

49
our independent directors under our equity incentive plans as of quarter-end.


Presentation

March 31, 2022December 31, 2021
Book value per common share (1)$13.68 $14.64 
Adjusted book value per common share (2)13.37 14.32 
(1)Calculated using stockholders’ equity less net proceeds of investment, financing$220.5 million on our issued and hedging activities

Inoutstanding preferred stock as the “Investment activities,” “Financing activities,” “Hedging activities”numerator.

(2)Calculated using stockholders’ equity less the liquidation preference of $228.0 million on our issued and “Liquidityoutstanding preferred stock as the numerator.

Net interest margin and capital resources” sections of this Item 2, where we disclose our investment portfolioleverage ratio

Net interest margin and leverage ratio are metrics that management believes should be considered when evaluating the related repurchase agreements that finance it, 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 are presented along with a reconciliation to GAAP. This presentationperformance of our investment portfolio is consistent with how our management evaluates the business, and we believe this presentation, when considered with the portfolio.

GAAP presentation, provides supplemental information useful for investors in evaluating our investment portfolio and financial condition. See Note 2 to the “Notes to Consolidated Financial Statements (Unaudited)” for a discussion of investments in debt and equity of affiliates and TBAs.

Net interest margin

Netnet interest margin isand 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 which excludes cash held by us and any net TBA position.our investment portfolio, respectively. The weighted average yield on our investment 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 longswaps. GAAP and short positions, respectively, and the net receivable rate on our IO index derivatives, if any. Both elements ofnon-GAAP cost of funds are weighted by the outstanding repurchase agreements on our investment portfolio, 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 weighted average cost of fundsfinancing arrangements on our GAAP investment portfolio from the weighted average yield forand our GAAP investment portfolio, which excludes cash heldrespectively, and the fair value of securitized debt at quarter-end.

49



Our leverage ratio is determined by usour portfolio mix as well as many additional factors, including the liquidity of our portfolio, the availability and any net TBA position. Both elementsprice of cost of fundsour financing, the available capacity to finance our assets, and anticipated regulatory developments. See the "Financing activities" section below for more detail 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.

Seeleverage ratio.

The table below for a chart settingsets forth the net interest margin fromand leverage ratio on our investment portfolio as of September 30, 2017March 31, 2022 and September 30, 2016March 31, 2021 and for a reconciliation to the net interest margin and leverage ratio on 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) portfolio.


March 31, 2022   
Weighted AverageGAAP Investment PortfolioInvestments in Debt and Equity of AffiliatesInvestment Portfolio (a)
Yield4.09 %7.43 %4.15 %
Cost of Funds (b)2.72 %3.21 %2.73 %
Net Interest Margin1.37 %4.22 %1.42 %
Leverage Ratio (c)5.8x(d)2.7x
March 31, 2021   
Weighted AverageGAAP Investment PortfolioInvestments in Debt and Equity of AffiliatesInvestment Portfolio (a)
Yield3.31 %13.09 %4.44 %
Cost of Funds (b)1.83 %2.73 %1.77 %
Net Interest Margin1.48 %10.36 %2.67 %
Leverage Ratio (c)3.2x(d)2.6x
(a)Excludes any net TBA position.

positions.

(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, a non-GAAP financial measure, as Net Income/(loss) available to common stockholders excluding both unrealized and realized gains/(losses) on the sale or termination of securities and the related tax expense/benefit or disposition expense, if any, on such sale, including (i) investments held in affiliated entities and (ii) derivatives. As defined, Core Earnings include the net interest and other income earned on these 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 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’sour GAAP financials,financial statements, provides supplemental information useful for investors to help evaluate our financial performance. However, management also believes that our definition of Core Earnings has important limitations as it does not include certain earnings or losses our management team considers in evaluating our results of operations. This metric, in conjunction with related GAAP measures, provides greater transparency into the information used by our management in its financial and operational decision-making.performance. 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 measuresNet Income/(loss) available to common stockholders or Net income/(loss) per diluted common share calculated in accordance with GAAP. Our GAAP financial results and the reconciliations from these results should be carefully evaluated. Refer to the “Results of Operations” section above for

We define Core Earnings, a detailed discussion of our GAAPnon-GAAP financial results.

50

A reconciliation of “Netmeasure, as Net Income/(loss) available to common stockholders”stockholders excluding (i) (a) unrealized gains/(losses) on loans, real estate securities, derivatives and other investments, inclusive of our investment in AG Arc, and (b) net realized gains/(losses) on the sale or termination of such instruments, (ii) any transaction related expenses incurred in connection with the acquisition, disposition, or securitization of our investments, (iii) accrued deal-related performance fees payable to 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 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, and (vi) any gains/(losses) associated with exchange transactions on our common and preferred stock. Items (i) through (vi) above include any amount related to those items held in affiliated entities. Management considers the transaction related expenses referenced in (ii) above to be similar to realized losses incurred at the acquisition, disposition, or securitization of an asset and 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. Core Earnings include the net interest income and other income earned on our investments on a yield adjusted basis, including TBA dollar roll income/(loss) or any other investment activity that may earn or pay net interest or its economic equivalent.

50



A reconciliation of "Net Income/(loss) available to common stockholders" to Core Earnings for the three months ended March 31, 2022 and nine months ended September 30, 2017 and September 30, 20162021 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
March 31, 2022March 31, 2021
Net Income/(loss) available to common stockholders$(17,788)$38,683 
Add (Deduct):
Net realized (gain)/loss(8,783)4,038 
Net unrealized (gain)/loss22,420 (19,849)
Transaction related expenses and deal related performance fees (1)6,132 (12)
Equity in (earnings)/loss from affiliates2,054 (26,336)
Net interest income and expenses from equity method investments (2)(3)(2,550)7,322 
Other (income)/loss, net— (14)
(Gains) from Exchange Offers, net— (358)
Dollar roll income/(loss)(1,977)— 
Core Earnings$(492)$3,474 
Core Earnings, per Diluted Share (4)$(0.02)$0.25 
(1)For the three months ended September 30, 2017, we recognized $0.1March 31, 2022 and 2021, total transaction related expenses and deal related performance fees included $5.9 million or $0.00 per shareand $(0.2) million, respectively, recorded within the "Transaction related expenses" line item and $0.2 million 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. For the nine months ended September 30, 2017, we recognized $0.5 million or $0.02 per share of net income/(loss) attributed tko our investment in AG Arc. deferred financing costs.
(2)For the three months ended September 30, 2016, we recognized $0.2March 31, 2022 and 2021, $4.4 million or $0.01$0.18 per share and $2.6 million or $0.18 per share, respectively, of realized and unrealized changes in the fair value of Arc Home's net mortgage servicing rights and corresponding derivatives were excluded from Core Earnings, net of deferred tax expense. Additionally, for the three months ended March 31, 2022 and 2021, $(2.5) million or $(0.10) per share and $0.6 million or $0.04 per share, respectively, of unrealized changes in the fair value of our investment in Arc Home were excluded from Core Earnings.
(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 months ended March 31, 2022 and 2021, we eliminated $2.4 million or $0.10 per share and $0.5 million or $0.03 per share of net income/(loss) attributedintra-entity profits recognized by Arc Home, respectively, and also decreased the cost basis of the underlying loans we purchased by the same amount. Refer to our investment in AG Arc. ForNote 2 to the nine months ended September 30, 2016, we recognized $(0.3) million or $(0.01)"Notes to Consolidated Financial Statements (unaudited)" for more information on this accounting policy.
(4)All per share of net income/(loss) attributedamounts for all periods presented have been adjusted to our investment in AG Arc.

reflect the one-for-three reverse stock split.


Investment activities


We evaluate investmentsaim to allocate capital to investment opportunities with attractive risk/return profiles in our target asset classes. Our investment activities primarily include acquiring and securitizing newly-originated residential mortgage loans. We finance our acquired loans through various financing lines on a short-term basis and securitize the loans to obtain long-term, non-recourse, non-mark-to-market financing as market conditions permit. We are also currently investing in Agency RMBS usingto utilize excess liquidity. 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. As a result, in reacting to market conditions and taking into account a variety of other factors, including liquidity, duration, and interest rate expectations, the mix of our assets changes over time as we deploy capital. We actively evaluate our investments based on factors including, among others, the characteristics of the underlying collateral, geography, expected return, expected future prepayment trends, supply of and demand for Agency RMBS,our investments, costs of financing, costs of hedging, 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.

51


The following table presents a general summary of our investment portfolio as of September 30, 2017 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%  7.1x  5.1x
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%  3.1x  2.7x
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%  1.1x  1.2x
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%  1.0x  2.4x
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%  4.2x  2.9x
                                                 
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%  4.0x  2.9x

(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 to the “Financing activities” section below for an aggregate breakout of leverage.

In managing our portfolio, we

We allocate our equity by investment type 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 itemsassets and liabilities to our investment portfolio based on their respectivethe 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.


51


The following table presents a summary of the allocated equity of our investment portfolio as of September 30, 2017March 31, 2022 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%

52
2021 ($ in thousands).

 Allocated EquityPercent of Equity
 March 31, 2022December 31, 2021March 31, 2022December 31, 2021
Residential Investments$467,053 $459,058 85.3 %80.5 %
Agency RMBS80,597 111,322 14.7 %19.5 %
Total$547,650 $570,380 100.0 %100.0 %

The following table presents a summary of our investment portfolio as of March 31, 2022 and December 31, 2021 and a reconciliation to our GAAP Investment Portfolio ($ in thousands).
 Fair ValuePercent of Investment Portfolio
Fair Value		Leverage Ratio (a)
 March 31, 2022December 31, 2021March 31, 2022December 31, 2021March 31, 2022December 31, 2021
Residential Investments$3,354,298 $2,725,889 89.9 %84.6 %2.5x2.1x
Agency RMBS377,493 495,713 10.1 %15.4 %4.0x3.7x
Total: Investment Portfolio$3,731,791 $3,221,602 100.0 %100.0 %2.7x2.4x
Investments in Debt and Equity of Affiliates$62,884 $72,026 N/AN/A(b)(b)
TBAs$150,270 $— N/AN/A(b)(b)
Total: GAAP Investment Portfolio$3,518,637 $3,149,576 N/AN/A5.8x4.9x
(a)The leverage ratio on our investment portfolio represents 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 above). 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 TBAs. The leverage ratio on our GAAP Investment Portfolio represents GAAP leverage.
(b)Refer to the "Financing activities" section below for an aggregate breakout of leverage.
52


The following table presents a reconciliation of our investment portfolioInvestment Portfolio to our GAAP investment portfolioInvestment Portfolio as of September 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) IncludedMarch 31, 2022 and December 31, 2021 ($ in Residential Investments and Commercial Investments are $9.2 million fair market value and $67.3 million fair market value, respectively, that arethousands).

March 31, 2022December 31, 2021
InstrumentCurrent FaceAmortized CostUnrealized Mark-
to-Market		Fair Value (1)Weighted Average
Coupon (2)		Weighted
Average Yield		Weighted Average
Life  (Years) (3)		Fair Value (1)
Residential Investments
Non-Agency Loans$2,261,800 $2,332,131 $(86,211)$2,245,920 4.78 %4.12 %6.17$1,858,798 
Agency-Eligible Loans745,978 762,270 (47,190)715,080 3.62 %3.27 %8.53440,837 
MATT Non-QM Loans (4)427,965 43,243 (1,973)41,270 1.04 %3.99 %1.3145,837 
Re/Non-Performing Loans408,675 332,327 1,267 333,594 3.41 %6.68 %7.14360,131 
Land Related Financing13,569 13,569 — 13,569 14.50 %14.50 %0.5316,891 
Non-Agency RMBS Interest Only (5)139,080 3,301 1,564 4,865 0.38 %31.33 %2.723,395 
Total Residential Investments3,997,067 3,486,841 (132,543)3,354,298 4.12 %4.27 %6.052,725,889 
Agency RMBS       
30 Year Fixed Rate223,604 229,908 (18,059)211,849 2.50 %2.08 %8.11495,713 
Interest Only103,290 15,655 (281)15,374 3.00 %6.46 %6.30— 
Fixed Rate 30 Year TBA (6)150,000 150,481 (211)150,270 3.50 %N/AN/A— 
Total Agency RMBS476,894 396,044 (18,551)377,493 2.92 %2.38 %7.54495,713 
Total: Investment Portfolio$4,473,961 $3,882,885 $(151,094)$3,731,791 3.98 %4.15 %6.16$3,221,602 
Investments in Debt and Equity of Affiliates$479,513 $65,000 $(2,116)$62,884 2.13 %7.43 %1.35$72,026 
TBAs$150,000 $150,481 $(211)$150,270 3.50 %N/AN/A$— 
Total: GAAP Investment Portfolio$3,844,448 $3,667,404 $(148,767)$3,518,637 4.14 %4.09 %6.76$3,149,576 
(1)Refer to Note 10 to the "Notes of the Consolidated Financial Statements (unaudited)" for more detail on what is included in the “Investmentsour "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," and "Land Related Financing," line items above.

(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) Excess MSRs whose underlying collateralWeighted 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 originationbased 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 Freddie Mac K-Series CMBS

(4)As of March 31, 2022 and December 31, 2021, this line item primarily includes retained tranches from securitizations.
(5)As of March 31, 2022 and December 31, 2021, this line item includes Non-QM interest-only bonds.

53

The following table presents a reconciliation of our investment portfolio to our GAAP investment portfolio as 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 and Commercial Investments are $9.5 million fair market value and $54.1 million fair market value, respectively, that are included in the “Investments in debt and equity of affiliates” 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) (6)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 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 Freddie Mac K-Series CMBS interest-only bonds.


Residential Investments

The following table presents certain information grouped by vintage as it relates tothe fair value of the loans and securities in our credit securities portfolio as of September 30, 2017. We have also presentedresidential investments and 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 

our GAAP residential portfolio (in thousands).

Fair Value
March 31, 2022December 31, 2021
Residential mortgage loans (1)$3,295,621 $2,663,992 
Non-Agency RMBS (2)58,677 61,897 
Total Residential Investments$3,354,298 $2,725,889 
Less: Residential mortgage loans in Investments in Debt and Equity of Affiliates$22,988 $28,886 
Less: Non-Agency RMBS in Investments in Debt and Equity of Affiliates$39,896 $43,140 
Total GAAP Residential Investments$3,291,414 $2,653,863 
(1) EquityIncludes Non-Agency Loans, Agency-Eligible Loans, Re/Non-Performing Loans, and Land Related Financing not held in securitized form.
(2)Includes Non-Agency Loans and Re/Non-Performing Loans held in securitized form.

53


Residential mortgage loans

The following tables present certain information regarding credit quality for certain categories within our Residential mortgage loan portfolio ($ in thousands).
March 31, 2022December 31, 2021
Unpaid Principal BalanceWeighted Average (1)(2)Aging by Unpaid Principal Balance (1)(2)
Fair ValueOriginal LTV RatioCurrent FICO (3)Current30-59 Days60-89 Days90+ DaysFair Value
Non-Agency Loans$2,246,908 $2,232,589 69.32 %733 $2,199,543 $29,453 $3,734 $14,178 $1,844,198 
Agency-Eligible Loans745,978 715,080 64.73 %757 738,216 5,840 539 1,383 440,837 
MATT Non-QM Loans9,243 9,365 60.65 %668 5,005 595 — 3,643 11,839 
Re/Non-Performing Loans370,129 325,018 79.31 %639 243,340 30,564 15,681 74,567 350,227 
Land Related Financing13,569 13,569 N/AN/AN/AN/AN/AN/A16,891 
Total Residential mortgage loans$3,385,827 $3,295,621 69.36 %727 $3,186,104 $66,452 $19,954 $93,771 $2,663,992 
Less: Residential mortgage loans in Investments in Debt and Equity of Affiliates22,861 22,988 60.70 %668 5,005 595 — 3,692 28,886 
Total GAAP Residential mortgage Loans$3,362,966 $3,272,633 69.39 %728 $3,181,099 $65,857 $19,954 $90,079 $2,635,106 
(1)Weighted average and aging data excludes residual investmentspositions where we consolidate a securitization and principal only securitiesthe positions are excluded from this calculation.

(2) Actual maturities of mortgage-backed securities are generally shorter than stated contractual maturities. Actual maturities are affected byrecorded on our balance sheet as Re/Non-Performing Loans. There may be limited data available regarding the contractual livesunderlying collateral of the underlying mortgages, periodic paymentsresidual positions.

(2)Weighted average and 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 principalgeographic concentration of credit risk within loans we include in the "Residential mortgage loans, at fair value" and prepayments of principal.

54
"Securitized residential mortgage loans, at fair value" line items on our consolidated balance sheets.


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.

(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.

Non-Agency RMBS

The following table presents the fair value of our credit securities portfolioNon-Agency RMBS by credit rating as of September 30, 2017March 31, 2022 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 

2021 (in thousands).

Credit Rating - Non-Agency RMBS (1)March 31, 2022December 31, 2021
B$9,804 $10,528 
Not Rated48,873 51,369 
Total: Non-Agency RMBS$58,677 $61,897 
Less: Non-Agency RMBS in Investments in Debt and Equity of Affiliates$39,896 $43,140 
Total: GAAP Basis$18,781 $18,757 
(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

55

The following tables present the geographic concentration of the underlying collateral for our Non-Agency RMBSand 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).

March 31, 2022December 31, 2021
StateFair ValuePercentageStateFair ValuePercentage
California$29,400 50.1 %California$31,480 50.9 %
New York10,488 17.9 %New York11,092 17.9 %
Florida3,515 6.0 %Florida3,661 5.9 %
New Jersey1,846 3.1 %New Jersey1,684 2.7 %
Texas1,639 2.8 %Texas1,511 2.4 %
Other11,789 20.1 %Other12,469 20.2 %
Total$58,677 100.0 %Total$61,897 100.0 %

54


Agency RMBS

The following tables present certain information regarding credit qualitytable presents the fair value ($ in thousands) and the Constant Prepayment Rate ("CPR") experienced on our GAAP Agency RMBS portfolio for certain categoriesthe periods presented.
 Fair ValueCPR (1)
Agency RMBSMarch 31, 2022December 31, 2021March 31, 2022December 31, 2021
30 Year Fixed Rate$211,849 $495,713 11.2 %6.1 %
Interest Only15,374 — 12.9 %— %
Total/Weighted Average$227,223 $495,713 11.3 %6.1 %
(1)Represents the weighted average monthly CPRs published during the period for our in-place portfolio.

Investments in debt and equity of affiliates

The below table details our investments in debt and equity of affiliates as of March 31, 2022 and December 31, 2021 (in thousands).
March 31, 2022December 31, 2021
AssetsLiabilitiesEquityAssetsLiabilitiesEquity
MATT Non-QM Loans (1)$41,270 $(28,086)$13,184 $45,837 $(30,471)$15,366 
Land Related Financing (2)13,569 — 13,569 16,891 — 16,891 
Re/Non-Performing Loans8,045 (5,408)2,637 9,298 (5,538)3,760 
Total Investments excluding AG Arc62,884 (33,494)29,390 72,026 (36,009)36,017 
AG Arc, at fair value54,121 — 54,121 53,435 — 53,435 
Cash and Other assets/(liabilities)4,340 (765)3,575 3,698 (1,127)2,571 
Investments in debt and equity of affiliates$121,345 $(34,259)$87,086 $129,159 $(37,136)$92,023 
(1)As of March 31, 2022 and December 31, 2021, MATT primarily holds retained tranches from past securitizations which continue to reduce in size due to ongoing principal repayments and we do not expect to acquire additional investments within our Non-Agency RMBSthis equity method investment.
(2)Land Related Financing continues to reduce in size due to ongoing principal repayments 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

56
we do not expect to originate new loans within this equity method investment.


Financing activities


We use leverage to completefinance the purchase of real estate securities and loans in our investment portfolio. Through September 30, 2017, ourOur 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.date and typically have a term of 30 to 90 days. 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 agreementsfinancing arrangements mature or roll and are sensitive to governmental regulations. We have not experienced fluctuations in our haircuts that altered our business and financing strategies for the three and nine months ended September 30, 2017, but we continue to monitor the regulatory environment, which may influence the timing and amount of 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. We had outstanding debt with 28 and 23 counterparties at September 30, 2017 and December 31, 2016, respectively, on a GAAP basis.

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, we will have the related principal and interest payments remitted to us by the lender. 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. In responseWe have also used revolving facilities, which are typically longer term in nature than repurchase agreements, to declines in fair valuefinance loans. Interest rates on these facilities are based on prevailing rates corresponding to the terms of pledged assets due to changes in market conditions or the publishing ofborrowings, and interest is paid on a 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, referredbasis. Repurchase agreements and revolving facilities, which we refer to as our financing arrangements, are generally mark-to-market with respect to margin calls. Ascalls and recourse to us. We had outstanding financing arrangements with five counterparties as of September 30, 2017March 31, 2022 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 our2021.

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.

57

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” section below for more information 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 can reasonably be expected to increase as the size of our portfolio increases through equity capital raises and as we increase our investment allocation to Agency RMBS and 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 to their elevated risk profile, have lower allowable leverage ratios than Agency RMBS, which restricts our financing counterparties from providing as much repurchase agreement financing to us and lowers our total repurchase agreement balance.

58

Master repurchase agreements on our investment portfolio

As of September 30, 2017 and December 31, 2016, we have entered into master repurchase agreements on our investment portfolio with 39 and 37 counterparties, respectively, under which we had outstanding debt with 28 and 23 counterparties, respectively, inclusive of repurchase agreements in affiliated entities. See Note 6 to the “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,financing arrangement, typical supplemental terms include requirements of minimum equity and liquidity, leverage ratios, and performance triggerstriggers. 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

55


financing arrangements or otheris 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. As of March 31, 2022, we are in compliance with all of our financial ratios.

covenants.


We also use securitized debt to finance our loan portfolio. Securitized debt is generally non-mark-to-market with respect to margin calls and non-recourse to us.

Recourse and non-recourse financing

The followingbelow table presentsprovides detail on the reconciliation of certain financial information related to repurchase agreements secured by real estate securities to information on a GAAP basisbreakout between recourse and non-recourse financing 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%

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 DecemberMarch 31, 2016:

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%

59

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 December 31, 2016:

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:

Repurchase Agreements Maturing Within: Balance  Weighted Average
Rate		  Weighted Average
Funding Cost		  Weighted
Average Days to
Maturity		  Weighted Average
Haircut		 
Greater than 180 days $21,796,000   3.39%  3.39%  639   33.5%

The following table presents certain financial information related to repurchase agreements secured by commercial loans as of December 31, 2016:

Repurchase Agreements Maturing Within: Balance  Weighted Average
Rate		  Weighted Average
Funding Cost		  Weighted
Average Days to
Maturity		  Weighted Average
Haircut		 
Greater than 180 days $21,796,000   2.91%  3.13%  990   33.5%

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.

60

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, 20172022 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 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” line item on our consolidated balance sheets. The cost of financing on September 30, 2017 and December 31, 2016 on the consolidated tranche was 3.72% and 3.87%, respectively. See Note 2 to the Notes to Consolidated Financial Statements (unaudited) for more detail.

In February 2016, we 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 bears interest at a rate of LIBOR+ 10.00% with a LIBOR floor of 0.25%2021 (in thousands). We determined that the Participation Interest should be 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.

March 31, 2022December 31, 2021
Recourse financing - Financing arrangements$1,424,503 $1,791,596 
Non-recourse financing - Securitized debt, at fair value1,859,917 999,215 
Non-recourse financing - Financing arrangements included in Investments in Debt and Equity of Affiliates20,484 22,156 
Total Financing3,304,904 2,812,967 
Less:
Recourse financing - Financing arrangements included in Investments in Debt and Equity of Affiliates13,010 13,853 
Non-recourse financing - Financing arrangements included in Investments in Debt and Equity of Affiliates20,484 22,156 
Total Financing in Investments in Debt and Equity of Affiliates33,494 36,009 
Total: GAAP Basis$3,271,410 $2,776,958 

Leverage

We define non-GAAP “at-risk”GAAP leverage as the sum of: (i)of (1) GAAP Securitized debt, at fair value, (2) our GAAP repurchase agreements, (ii) repurchase agreements held through affiliated entities but exclusiveFinancing arrangements, net of any restricted cash posted on such financing utilized through AG Arc (iii)arrangements, and (3) the amount payable on purchases that have not yet settled less the financing remaining on sales that have not yet settled, (iv)settled. We define Economic Leverage, a non-GAAP metric, as the consolidated tranche issued bysum 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 Interestprevious 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 ourGAAP leverage calculationsand Economic Leverage by our GAAP stockholders’ equity to derive our leverage ratios. The following tables present a reconciliation of our non-GAAP “at-risk” leverageEconomic Leverage ratio back to GAAP.

     Stockholders’    
September 30, 2017 Leverage  Equity  Leverage Ratio 
GAAP Leverage $2,807,088,863  $706,625,881   4.0x
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   4.2x

     Stockholders’    
December 31, 2016 Leverage  Equity  Leverage Ratio 
GAAP Leverage $1,921,225,560  $655,876,390   2.9x
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   2.9x

61
GAAP Leverage ($ in thousands).


March 31, 2022LeverageStockholders’ EquityLeverage Ratio
GAAP Securitized debt, at fair value$1,859,917 
GAAP Financing arrangements1,411,493 
Restricted cash posted on Financing arrangements(5,399)
Financing arrangements on sales that have not yet settled(66,352)
GAAP Leverage$3,199,659 $547,650 5.8x
Financing arrangements through affiliated entities33,472 
Non-recourse financing arrangements (1)(1,880,401)
Net TBA (receivable)/payable adjustment146,850 
Economic Leverage$1,499,580 $547,650 2.7x
(1) Non-recourse financing arrangements include securitized debt and other non-recourse financing held within MATT.
56


December 31, 2021LeverageStockholders’ EquityLeverage Ratio
GAAP Securitized debt, at fair value$999,215 
GAAP Financing arrangements1,777,743 
Restricted cash posted on Financing arrangements(4,951)
Purchase price payable on Agency-Eligible Loans87 
GAAP Leverage$2,772,094 $570,380 4.9x
Financing arrangements through affiliated entities35,744 
Non-recourse financing arrangements (1)(1,021,371)
Net TBA receivable/(payable) adjustment(394,212)
Economic Leverage$1,392,255 $570,380 2.4x
(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 hedgingderivative 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 to-be-announced securities. 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 includedGAAP. 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.

62
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:

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 

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: 

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 

63

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 agreementsfinancing 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 mentioneddescribed above, our distribution requirements are based on taxable income rather than GAAP net income. The primary differencesDifferences 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, (vi) methods of depreciation and (v) taxes.(vii) differences between GAAP income or losses in our TRSs’ and taxable income resulting from dividend distributions to the REIT from our TRSs'. 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 SeptemberOctober of the following year. As of September 30, 2017 the Company had estimatedWe did not have any undistributed taxable income as of approximately $1.59March 31, 2022.

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.

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.


57


The following table details our common stock dividends declared during the nine monththree months ended September 30, 2017March 31, 2022 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*

2021.
*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.
2022
Declaration DateRecord DatePayment DateCash Dividend Per Share
3/18/20223/31/20224/29/2022$0.21 
2021
Declaration DateRecord DatePayment DateCash Dividend Per Share
3/22/20214/1/20214/30/2021$0.18 

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 

The following tables detail our preferred stock dividends declared and paid during the ninethree months ended September 30, 2017March 31, 2022 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 5/31/20176/19/2017  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 

2021.

2022  Cash Dividend Per Share
Declaration DateRecord DatePayment Date8.25% Series A8.00% Series B8.000% Series C
2/18/20222/28/20223/17/2022$0.51563 $0.50 $0.50 
2021  Cash Dividend Per Share
Declaration DateRecord DatePayment Date8.25% Series A8.00% Series B8.000% Series C
2/16/20212/26/20213/17/2021$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, paypayment of our expenses, financefinancing our investments and satisfysatisfying other general business needs.

Our principal sources of cash as of September 30, 2017 consistedconsist of borrowings under repurchase agreements, payments offinancing arrangements, principal and interest payments we receive on our Agency RMBS and creditinvestment 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 loans, 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 30, 2017,March 31, 2022, we had $166.3$137.9 million available to support ourof liquidity, needs, comprisedwhich consisted of $61.7$50.5 million of cash, $82.5$48.5 million of unencumbered Agency RMBS that we held as of quarter end, and $22.1$38.9 million of unencumbered Agency Interest-Only securities that have not been pledged as collateral under any of our financing agreements.RMBS which we sold during March 2022, but which settled in April 2022. Refer to the “Contractual obligations”"Contractual obligations" section of this Item 2 for additional obligations that could impact our liquidity.

64

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.

65

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 us with financing for which we had greater than 5% of our stockholders’ equity at risk.

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%

Margin requirements

The fair value of our loans and real estate securities and loans fluctuate according to market conditions. When the fair value of the assets pledged as collateral to secure a repurchase agreementfinancing arrangement decreases to the point where the difference between the collateral fair value and the repurchase agreementfinancing 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 tradestransactions 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. Ifassets. Typically, 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 wouldmay 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
58


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.


Cash flows

The below details changes to our cash, cash equivalents, and restricted cash for the three months ended March 31, 2022 and 2021 ($ in thousands).
Three Months Ended
March 31, 2022March 31, 2021Change
Cash and cash equivalents and restricted cash, Beginning of Period$100,229 $62,318 $37,911 
Net cash provided by (used in) operating activities (1)4,528 6,477 (1,949)
Net cash provided by (used in) investing activities (2)(624,197)(526,454)(97,743)
Net cash provided by (used in) financing activities (3)615,611 549,205 66,406 
Net change in cash and cash equivalents and restricted cash(4,058)29,228 (33,286)
Effect of exchange rate changes on cash— 9 (9)
Cash and cash equivalents and restricted cash, End of Period$96,171 $91,555 $4,616 
(1)Cash provided by operating activities is primarily attributable to net interest income less operating expenses for the three months ended March 31, 2022.
(2)Cash used in investing activities for the three months ended March 31, 2022 was primarily attributable to purchases of investments, offset by sales of investments and principal repayments on investments.
(3)Cash provided by financing activities for the three months ended March 31, 2022 was primarily attributable to issuance of securitized debt, offset by net repayments of financing arrangements and dividend payments.

Stock repurchase programs

On November 3, 2015, our Board of Directors authorized a stock repurchase program ("Repurchase Program") to repurchase up to $25.0 million of our 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 our discretion, using available cash resources. Shares of common stock repurchased by us under the Repurchase Program, if any, will be cancelled and, until reissued, will be deemed to be authorized but unissued shares of common stock as required by Maryland law. The Repurchase Program may be suspended or discontinued by us at any time and without prior notice and the authorization does not obligate us to acquire any particular amount of common stock. The cost of the acquisition of shares of our 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. We did not repurchase any shares under the Repurchase Program during the three months ended March 31, 2022 and 2021. Approximately $11.0 million of common stock remained authorized for future share repurchases under the Repurchase Program as of March 31, 2022.

On February 22, 2021, our Board of Directors authorized a stock repurchase program pursuant to which our Board of Directors granted a repurchase authorization to acquire shares of our Series A Preferred Stock, Series B Preferred Stock, and Series C Preferred Stock having an aggregate value of up to $20.0 million. No share repurchases under the Preferred Repurchase Program have been made since its authorization.

59


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. AsFor the three months ended March 31, 2022, we did not issue any shares of September 30, 2017,common stock under the Equity Distribution Agreements. For the three months ended March 31, 2021, we have sold 460,932issued 0.7 million shares of common stock under the Equity Distribution Agreements for net proceeds of approximately $8.7$10.0 million.

Real estate securities

Real estate securities in any remaining unrealized loss position as Since inception of the balance sheet date are not considered other than temporarily impaired asprogram, we have issued approximately 2.2 million shares of common stock under the abilityEquity Distribution Agreements for gross proceeds of $48.3 million.


Common stock offering

On November 22, 2021, we completed a public offering of 7.0 million shares of our common stock and intentsubsequently issued an additional 1.1 million shares pursuant to hold the securitiesunderwriters' exercise of their over-allotment option at a price of $9.98 per share. Net proceeds to maturity or for a period of time sufficient for a forecasted market price recovery up to or aboveus from the cost of the investment and we are not required to sell the security for regulatory or other reasons.

offering were approximately $80.0 million, after deducting offering expenses.


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.

66

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 months ended September 30, 2017,March 31, 2022 and 2021, we incurred management fees of approximately $2.5$2.0 million and $7.4$1.7 million, respectively. For the threeAs of March 31, 2022 and nine months ended September 30, 2016,December 31, 2021, we incurredhave recorded management fees payable of approximately $2.4$2.0 million and $7.3$1.8 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 boardBoard of directors. OfDirectors and discussions with our Manager. For the $2.6three months ended March 31, 2022 and 2021, we have incurred $2.5 million and $8.2 million of Other operating expenses for the three and nine months ended September 30, 2017, respectively, we have accrued $1.4 million and $4.8$1.5 million, respectively, representing a reimbursement of expenses. Ofexpenses which are recorded within the $2.9"Other operating expenses" and "Transaction related expenses" line items on the consolidated statements of operations. As of March 31, 2022 and December 31, 2021, we recorded a reimbursement payable to the Manager of $1.9 million and $8.6$2.1 million, respectively.

60


For the year ended December 31, 2021, the Manager agreed to waive its right to receive expense reimbursements of Other operating expenses for$0.8 million. For the three and nine months ended September 30, 2016, respectively,March 31, 2021, we have accrued $1.8 millionreduced our expense reimbursement amount by $0.2 million.

Incentive fee

In connection with our common stock offering in November 2021, including the Manager's purchase of 700,000 shares in the offering, on November 22, 2021, we and $5.3 million, respectively, representing a reimbursement of expenses.

Share-based compensation

the Manager executed an amendment (the "Third Amendment") to the management agreement, pursuant to which we will pay the Manager an annual incentive fee in addition to the base management fee. Pursuant to the Third Amendment, the Manager waived the annual incentive fee with respect to the fiscal years ending December 31, 2021 and December 31, 2022, and the annual incentive fee will first be payable with respect to the fiscal year ending December 31, 2023.


The annual incentive fee with respect to each applicable fiscal year will be equal to 15% of the amount by which our cumulative adjusted net income from the date of the Third Amendment exceeds the cumulative hurdle amount, which represents an 8% return (cumulative, but not compounding) on an equity hurdle base consisting of the sum of (i) our adjusted book value (calculated in the manner described in our public filings) as of October 31, 2021, (ii) $80.0 million, and (iii) the gross proceeds of any subsequent public or private common stock offerings by us. The annual incentive fee will be payable in cash, or, at the option of our Board of Directors, shares of our common stock or a combination of cash and shares.

In addition, pursuant to the Third Amendment, the term of the management agreement was extended until June 30, 2023, unless earlier terminated in accordance with its terms. Thereafter, the management agreement will continue to renew automatically each year for an additional one-year period, unless the Company or the Manager exercise its respective termination rights. All other terms and conditions of the management agreement continued without change.

Share-based compensation
The AG Mortgage Investment Trust, Inc. 2020 Equity Incentive Plan, andwhich became effective on April 15, 2020 following the Equity Incentive Plan, we can award up to 277,500approval of our stockholders at our 2020 annual meeting of stockholders, provides for a maximum of 666,666 shares of common stock that may be issued under the plan. 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 formvalue of restricted stock, stock options, restricted stock units or other types ofany 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 30, 2017, 65,238March 31, 2022, 591,532 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.

Equity Incentive Plan.

As of September 30, 2017,March 31, 2022, we have granted an aggregate of 52,01275,134 shares of restricted common stock to our independent directors and 160,250under our 2020 Equity Incentive Plan, all of which have vested.

The AG Mortgage Investment Trust, Inc. 2021 Manager Equity Incentive Plan (the "2021 Manager Plan"), which became effective on April 7, 2021 following the approval of our stockholders at our 2021 annual meeting of stockholders, provides for a maximum of 573,425 shares of restricted common stock that may be subject to awards thereunder to our Manager under our equity incentive plans.Manager. As of September 30, 2017, 52,012 and 100,250March 31, 2022, there were no shares or awards issued under the 2021 Manager Plan. Following the execution of restricted common stock grantedthe third amendment to our independent directors and Manager, respectively, have vested.

On July 1, 2017,management agreement in November 2021 related to the Company granted 60,000 restricted stock unitsincentive fee, the Company's compensation committee no longer expects to continue its historical practice of making periodic equity grants to the Manager that representpursuant to the right to receive an equivalent number of shares2021 Manager Equity Incentive Plan.

Unfunded commitments

See Note 12 of the Company’s common stock if and when the units vest. Annual vesting of approximately 20,000 units will occur"Notes to Consolidated Financial Statements (unaudited)" for detail on each of July 1, 2018, July 1, 2019, and July 1, 2020. The units do not entitle the participant the rights of a holder of the Company’s common stock, such as dividend and voting rights, until shares are issued in settlement of 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 Manager or the Manager’s transferee shall be immediately cancelled 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 andour commitments as of September 30, 2017, we had not funded any of our commitment to MATH.

67
March 31, 2022.


Other

We have presented a table that details the contractual maturity of our financing

Off-balance sheet 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
Our investments in debt and equity of affiliates primarily consist of loans, real estate securities, and exclusive of accruedour interest on any financing utilized throughin AG Arc. The changeInvestments in accrued interest ondebt and equity of affiliates are accounted for using the equity method of accounting. Certain of our repurchase agreements resulted frominvestments in debt and equity of affiliates securitize residential mortgage loans and retain interests in the increasesubordinated tranches of the transferred assets. These retained interests are included in the MATT Non-QM Loans and Re/Non-Performing Loans line items of our repurchase agreement balance from $1.9 billion asinvestment portfolio. See Notes 2 and 10 to the "Notes to Consolidated Financial Statements (unaudited)" for a discussion of December 31, 2016 to $2.7 billion asinvestments in debt and equity 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. affiliates.


61


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. AsRefer to Note 7 to the "Notes to Consolidated Financial Statements (unaudited)" for additional detail on TBAs 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,March 31, 2022.

For additional information on our consolidated balance sheets.

Ourcommitments as of March 31, 2022, refer to Note 12 of the "Notes to Consolidated Financial Statements (unaudited)." Exclusive of our investments in debt and equity of affiliates are comprised of real estate securities and loans, our interest in AG Arc, associated repurchase agreements and interest receivable/payable on such accounts. Investments in debt and equity of affiliates are accounted for using the equity method of accounting. As of September 30, 2017, our real estate securities and loans, and interest in AG Arc haddescribed above, we do not expect these commitments, taken as a fair market value of $97.6 million. As of September 30, 2017, these investments, inclusive of associated repurchase agreements and interest receivable/payable hadwhole, to be significant to, or to have a fair market value of $89.1 million which is included in the “Investments in debt and equity of affiliates” line itemmaterial impact on, our consolidated balance sheets.

Certain related person transactions

Our board of directors has adopted a policy regarding the approval of any “related person transaction,” which is any transactionoverall liquidity or series of transactions in which (i) wecapital resources or any of our subsidiaries is or are 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 all 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 to Consolidated Financial Statements (unaudited) for further detail on restricted stock grants.

Red Creek

In connection with 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. operations.


Critical accounting policies
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.

68

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 onprepare 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 agreementsconformity 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 AgreementGAAP, which requires the use of estimates and assumptions that MATH fund a capital commitmentaffect reported amounts of $75.0 million to MATT. Our shareassets 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 uscontingent 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 securitizationbelieve that the estimates, judgments and assumptions utilized in July 2015 with the Related Parties by combining the assetspreparation 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 sheetsfinancial statements are prudent and had a fair value of $5.1 millionreasonable. Although our estimates contemplate conditions as of March 31, 2022 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 certainconsolidated 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.

69
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, 2021 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 loans, (iii) Accounting for real estate securities, (iv) Interest income recognition, (v) Financing arrangements, and (vi) Investment consolidation.

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 independentthird-party pricing of our assets at each quartereach-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 “Notesto 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 “Notesto the "Notes to Consolidated Financial Statements (unaudited).”

Inflation

Virtually all of our assets"


Compliance with Investment Company Act 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

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, 2021 and for the three months ended March 31, 2022, 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
62


entity relying on Section 3(c)(5)(C) to invest at least 55% of its portfolio in "qualifying assets" (the "55% Test") and at least another 25% in additional qualifying assets or in "real estate-related" assets (with no more than 20% comprised of miscellaneous assets) (the "80% Test"). As of December 31, 2016,2021 and for the three months ended March 31, 2022, we determined that weour subsidiaries maintained compliance with both the 55% Test and the 80% Test requirements.

We intend to conduct our business so as to maintain our qualification as a REIT under the Code by satisfying the asset, income, distribution and other REIT 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, 2016.2021. 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. Overall,2021. We believe we believe that we metare currently in compliance with the REIT income and asset tests. We also believe that we mettests as well as all other REIT requirements including the ownership of our common stock and the distribution of our nettaxable income. Therefore, for the year ended December 31, 2016,2021, we believe that we qualified as a REIT under the Code.

ITEM 3.QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK.

63


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 creditbasis 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.

70
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 assetsinvestment portfolio and our financings; by structuring our financing agreementsarrangements to have a range of maturity terms, amortizations and interest rate adjustment periods; and by using hedgingderivative instruments to adjust interest rate sensitivity of our target assetsinvestment 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 agreementsfinancing arrangements are short term in nature, withexclusive of our residential mortgage loans financed through securitized debt. Repurchase agreements financing our securities portfolio typically have an initial term between 30 and 90 days while repurchase agreements financing our residential mortgage loans prior to securitization have an initial term of between 30 and 90 days.one year. 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 entersmay 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 marketfair 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 compriserepresent 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 aan instantaneous 100 basis point parallel shift in the yield curve.curve while assuming all other market risk factors remain constant. 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 30, 2017, we computed an estimated net effective Duration does not include our investment in AG Arc LLC.

64



The following chart details information about our duration gap as of 1.36 years, comprised of 2.68 Agency RMBS duration, 0.92 of credit investment duration, (2.20) hedge duration and (0.04) liability duration.

March 31, 2022.


Duration (1)Years
Agency RMBS0.55 
Residential Investments3.60 
Hedges(3.44)
Duration Gap0.71 
(1)Duration related to financing arrangements is netted within its respective line items.

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 10075 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 incomeequity, assets and equityincome 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 existedexisting as of September 30, 2017.March 31, 2022. Actual results could differ materially from these estimates.

Agency RMBS and Agency-Eligible Loan 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 30, 2017,March 31, 2022, our Manager may from time to time sell any of our investments as a part of the overall management of our investment portfolio.

71


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%

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(2.1)%(0.3)%1.1 %
50(1.3)%(0.2)%0.7 %
25(0.6)%(0.1)%0.4 %
(25)0.6 %0.1 %(0.4)%
(50)1.0 %0.1 %(0.7)%
(75)1.4 %0.2 %(1.4)%
(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 September 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.

March 31, 2022.


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 borrowingfinancings primarily in the form of repurchase agreements.

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 carefully selected group of financing counterparties and (ii) monitoring the ongoing financial stability and future business plans of our financing counterparties.


65


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 transactionsfinancing 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,during the Great Financial Crisis (2007-2009) and the onset of the COVID-19 pandemic (2020), our repurchase agreementfinancing arrangement counterparties may increase our margin requirements on new financings, including repurchase transactions that we roll at maturity with the same counterparty, whichcounterparty. 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 futuresswaps 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 futuresswaps and our counterparties were forced to unwind the swap or futures. For our non-centrally cleared instruments, the initial margin is set at the outset of each trade as a fixed percentage of the notional amount of the instrument. This means that once we post initial margin at the outset of a non-centrally cleared instrument, we will have no further posting obligations as it pertains to initial margin. However, the initialswap. Initial margin on our centrally cleared instrumentstrades 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 instrumentstrades 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.

72


Our TBA dollar roll contracts are also subject to margin requirements governed by the Mortgage-Backed Securities Division (“MBSD”) of the Fixed Income Clearing Corporation and by our prime brokerage agreements, which may establish margin levels in excess of the MBSD. Such provisions require that we establish an initial margin based on the notional value of the TBA contract, which is subject to increase if the estimated fair value of 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. In the event of a margin call, we must generally provide additional collateral, either securities or cash, 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 loans in our portfolio in order to meet future margin calls. In addition, our Manager seeks to further mitigate our liquidity risk by (i) diversifying our exposure across a broad number of financing counterparties, (ii) limiting our exposure to any single financing counterparty and (iii) monitoring the ongoing financial stability of our financing counterparties.

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.

As further discussed in the “Critical Accounting Policies” section above, 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” 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 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)housing); construction quality, age and design; demographic factors; and retroactive changes to building or similar codes. Decreases in property values could cause us to suffer losses and reduce the value of the collateral underlying our RMBS and CMBS portfoliosportfolio 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

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-Agencynon-agency assets in our portfolio, including residential and commercial mortgage loans as well as Non-Agency RMBS, ABS and CMBS.portfolio. 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.

73


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 financial transactions, labor shortages, supply chain interruptions, increased unemployment and property vacancy and lease default rates, reduced profitability and ability for property owners to
66


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 mortgage loans and RMBS investments, the fair value of these assets, our ability to liquidate the collateral that may underlie these investments and obtain additional financing 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 or discounts on our assets are amortized or accreted 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. An increase in the prepayment rate will similarly accelerate the accretion of purchase discounts, conversely increasing the yield or interest income earned on such assets. A decrease in the prepayment rate will have a directionally opposite impact on the yield or interest income.
As further discussed in Note 2 of the "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" 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 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.
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.

67


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 30, 2017.March 31, 2022. 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.

68



PART II — OTHER INFORMATION

ITEM1.
ITEM 1.LEGAL PROCEEDINGS.


We are at times subject to various legal proceedings and claims arising in the ordinary course of our business. In addition, in the ordinary course of business, we can be and are involved in governmental and regulatory examinations, information gathering requests, investigations and proceedings. 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.


ITEM1A.
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, 20162021 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.


ITEM2.
ITEM2.
UNREGISTERED SALES OF EQUITY SECURITIES AND USE OF PROCEEDS.


None.


ITEM3.
ITEM 3.DEFAULTS UPON SENIOR SECURITIES.


None.


ITEM4.
ITEM 4.MINE SAFETY DISCLOSURES

None.

74


None.

69


ITEM 5.OTHER INFORMATION.

None.

ITEM 6.EXHIBITS.

Exhibit
No.		Description
ITEM 5.OTHER INFORMATION.

Submission of Matters to a Vote of Security Holders - Results of 2022 Annual Meeting of Stockholders

On May 2, 2022, the Company held its 2022 annual meeting of stockholders, where the Company’s stockholders voted on the following matters which were set forth in the notice for the meeting:

1.Election of six directors to the Company's board of directors, with each director serving until the Company's 2023 annual meeting of stockholders and until his or her successor is duly elected and qualified;
2.Ratification of the appointment of PricewaterhouseCoopers LLP as the Company's independent registered public accounting firm for the year ending December 31, 2022; and
3.Approval, on an advisory basis, of the Company's executive compensation.
Each of the six nominees was elected, the appointment of PricewaterhouseCoopers LLP as the independent registered public accounting firm was ratified, and the executive compensation was approved on an advisory basis. The vote tabulation for each proposal is as follows:

1.Election of Directors:

DirectorVotes ForVotes WithheldBroker Non-Votes
T.J. Durkin7,091,6612,881,0076,432,386
Debra Hess6,984,7712,987,8976,432,386
Dianne Hurley7,044,9842,927,6846,432,386
Matthew Jozoff9,786,801185,8676,432,386
Peter Linneman6,818,0493,154,6196,432,386
David Roberts7,143,3222,829,3466,432,386
2.Ratification of the appointment of PricewaterhouseCoopers LLP as the Company’s independent registered public accounting firm for the year ending December 31, 2022:

Votes ForVotes AgainstAbstentionsBroker Non-Votes
13,914,830146,8502,343,374— 
3.Approval, on an advisory basis, of the Company's executive compensation:

Votes ForVotes AgainstAbstentionsBroker Non-Votes
7,441,6402,411,292119,7326,432,390

Amended Form Indemnification Agreement

On May 2, 2022, we entered into amended and restated indemnification agreements (each, an “Indemnification Agreement”) with each of our directors and officers (each, an “Indemnitee”) to, among other things (i) provide the Indemnitee with the most comprehensive indemnification permissible under the Maryland General Corporation Law (the “MGCL”), (ii) provide additional clarity, and (iii) conform language and style to the language and style of the MGCL.

The foregoing description of the Indemnification Agreements does not purport to be complete and is qualified in its entirety by reference to a copy of the form of Indemnification Agreement filed as Exhibit 10.1 to this Quarterly Report on Form 10-Q, which is incorporated by reference herein.


70


ITEM 6.EXHIBITS.
Exhibit
No.
Description
Articles of Amendment and Restatement of AG Mortgage Investment Trust, Inc., incorporated by reference to Exhibit 3.1 of Amendment No. 2 to ourthe 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").
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.
Amended and Restated Bylaws of AG Mortgage Investment Trust, Inc. Inc., incorporated by reference to Exhibit 3.1 of Pre-Effective Amendment No. 2.3.3 on Form 10-K filed with the Securities and Exchange Commission on February 25, 2022.
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.
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.
*3.6
Articles Supplementary of 8.000% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, 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 3.1 of 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.
Specimen Common Stock Certificate of AG Mortgage Investment Trust, Inc., incorporated by reference to Exhibit 4.1 of Pre-Effective Amendment No. 2.on Form 10-Q filed with the Securities and Exchange Commission on May 7, 2021.
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.
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 10.13.9 of Amendment No. 7 to ourthe Company's Registration Statement on Form S-11, filed with the Securities and Exchange Commission on June 29, 2011 (“Pre-Effective Amendment No. 7”).
*10.2Form 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.**
*10.3Equity Incentive Plan, dated July 6, 2011, incorporated by reference to Exhibit 10.4 of Pre-Effective Amendment No. 2.**
*10.4Manager Equity Incentive Plan, dated July 6, 2011, incorporated by reference to Exhibit 10.5 of Pre-Effective Amendment No. 2.**
*10.5Form 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.**
*10.6Form 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.**
*10.7Form 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.
*10.8Amended 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.

75

*10.9Guarantee 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.
*10.10Amended 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.
*10.11Guarantee 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.
*10.12Master 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.

*10.13Guarantee 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 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.
10.1*10.14
Form of Restricted Stock Unit AwardIndemnification 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.**
*10.15Omnibus 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.
*10.16Form 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. SigmanAnthony 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.
71


32.2*
Certification of Brian C. SigmanAnthony 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.INSXBRL Instance Document
101.SCHXBRL Taxonomy Extension Schema Document
101.CALXBRL Taxonomy Extension Calculation Linkbase Document
101.DEFXBRL Taxonomy Extension Definition Linkbase Document
101.LABXBRL Taxonomy Extension Label Linkbase Document
101.PREXBRL Taxonomy Extension Presentation Linkbase Document

*Fully or partly previously filed.
**Management contract or compensatory plan or arrangement.

10476Cover Page Interactive Data File (formatted as Inline XBRL)

*Filed herewith.

72


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, 2017May 6, 2022By:/s/ DAVID N. ROBERTS
David N. Roberts
David N. Roberts
Chief Executive Officer (principal executive officer)
November 1, 2017May 6, 2022By:/s/ Brian C. SigmanANTHONY W. ROSSIELLO
Brian C. SigmanAnthony W. Rossiello

Chief Financial Officer and Treasurer (principal financial


officer and principal accounting officer)

77

AG MORTGAGE INVESTMENT TRUST, INC.

FORM 10-Q
September 30, 2017

INDEX OF EXHIBITS

Exhibit
No.		Description
*3.1Articles 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”).
*3.2Articles 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.
*3.3Amended and Restated Bylaws of AG Mortgage Investment Trust, Inc., incorporated by reference to Exhibit 3.1 of Pre-Effective Amendment No. 2.
*3.4Articles 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.
*3.5Articles 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. 
*4.1Specimen Stock Certificate of AG Mortgage Investment Trust, Inc., incorporated by reference to Exhibit 4.1 of Pre-Effective Amendment No. 2.
*4.2Specimen 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.
*4.3Specimen 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.
*10.1Form 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”).
*10.2Form 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.**
*10.3Equity Incentive Plan, dated July 6, 2011, incorporated by reference to Exhibit 10.4 of Pre-Effective Amendment No. 2.**
*10.4Manager Equity Incentive Plan, dated July 6, 2011, incorporated by reference to Exhibit 10.5 of Pre-Effective Amendment No. 2.**
*10.5Form 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.**
*10.6Form 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.**
*10.7Form 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.
*10.8Amended 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.

78


*10.9Guarantee 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.
*10.10Amended 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.
*10.11Guarantee 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.
*10.12Restated 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.

*10.13Guarantee 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.
*10.14Form 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.**
*10.15Omnibus 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.
*10.16Form of Restricted Stock Unit Award Agreement, dated July 1, 2017.**
31.1Certification of David N. Roberts pursuant to Rule 13a-14(a), as adopted pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.
31.2Certification of Brian C. Sigman pursuant to Rule 13a-14(a), as adopted pursuant to Section 302 of the Sarbanes-Oxley Act of 2002. 
32.1Certification 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. 
32.2Certification 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.INSXBRL Instance Document
101.SCHXBRL Taxonomy Extension Schema Document
101.CALXBRL Taxonomy Extension Calculation Linkbase Document
101.DEFXBRL Taxonomy Extension Definition Linkbase Document
101.LABXBRL Taxonomy Extension Label Linkbase Document
101.PREXBRL Taxonomy Extension Presentation Linkbase Document

*Fully or partly previously filed.
**Management contract or compensatory plan or arrangement.

79
73