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美國

證券交易委員會

華盛頓特區20549 

__________________________________________________

形式 10-Q

__________________________________________________ 

(Mark一）

☒			根據1934年《證券交易法》第13或15（d）條的季度報告

截至季度 2024年9月30日

或

☐			根據1934年《證券交易所法》第13或15（d）條提交的過渡報告

從                          到                         

委員會檔案編號 001-35151

_____________________________________________________________________ 

AG Mortgage Investmentt TRUSt，Inc.

（章程中規定的註冊人的確切名稱） 

_____________________________________________________________________ 

馬里蘭			27-5254382
（州或其他司法管轄區 公司或組織）			（國稅局僱主 識別號）
公園大道245號, 26樓 紐約, 紐約			10167
（主要行政辦公室地址）			(Zip代碼）

(212) 692-2000

（註冊人的電話號碼，包括地區代碼）

根據該法第12（b）條登記的證券：

每個班級的標題：

交易符號：

註冊的每個交易所的名稱：

普通股，每股面值0.01美金

Mitt

紐約證券交易所 （紐約證券交易所）

8.25% A系列累計可贖回優先股

米特·普A

紐約證券交易所 （紐約證券交易所）

8.00% b系列累積可贖回優先股

米特PrB

紐約證券交易所 （紐約證券交易所）

8.000% C系列固定利率至浮動利率累計可贖回優先股

米特PrC

紐約證券交易所 （紐約證券交易所）

9.500% 2029年到期的優先票據

MITN

紐約證券交易所 （紐約證券交易所）

9.500% 2029年到期的優先票據

MITP

紐約證券交易所 （紐約證券交易所）

通過勾選標記確定註冊人是否：（1）在過去12個月內（或在註冊人被要求提交此類報告的較短期限內）提交了1934年證券交易法第13或15（d）條要求提交的所有報告，以及（2）在過去90天內是否遵守此類提交要求。 是的   ý 沒有 ¨

通過勾選標記檢查註冊人是否已在過去12個月內（或在註冊人被要求提交此類文件的較短期限內）以電子方式提交了根據第405條和第S-t條（本章第232.405條）要求提交的所有交互數據文件。 是的   ý 沒有 ¨

通過複選標記來確定註冊人是大型加速申報人、加速申報人、非加速申報人、小型報告公司還是新興成長型公司。請參閱《交易法》第120條第2條中「大型加速申報人」、「加速申報人」、「小型報告公司」和「新興成長型公司」的定義。

大型加速文件夾 ¨     加速編報公司 ý 非加速文件 ¨ 小型上市公司 ☒ 新興成長型公司 ☐

如果是新興成長型公司，請通過勾選標記表明註冊人是否選擇不利用延長的過渡期來遵守根據《交易法》第13（a）條規定的任何新的或修訂的財務會計準則。 ¨ 

通過勾選標記檢查註冊人是否是空殼公司（定義見《交易法》第120條第2款）。

是的 ☐ 沒有 ý

截至2024年10月31日，已有 29,509,801 AG Mortgage Investment Trust，Inc.普通股流通股

---

AG Mortgage Investmentt TRUSt，Inc.

目錄

						頁面
第一部分. 財務資料
項目1.			財務報表（未經審計）
			截至2024年9月30日和2023年12月31日的合併資產負債表			3
			截至2024年9月30日和2023年9月30日的三個月和九個月的合併經營報表			4
			截至2024年9月30日和2023年9月30日的三個月和九個月合併股東權益表			5
			截至2024年9月30日和2023年9月30日止九個月的合併現金流量表			6
			合併財務報表附註（未經審計）
			注1.組織			8
			說明2.主要會計政策概要			11
			說明3.貸款			14
			說明4.房地產證券			20
			說明5.公平值計量			23
			說明6.融資			30
			說明7.其他資產及負債			33
			說明8.每股收益			35
			說明9.所得稅			36
			說明10.關聯交易			38
			注11。股權			44
			說明12.承諾和意外情況			46
			注13。後續事件			46
項目2.			管理層對財務狀況和經營成果的討論和分析			47
項目3.			關於市場風險的定量和定性披露			83
項目4.			控制和程式			87
第二部分. 其他信息						88
項目1.			法律訴訟			88
項目1A.			危險因素			88
項目2.			股權證券的未登記銷售和收益的使用			88
項目3.			優先證券			88
項目4.			礦山安全披露			88
項目5.			其他信息			88
項目6.			展品			89

---

第一部分

 

項目1.財務報表

 

AG抵押投資信託公司和子公司

合併資產負債表（未經審計）

(單位為千，每股數據除外)

			2024年9月30日						2023年12月31日
資產
證券化住宅抵押貸款，按公允價值計算-美金727,794 和$645,876 分別質押為抵押品（1）			$	6,226,698					$	5,358,281
住宅抵押貸款，按公允價值計算-美金259,552 和$315,225 分別質押為抵押品			265,047						317,631
商業貸款，按公允價值計算-美金66,875 和$66,303 分別質押為抵押品			66,875						66,303
房地產證券，按公允價值-美金175,170 和$155,115 分別質押為抵押品			197,558						162,821
附屬公司債務和股權投資			48,596						55,103
現金及現金等價物			102,532						111,534
受限制現金			11,686						14,039
其他資產			41,083						40,716
總資產			$	6,960,075					$	6,126,428
負債
證券化債務，按公允價值計算（1）			$	5,497,552					$	4,711,623
融資安排			789,499						767,592
優先無抵押票據			95,548						—
可轉換優先無擔保票據			—						85,266
應付股息			5,604						1,472
其他負債（2）			31,787						32,107
總負債			6,419,990						5,598,060
承諾和或有事項（注12）
股東權益
優先股-美金227,991 總清算優先權			220,472						220,472
普通股，面值美金0.01 每股; 450,000 授權普通股股份和 29,493和29,437 分別於2024年9月30日和2023年12月31日發行和發行的股票			295						294
借記資本公積			824,239						823,715
留存收益/（赤字）			(504,921)						(516,113)
股東權益總額			540,085						528,368
負債總額和股東權益			$	6,960,075					$	6,126,428

(1)這些餘額與某些住宅抵押貸款有關，這些貸款已證券化，導致公司合併了為促進這些證券化而創建的可變利息實體，因為公司被確定為主要受益人。「按公允價值計算的證券化債務」由證券化信託內持有的「按公允價值計算的證券化住宅抵押貸款」作為抵押。有關更多詳細信息，請參閱注釋3和注釋6。

(2)有關應付附屬公司金額的更多詳細信息，請參閱注釋7和注釋10。

附註是這些未經審計的綜合財務報表的組成部分。

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AG抵押投資信託公司和子公司

合併業務報表(未經審計)

(單位爲千，每股數據除外)

			止三個月												止九個月
			2024年9月30日						2023年9月30日						2024年9月30日						2023年9月30日
淨利息收入
利息收入			$	107,456					$	64,211					$	302,843					$	182,802
利息開支			92,506						52,692						254,333						148,309
淨利息收入總額			14,950						11,519						48,510						34,493
其他收入/（損失）
利率互換的淨利息部分			2,180						2,221						6,447						5,025
已實現淨收益/（損失）			(10,788)						7,127						(9,928)						9,171
未實現淨收益/（損失）			19,700						(8,768)						20,488						(257)
其他收入總額/（損失）			11,092						580						17,007						13,939
費用
附屬公司管理費（1）			1,708						2,054						5,202						6,190
非投資相關費用（1）			2,750						2,454						8,610						7,848
投資相關費用（1）			3,411						2,347						10,185						6,905
交易相關費用（1）			684						7,597						2,164						9,700
總費用			8,553						14,452						26,161						30,643
附屬公司盈利/（虧損）權益前的收入/（虧損）			17,489						(2,353)						39,356						17,789
來自附屬公司的收益/（損失）權益			(849)						188						2,099						642
淨收益/(虧損)			16,640						(2,165)						41,455						18,431
優先股股息			(4,716)						(4,586)						(13,888)						(13,758)
普通股股東可獲得的淨利潤/（損失）			$	11,924					$	(6,751)					$	27,567					$	4,673
每股普通股收益/（損失）
基本			$	0.40					$	(0.33)					$	0.94					$	0.23
稀釋			$	0.40					$	(0.33)					$	0.93					$	0.23
已發行普通股加權平均股數
基本			29,493						20,219						29,473						20,508
稀釋			29,520						20,219						29,500						20,508

    (1) 有關關聯方交易的更多詳情，請參閱注10。

附註是這些未經審計的綜合財務報表的組成部分。

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AG抵押投資信託公司和子公司

合併股東權益報表（未經審計）

(in數千）

截至2024年9月30日和2023年9月30日的三個月
			普通股												首選選項 股票						額外 實收資本						保留 收益/（赤字）
			股份						量																								總
2024年7月1日餘額			29,474						$	295					$	220,472					$	824,106					$	(511,371)					$	533,502
限制性股票的授予和股權補償的攤銷			19						—						—						133						—						133
已宣佈的普通股股息			—						—						—						—						(5,604)						(5,604)
宣佈的優先股息			—						—						—						—						(4,586)						(4,586)
淨收益/(虧損)			—						—						—						—						16,640						16,640
2024年9月30日餘額			29,493						$	295					$	220,472					$	824,239					$	(504,921)					$	540,085
			普通股												首選選項 股票						額外 實收資本						保留 收益/（赤字）
			股份						量																								總
2023年7月1日的餘額			20,205						$	202					$	220,472					$	772,438					$	(532,387)					$	460,725
限制性股票的授予			14						—						—						87						—						87
已宣佈的普通股股息			—						—						—						—						(3,639)						(3,639)
宣佈的優先股息			—						—						—						—						(4,586)						(4,586)
淨收益/(虧損)			—						—						—						—						(2,165)						(2,165)
2023年9月30日餘額			20,219						$	202					$	220,472					$	772,525					$	(542,777)					$	450,422

截至2024年9月30日和2023年9月30日的九個月
			普通股												首選選項 股票						額外 實收資本						保留 收益/（赤字）
			股份						量																								總
2024年1月1日餘額			29,437						$	294					$	220,472					$	823,715					$	(516,113)					$	528,368
限制性股票的授予和股權補償的攤銷			56						1						—						524						—						525
已宣佈的普通股股息			—						—						—						—						(16,505)						(16,505)
宣佈的優先股息			—						—						—						—						(13,758)						(13,758)
淨收益/(虧損)			—						—						—						—						41,455						41,455
2024年9月30日餘額			29,493						$	295					$	220,472					$	824,239					$	(504,921)					$	540,085
			普通股												首選選項 股票						額外 實收資本						保留 收益/（赤字）
			股份						量																								總
2023年1月1日的餘額			21,284						$	212					$	220,472					$	778,606					$	(536,490)					$	462,800
普通股回購			(1,110)						(11)						—						(6,341)						—						(6,352)
限制性股票的授予			45						1						—						260						—						261
已宣佈的普通股股息			—						—						—						—						(10,960)						(10,960)
宣佈的優先股息			—						—						—						—						(13,758)						(13,758)
淨收益/(虧損)			—						—						—						—						18,431						18,431
2023年9月30日餘額			20,219						$	202					$	220,472					$	772,525					$	(542,777)					$	450,422

附註是這些未經審計的綜合財務報表的組成部分。

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AG抵押投資信託公司和子公司

合併現金流量表(未經審計)

(in數千）

			止九個月
			2024年9月30日						2023年9月30日
經營活動的現金流
淨收益/(虧損)			$	41,455					$	18,431
將淨收入/（虧損）與經營活動提供（用於）的淨現金進行調節的調整：
溢價/（折扣）淨攤銷			8,335						6,684
已實現淨（收益）/損失			9,928						(9,171)
未實現淨（收益）/損失			(20,488)						257
限制性股票的授予和股權補償的攤銷			525						261
附屬公司的權益（收益）/虧損			(2,099)						(642)
附屬公司債務和股權投資收入的分配			1,098						814
經營資產/負債變化：
其他資產			8,172						(2,724)
其他負債			(6,742)						4,210
經營活動提供(用於)的現金淨額			40,184						18,120
投資活動產生的現金流
購買住宅抵押貸款			(1,241,586)						(951,478)
購買房地產證券			(627,495)						(289,557)
附屬公司債務和股權投資			—						(4,107)
住宅抵押貸款銷售收益			159,963						310,780
出售房地產證券所得收益			586,094						149,556
住宅抵押貸款本金償還			475,300						260,367
房地產證券本金償還			19,981						11,163
住宅抵押貸款本金融資			(171)						—
收到的分配超過附屬公司債務和股權投資收入			8,472						16,466
利率掉期和其他工具的淨結算			(23,854)						21,346
TB淨結算			24						(65)
其他投資活動提供的現金流			5,383						3,939
投資活動提供(用於)的現金淨額			(637,889)						(471,590)
融資活動產生的現金流
普通股回購			—						(6,352)
融資安排（償還）下的淨借款			31,545						(55,274)
固定利率長期融資安排的本金償還			(8,379)						—
發行優先無擔保票據的收益			95,217						—
可轉換優先無擔保票據的回購			(7,059)						—
可轉換優先無擔保票據的本金償還			(79,120)						—
已支付的遞延融資成本			(142)						(9)
發行證券化債務的收益			1,020,319						878,298
證券化債務的本金償還			(439,900)						(288,783)
從衍生品對手方收到（支付給）的淨抵押品			—						(9,026)
普通股支付的股息			(12,373)						(11,167)
優先股支付的股息			(13,758)						(13,758)
融資活動提供(用於)的現金淨額			586,350						493,929

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			止九個月
			2024年9月30日						2023年9月30日
現金及現金等值物和限制現金淨變化			(11,355)						40,459
現金及現金等值物以及受限制現金，期末			125,573						98,803
現金及現金等值物以及受限制現金，期末			$	114,218					$	139,262
補充披露現金流量信息：
爲融資安排和證券化債務的利息支付的現金			$	230,581					$	133,716
繳納所得稅的現金			$	141					$	225
非現金融資和投資活動補充披露：
從住宅抵押貸款轉向證券化住宅抵押貸款			$	1,104,188					$	968,545
已宣佈但未支付的普通股股息			$	5,604					$	3,639
從住宅抵押貸款轉移至其他資產			$	3,568					$	3,108

下表提供了綜合資產負債表內報告的現金及現金等值項目以及受限制現金的對賬，其總和相當於綜合現金流量表中所示的相同金額的總和：

			2024年9月30日						2023年9月30日
現金及現金等價物			$	102,532					$	118,735
受限現金			11,686						20,527
合併現金流量表中顯示的現金、現金等值物和限制現金總額			$	114,218					$	139,262

 

隨附的附註是該等未經審計綜合財務報表的組成部分。

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AG抵押投資信託公司和子公司

合併財務報表附註(未經審計)

2024年9月30日

1. 組織

AG抵押投資信託公司(the「Company」或「MITT」）是一家住宅抵押貸款房地產投資信託基金，專注於投資美國抵押貸款市場中住宅抵押貸款相關資產的多元化風險調整投資組合。該公司的投資活動主要包括收購房地產市場非機構部門新發起的住宅抵押貸款並將其證券化。該公司通過Arc Home，LLC（「Arc Home」）獲得其資產，Arc Home是一家住宅抵押貸款發起人，該公司擁有大約 44.6%利息，並通過其他第三方發起合作伙伴。

2023年12月6日，該公司收購了Western Asset Mortgage Capital Corporation（「WMC」），這是一家外部管理的抵押貸款房地產投資信託基金，專注於投資、融資和管理住宅抵押貸款、房地產相關證券和商業房地產貸款的投資組合。有關更多信息，請參閱下面的「WMC收購」部分。

該公司的資產（不包括其在Arc Home的所有權）包括住宅投資、代理RMBS和Legacy WMC商業投資。目前，其住宅投資主要包括新發起的非機構貸款、貸款合格貸款和房屋淨值貸款。公司可能投資於其他類型的住宅抵押貸款和其他抵押相關資產。該公司還通過其在附屬公司的未合併所有權權益投資住宅投資，這些權益包括在其合併資產負債表上的「附屬公司的債務和股權投資」細目中。

該公司的資產類別主要包括以下內容：

資產類別						描述
住宅投資
非機構貸款(1)						•非機構貸款是指不符合政府支持企業(「政府支持企業」)的承保準則的貸款。非機構貸款包括合格按揭貸款(「合格按揭貸款」)和非合格按揭貸款(「非合格按揭貸款」)。QM貸款是符合消費金融保護局還款能力規則和相關指引的住房抵押貸款。
符合機構資格的貸款(1)						•符合機構資格的貸款是根據GSE準則承銷的貸款，主要由投資物業擔保，但不由GSE擔保。雖然這些貸款是根據GSE準則承銷的，並且可以交付給房利美和房地美，但該公司將這些貸款包括在其非機構證券化中。
房屋淨值貸款(1)						•房屋淨值貸款是一種循環信用額度或封閉式貸款，主要由住宅抵押財產的第二留置權擔保，爲借款人提供獲得房屋淨值的機會，而無需償還現有的抵押貸款。以循環信貸額度結構的房屋淨值貸款通常有3至5年的初始提款期，在初始提款期結束後，貸款通常轉換爲15年或25年的攤銷貸款。
再貸款和不良貸款(1)						•履約、再履行和不良貸款是以第一留置權抵押財產爲抵押的住房抵押貸款。
非機構RMBS(2)						•非機構住宅抵押貸款支持證券(「RMBS」)是指由美國政府支持企業或美國政府機構以外的實體發行的固定利率和浮動利率的RMBS。
代理RMBS(2)						•機構RMBS代表由房利美或房地美等GSE或Ginnie Mae等美國政府機構擔保的住宅抵押貸款池中的權益。
傳統的WMC商業投資(3)
商業貸款						•商業貸款是第一留置權商業抵押貸款的參與方。
CMBS(2)						•商業按揭支持證券(「CMBS」)指以單一商業按揭貸款或一組商業按揭貸款作爲抵押或證明擁有權益的固定利率及浮動利率商業按揭證券的投資。

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AG抵押投資信託公司和子公司

合併財務報表附註(未經審計)

2024年9月30日

(1)該等投資計入綜合資產負債表上的「按公允價值計算的證券化住宅抵押貸款」或「按公允價值計算的住宅抵押貸款」細目中。

(2)該等投資計入綜合資產負債表上的「房地產證券，按公允價值計算」細目中。

(3)該公司的投資包括在WMC收購中收購的商業貸款、CMBS和其他證券（統稱爲「Legacy WMC Commercial Investments」）。該公司預計要麼持有Legacy WMC商業投資直至到期，要麼機會性地退出這些投資。

該公司通過以下方式開展業務 一 可報告部門貸款和證券，反映了公司如何管理其業務以及分析和報告其運營業績。

該公司於2011年3月1日在馬里蘭州註冊成立，並於2011年7月開始運營。該公司的業務符合1986年《國內稅收法》（經修訂）規定的房地產投資信託（「REIT」）資格並納稅。該公司由AG REIt Management，LLC對外管理，該公司是一家特拉華州有限責任公司（「管理人」），是Angelo，Gordon & Co.的全資子公司，LP（「TPG Angelo Gordon」），TPG Inc.旗下的多元化信貸和房地產投資平台（「TPG」）。 經理已將管理協議項下的日常職責和義務的總體責任委託給TPG Angelo Gordon。

合併財務報表包括公司及其全資子公司的賬目。所有公司間餘額和交易均已在合併中消除。

WMC收購

2023年12月6日（「截止日期」），公司完成了對特拉華州公司WMC的收購。WMC是一家外部管理的抵押貸款房地產投資信託基金，專注於投資、融資和管理住宅抵押貸款、房地產相關證券和商業房地產貸款的投資組合。在交易結束日，WMC與AQUIT Merger Sub，LLC合併，AQUIT Merger Sub，LLC是一家特拉華州有限責任公司，也是公司的全資子公司（「合併子公司」），Merger Sub繼續作爲倖存公司（「合併」）。根據日期爲2023年8月8日的合併協議和計劃（「合併協議」）的設想，合併證書已提交給特拉華州國務卿，合併於上午8：15生效，東部時間，截止日期（「有效時間」）。

根據合併協議規定的條款並受合併協議規定的條件的限制，在生效時，每股發行的WMC普通股，面值爲美元0.01 每股（「WMC普通股」），被轉換爲收取以下內容的權利（「每股合併對價」）：（i）來自Mitt， 1.498 Mitt普通股股份;及（ii）來自經理的現金金額等於美元0.92 (the「每股額外經理考慮」）。合併中沒有發行Mitt普通股的零碎股份，WMC普通股前持有人原本有權獲得的任何零碎權益的價值均以現金支付。

根據合併協議，每股額外經理人代價的金額減去所需的最小數額(四捨五入至最接近的百分之)，以使每股額外經理人代價少於WMC普通股持有人根據合併協議收取的每股合併代價總值的10%。根據先前披露的由Mitt和經理之間於2023年8月8日對本公司的管理協議所作的修訂(「Mitt管理協議修訂」)，該修訂於截止日期生效並修訂截至2011年6月29日的現有管理協議(經修訂爲「現有Mitt管理協議」)，(I)經理將放棄向Mitt要求償還根據現有Mitt管理協議應償還的任何費用的權利，金額約爲$1.31000萬美元，這是$的超額7.0經理根據合併協議向WMC普通股持有人支付的每股經理額外對價總額增加1,000,000美元，以及(Ii)經理的基本管理費將減少$0.6第一次是1000萬美元四有效時間之後的季度，從發生有效時間的財政季度開始(即產生總計$2.4(免除基地管理費100萬英鎊)。

此外，WMC限制性普通股的每股流通股和每個WMC限制性股票單位（各自爲「WMC股權獎勵」）在生效時間之前全額歸屬，並且截至生效時間，就合併協議的所有目的而言被視爲尚未完成，包括收取每股合併對價的權利，但在WMC 2023年年度股東大會上授予WMC董事會某些成員的WMC股權獎勵（統稱爲「2023年WMC董事獎」）處理如下：（i）對於m.克里斯蒂安·米切爾和麗莎·G。艾特曼於生效時間被任命爲Mitt董事會成員，2023年WMC董事

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合併財務報表附註(未經審計)

2024年9月30日

自生效時間起，獎勵被公平調整爲與Mitt普通股股份相關的獎勵，這些股份的價值、歸屬條款和其他條款和條件與生效時間前適用於相應WMC限制性股票單位的相同，並且（ii）對於WMC董事會的其他成員，2023年WMC董事獎加速並按比例授予，自生效時間前不久開始，基於一小部分，其分子爲166（授予日期與截止日期之間的天數），分母爲365，該2023年WMC董事獎的剩餘未歸屬部分被無償取消。

根據合併協議，大約 9.2 Mitt普通股已發行給前WMC普通股股東，合併完成後，前WMC普通股股東擁有約100萬股 31Mitt普通股的%。

購進價格分配

公司於2023年12月6日完成了WMC收購，以支持公司的持續增長，併爲股東創造效率和規模。公司根據會計準則法典（「ASC」）805「企業合併」使用收購會計法對此次交易進行覈算, 除其他外，要求所收購的資產和所承擔的負債按收購日的公允價值確認。 下表總結了收購WMC資產和承擔負債所支付的總對價的分配（以千計，匯率和每股金額除外）。

考慮事項
截至2023年12月5日WMC已發行股份（1）						6,143
兌換率						1.498
已發行的Mitt普通股股份						9,202
截至2023年12月5日的Mitt普通股價格						$	5.56
米特總考慮（2）						$	51,163
資產
證券化住宅抵押貸款（3）						$	971,781
住宅抵押貸款（3）						6,046
商業貸款						78,459
非機構RMBS						48,200
CMBS						56,301
其他證券						1,159
代理RMBS						745
現金及現金等價物						5,316
受限現金						873
其他資產						24,654
總資產						$	1,193,534
負債
證券化債務						$	837,317
融資安排						171,170
可轉換優先無擔保票據						85,172
其他負債						18,522
總負債						$	1,112,181
取得的淨資產						$	81,353
便宜貨買入收益						$	30,190

(1)對於WMC授予並於截止日期完全歸屬的基於時間的限制性股票單位，公司發行的令這些單位滿意的普通股的公允價值被包括在轉讓的股權對價中，因爲不需要收購後服務。

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合併財務報表附註(未經審計)

2024年9月30日

(2)Mitt總對價不包括經理向WMC普通股前持有人支付的每股額外經理對價。

(3)與合併相關收購的住宅抵押貸款的未付本金餘額爲美元1.11000億美元。

所收購資產和所承擔負債的公允價值需要使用重大假設和估計。關鍵估計包括但不限於與這些資產和負債相關的未來預期現金流量以及適用的貼現率。這些估計基於管理層認爲合理的假設;然而，實際結果可能與這些估計不同。公允價值的評估基於管理層在編制綜合財務報表時獲得的信息。隨着管理層在適用計量期間獲得與這些估計相關的額外信息，這些估計和假設可能會發生變化。最終決定必須在收購日期後一年內做出。

根據收購會計法，與合併相關的交易成本（例如諮詢、法律、估值和其他專業費用）不作爲轉讓對價的組成部分，而是在成本發生期間計入費用。公司發生交易成本爲美元4.9 億和$1.1 2023年第三季度和第四季度分別增加了100萬美元，這些費用已計入合併經營報表中的「交易相關費用」細目中。

收購時，公司確認了美元的廉價收購收益30.2 百萬，已單獨記錄在綜合經營報表中。討價還價收購收益指收購中收購的淨資產公允價值超過有效時間作爲對價發行的Mitt普通股股份公允價值的金額。由於宏觀經濟因素和利率波動，抵押房地產投資信託行業某些公司的每股普通股價格在最近一段時間內低於每股公允價值，這促成了WMC收購中記錄的廉價收購收益。

未經審計的補充形式財務信息

下表列出了截至2023年9月30日止九個月普通股股東可獲得的未經審計的合併利息收入和淨收入/（損失），準備得就好像合併已於2022年1月1日完成一樣（以千計）。

												截至2023年9月30日的9個月
利息收入												$	239,249
普通股股東可獲得的淨利潤/（損失）												(4,481)

截至2023年9月30日止九個月的未經審計補充備考財務信息包括爲反映WMC持有的某些可變利益實體（「VIE」）的取消合併而進行的調整，以及對管理費和某些其他費用的調整。此外，截至2022年12月31日止年度，形式財務信息包括與任何討價還價購買收益和交易相關費用相關的調整。未經審計的補充預計財務信息不包括合併的任何預期費用協同效應或其他預期收益，因此，未經審計的補充預計財務信息不一定表明未來的運營業績或合併發生於2022年1月1日可能實現的業績。

2. 主要會計政策概要

 

合併和列報基礎

隨附的未經審計合併財務報表和相關附註是根據美利堅合衆國中期財務報告普遍接受的會計原則（「GAAP」）以及S-X法規10-Q表格和規則10-01的指示，按應計會計制編制的。 管理層認爲，所有認爲對公司財務狀況、經營業績和現金流量的公平報表所需的調整均已納入中期期間，並且具有正常和經常性的性質。中期期間呈列的經營業績不一定表明任何其他中期期間或全年可能預期的業績。

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合併財務報表附註(未經審計)

2024年9月30日

重大會計政策

截至2011年，公司10-k表格合併財務報表附註2中包含的公司會計政策沒有重大變化 2023年12月31日. 這些未經審計的合併財務報表和相關附註應與截至年度的合併財務報表和相關附註一併閱讀 2023年12月31日 包含在公司的10-k表格中。

使用估計

 

按照公認會計原則編制合併財務報表需要管理層做出影響合併財務報表和隨附註釋中報告金額的估計和假設。實際結果可能與這些估計不同。

投資整合

 

如果股權投資者(I)在沒有額外附屬財務支持的情況下沒有足夠的風險股本爲實體的活動提供資金，(Ii)無法指導實體的活動，或(Iii)沒有實體的損失或沒有資格獲得其剩餘收益，則實體是VIE。在會計準則編撰(「ASC」)810-10的範圍內，「合併」必須由其主要受益人合併。VIE的主要受益人被確定爲既有權指導VIE的活動以最大限度地影響VIE的經濟業績，又有義務承擔VIE的損失或有權從VIE獲得可能對VIE產生重大影響的利益的一方。這一決定有時可能涉及複雜和主觀的分析。此外，ASC 810-10還要求對企業是否爲VIE的主要受益者進行持續評估。根據ASC 810-10，所有受讓人，包括可變利益實體，必須對合並進行評估。如果本公司認爲不需要合併，則將評估標的資產的轉讓是否符合出售資格，是否應根據GAAP計入擔保融資，或是否應計入權益法投資，視情況而定。

 

特殊目的實體(「SPE」)是爲滿足組織它的公司的特定有限需求而設計的實體。特殊目的實體通常被用來促進涉及證券化金融資產或對以前證券化的金融資產進行再證券化的交易。此類交易的目標可能包括獲得無追索權融資、獲得流動資金或以更好的條款對相關證券化金融資產進行再融資。證券化涉及將資產轉移到特殊目的實體，在特殊目的實體通過發行債務或股權工具在正常業務過程中變現之前，將所有或部分這些資產轉換爲現金。特殊目的實體的投資者通常只對特殊目的實體的資產有追索權，並視交易的整體結構而定，可從各種形式的信用增強中受益，例如以特殊目的實體過剩資產的形式進行過度抵押、相對於特殊目的實體發行的其他債務或股權工具的持有人優先收取現金流，或旨在確保投資者根據其投資協議條款獲得投資本金和/或利息現金流的信貸額度或其他形式的流動性協議。

本公司進行以其非代理貸款/符合代理資格的貸款以及再貸款和不良貸款(存放這些貸款的信託分別稱爲「非代理VIE」和「RPL/NPL VIE」)爲抵押的證券化交易，這可能導致本公司合併爲促進這些證券化而設立的相應VIE。根據對每個VIE的評估，本公司可能得出結論，VIE應被合併，因此，這些VIE的轉讓資產將被確定爲有擔保借款。合併後，本公司根據ASC 825爲非代理VIE和RPL/NPL VIE的資產和負債選擇了公允價值選項。選擇公允價值選項使本公司能夠在綜合經營報表中記錄公允價值變動，管理層認爲，這更恰當地反映了特定報告期的經營結果，因爲所有活動都將以類似的方式記錄。本公司應用ASC 810-10(計量綜合抵押融資實體之財務資產及財務負債)指引，以厘定非代理VIE及RPL/NPL VIE之資產或負債之公允價值是否更具可觀測性，作爲計量較少可見金融工具之基準。本公司已確定，非代理VIE和RPL/NPL VIE的負債的公允價值更容易觀察，因爲該等負債的價格更容易確定，因爲類似的工具在相對基礎上的交易比VIE的個別資產更頻繁。關於非代理VIE和RPL/NPL VIE的更多細節見附註3，關於本公司爲這些VIE所包括的資產和負債確定公允價值的更多細節見附註5。

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2024年9月30日

債務發行成本

債務發行成本是公司因發行優先無擔保票據（定義見下文）或未選擇公允價值選擇權的其他融資而產生的成本。這些成本可能包括承銷佣金、評級機構、法律、會計和其他費用。債務發行成本計入公司合併資產負債表，作爲相關融資負債的直接減少。這些成本在相關融資期限內遞延並攤銷，作爲使用實際利率法對利息費用的調整。

最近的會計公告

有轉換和其他選擇的債務

2020年8月，財務會計準則委員會（「FASB」）發佈了ASO 2020-06，“具有轉換和其他期權的債務-債務（子主題470-20）和衍生品和對沖-實體自有股權合同（子主題815-40）。“本次更新中的修訂影響發行可轉換工具和/或實體自有權益合同的實體。對於可轉換工具，主要受影響的工具是具有有益轉換特徵或現金轉換特徵的工具，因爲這些特定特徵的會計模型已被刪除。該ASO於截至2024年12月31日的年度有效。該公司在截至2024年9月30日的九個月內採用ASO 2020-06並未對合並財務報表產生重大影響。

分部報告

2023年11月，FASb發佈了ASO 2023-07，「分部報告（主題280）：可報告分部披露的改進」。“ASO 2023-07旨在改善可報告分部披露要求，主要通過加強與重大分部費用相關的披露。此外，該準則預計將加強中期披露要求，澄清實體可以披露多個分部損益衡量標準的情況，併爲具有單一可報告分部的實體提供分部披露要求。ASO 2023-07在2023年12月15日之後開始的年度期間以及2024年12月15日之後開始的財年內的臨時期間追溯有效，並且允許提前採用。公司預計採用新準則不會對其合併財務報表產生重大影響。

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合併財務報表附註（未經審計）

2024年9月30日

3. 貸款

 

住宅按揭貸款

下表詳細介紹了截至2024年9月30日和2023年12月31日公司住宅抵押貸款組合的信息（以千美元計）。下表中的未實現收益/（損失）總額代表自收購以來年初至今的收益/（損失）。

			未付本金餘額																		未實現毛額																		加權平均
2024年9月30日									溢價 （折扣）						攤餘成本						收益						損失						公允價值						優惠券						產量（1）						生活 （年）（2）
證券化住宅抵押貸款，按公允價值計算（3）
非機構貸款（4）			$	6,242,559					$	(6,609)					$	6,235,950					$	74,835					$	(258,620)					$	6,052,165					5.60		%				5.60		%				8.77
再貸款和不良貸款			202,824						(14,682)						188,142						—						(13,609)						174,533						3.95		%				6.10		%				5.71
證券化住宅抵押貸款總額，按公允價值計算			$	6,445,383					$	(21,291)					$	6,424,092					$	74,835					$	(272,229)					$	6,226,698					5.55		%				5.62		%				8.67
住宅抵押貸款，按公允價值計算
符合條件的貸款			$	109,219					$	2,448					$	111,667					$	1,154					$	—					$	112,821					7.58		%				6.76		%				3.73
房屋淨值貸款（5）			130,652						4,620						135,272						1,582						—						136,854						10.72		%				9.62		%				4.25
非機構貸款			14,018						(248)						13,770						133						(498)						13,405						7.57		%				4.52		%				3.61
再貸款和不良貸款			2,094						(1,234)						860						1,107						—						1,967						N/A						111.21		%				1.46
住宅抵押貸款總額，按公允價值計算			$	255,983					$	5,586					$	261,569					$	3,976					$	(498)					$	265,047					9.19		%				8.46		%				3.97
截至2024年9月30日總計			$	6,701,366					$	(15,705)					$	6,685,661					$	78,811					$	(272,727)					$	6,491,745					5.69		%				5.73		%				8.49
			未付本金餘額																		未實現毛額																		加權平均
2023年12月31日									溢價 （折扣）						攤餘成本						收益						損失						公允價值						優惠券						產量（1）						生活 （年）（2）
證券化住宅抵押貸款，按公允價值計算（3）
非機構貸款（4）			$	5,599,960					$	(32,250)					$	5,567,710					$	29,603					$	(422,144)					$	5,175,169					5.19		%				5.51		%				10.37
再貸款和不良貸款			217,098						(17,465)						199,633						199						(16,720)						183,112						3.88		%				6.30		%				6.10
證券化住宅抵押貸款總額，按公允價值計算			$	5,817,058					$	(49,715)					$	5,767,343					$	29,802					$	(438,864)					$	5,358,281					5.14		%				5.54		%				10.21
住宅抵押貸款，按公允價值計算
符合條件的貸款			$	212,350					$	3,535					$	215,885					$	4,824					$	—					$	220,709					7.94		%				7.28		%				3.37
非機構貸款			92,033						835						92,868						2,222						(574)						94,516						8.10		%				7.29		%				3.14
再貸款和不良貸款			2,604						(1,630)						974						1,432						—						2,406						N/A						112.97		%				1.69
住宅抵押貸款總額，按公允價值計算			$	306,987					$	2,740					$	309,727					$	8,478					$	(574)					$	317,631					7.99		%				8.08		%				3.29
截至2023年12月31日總計			$	6,124,045					$	(46,975)					$	6,077,070					$	38,280					$	(439,438)					$	5,675,912					5.28		%				5.68		%				9.86

(1)As of September 30, 2024, the weighted average yields are presented based on the amortized cost of the underlying loans. As of December 31, 2023, the weighted average yields are presented based on the fair value of the underlying loans. The weighted average yield of the Company's securitized residential mortgage loans and residential mortgage loans based on the fair value of the underlying loans as of September 30, 2024 was 5.70% and 8.90%, respectively.

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

(3)Refer to the "Variable interest entities" section below for additional details related to the assets and liabilities of VIEs consolidated on the Company's consolidated balance sheets.

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

(5)Home Equity Loans includes certain loans which were sold subsequent to quarter end. Refer to Note 13 for additional details.

14

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AG Mortgage Investment Trust Inc. and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2024

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

						Unpaid Principal Balance												Loan Count (1)												Aging by Unpaid Principal Balance (1)(2)
September 30, 2024																																				Current						30-59 Days						60-89 Days						90+ Days
Securitized residential mortgage loans
Non-Agency Loans						$	6,242,559											15,494																		$	6,071,142					$	75,212					$	38,362					$	57,843
Re- and Non-Performing Loans						202,824												1,374																		145,403						16,959						5,948						34,514
Total Securitized residential mortgage loans						$	6,445,383											16,868																		$	6,216,545					$	92,171					$	44,310					$	92,357
Residential mortgage loans
Agency-Eligible Loans						$	109,219											235																		$	109,219					$	—					$	—					$	—
Home Equity Loans						130,652												1,725																		130,652						—						—						—
Non-Agency Loans						14,018												25																		5,998						1,210						1,297						5,513
Re- and Non-Performing Loans (1)						2,094												N/A																		N/A						N/A						N/A						N/A
Total Residential mortgage loans						$	255,983											1,985																		$	245,869					$	1,210					$	1,297					$	5,513
Total as of September 30, 2024						$	6,701,366											18,853																		$	6,462,414					$	93,381					$	45,607					$	97,870
						Unpaid Principal Balance												Loan Count (1)												Aging by Unpaid Principal Balance (1)(2)
December 31, 2023																																				Current						30-59 Days						60-89 Days						90+ Days
Securitized residential mortgage loans
Non-Agency Loans						$	5,599,960											13,460																		$	5,446,631					$	68,242					$	30,873					$	54,214
Re- and Non-Performing Loans						217,098												1,495																		154,632						17,145						4,780						40,541
Total Securitized residential mortgage loans						$	5,817,058											14,955																		$	5,601,263					$	85,387					$	35,653					$	94,755
Residential mortgage loans
Agency-Eligible Loans						$	212,350											536																		$	211,499					$	851					$	—					$	—
Non-Agency Loans						92,033												170																		83,582						1,010						615						6,826
Re- and Non-Performing Loans (1)						2,604												N/A																		N/A						N/A						N/A						N/A
Total Residential mortgage loans						$	306,987											706																		$	295,081					$	1,861					$	615					$	6,826
Total as of December 31, 2023						$	6,124,045											15,661																		$	5,896,344					$	87,248					$	36,268					$	101,581

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

(2)As of September 30, 2024, the Company had securitized residential mortgage loans and residential mortgage loans that were 90+ days delinquent with a fair value of $33.9 million and loans in the process of foreclosure with a fair value of $60.5 million. As of December 31, 2023, the Company had securitized residential mortgage loans and residential mortgage loans that were 90+ days delinquent with a fair value of $41.7 million and loans in the process of foreclosure with a fair value of $51.8 million.

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

 

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

						Three Months Ended																								Nine Months Ended
						September 30, 2024												September 30, 2023												September 30, 2024												September 30, 2023
						Unpaid Principal Balance						Fair Value (1)						Unpaid Principal Balance						Fair Value (1)						Unpaid Principal Balance						Fair Value (1)						Unpaid Principal Balance						Fair Value (1)
Agency-Eligible Loans						$	380,542					$388,733						$	418,248					$414,560						$	1,054,749					$1,073,436						$	473,749					$471,223
Home Equity Loans						131,533						136,206						—						—						131,533						136,206						—						—
Non-Agency Loans						—						—						286,453						291,196						23,506						23,796						468,909						476,674
Total						$	512,075					$	524,939					$	704,701					$	705,756					$	1,209,788					$	1,233,438					$	942,658					$	947,897

(1)Fair value represents purchase price at acquisition.

15

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AG Mortgage Investment Trust Inc. and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2024

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

						Three Months Ended																								Nine Months Ended
						Number of Loans						Proceeds						Realized Gains						Realized Losses						Number of Loans						Proceeds						Realized Gains						Realized Losses
September 30, 2024
Agency-Eligible Loans						190						$	73,614					$	356					$	(276)					190						$	73,614					$	356					$	(276)
Non-Agency Loans						160						86,349						1,274						(137)						160						86,349						1,274						(137)
September 30, 2023
Agency-Eligible Loans						—						$	—					$	—					$	—					47						$	18,474					$	69					$	(85)
Non-Agency Loans						132						73,778						302						(739)						413						220,558						1,353						(11,884)
Re- and Non-Performing Loans						560						68,693						3,729						(4,068)						560						68,693						3,729						(4,068)

The Company’s residential mortgage loan portfolio consists of mortgage loans on residential real estate located throughout the United States. The following is a summary of the geographic concentration of credit risk as of September 30, 2024 and December 31, 2023 and includes states where the exposure is greater than 5% of the fair value of the Company's residential mortgage loan portfolio.

 

Geographic Concentration of Credit Risk (1)			September 30, 2024						December 31, 2023
California			35		%				38		%
New York			11		%				13		%
Florida			11		%				10		%
Texas			6		%				6		%
New Jersey			5		%				5		%

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

 

Variable interest entities

The Company enters into securitization transactions collateralized by its Non-Agency Loans/Agency-Eligible Loans and re- and non-performing loans, which are considered VIEs. The Company was determined to be the primary beneficiary of certain VIEs and, as a result, consolidated the assets and liabilities of the VIEs on its consolidated balance sheets. In a securitization transaction, a pool of loans is transferred to a wholly-owned subsidiary of the Company and the loans are deposited into a newly created securitization trust. The securitization trust issues various classes of mortgage pass-through certificates backed by the cash flows from the underlying residential mortgage loans (the "Certificates"). As the sponsor of the securitization, the Company retains certain Certificates issued by the securitization trusts in order to satisfy risk retention rules, which generally require the sponsor to retain at least 5% of the fair value of the Certificates issued in the securitization. The Company's continuing involvement in these securitizations represents its retained Certificates and the ability to purchase all of the outstanding Certificates upon the occurrence of certain events through an optional redemption right held by the Company. The Company has also engaged a related party of the Manager and direct subsidiary of TPG Angelo Gordon to act as the servicing administrator of certain securitization trusts.

16

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AG Mortgage Investment Trust Inc. and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2024

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

						September 30, 2024																		December 31, 2023
						Carrying Value						Weighted Average												Carrying Value						Weighted Average
												Yield (1)						Life (Years) (2)												Yield (1)						Life (Years) (2)
Assets
Securitized residential mortgage loans, at fair value (3)						$	6,052,165					5.60		%				8.77						$	5,175,169					5.51		%				10.37
Other assets						29,864																		25,105
Total Assets						$	6,082,029																	$	5,200,274
Liabilities
Securitized debt, at fair value (3) (4)						$	5,391,483					5.15		%				6.47						$	4,597,490					4.94		%				7.52
Other liabilities						21,345																		17,269
Total Liabilities						$	5,412,828																	$	4,614,759
Total Equity (5)						$	669,201																	$	585,515

(1)As of September 30, 2024, the weighted average yields are presented based on the amortized cost of the underlying loans or securities. As of December 31, 2023, the weighted average yields are presented based on the fair value of the underlying loans or securities. The weighted average yield of the Company's securitized residential mortgage loans and securitized debt based on the fair value as of September 30, 2024 was 5.69% and 5.25%, respectively.

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

(3)Securitized residential mortgage loans in Non-Agency VIEs include loans that were considered to be Agency-Eligible prior to the Company's securitization.

(4)The holders of the securitized debt have no recourse to the general credit of the Company. The Company has no obligation to provide any other explicit or implicit support to the Non-Agency VIEs.

(5)As of September 30, 2024 and December 31, 2023, the Company had outstanding financing arrangements of $364.6 million and $301.2 million, respectively, collateralized by $661.5 million and $578.8 million of the Company's retained interests in the Non-Agency VIEs, respectively. See Note 6 for more detail regarding the Company's financing arrangements.

17

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AG Mortgage Investment Trust Inc. and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2024

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

						September 30, 2024																		December 31, 2023
						Carrying Value						Weighted Average												Carrying Value						Weighted Average
												Yield (1)						Life (Years) (2)												Yield (1)						Life (Years) (2)
Assets
Securitized residential mortgage loans, at fair value						$	174,533					6.10		%				5.71						$	183,112					6.30		%				6.10
Restricted cash						10																		10
Other assets						1,958																		2,056
Total Assets						$	176,501																	$	185,178
Liabilities
Securitized debt, at fair value (3)						$	106,069					3.32		%				3.67						$	114,133					3.25		%				3.77
Other liabilities						306																		328
Total Liabilities						$	106,375																	$	114,461
Total Equity (4)						$	70,126																	$	70,717

(1)As of September 30, 2024, the weighted average yields are presented based on the amortized cost of the underlying loans or securities. As of December 31, 2023, the weighted average yields are presented based on the fair value of the underlying loans or securities. The weighted average yield of the Company's securitized residential mortgage loans and securitized debt based on the fair value as of September 30, 2024 was 6.15% and 3.34%, respectively.

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

(3)The holders of the securitized debt have no recourse to the general credit of the Company. The Company has no obligation to provide any other explicit or implicit support to the RPL/NPL VIEs.

(4)As of September 30, 2024 and December 31, 2023, the Company had outstanding financing arrangements of $42.7 million and $44.9 million, respectively, collateralized by $66.3 million and $67.1 million of the Company's retained interests in the RPL/NPL VIEs, respectively. See Note 6 for more detail regarding the Company's financing arrangements.

Revolving Mortgage Investment Trust 2015-1QR2

Revolving Mortgage Investment Trust 2015-1QR2 ("RMI 2015 Trust") was acquired in the WMC acquisition and held Non-Agency Loans and real estate owned ("REO"). RMI 2015 Trust issued a trust certificate that was wholly-owned by the Company and represented the entire beneficial interest in Non-Agency Loans and REO held by the trust. The Company consolidated the trust since it met the definition of a VIE and the Company was determined to be the primary beneficiary. The Company classified the underlying Non-Agency Loans and REO owned by the trust in the "Residential mortgage loans, at fair value" and "Other assets" line items on the consolidated balance sheets, respectively, and eliminated the intercompany trust certificate in consolidation.

As of September 30, 2024, there were no residential mortgage loans or REO in the RMI 2015 Trust. As of December 31, 2023, the RMI 2015 Trust held Non-Agency Loans with a fair value of $6.6 million and REO with a carrying value of $3.4 million.

18

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AG Mortgage Investment Trust Inc. and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2024

Legacy WMC Commercial loans

The tables below detail information regarding the Company's Legacy WMC Commercial loan portfolio as of September 30, 2024 and December 31, 2023 ($ in thousands). The gross unrealized gains/(losses) in the table below represent inception to date gains/(losses) since acquisition.

September 30, 2024												Premium / (Discount)						Amortized Cost						Gross Unrealized Gains						Fair Value						Weighted Average																		Maturity Date (6)						LTV (7)						Location
Loan (1)(2)(3)						Unpaid Principal Balance																														Coupon						Yield (4)						Life (Years) (5)
Loan A (8)						$	7,259					$	(90)					$	7,169					$	48					$	7,217					9.36		%				10.32		%				0.68						5/6/2025						61.63		%				IL, FL
Loan B (8)						13,206						(163)						13,043						88						13,131						9.36		%				10.32		%				0.68						5/6/2025						75.33		%				CA
Loan C (8)						24,535						(304)						24,231						164						24,395						9.36		%				10.32		%				0.68						5/6/2025						77.22		%				NY
Loan D (9)						22,204						(189)						22,015						117						22,132						8.54		%				8.23		%				0.93						8/6/2025						42.50		%				CT
Total						$	67,204					$	(746)					$	66,458					$	417					$	66,875					9.09		%				9.63		%				0.76												63.68		%

December 31, 2023												Premium / (Discount)						Amortized Cost						Gross Unrealized Gains						Fair Value						Weighted Average																		Maturity Date (6)						LTV (7)						Location
Loan (1)(2)(3)						Unpaid Principal Balance																														Coupon						Yield (4)						Life (Years) (5)
Loan A (8)						$	7,259					$	(137)					$	7,122					$	12					$	7,134					9.55		%				10.16		%				1.44						5/6/2025						61.63		%				IL, FL
Loan B (8)						13,206						(249)						12,957						22						12,979						9.55		%				10.16		%				1.44						5/6/2025						75.33		%				CA
Loan C (8)						24,535						(463)						24,072						40						24,112						9.55		%				10.16		%				1.44						5/6/2025						77.22		%				NY
Loan D (9)						22,204						(147)						22,057						21						22,078						8.72		%				8.17		%				1.69						8/6/2025						42.50		%				CT
Total						$	67,204					$	(996)					$	66,208					$	95					$	66,303					9.27		%				9.50		%				1.52												63.61		%

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

(2)Each commercial loan investment is a first mortgage loan.

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

(4)As of September 30, 2024, the weighted average yields are presented based on the amortized cost of the underlying loans. As of December 31, 2023, the weighted average yields are presented based on the fair value of the underlying loans. The weighted average yield of the Company's commercial loans based on the fair value of the underlying loans as of September 30, 2024 was 9.63%.

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

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

(7)Represents the LTV at acquisition. The total LTV on commercial loans is presented based on fair value.

(8)Loans A, B, and C have a floating rate coupon equal to 4.20% plus one-month SOFR and are collateralized by hotels.

(9)Loan D has a floating rate coupon equal to 3.38% plus one-month SOFR and is collateralized by a retail property.

19

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AG Mortgage Investment Trust Inc. and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2024

4. Real Estate Securities

 

The following tables detail the Company’s real estate securities portfolio as of September 30, 2024 and December 31, 2023 ($ in thousands). The gross unrealized gains/(losses) in the tables below represent inception to date unrealized gains/(losses) since acquisition. 

						Current Face						Premium / (Discount)						Amortized Cost						Gross Unrealized												Fair Value						Weighted Average
September 30, 2024																								Gains						Losses												Coupon (1)						Yield (2)						Life (Years) (3)
Non-Agency RMBS
GCAT Non-Agency RMBS (4)
GCAT Non-Agency Securities						$	43,794					$	(1,980)					$	41,814					$	—					$	(4,390)					$	37,424					4.82		%				5.97		%				6.93
GCAT Non-Agency RMBS Interest Only (5)						N/A						N/A						2,306						1,163						—						3,469						0.81		%				31.54		%				3.10
Total GCAT Non-Agency RMBS						43,794						(1,980)						44,120						1,163						(4,390)						40,893						2.82		%				7.30		%				4.38
Non-Agency Securities						84,641						(5,686)						78,955						2,842						—						81,797						6.16		%				6.99		%				11.18
Non-Agency RMBS Interest Only (5)						N/A						N/A						873						88						(13)						948						0.50		%				36.80		%				6.28
Total Non-Agency RMBS						128,435						(7,666)						123,948						4,093						(4,403)						123,638						3.19		%				7.31		%				6.84
Legacy WMC CMBS (6)						100,896						(42,909)						57,987						1,628						(6,930)						52,685						5.37		%				16.93		%				2.14
Legacy WMC Other Securities (7)						N/A						N/A						1,026						—						(28)						998						N/A						12.45		%				7.80
Agency RMBS Interest Only (5)						N/A						N/A						21,068						235						(1,066)						20,237						4.06		%				7.95		%				5.70
Total as of September 30, 2024						$	229,331					$	(50,575)					$	204,029					$	5,956					$	(12,427)					$	197,558					3.87		%				10.13		%				5.66

						Current Face						Premium / (Discount)						Amortized Cost						Gross Unrealized												Fair Value						Weighted Average
December 31, 2023																								Gains						Losses												Coupon (1)						Yield (2)						Life (Years) (3)
Non-Agency RMBS
GCAT Non-Agency RMBS (4)
GCAT Non-Agency Securities						$	43,794					$	(2,281)					$	41,513					$	—					$	(8,971)					$	32,542					4.67		%				5.99		%				10.08
GCAT Non-Agency RMBS Interest Only (5)						N/A						N/A						2,541						2,450						—						4,991						—		%				37.74		%				5.21
Total GCAT Non-Agency RMBS						43,794						(2,281)						44,054						2,450						(8,971)						37,533						2.20		%				10.21		%				6.71
Non-Agency Securities						82,390						(33,399)						48,991						2,139						(124)						51,006						4.99		%				9.11		%				16.21
Non-Agency RMBS Interest Only (5)						N/A						N/A						1,116						1						(34)						1,083						0.35		%				16.04		%				2.61
Total Non-Agency RMBS						126,184						(35,680)						94,161						4,590						(9,129)						89,622						2.17		%				9.66		%				7.43
Legacy WMC CMBS						103,458						(46,925)						56,533						546						(730)						56,349						7.39		%				21.90		%				2.62
Legacy WMC Other Securities (7)						N/A						N/A						1,174						—						(18)						1,156						N/A						18.16		%				7.33
Agency RMBS Interest Only (5)						N/A						N/A						16,714						115						(1,135)						15,694						3.74		%				10.20		%				6.54
Total as of December 31, 2023						$	229,642					$	(82,605)					$	168,582					$	5,251					$	(11,012)					$	162,821					3.54		%				14.01		%				6.37

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

(2)As of September 30, 2024, the weighted average yields are presented based on the amortized cost of the underlying securities. As of December 31, 2023, the weighted average yields are presented based on the fair value of the underlying securities. The weighted average yield of the Company's real estate securities based on the fair value of the underlying securities as of September 30, 2024 was 10.42%.

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

(4)GCAT Non-Agency RMBS are securities issued under Gold Creek Asset Trust ("GCAT"), which is the TPG Angelo Gordon securitization shelf under which the Company or private funds under the management of TPG Angelo Gordon securitize loans. Refer to the "Unconsolidated variable interest entities" section below for additional details on these securities.

(5)Interest Only securities have no principal balances and bear interest based on a notional value. The notional value is used solely to determine interest distributions on the interest only classes of securities. As of September 30, 2024, the notional value of the GCAT Non-Agency RMBS Interest Only, Non-Agency RMBS Interest Only and Agency RMBS Interest Only line items were $87.3 million, $81.4 million and $109.7 million, respectively. As of December 31, 2023, the notional value of the GCAT Non-Agency RMBS Interest Only, Non-Agency RMBS Interest Only and Agency RMBS Interest Only line items were $98.3 million, $128.8 million and $92.2 million, respectively.

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

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

20

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AG Mortgage Investment Trust Inc. and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2024

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

September 30, 2024						Non-Agency RMBS												Legacy WMC CMBS												Legacy WMC Other Securities												Agency RMBS
Weighted Average Life (1)						Fair Value						Amortized Cost						Fair Value						Amortized Cost						Fair Value						Amortized Cost						Fair Value						Amortized Cost
Less than or equal to one year						$	—					$	—					$	14,591					$	14,948					$	—					$	—					$	—					$	—
Greater than one year and less than or equal to five years						6,200						4,971						38,094						43,039						—						—						660						681
Greater than five years and less than or equal to ten years						74,971						77,950						—						—						998						1,026						19,577						20,387
Greater than ten years						42,467						41,027						—						—						—						—						—						—
Total as of September 30, 2024						$	123,638					$	123,948					$	52,685					$	57,987					$	998					$	1,026					$	20,237					$	21,068

December 31, 2023						Non-Agency RMBS												Legacy WMC CMBS												Legacy WMC Other Securities												Agency RMBS
Weighted Average Life (1)						Fair Value						Amortized Cost						Fair Value						Amortized Cost						Fair Value						Amortized Cost						Fair Value						Amortized Cost
Less than or equal to one year						$	—					$	—					$	15,015					$	15,010					$	—					$	—					$	—					$	—
Greater than one year and less than or equal to five years						4,631						4,669						41,334						41,523						—						—						697						678
Greater than five years and less than or equal to ten years						38,792						40,539						—						—						1,156						1,174						14,997						16,036
Greater than ten years						46,199						48,953						—						—						—						—						—						—
Total as of December 31, 2023						$	89,622					$	94,161					$	56,349					$	56,533					$	1,156					$	1,174					$	15,694					$	16,714

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

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

			Three Months Ended																								Nine Months Ended
			Number of Securities						Proceeds						Realized Gains						Realized Losses						Number of Securities						Proceeds						Realized Gains						Realized Losses
September 30, 2024
Agency RMBS			6						$	543,172					$	10,172					$	—					6						$	543,172					$	10,172					$	—
Non-Agency RMBS			1						2,215						187						—						14						41,391						3,352						(482)
CMBS			1						1,531						—						(62)						1						1,531						—						(62)
September 30, 2023
Agency RMBS			3						149,143						391						(429)						3						149,143						391						(429)

Unconsolidated variable interest entities

The Company's Non-Agency RMBS includes certain securities retained from a rated Non-QM Loan securitization the Company participated in alongside a private fund under the management of TPG Angelo Gordon and issued under the GCAT shelf. Upon evaluating its investment in the VIE, the Company determined it was not the primary beneficiary and, as a result, did not consolidate the securitization trust. The Company has a 40.9% interest in the retained subordinate tranches which represents its continuing involvement in the securitization trust.

21

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AG Mortgage Investment Trust Inc. and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2024

During 2023, the Company purchased non-risk retention bonds from Mortgage Acquisition Holding I LLC ("MATH"), an entity the Company invests in alongside private funds under the management of TPG Angelo Gordon. Through its 44.6% investment in MATH, the Company participated in rated Non-QM Loan securitizations issued under the GCAT shelf. As of September 30, 2024 and December 31, 2023, the Company's Non-Agency RMBS includes the non-risk retention bonds from these securitizations acquired from MATH. Upon evaluating its investment in these VIEs, the Company determined it was not the primary beneficiary and, as a result, did not consolidate the securitization trusts sponsored by MATH. The Company has a 57.7% interest in the non-risk retention bonds recorded on its consolidated balance sheets and a 47.0% interest in the risk retention bonds through its investment in MATH which together represent its continuing involvement in the securitization trusts. See Note 10 for additional details on the MATH transaction.

The Company has entered into co-sponsorship agreements with an unrelated third party whereby a wholly owned subsidiary of the Company acted as a sponsor of rated securitizations within the meaning of the U.S. credit risk retention rules while the securitizations were issued under the third party’s securitization shelf. As the co-sponsor, the Company retained an "eligible vertical interest" to comply with risk retention rules which consists of at least 5% of each class of securities issued in the securitizations. The remaining tranches were sold to third parties and certain private funds under the management of TPG Angelo Gordon or retained by the Company. Upon evaluating its investment in the VIEs, the Company determined it was not the primary beneficiary and, as a result, did not consolidate the securitization trusts. The Company's retained tranches, which represent its continuing involvement in the securitization trust, are included in the Non-Agency RMBS line item. The below table details the transactions where the Company has acted as a co-sponsor ($ in thousands).

Date of Securitization						Collateral Type						Unpaid Principal Balance of Collateral (1)						Fair Value Retained (1)
June 20, 2024						Agency-Eligible Loans						$	369,183					$	18,051
September 19, 2024						Agency-Eligible Loans						360,722						51,047

(1)As of the date of the securitization.

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

						September 30, 2024												December 31, 2023
						Current Face						Fair Value						Current Face						Fair Value
Retained interest in unconsolidated VIEs
GCAT Non-Agency Securities						$	43,794					$	37,424					$	43,794					$	32,542
GCAT Non-Agency RMBS Interest Only (1)						N/A						3,469						N/A						4,991
Non-Agency Securities						69,217						69,497						—						—
Non-Agency RMBS Interest Only (1)						N/A						781						—						—
Total retained interest in unconsolidated VIEs (2) (3)						$	113,011					$	111,171					$	43,794					$	37,533

(1)Interest Only securities have no principal balances and bear interest based on a notional value. The notional value is used solely to determine interest distributions on the Interest Only classes of securities. As of September 30, 2024 and December 31, 2023, the notional value of the GCAT Non-Agency RMBS Interest Only line item was $87.3 million and $98.3 million, respectively. As of September 30, 2024, the notional value of the Non-Agency RMBS Interest Only line item was $52.3 million.

(2)Maximum loss exposure from the Company’s involvement with unconsolidated VIEs pertains to the fair value of the securities retained from these VIEs. The Company has no obligation to provide any other explicit or implicit support to the securitization trust.

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

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

Assets transferred to unconsolidated VIEs:						September 30, 2024						December 31, 2023
Total unpaid principal balance of loans outstanding (1)						$	1,118,402					$	450,366
Weighted average coupon on loans outstanding						6.81		%				5.67		%
Percent of unpaid principal balance greater than 90 days delinquent (2)						0.87		%				1.94		%

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

(2)As of September 30, 2024, 0.68% of loans were 90+ days delinquent or in bankruptcy, 0.11% of loans were REO, and 0.08% of loans were in process of foreclosure. As of December 31, 2023, 0.70% of loans were 90+ days delinquent or in bankruptcy and 1.24% loans were in process of foreclosure.

22

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AG Mortgage Investment Trust Inc. and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2024

5. Fair value measurements

The fair value of the Company's financial instruments is determined in accordance with the provisions of ASC 820, "Fair Value Measurements and Disclosures." When possible, the Company determines fair value using third-party data sources. ASC 820 establishes a hierarchy that prioritizes the inputs to valuation techniques. Level 1 inputs are observable inputs that reflect quoted prices for identical assets or liabilities in active markets. Level 2 inputs are observable inputs other than quoted prices and may include quoted prices for similar assets and liabilities in active markets. Level 3 inputs are significant unobservable inputs. In situations where quoted prices or observable inputs are unavailable (for example, when there is little or no market activity for an investment at the end of the period), unobservable inputs may be used and reflect the Company’s assumptions about the factors that market participants would use in pricing an asset or liability, and would be based on the best information available. In certain cases, inputs used to measure fair value fall into different levels of the fair value hierarchy. In such cases, the level at which the fair value measurement falls is determined based on the lowest level input that is significant to the fair value measurement.

23

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AG Mortgage Investment Trust Inc. and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2024

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

						Fair Value at September 30, 2024
						Level 1						Level 2						Level 3						Total
Assets:
Securitized residential mortgage loans						$	—					$	—					$	6,226,698					$	6,226,698
Residential mortgage loans						—						1,967						263,080						265,047
Legacy WMC Commercial Loans						—						—						66,875						66,875
Non-Agency RMBS						—						12,467						111,171						123,638
Legacy WMC CMBS						—						52,049						636						52,685
Legacy WMC Other Securities						—						—						998						998
Agency RMBS						—						20,237						—						20,237
Derivative assets (1)						—						5,192						149						5,341
Cash equivalents (2)						101,676						—						—						101,676
AG Arc (3)						—						—						30,967						30,967
Total Assets Measured at Fair Value						$	101,676					$	91,912					$	6,700,574					$	6,894,162
Liabilities:
Securitized debt						$	—					$	—					$	(5,497,552)					$	(5,497,552)
Derivative liabilities (1)						—						(2,957)						(25)						(2,982)
Total Liabilities Measured at Fair Value						$	—					$	(2,957)					$	(5,497,577)					$	(5,500,534)
						Fair value at December 31, 2023
						Level 1						Level 2						Level 3						Total
Assets:
Securitized residential mortgage loans						$	—					$	—					$	5,358,281					$	5,358,281
Residential mortgage loans						—						777						316,854						317,631
Legacy WMC Commercial loans						—						—						66,303						66,303
Non-Agency RMBS						—						52,089						37,533						89,622
Legacy WMC CMBS						—						50,553						5,796						56,349
Legacy WMC Other Securities						—						—						1,156						1,156
Agency RMBS						—						15,694						—						15,694
Derivative assets (1)						—						9,433						1,172						10,605
Cash equivalents (2)						95,749						—						—						95,749
AG Arc (3)						—						—						33,574						33,574
Total Assets Measured at Fair Value						$	95,749					$	128,546					$	5,820,669					$	6,044,964
Liabilities:
Securitized debt						$	—					$	—					$	(4,711,623)					$	(4,711,623)
Derivative liabilities (1)						—						(7,783)						(7)						(7,790)
Total Liabilities Measured at Fair Value						$	—					$	(7,783)					$	(4,711,630)					$	(4,719,413)

(1)As of September 30, 2024, the Company applied a reduction in fair value of $5.2 million and $2.9 million to its interest rate swap assets and liabilities, respectively, related to variation margin with a corresponding increase or decrease in restricted cash. As of December 31, 2023, the Company applied a reduction in fair value of $9.3 million and $7.7 million to its interest rate swap assets and liabilities, respectively, related to variation margin with a corresponding increase or decrease in restricted cash. Derivative assets and liabilities are included in the "Other assets" and "Other liabilities" line items on the consolidated balance sheets, respectively. Refer to Note 7 for more information on the Company's derivatives.

(2)The Company classifies highly liquid investments with original maturities of three months or less from the date of purchase as cash equivalents. Cash equivalents may include cash invested in money market funds and are carried at cost, which approximates fair value.

(3)The table above includes the Company's investment in AG Arc, which is included in its "Investments in debt and equity of affiliates" line item on the consolidated balance sheets, as the Company has chosen to elect the fair value option with respect to its investment pursuant to ASC 825.

The valuation of the Company’s residential mortgage loans, securitized debt relating to the Non-Agency VIEs and RPL/NPL VIEs, commercial loans, certain securities, and forward purchase commitments is determined by the Manager using third-party

24

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AG Mortgage Investment Trust Inc. and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2024

pricing services where available, valuation analyses from third-party pricing service providers, or model-based pricing. Third-party pricing service providers conduct independent valuation analyses based on a review of source documents, available market data, and comparable investments. The analyses provided by valuation service providers are reviewed and considered by the Manager. The evaluation considers the underlying characteristics of each loan, which are observable inputs, including: coupon, maturity date, loan age, reset date, collateral type, periodic and life cap, geography, and prepayment speeds. The Company also considers loan servicing data, as available, forward interest rates, general economic conditions, home price index forecasts, and valuations of the underlying properties. The variables considered most significant to the determination of the fair value of the Company's residential mortgage loans, securitized debt, commercial loans, certain securities, and forward purchase commitments include market-implied discount rates, projections of default rates, delinquency rates, prepayment rates, loss severity, loan-to-value ratios, recovery rates, reperformance rates, timeline to liquidation, and, for forward purchase commitments, pull-through rates. The Company and third-party pricing service providers use loan level data and macro-economic inputs to generate loss adjusted cash flows and other information in determining the fair value. Because of the inherent uncertainty of such valuation, the fair value established for mortgage loans, securitized debt, commercial loans, certain securities, and forward purchase commitments held by the Company may differ from the fair value that would have been established if a ready market existed for these mortgage loans.

The valuation of the Company’s securities and derivatives may be based upon prices obtained from third-party pricing services or broker quotations. The valuation methodology of the Company’s third-party pricing services incorporates commonly used market pricing methods, including a spread measurement to various indices, which are observable inputs. The evaluation also considers the underlying characteristics of each investment, which are also observable inputs, including: coupon, maturity date, loan age, reset date, collateral type, periodic and life cap, geography, and prepayment speeds. The Company collects and considers current market intelligence on all major markets, including benchmark security evaluations and bid-lists from various sources, when available. As part of the Company’s risk management process, the Company reviews and analyzes all prices obtained by comparing prices to recently completed transactions involving the same or similar investments on or near the reporting date. If, in the opinion of the Manager, one or more prices reported to the Company are not reliable or unavailable, the Manager reviews the fair value based on characteristics of the investment it receives from the issuer and available market information.

The Company's investment in Arc Home is evaluated on a periodic basis using a market approach. In applying the market approach, fair value is determined by multiplying Arc Home's book value by a relevant valuation multiple observed based on a range of comparable public entities or transactions, adjusted by management as appropriate for differences between the investment and the referenced comparables. The evaluation also considers the underlying financial performance of Arc Home, general economic conditions, and relevant trends within the mortgage banking industry.

Changes in the market environment and other events that may occur over the life of these investments may cause the gains or losses ultimately realized to be different than the valuations currently estimated. The significant unobservable inputs used in the fair value measurement of the Company’s loans and securities are yields, prepayment rates, probability of default, and loss severity in the event of default. Significant increases (decreases) in any of those inputs in isolation would result in a significantly lower (higher) fair value measurement. Generally, a change in the assumption used for the probability of default is accompanied by a directionally similar change in the assumption used for the loss severity and a directionally opposite change in the assumption used for prepayment rates. The significant unobservable input used in the fair value measurement of the Company’s investment in Arc Home is the book value multiple. Significant increases (decreases) in the multiple applied would result in a significantly higher (lower) fair value measurement.

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

The Company transferred $1.6 million of residential mortgage loans from Level 3 to Level 2 of the fair value hierarchy during the nine months ended September 30, 2024. The Company did not have any transfers between the Levels 2 and 3 of the fair value hierarchy during the three and nine months ended September 30, 2023. 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.

25

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AG Mortgage Investment Trust Inc. and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2024

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

Three Months Ended September 30, 2024
			Residential Mortgage Loans (1)						Legacy WMC Commercial Loans						Non-Agency RMBS						Legacy WMC CMBS						Legacy WMC Other Securities						Derivative Assets (2)						AG Arc						Securitized Debt						Derivative Liabilities (2)
Beginning balance			$	6,092,516					$	66,753					$	57,392					$	727					$	1,208					$	446					$	34,954					$	(5,117,189)					$	(560)
Transfers (3):
Transfers out of level 3			(1,329)						—						—						—						—						—						—						—						—
Purchases			524,709						—						51,047						—						—						—						—						—						—
Issuances of Securitized Debt			—						—						—						—						—						—						—						(355,794)						—
Capital distributions			—						—						—						—						—						—						(4,561)						—						—
Proceeds from sales or settlements			(159,963)						—						—						—						—						(802)						—						—						460
Principal repayments			(163,020)						—						(524)						—						—						—						—						155,186						—
Principal funding			171						—						—						—						—						—						—						—						—
Included in net income:
Net premium and discount amortization (4)			2,679						50						41						—						(51)						—						—						(7,334)						—
Net realized gain/(loss)			1,144						—						—						—						—						802						—						—						(460)
Net unrealized gain/(loss)			193,094						72						3,215						(91)						(159)						(297)						—						(172,421)						535
Equity in earnings/(loss) from affiliates			—						—						—						—						—						—						574						—						—
Other (5)			(223)						—						—						—						—						—						—						—						—
Ending Balance			$	6,489,778					$	66,875					$	111,171					$	636					$	998					$	149					$	30,967					$	(5,497,552)					$	(25)
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held as of September 30, 2024
Net premium and discount amortization (4)			2,719						50						41						—						(51)						—						—						(7,334)						—
Net unrealized gain/(loss)			194,100						72						3,215						(91)						(159)						146						—						(172,421)						(25)
Equity in earnings/(loss) from affiliates			—						—						—						—						—						—						574						—						—

Three Months Ended September 30, 2023
			Residential Mortgage Loans (1)						Non-Agency RMBS												Derivative assets (2)						AG Arc						Securitized debt						Derivative liabilities (2)
Beginning balance			$	4,103,610					$	14,667											$	926					$	37,447					$	(3,402,060)					$	(1,235)
Purchases			704,680						—												—						—						—						—
Issuances of Securitized Debt			—						—												—						—						(639,653)						—
Capital distributions			—						—												—						(224)						—						—
Proceeds from sales or settlements			(142,471)						—												(1,675)						—						—						1,871
Principal repayments			(89,023)						—												—						—						127,404						—
Included in net income:
Net premium and discount amortization (4)			511						(101)												—						—						(2,999)						—
Net realized gain/(loss)			(895)						—												1,675						—						—						(1,871)
Net unrealized gain/(loss)			(92,367)						(70)												(286)						—						85,793						(423)
Equity in earnings/(loss) from affiliates			—						—												—						(2,020)						—						—
Other (5)			(2,176)						—												—						—						—						—
Ending Balance			$	4,481,869					$	14,496											$	640					$	35,203					$	(3,831,515)					$	(1,658)
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held as of September 30, 2023
Net premium and discount amortization (4)			368						(101)												—						—						(2,999)						—
Net unrealized gain/(loss)			(93,712)						(70)												640						—						85,794						(1,658)
Equity in earnings/(loss) from affiliates			—						—												—						(2,020)						—						—

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

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

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

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

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

26

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AG Mortgage Investment Trust Inc. and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2024

Nine Months Ended September 30, 2024
			Residential Mortgage Loans (1)						Legacy WMC Commercial Loans						Non-Agency RMBS						Legacy WMC CMBS						Legacy WMC Other Securities						Derivative Assets (2)						AG Arc						Securitized Debt						Derivative Liabilities (2)
Beginning balance			$	5,675,135					$	66,303					$	37,533					$	5,796					$	1,156					$	1,172					$	33,574					$	(4,711,623)					$	(7)
Transfers (3):
Transfers out of level 3			(1,629)						—						—						—						—						—						—						—						—
Purchases			1,234,906						—						69,098						—						—						—						—						—						—
Issuances of Securitized Debt			—						—						—						—						—						—						—						(1,014,049)						—
Capital distributions			—						—						—						—						—						—						(5,042)						—						—
Proceeds from sales or settlements			(159,963)						—						—						—						—						(2,530)						—						—						1,217
Principal repayments			(474,879)						—						(524)						—						—						—						—						439,549						—
Principal funding			171						—						—						—						—						—						—						—						—
Included in net income:
Net premium and discount amortization (4)			10,842						250						74						(63)						(148)						—						—						(22,650)						—
Net realized gain/(loss)			1,200						—						—						—						—						2,530						—						—						(1,217)
Net unrealized gain/(loss)			207,574						322						4,990						(5,097)						(10)						(1,023)						—						(188,779)						(18)
Equity in earnings/(loss) from affiliates			—						—						—						—						—						—						2,435						—						—
Other (5)			(3,579)						—						—						—						—						—						—						—						—
Ending Balance			$	6,489,778					$	66,875					$	111,171					$	636					$	998					$	149					$	30,967					$	(5,497,552)					$	(25)
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held as of September 30, 2024
Net premium and discount amortization (4)			11,071						250						74						(63)						(148)						—						—						(22,650)						—
Net unrealized gain/(loss)			208,835						322						4,990						(5,097)						(10)						149						—						(188,779)						(25)
Equity in earnings/(loss) from affiliates			—						—						—						—						—						—						2,435						—						—

Nine Months Ended September 30, 2023
			Residential Mortgage Loans (1)						Non-Agency RMBS												Derivative assets (2)						AG Arc						Securitized debt						Derivative liabilities (2)
Beginning balance			$	4,127,843					$	14,917											$	98					$	39,680					$	(3,262,352)					$	(9)
Purchases			948,164						—												—						—						—						—
Issuances of Securitized Debt			—						—												—						—						(874,407)						—
Capital distributions			—						—												—						(626)						—						—
Proceeds from sales or settlements			(307,725)						—												(4,232)						—						—						2,505
Principal repayments			(260,367)						—												—						—						288,760						—
Included in net income:
Net premium and discount amortization (4)			2,014						(274)												—						—						(8,862)						—
Net realized gain/(loss)			(11,109)						—												4,232						—						—						(2,505)
Net unrealized gain/(loss)			(13,286)						(147)												542						—						25,346						(1,649)
Equity in earnings/(loss) from affiliates			—						—												—						(3,851)						—						—
Other (5)			(3,665)						—												—						—						—						—
Ending Balance			$	4,481,869					$	14,496											$	640					$	35,203					$	(3,831,515)					$	(1,658)
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held as of September 30, 2023
Net premium and discount amortization (4)			1,166						(274)												—						—						(8,862)						—
Net unrealized gain/(loss)			(23,891)						(147)												640						—						27,137						(1,658)
Equity in earnings/(loss) from affiliates			—						—												—						(3,851)						—						—

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

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

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

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

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

27

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AG Mortgage Investment Trust Inc. and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2024

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

																		September 30, 2024												December 31, 2023
						Valuation Technique						Unobservable Input						Fair Value						Range (Weighted Average) (1)						Fair Value						Range (Weighted Average) (1)
						Securitized Residential Mortgage Loans
												Yield												5.21% - 10.15% (5.71%)												5.67% - 9.47% (6.23%)
						Discounted Cash Flow						Projected Collateral Prepayments						$	6,226,698					4.13% - 11.00% (6.26%)						$	5,358,281					3.02% - 10.47% (4.72%)
									Projected Collateral Losses												0.02% - 1.95% (0.15%)												0.02% - 1.88% (0.16%)
									Projected Collateral Severities												-13.27% - 26.00% (18.99%)												-13.44% - 26.00% (17.38%)
						Residential Mortgage Loans
												Yield												5.81% - 12.55% (7.85%)												6.13% - 18.75% (6.64%)
						Discounted Cash Flow						Projected Collateral Prepayments						$	263,080					5.71% - 32.75% (20.19%)						$	316,854					3.89% - 34.35% (24.88%)
									Projected Collateral Losses												0.00% - 25.16% (1.17%)												0.00% - 12.72% (0.15%)
												Projected Collateral Severities												-25.00% - 55.40% (17.35%)												-38.75% - 44.01% (9.62%)
						Legacy WMC Commercial Loans
												Yield												7.64% - 9.44% (8.85%)												8.16% - 10.13% (9.47%)
						Discounted Cash Flow						Credit Spread						$	66,875					377 bps - 517 bps (471 bps)						$	66,303					377 bps - 556 bps (496 bps)
												Recovery Percentage (2)												100.00% - 100.00% (100.00%)												100.00% - 100.00% (100.00%)
												Loan-to-Value												42.50% - 77.22% (63.68%)												42.50% - 77.22% (63.61%)
						Non-Agency RMBS
												Yield												5.37% - 35.00% (7.32%)												6.23% - 14.00% (9.70%)
						Discounted Cash Flow						Projected Collateral Prepayments						$	111,171					4.60% - 12.75% (8.94%)						$	37,533					4.55% - 5.26% (4.93%)
									Projected Collateral Losses												0.01% - 0.41% (0.12%)												0.17% - 0.28% (0.25%)
												Projected Collateral Severities												10.00% - 25.00% (19.48%)												10.00% - 10.00% (10.00%)
						Legacy WMC CMBS
						Consensus Pricing						Offered Quotes						$	636					6.06 - 6.06 (6.06)						$	5,796					55.20 - 55.20 (55.20)
						Legacy WMC Other Securities
						Consensus Pricing						Offered Quotes						$	998					5,883.06 - 5,883.06 (5,883.06)						$	1,156					6,821.32 - 6,821.32 (6,821.32)
						Derivative Assets (3)
												Yield												6.04% - 7.34% (6.23%)												6.29% - 8.32% (6.81%)
						Discounted Cash Flow						Projected Collateral Prepayments						$	149					12.69% - 28.58% (21.61%)						$	1,172					18.20% - 33.78% (27.00%)
									Projected Collateral Losses												0.02% - 3.47% (0.88%)												0.00% - 0.82% (0.14%)
												Projected Collateral Severities												10.00% - 10.00% (10.00%)												10.00% - 10.00% (10.00%)
												Pull Through Percentages												60.00% - 100.00% (74.29%)												60.00% - 100.00% (92.21%)
						AG Arc
						Comparable Multiple						Book Value Multiple						$	30,967					0.95x - 0.95x (0.95x)						$	33,574					0.89x - 0.89x (0.89x)
						Securitized Debt
												Yield												4.43% - 25.00% (5.28%)												4.92% - 15.00% (5.72%)
						Discounted Cash Flow						Projected Collateral Prepayments						$	(5,497,552)					4.13% - 11.00% (6.22%)						$	(4,711,623)					3.02% - 10.47% (4.66%)
												Projected Collateral Losses												0.02% - 0.50% (0.14%)												0.02% - 0.40% (0.15%)
												Projected Collateral Severities												10.00% - 26.00% (19.29%)												3.71% - 26.00% (17.76%)
						Derivative Liabilities (3)
												Yield												6.04% - 6.54% (6.06%)												6.47% - 7.00% (6.51%)
						Discounted Cash Flow						Projected Collateral Prepayments						$	(25)					16.91% - 27.25% (24.09%)						$	(7)					27.36% - 34.44% (34.30%)
									Projected Collateral Losses												0.01% - 1.66% (0.09%)												0.00% - 0.02% (0.00%)
												Projected Collateral Severities												10.00% - 10.00% (10.00%)												10.00% - 10.00% (10.00%)
												Pull Through Percentages												60.00% - 100.00% (75.97%)												60.00% - 100.00% (99.22%)

(1)Amounts are weighted based on fair value.

(2)Represents the proportion of the principal expected to be collected relative to the loan balances as of September 30, 2024 and December 31, 2023.

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

28

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AG Mortgage Investment Trust Inc. and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2024

Other Fair Value Disclosures

Short-term financing arrangements

The fair value of certain of the Company's financing arrangements approximates the carrying value due to the floating interest rates that are based on an index plus a spread, which is typically consistent with those demanded in the market, and the short-term maturities of generally one year or less. These financing agreements are classified as Level 2.

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

The following table presents the carrying value and estimated fair value of the Company's Legacy WMC Convertible Notes, Senior Unsecured Notes, and fixed-rate financing arrangements with original contractual maturities of greater than one year as of September 30, 2024 and December 31, 2023 (in thousands). The fair value of the Company's Legacy WMC Convertibles Notes and Senior Unsecured Notes is based upon prices obtained from third-party pricing services or broker quotations and are classified as Level 2. The fair value of the Company's fixed-rate long-term financing arrangements is based on a discounted cash flow valuation approach using valuation analyses of the underlying collateral sourced from third-party pricing service providers and is classified as Level 3.

						September 30, 2024												December 31, 2023
						Carrying Value (1)						Estimated Fair Value						Carrying Value (1)						Estimated Fair Value
Legacy WMC Convertible Notes (2)						$	—					$	—					$	85,266					$	84,525
Senior Unsecured Notes						95,548						120,536						—						—
Financing arrangements						53,335						53,964						62,972						63,175

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

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

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AG Mortgage Investment Trust Inc. and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2024

6. Financing

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

			September 30, 2024																																				December 31, 2023
			Financing																		Weighted Average												Collateral Fair Value (1)(2)						Financing
			Current Face						Carrying Value						Stated Maturity						Funding Cost						Life (Years)												Carrying Value
Financing Arrangements by Asset Type
Securitized Residential Mortgage Loans (3)
Non-Agency Loans (4)			$	363,428					$	364,626					Oct 2024 - July 2025						6.92		%				0.22						$	661,456					$	301,205
Re- and Non-Performing Loans			42,688						42,688						Oct 2024						7.00		%				0.05						66,338						44,928
Residential Mortgage Loans (5)
Agency-Eligible Loans			103,745						103,745						June 2025 - July 2025						6.70		%				0.82						112,821						200,617
Home Equity Loans (4)			114,475						114,475						June 2025						7.20		%				0.68						136,854						—
Non-Agency Loans			7,674						7,674						Jan 2025 - June 2025						6.97		%				0.33						9,877						77,345
Legacy WMC Commercial Loans (4)			47,222						47,222						Mar 2025						8.13		%				0.48						66,875						48,032
Non-Agency RMBS			86,615						86,615						Oct 2024 - May 2025						5.92		%				0.08						120,088						51,251
Legacy WMC CMBS			20,313						20,313						Oct 2024						6.88		%				0.03						52,018						31,620
Agency RMBS			2,141						2,141						Oct 2024						5.56		%				0.05						3,064						12,594
Total Financing Arrangements			$	788,301					$	789,499											6.89		%				0.36						$	1,229,391					$	767,592
Securitized debt, at fair value (6) (7)
Non-Agency Loans (8) (9)			$	5,634,967					$	5,391,483					N/A						5.15		%				6.47						N/A						$	4,597,490
Re- and Non-Performing Loans (10)			114,470						106,069						N/A						3.32		%				3.67						N/A						114,133
Total Securitized Debt			$	5,749,437					$	5,497,552											5.11		%				6.42						N/A						$	4,711,623
Legacy WMC Convertible Notes			$	—					$	—					N/A						N/A						N/A						N/A						$	85,266
Senior Unsecured Notes
February 2029 Senior Unsecured Notes			$	34,500					$	32,958					Feb 2029						10.79		%				4.48						N/A						$	—
May 2029 Senior Unsecured Notes			65,000						62,590						May 2029						10.52		%				4.73						N/A						—
Total Senior Unsecured Notes			$	99,500					$	95,548											10.61		%				4.64						N/A						$	—
Total Financing			$	6,637,238					$	6,382,599											5.41		%				5.80						$	1,229,391					$	5,564,481

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

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

(3)Amounts pledged as collateral under Securitized residential mortgage loans include certain of the Company's retained interests in securitizations. Refer to Note 3 for more information on the Non-Agency VIEs and RPL/NPL VIEs.

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

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

(6)The holders of the securitized debt have no recourse to the general credit of the Company. The Company has no obligation to provide any other explicit or implicit support to the Non-Agency VIEs and RPL/NPL VIEs.

(7)As of September 30, 2024, the weighted average funding costs are presented based on the amortized cost of the underlying securities. As of December 31, 2023, the weighted average funding costs are presented based on the fair value of the underlying securities. The weighted average funding cost of the Company's securitized debt based on the fair value of the underlying securities as of September 30, 2024 was 5.21%.

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

(9)The current face on the Company's Securitized debt in the Company's Non-Agency VIEs excludes Interest Only classes which have no principal balances and bear interest based on a notional value. The notional value is used solely to determine interest distributions on the interest only classes of securities. As of September 30, 2024, the notional value of interest only classes of Securitized debt was $1.3 billion.

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

Legacy WMC Convertible Notes

In connection with the WMC acquisition, the Merger Sub assumed, and the Company guaranteed, $86.25 million aggregate principal amount of Legacy WMC Convertible Notes. The Legacy WMC Convertible Notes had an interest rate of 6.75% and

30

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AG Mortgage Investment Trust Inc. and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2024

interest was paid semiannually. During the nine months ended September 30, 2024, the Company repurchased $7.1 million of principal amount of its outstanding Legacy WMC Convertible Notes. The Company paid off the remaining principal amount outstanding of the Legacy WMC Convertible Notes at maturity in September 2024.

The below table details the total interest expense incurred on the Legacy WMC Convertible Notes during the three and nine months ended September 30, 2024 (in thousands). There was no interest expense incurred during the three and nine months ended September 30, 2023 as the Company assumed the Legacy WMC Convertible Notes in connection with the Merger in December 2023.

						September 30, 2024
						Three Months Ended						Nine Months Ended
Coupon interest expense						$	1,097											$	3,805
Amortization expense						271												912
Total interest expense						$	1,368											$	4,717

Senior Unsecured Notes

The Company’s Senior Unsecured Notes consist of $34.5 million principal amount 9.500% Senior Notes due February 2029 ("February 2029 Senior Unsecured Notes") and $65.0 million principal amount 9.500% Senior Notes due May 2029 ("May 2029 Senior Unsecured Notes" and together with the February 2029 Senior Unsecured Notes, the "Senior Unsecured Notes"). The February 2029 Senior Unsecured Notes were issued on January 26, 2024 in a public offering for net proceeds of approximately $32.8 million and the May 2029 Senior Unsecured Notes were issued on May 15, 2024 in a public offering for net proceeds of approximately $62.4 million. The below table provides a summary of the Senior Unsecured Notes as of September 30, 2024 ($ in thousands).

						Principal Amount (1)						Carrying Value						First Pay Date						Maturity Date (2)						Redemption Date (3)						Rate (4)
February 2029 Senior Unsecured Notes						$	34,500					$	32,958					May 15, 2024						February 15, 2029						February 15, 2026						9.500		%
May 2029 Senior Unsecured Notes						65,000						62,590						August 15, 2024						May 15, 2029						May 15, 2026						9.500		%

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

(2)The Company has the option to redeem the Senior Unsecured Notes earlier than the maturity date.

(3)The Company may redeem the Senior Unsecured Notes in whole or in part at any time or from time to time at the Company’s option on or after the redemption date, upon not less than 30 days written notice to holders prior to the redemption date, at a redemption price equal to 100% of the outstanding principal amount of the Senior Unsecured Notes to be redeemed plus accrued and unpaid interest to, but excluding, the redemption date.

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

The below table details the total interest expense incurred on the Senior Unsecured Notes during the three and nine months ended September 30, 2024 (in thousands). There was no interest expense incurred during the three or nine months ended September 30, 2023 as the Senior Unsecured Notes were issued during 2024.

						September 30, 2024
						Three Months Ended						Nine Months Ended
Coupon interest expense						$	2,363											$	4,563
Amortization expense						168												332
Total interest expense						$	2,531											$	4,895

31

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AG Mortgage Investment Trust Inc. and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2024

Contractual maturities

The following table allocates the current face of the Company's borrowings under financing arrangements, the Legacy WMC Convertible Notes, and Senior Unsecured Notes as of September 30, 2024 by contractual maturity (in thousands). Securitized debt is excluded from the below table as it does not have a contractual maturity.

						Within 30 Days						Over 30 Days to 3 Months						Over 3 Months to 12 Months						Over 12 Months						Total
Financing Arrangements by Asset Type
Securitized Residential Mortgage Loans
Non-Agency Loans						$	251,706					$	26,642					$	85,080					$	—					$	363,428
Re- and Non-Performing Loans						42,688						—						—						—						42,688
Residential Mortgage Loans
Agency-Eligible Loans						—						—						103,745						—						103,745
Home Equity Loans						—						—						114,475						—						114,475
Non-Agency Loans						—						—						7,674						—						7,674
Legacy WMC Commercial Loans						—						—						47,222						—						47,222
Non-Agency RMBS						69,810						14,199						2,606						—						86,615
Legacy WMC CMBS						20,313						—						—						—						20,313
Agency RMBS						2,141						—						—						—						2,141
Total Financing Arrangements						$	386,658					$	40,841					$	360,802					$	—					$	788,301
Senior Unsecured Notes
February 2029 Senior Unsecured Notes						$	—					$	—					$	—					$	34,500					$	34,500
May 2029 Senior Unsecured Notes						—						—						—						65,000						65,000
Total Senior Unsecured Notes						$	—					$	—					$	—					$	99,500					$	99,500

Counterparties

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

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

						September 30, 2024																		December 31, 2023
Counterparty						Stockholders' Equity at Risk						Weighted Average Maturity (days)						Percentage of Stockholders' Equity						Stockholders' Equity at Risk						Weighted Average Maturity (days)						Percentage of Stockholders' Equity
BofA Securities, Inc.						$	153,316					118						28.4		%				$	131,128					236						24.8		%
Goldman Sachs Bank USA						103,409						157						19.1		%				73,893						9						14.0		%
Barclays Capital Inc.						79,274						26						14.7		%				81,047						85						15.3		%
JP Morgan Securities, LLC						(1)						(1)						(1)						46,642						134						8.8		%
Various (2)						75,156						303						13.9		%				69,637						577						13.2		%

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

(2)Certain retained interests in securitizations are held in WMC RR 2023-1 Trust, a wholly owned subsidiary of the Company. WMC RR 2023-1 Trust issued certificates which were sold to various third-party investors.

Financial Covenants

The Company’s financing arrangements generally include customary representations, warranties, and covenants, but may also contain more restrictive supplemental terms and conditions. Although specific to each financing arrangement, typical supplemental terms include requirements of minimum equity and liquidity, leverage ratios, and performance triggers. In addition, some of the financing arrangements contain cross default features, whereby default under an agreement with one

32

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AG Mortgage Investment Trust Inc. and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2024

lender simultaneously causes default under agreements with other lenders. To the extent that the Company fails to comply with the covenants contained in these financing arrangements or is otherwise found to be in default under the terms of such agreements, the counterparty has the right to accelerate amounts due under the associated agreement. Financings pursuant to financing arrangements are generally recourse to the Company. As of September 30, 2024, the Company is in compliance with all of its financial covenants.

7. Other assets and liabilities

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

						September 30, 2024						December 31, 2023
Other assets
Interest receivable						$	34,538					$	30,315
Real estate owned						3,021						5,644
Derivative assets, at fair value						149						1,321
Other assets						2,329						3,187
Due from broker						1,046						249
Total Other assets						$	41,083					$	40,716
Other liabilities
Due to affiliates (1)						$	4,811					$	3,252
Interest payable						25,164						23,715
Derivative liabilities, at fair value						111						70
Accrued expenses						1,669						4,874
Due to broker						32						196
Total Other liabilities						$	31,787					$	32,107

(1)Refer to Note 10 for more information.

Derivatives

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

												Balance Sheet  Location						September 30, 2024												December 31, 2023
Derivatives and Other Instruments (1)																		Notional						Fair Value						Notional						Fair Value
Pay Fix/Receive Float Interest Rate Swap Agreements (2) (3)												Other assets						$	183,000					$	—					$	165,000					$	149
Pay Fix/Receive Float Interest Rate Swap Agreements (2) (3)												Other liabilities						121,500						(86)						338,000						—
Short TBAs												Other liabilities						—						—						9,000						(63)
Forward Purchase Commitments												Other assets						32,735						149						70,145						1,172
Forward Purchase Commitments												Other liabilities						7,267						(25)						2,566						(7)

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

(2)As of September 30, 2024, the Company applied a reduction in fair value of $5.2 million and $2.9 million to its interest rate swap assets and liabilities, respectively, related to variation margin with a corresponding increase or decrease in restricted cash. As of December 31, 2023, the Company applied a reduction in fair value of $9.3 million and $7.7 million to its interest rate swap assets and liabilities, respectively, related to variation margin with a corresponding increase or decrease in restricted cash.

(3)As of September 30, 2024, the Company's pay fix/receive float interest rate swaps had a weighted average pay-fixed rate of 3.28%, a weighted average receive-variable rate of 4.96%, and a weighted average years to maturity of 5.18 years. As of December 31, 2023, the Company's pay fix/receive float interest rate swaps had a weighted average pay-fixed rate of 3.65%, a weighted average receive-variable rate of 5.38%, and a weighted average years to maturity of 4.01 years.

33

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AG Mortgage Investment Trust Inc. and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2024

Derivative and other instruments eligible for offset are presented gross on the consolidated balance sheets as of September 30, 2024 and December 31, 2023, if applicable. The Company has not offset or netted any derivatives or other instruments with any financial instruments or cash collateral posted or received.

 

The Company must post cash or securities as collateral on its derivative instruments when their fair value declines. This typically occurs when prevailing market rates change adversely, with the severity of the change also dependent on the term of the derivatives involved. The posting of collateral is generally bilateral, meaning that if the fair value of the Company’s derivatives increases, its counterparty must post collateral. As of September 30, 2024, the Company's restricted cash balance included $8.4 million of collateral related to certain derivatives, of which $6.1 million represents cash collateral posted by the Company and $2.3 million represents amounts related to variation margin. As of December 31, 2023, the Company's restricted cash balance included $12.3 million of collateral related to certain derivatives, of which $10.7 million represents cash collateral posted by the Company and $1.6 million represents amounts related to variation margin.

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

						Three Months Ended												Nine Months Ended
						September 30, 2024						September 30, 2023						September 30, 2024						September 30, 2023
Included within Net interest component of interest rate swaps
Interest Rate Swaps						$	2,180					$	2,221					$	6,447					$	5,025
Included within Net unrealized gain/(loss)
Interest Rate Swaps						(5,215)						1,054						3,379						(8,347)
Short TBAs						—						—						63						(650)
Forward Purchase Commitments						238						(709)						(1,041)						(1,107)
						(4,977)						345						2,401						(10,104)
Included within Net realized gain/(loss)
Interest Rate Swaps						(21,551)						8,422						(24,612)						18,956
Long TBAs						—						—						—						5
Short TBAs						—						—						24						(70)
Forward Purchase Commitments						342						(196)						1,313						1,727
						(21,209)						8,226						(23,275)						20,618
Total income/(loss)						$	(24,006)					$	10,792					$	(14,427)					$	15,539

34

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AG Mortgage Investment Trust Inc. and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2024

Derivative Activity

 

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

									Three Months Ended
									Beginning Notional Amount						Buys or Covers						Sales or Shorts						Ending Notional Amount																		Derivative Asset						Derivative Liability
September 30, 2024			Interest Rate Swaps						$	818,000					$	129,000					$	(642,500)					$	304,500																	$	—					$	(86)
September 30, 2023			Interest Rate Swaps						607,000						286,000						(488,000)						405,000																		245						—

									Nine Months Ended
									Beginning Notional Amount						Buys or Covers						Sales or Shorts (1)						Ending Notional Amount																		Derivative Asset						Derivative Liability
September 30, 2024			Short TBAs						$	(9,000)					$	130,000					$	(121,000)					$	—																	$	—					$	—
September 30, 2024			Interest Rate Swaps						503,000						846,750						(1,045,250)						304,500																		—						(86)
September 30, 2023			Long TBAs						—						10,000						(10,000)						—																		—						—
September 30, 2023			Short TBAs						(40,000)						100,000						(60,000)						—																		—						—
September 30, 2023			Interest Rate Swaps						335,000						884,000						(814,000)						405,000																		245						—

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

8. Earnings per share

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

						Three Months Ended												Nine Months Ended
						September 30, 2024						September 30, 2023						September 30, 2024						September 30, 2023
Numerator:
Net Income/(Loss)						$	16,640					$	(2,165)					$	41,455					$	18,431
Dividends on preferred stock						(4,716)						(4,586)						(13,888)						(13,758)
Net Income/(Loss) Available to Common Stockholders						$	11,924					$	(6,751)					$	27,567					$	4,673
Denominator:
Basic weighted average common shares outstanding						29,493						20,219						29,473						20,508
Dilutive effect of restricted stock units						27						—						27						—
Diluted weighted average common shares outstanding						29,520						20,219						29,500						20,508
Earnings/(Loss) Per Share
Basic						$	0.40					$	(0.33)					$	0.94					$	0.23
Diluted						$	0.40					$	(0.33)					$	0.93					$	0.23

35

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AG Mortgage Investment Trust Inc. and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2024

Dividends

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

Nine Months Ended September 30, 2024

Nine Months Ended September 30, 2023

Declaration Date

Record Date

Payment Date

Cash Dividend Per Share

Declaration Date

Record Date

Payment Date

Cash Dividend Per Share

3/15/2024

3/29/2024

4/30/2024

$

0.18

3/15/2023

3/31/2023

4/28/2023

$

0.18

6/13/2024

6/28/2024

7/31/2024

0.19

6/15/2023

6/30/2023

7/31/2023

0.18

9/16/2024

9/30/2024

10/31/2024

0.19

9/15/2023

9/29/2023

10/31/2023

0.18

Total

$

0.56

Total

$

0.54

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

						2024																		Cash Dividend Per Share
						Declaration Date						Record Date						Payment Date						8.25% Series A						8.00% Series B						8.000% Series C
						2/16/2024						2/29/2024						3/18/2024						$	0.51563					$	0.50					$	0.50
						5/2/2024						5/31/2024						6/17/2024						0.51563						0.50						0.50
						8/1/2024						8/30/2024						9/17/2024						0.51563						0.50						0.50
						Total																		$	1.54689					$	1.50					$	1.50
						2023																		Cash Dividend Per Share
						Declaration Date						Record Date						Payment Date						8.25% Series A						8.00% Series B						8.000% Series C
						2/16/2023						2/28/2023						3/17/2023						$	0.51563					$	0.50					$	0.50
						5/4/2023						5/31/2023						6/20/2023						0.51563						0.50						0.50
						7/31/2023						8/31/2023						9/18/2023						0.51563						0.50						0.50
						Total																		$	1.54689					$	1.50					$	1.50

9. Income taxes

 

The Company conducts its operations to qualify and be taxed as a REIT. As a REIT, the Company is not subject to federal income tax to the extent that it makes qualifying distributions to its stockholders, and provided it satisfies on a continuing basis, through actual investment and operating results, the REIT requirements including certain asset, income, distribution, and stock ownership tests. The state and local tax jurisdictions for which the Company is subject to tax-filing obligations recognize the Company’s status as a REIT, and therefore, the Company generally does not pay income tax in such jurisdictions. The Company may, however, be subject to certain minimum state and local tax filing fees as well as certain excise, franchise, or business taxes.

On December 6, 2023, the Company acquired WMC, an externally managed mortgage REIT. Refer to "WMC Acquisition" in Note 1 for additional information related to the Merger. The Merger is intended to qualify as a reorganization within the meaning of Section 368(a) of the Internal Revenue Code.

Excise Tax

Excise tax represents a non-deductible 4% tax on the required amount of the Company’s ordinary income and net capital gains not distributed during the year. The expense is calculated in accordance with applicable tax regulations. For the three and nine months ended September 30, 2024 and 2023, the Company did not record any excise tax.

36

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AG Mortgage Investment Trust Inc. and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2024

REIT Net Operating Loss and Net Capital Loss Carryforwards

As of September 30, 2024 and December 31, 2023, the Company had federal net operating loss ("NOL") carryforwards of $2.1 million and $2.1 million, respectively, that can be used to offset future taxable ordinary income and reduce its REIT distribution requirements. These NOL carryforwards (which exclude NOLs acquired from WMC) do not have an expiration date and can be carried forward indefinitely. In connection with the Merger, the Company obtained NOL carryforwards of $321.6 million, of which $223.8 million do not have an expiration date and can be carried forward indefinitely. However, the Company’s use of these obtained NOLs is limited under Section 382 of the Internal Revenue Code.

As of September 30, 2024 and December 31, 2023, the Company had estimated net capital loss ("NCL") carryforwards of $288.1 million and $293.6 million, respectively, the majority of which were generated during the year ended December 31, 2020 and will expire in 2025. These NCL carryforwards (which exclude the NCLs acquired from WMC) can be utilized to offset future net gains from the sale of capital assets. In connection with the Merger, the Company obtained NCL carryforwards of $143.1 million, of which a majority expire between 2027 and 2028. However, the Company’s use of these obtained NCLs is limited under Sections 382 and 383 of the Internal Revenue Code.

Taxable REIT Subsidiaries

The Company elected to treat certain domestic subsidiaries as taxable REIT subsidiaries ("TRSs"). The Company’s financial results are generally not expected to reflect provisions for current or deferred income taxes, except for any activities conducted through one or more TRSs that are subject to corporate income taxation. Currently, the Company has wholly owned domestic TRSs that are taxable as corporations and subject to U.S. federal, state, and local income tax on net income at the applicable corporate rates. The federal statutory rate for the three and nine months ended September 30, 2024 and 2023 was 21%. The Company’s effective tax rate differs from its combined U.S. federal, state, and local corporate statutory tax rate primarily due to income earned at the REIT, which is not subject to tax, due to the deduction for qualifying distributions made by the Company, and any change in the valuation allowance as disclosed in further detail below. The tax expense attributable to its TRSs is recorded in the "Non-investment related expenses" line item on the consolidated statement of operations. The below table details the tax expense attributable to its TRSs for the three and nine months ended September 30, 2024 and 2023 (in thousands).

						Three Months Ended												Nine Months Ended
						September 30, 2024						September 30, 2023						September 30, 2024						September 30, 2023
Tax expense						$	16					$	14					$	58					$	239

Deferred income taxes reflect the net tax effects of temporary differences between the carrying amount of assets and liabilities for financial reporting and tax reporting purposes at the TRS level. As of September 30, 2024 and December 31, 2023, the Company recorded a deferred tax asset of approximately $38.5 million and $37.3 million, respectively, relating to net operating loss carryforwards, capital loss carryforwards, and basis differences of certain investments held within TRSs. In assessing the realizability of deferred tax assets, the Company considers whether it is more likely than not that some portion or all of the deferred tax assets will not be realized. The ultimate realization of deferred tax assets is dependent upon the generation of future taxable income during periods in which temporary differences become deductible. The Company concluded it is more likely than not the deferred tax asset will not be realized and established a full valuation allowance as of September 30, 2024 and December 31, 2023.

Uncertain Income Tax Positions

Based on its analysis of any potential uncertain income tax positions, the Company concluded it did not have any uncertain tax positions that meet the recognition or measurement criteria of ASC 740 as of September 30, 2024 and December 31, 2023. The Company’s federal income tax returns for the last three tax years are open to examination by the Internal Revenue Service. There are no ongoing U.S. federal, state or local tax examinations related to the Company. In the event that the Company incurs income tax related interest and penalties, its policy is to classify them as a component of provision for income taxes. The Company did not incur any interest or penalties during the three or nine months ended September 30, 2024 and 2023.

37

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AG Mortgage Investment Trust Inc. and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2024

10. Related party transactions

 

Manager

The Company has entered into a management agreement with the Manager, which provided for an initial term and will be deemed renewed automatically each year for an additional one-year period, subject to certain termination rights. The Company is externally managed and advised by the Manager. Pursuant to the terms of the management agreement, which became effective July 6, 2011 (upon the consummation of the Company’s initial public offering (the "IPO")), the Manager provides the Company with its management team, including its officers, along with appropriate support personnel. Each of the Company’s officers is an employee of TPG Angelo Gordon. The Company does not have any employees. The Manager has delegated to TPG Angelo Gordon the overall responsibility of its day-to-day duties and obligations arising under the Company’s management agreement. Below is a description of the fees and reimbursements provided in the management agreement.

 

On November 1, 2023, TPG completed the previously announced acquisition of TPG Angelo Gordon (the "TPG Transaction"), pursuant to which TPG Angelo Gordon, including the Manager, became indirect subsidiaries of TPG. Pursuant to the management agreement with the Manager, the closing of the TPG Transaction resulted in an assignment of the management agreement. The independent directors of the Company's Board of Directors unanimously consented to such assignment on July 31, 2023 in advance of the TPG Transaction closing. There were no changes to the management agreement in connection with the TPG Transaction and the assignment of the management agreement became effective upon the closing of the TPG Transaction.

In connection with the Merger with WMC, which was completed on December 6, 2023, and contemporaneously with the execution of the Merger Agreement, on August 8, 2023, the Company and the Manager entered into the MITT Management Agreement Amendment, pursuant to which (i) the Manager’s base management fee will be reduced by $0.6 million for the first four quarters following the Effective Time, beginning with the fiscal quarter in which the Effective Time occurs (i.e., resulting in an aggregate $2.4 million waiver of base management fees), and (ii) the Manager will waive its right to seek reimbursement from the Company for any expenses otherwise reimbursable by the Company under the management agreement in an amount equal to approximately $1.3 million, which is the excess of $7.0 million over the aggregate Per Share Additional Manager Consideration paid by the Manager to the holders of WMC Common Stock under the Merger Agreement. The MITT Management Agreement Amendment became effective automatically upon the closing of the Merger.

Management fee

 

The Manager is entitled to a management fee equal to 1.50% per annum, calculated and paid quarterly, of the Company’s Stockholders’ Equity. For purposes of calculating the management fee, "Stockholders’ Equity" means the sum of the net proceeds from any issuances of equity securities (including preferred securities) since inception (allocated on a pro rata daily basis for such issuances during the fiscal quarter of any such issuance, and excluding any future equity issuance to the Manager), plus the Company’s retained earnings at the end of such quarter (without taking into account any non-cash equity compensation expense or other non-cash items incurred in current or prior periods), less any amount that the Company pays for repurchases of its common stock, excluding any unrealized gains, losses or other non-cash items that have impacted stockholders’ equity as reported in the Company’s financial statements prepared in accordance with GAAP, regardless of whether such items are included in other comprehensive income or loss, or in net income, and excluding one-time events pursuant to changes in GAAP, and certain other non-cash charges after discussions between the Manager and the Company’s independent directors and after approval by a majority of the Company’s independent directors. Stockholders’ Equity, for purposes of calculating the management fee, could be greater or less than the amount of stockholders’ equity shown on the Company’s financial statements.

The below table details the management fees incurred during the three and nine months ended September 30, 2024 and 2023 (in thousands).

						Three Months Ended												Nine Months Ended
Consolidated statements of operations line item:						September 30, 2024						September 30, 2023						September 30, 2024						September 30, 2023
Management fee to affiliate (1)						$	1,708					$	2,054					$	5,202					$	6,190

(1)For the three and nine months ended September 30, 2024, the Manager agreed to waive its right to receive management fees of $0.6 million and $1.8 million, respectively, pursuant to the MITT Management Agreement Amendment executed in connection with the Merger. As of September 30, 2024, all of the $2.4 million management fee waiver agreed upon in connection with the Merger has been utilized.

38

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AG Mortgage Investment Trust Inc. and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2024

As of September 30, 2024 and December 31, 2023, the Company recorded management fees payable of $1.7 million and $1.5 million, respectively. The management fee payable is included within the "Due to affiliates" item within the "Other liabilities" line item on the consolidated balance sheets.

Incentive fee

The Manager is entitled to an annual incentive fee with respect to each applicable fiscal year, which will be equal to 15% of the amount by which the Company's cumulative adjusted net income from November 22, 2021 exceeds the cumulative hurdle amount, which represents an 8% return (cumulative, but not compounding) on an equity hurdle base consisting of the sum of (i) $341.5 million and (ii) the gross proceeds of any subsequent public or private common stock offerings by the Company. The annual incentive fee will be payable in cash, or, at the option of the Company's Board of Directors, shares of common stock or a combination of cash and shares.

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

Termination fee

 

Upon the occurrence of (i) the Company’s termination of the management agreement without cause or (ii) the Manager’s termination of the management agreement upon a breach by the Company of any material term of the management agreement, the Manager will be entitled to a termination fee equal to three times the average annual management fee during the 24-month period prior to such termination, calculated as of the end of the most recently completed fiscal quarter. As of September 30, 2024 and December 31, 2023, no event of termination of the management agreement had occurred.

 

Expense reimbursement

 

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

 

The Company reimburses the Manager or its affiliates for the Company’s allocable share of the compensation, including, without limitation, annual base salary, bonus, any related withholding taxes, and employee benefits paid to (i) the Company’s chief financial officer based on the percentage of time spent on the Company's affairs, (ii) the Company’s general counsel based on the percentage of time spent on the Company’s affairs, and (iii) other corporate finance, tax, accounting, internal audit, legal, risk management, operations, compliance, and other non-investment personnel of the Manager and its affiliates who spend all or a portion of their time managing the Company’s affairs based upon the percentage of time devoted by such personnel to the Company’s affairs. In their capacities as officers or personnel of the Manager or its affiliates, they devote such portion of their time to the Company’s affairs as is necessary to enable the Company to operate its business.

 

The below table details the expense reimbursement incurred during the three and nine months ended September 30, 2024 and 2023 (in thousands).

						Three Months Ended												Nine Months Ended
Consolidated statements of operations line item:						September 30, 2024						September 30, 2023						September 30, 2024						September 30, 2023
Non-investment related expenses (1)						$	1,636					$	1,400					$	4,936					$	4,200
Investment related expenses						194						148						395						360
Transaction related expenses						22						326						396						707
Expense reimbursements to Manager or its affiliates						$	1,852					$	1,874					$	5,727					$	5,267

(1)For the three and nine months ended September 30, 2024, the Manager agreed to waive its right to receive expense reimbursements of $0.3 million and $0.9 million, respectively, pursuant to the MITT Management Agreement Amendment executed in connection with the Merger. Of the $1.3 million expense reimbursement waiver agreed upon in connection with the Merger, $0.2 million remains outstanding as of September 30, 2024.

39

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AG Mortgage Investment Trust Inc. and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2024

As of September 30, 2024 and December 31, 2023, the Company recorded a reimbursement payable to the Manager or its affiliates of $2.9 million and $1.5 million, respectively. The reimbursement payable to the Manager or its affiliates is included within the "Due to affiliates" line item within the "Other liabilities" line item on the consolidated balance sheets.

 

Restricted stock grants

 

Equity Incentive Plans

Effective on April 15, 2020 upon the approval of the Company's stockholders at its 2020 annual meeting of stockholders, the Company's 2020 Equity Incentive Plan (the "2020 Equity Incentive Plan") provides for a maximum of 666,666 shares of common stock to be issued. The maximum number of shares of common stock granted during a single fiscal year to any non-employee director, taken together with any cash fees paid to such non-employee director during any fiscal year, shall not exceed $300,000 in total value (calculating the value of any such awards based on the grant date fair value). As of September 30, 2024, 406,539 shares of common stock remained available to be awarded under the 2020 Equity Incentive Plan.

 

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

On December 6, 2023, in connection with the WMC acquisition, the Company granted an aggregate 25,962 restricted stock units to the Company's two independent directors added to the Company's Board of Directors who previously served on WMC's board of directors. Through September 30, 2024, the two independent directors have also been granted an aggregate of 1,698 dividend equivalent units. These restricted stock units and associated dividend equivalent units vested in full on June 23, 2024, and will be settled in shares of the Company's common stock upon each independent director's separation from service with the Company.

Manager Equity Incentive Plans

Following approval of the Company's stockholders at its 2021 annual meeting of stockholders, the AG Mortgage Investment Trust, Inc. 2021 Manager Equity Incentive Plan (the "2021 Manager Plan") became effective on April 7, 2021 and provides for a maximum of 573,425 shares of common stock that may be subject to awards thereunder to the Manager. As of September 30, 2024, there were no shares or awards issued under the 2021 Manager Plan. Following the execution of the Third Amendment to the management agreement in November 2021 related to the incentive fee, the Company's compensation committee no longer expects to continue its historical practice of making periodic equity grants to the Manager pursuant to the 2021 Manager Plan.

Director compensation

As of September 30, 2024, the Company's Board of Directors consisted of six independent directors. The annual base director's fee for each independent director is $150,000, $70,000 of which is payable on a quarterly basis in cash and $80,000 of which is payable on a quarterly basis in shares of restricted common stock. The number of shares of restricted common stock to be issued each quarter to each independent director is determined based on the average of the high and low prices of the Company’s common stock on the New York Stock Exchange on the last trading day of each fiscal quarter. To the extent that any fractional shares would otherwise be issuable and payable to each independent director, a cash payment is made to each independent director in lieu of any fractional shares. All directors’ fees are paid pro rata (and restricted common stock grants determined) on a quarterly basis in arrears, and shares issued are fully vested and non-forfeitable. These shares may not be sold or transferred by such director during the time of their service as an independent member of the Company’s Board of Directors.

In addition to the annual base director's fee, the non-executive chair of the Company's Board of Directors receives an annual fee of $60,000, of which $30,000 is payable in cash and $30,000 is payable in shares of restricted common stock, the chair of the Audit Committee receives an annual fee of $25,000, and the chairs of the Compensation and Nominating and Corporate Governance Committees each receive an annual fee of $10,000.

 

Investments in debt and equity of affiliates

 

The Company invests in credit sensitive residential assets through affiliated entities which hold an ownership interest in the assets. The Company is one investor, amongst other investors managed by affiliates of TPG Angelo Gordon, in such entities and has applied the equity method of accounting for such investments.

40

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AG Mortgage Investment Trust Inc. and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2024

Arc Home

On December 9, 2015, the Company, alongside private funds managed by TPG Angelo Gordon, through AG Arc LLC, one of the Company’s indirect affiliates ("AG Arc"), formed Arc Home. The Company has an approximate 44.6% interest in AG Arc. Arc Home originates residential mortgage loans and retains the mortgage servicing rights associated with certain loans it originates. Arc Home is led by an external management team. The Company has chosen to make a fair value election with respect to its investment in AG Arc pursuant to ASC 825. The Company elected to treat its investment in AG Arc as a taxable REIT subsidiary.

MATH

On August 29, 2017, the Company, alongside private funds managed by TPG Angelo Gordon, formed MATH to conduct a residential mortgage investment strategy. MATH in turn sponsored the formation of Mortgage Acquisition Trust I LLC ("MATT") to purchase predominantly Non-QM Loans. MATT made an election to be treated as a REIT beginning with the 2018 tax year. The Company has an approximate 47.0% interest in MATH. Refer to the "MATH Transaction" section below for additional details on the Company's increase in ownership interest during 2023. MATH, through its wholly owned subsidiary MATT, only holds risk-retention tranches from past securitizations which continue to pay down and the Company does not expect MATT to acquire additional investments.

LOTS

On May 15, 2019 and November 14, 2019, the Company, alongside private funds managed by TPG Angelo Gordon, formed LOT SP I LLC and LOT SP II LLC, respectively, (collectively, "LOTS"). The Company has an approximate 47.5% and 50.0% interest in LOT SP I LLC and LOT SP II LLC, respectively. LOTS were formed to originate first mortgage loans to third-party land developers and home builders for the acquisition and horizontal development of land ("Land Related Financing"). During the year ended December 31, 2023, the Land Related Financing assets held within LOTS paid off in full.

41

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AG Mortgage Investment Trust Inc. and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2024

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

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

						September 30, 2024																		December 31, 2023
						Assets						Liabilities						Equity						Assets						Liabilities						Equity
Non-QM Securities (1)						$	13,050					$	—					$	13,050					$	15,257					$	—					$	15,257
Re/Non-Performing Securities						7,011						(3,540)						3,471						7,569						(3,605)						3,964
Total Residential Investments						20,061						(3,540)						16,521						22,826						(3,605)						19,221
AG Arc, at fair value						30,967						—						30,967						33,574						—						33,574
Cash and Other assets/(liabilities)						1,141						(33)						1,108						2,361						(53)						2,308
Investments in debt and equity of affiliates						$	52,169					$	(3,573)					$	48,596					$	58,761					$	(3,658)					$	55,103

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

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

						Three Months Ended												Nine Months Ended
						September 30, 2024						September 30, 2023						September 30, 2024						September 30, 2023
Non-QM Securities						$	(1,070)					$	2,606					$	307					$	4,580
Land Related Financing						—						64						—						805
Re/Non-Performing Securities						6						338						322						249
AG Arc (1)						215						(2,820)						1,470						(4,992)
Equity in earnings/(loss) from affiliates						$	(849)					$	188					$	2,099					$	642

(1)Earnings/(loss) recognized by AG Arc do not include the Company's portion of gains or losses recorded by Arc Home in connection with the sale of residential mortgage loans to the Company. Refer to "Transactions with Arc Home" below for more information on this accounting policy.

Transactions with affiliates

 

Transactions with Red Creek Asset Management LLC

 

In connection with the Company’s investments in residential mortgage loans, the Company engages asset managers to provide advisory, consultation, asset management, and other services. The Company engaged Red Creek Asset Management LLC (the "Asset Manager"), a related party of the Manager and direct subsidiary of TPG Angelo Gordon, as the asset manager for certain of its residential mortgage loans. The Company pays the Asset Manager asset management fees which are assessed periodically by a third-party valuation firm. The below details the fees paid by the Company to the Asset Manager during the three and nine months ended September 30, 2024 and 2023 (in thousands).

						Three Months Ended												Nine Months Ended
						September 30, 2024						September 30, 2023						September 30, 2024						September 30, 2023
Fees paid to Asset Manager						$	799					$	752					$	2,124					$	2,115

As of September 30, 2024 and December 31, 2023, the Company recorded asset management fees payable of $0.2 million and $0.2 million, respectively. Asset management fees payable are included within the "Due to affiliates" line item within the "Other liabilities" line item on the consolidated balance sheets.

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AG Mortgage Investment Trust Inc. and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2024

Transactions with Arc Home

Arc Home may sell loans to the Company, third-parties, or affiliates of the Manager. The below table details the unpaid principal balance of residential mortgage loans sold to the Company and private funds under the management of TPG Angelo Gordon during the three and nine months ended September 30, 2024 and 2023 (in thousands).

						Three Months Ended												Nine Months Ended
						September 30, 2024						September 30, 2023						September 30, 2024						September 30, 2023
Residential mortgage loans sold by Arc Home to the Company						$	166,183					$	249,488					$	379,565					$	442,695
Residential mortgage loans sold by Arc Home to private funds under the management of TPG Angelo Gordon						87,006						93,789						366,952						215,436

    

In connection with the sale of loans from Arc Home to the Company, the Company eliminates any intra-entity profits or losses typically recognized through the "Equity in earnings/(loss) from affiliates" line item on the Company's consolidated statement of operations and adjusts the cost basis of the underlying loans resulting in unrealized gains or losses on the underlying loans. The table below summarizes intra-entity profits eliminated during the three and nine months ended September 30, 2024 and 2023 (in thousands).

						Three Months Ended												Nine Months Ended
						September 30, 2024						September 30, 2023						September 30, 2024						September 30, 2023
Intra-Entity Profits Eliminated						$	359					$	800					$	965					$	1,141

The Company enters into forward purchase commitments with Arc Home whereby the Company commits to purchase residential mortgage loans from Arc Home at a particular price on a best-efforts basis. Actual loan purchases are contingent upon successful loan closings. These commitments to purchase mortgage loans are classified as derivatives. From time to time, the Company may determine that certain loans it has previously committed to purchase will be sold to third parties and, as a result, the derivative will be settled on a net basis with Arc Home. See Note 7 and Note 12 for more detail.

Transactions under the Company's Affiliated Transaction Policy

The below table details transactions where the Company purchased or sold assets from or to an affiliate of the Manager ($ in millions). The transactions were executed in accordance with the Company's Affiliated Transaction Policy. There were no purchases or sales of assets from or to an affiliate of the Manager during three and nine months ended September 30, 2024. Refer to the "Transactions with Arc Home" section above for additional information related to transactions with Arc Home, which are excluded from the table below.

Date

Transaction

Fair Value (1)

Pricing Methodology

June 2023

Purchase of Real Estate Securities

$

0.3

Competitive bidding process (2)

November 2023

Purchase of Real Estate Securities (4)

4.8

Third party pricing vendors (3)

November 2023

Purchase of MATH (4)

0.9

Third party pricing vendors (3)

(1)As of the transaction date.

(2)The Company submitted an offer to purchase the securities from an affiliate in a competitive bidding process, which allowed the Company to confirm third-party market pricing and best execution.

(3)Pricing was based on valuations prepared by third-party pricing vendors in accordance with the Company's policy.

(4)Refer to the "MATH Transaction" below.

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AG Mortgage Investment Trust Inc. and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2024

MATH Transaction

In November 2023, the Company's 44.6% allocation of certain bonds retained from past securitizations and held through its investment in MATH was transferred directly to the Company and the Company purchased an additional 13.1% of these bonds from other funds managed by TPG Angelo Gordon who were invested in MATH alongside the Company. These bonds are currently recorded in the Company's "Real estate securities, at fair value" line item on the consolidated balance sheets. Additionally, the Company purchased an additional interest in MATH from other funds managed by TPG Angelo Gordon, increasing its ownership interest in MATH from 44.6% to 47.0%. Subsequent to this transaction, MATH, through its wholly owned subsidiary MATT, only holds risk-retention tranches from past securitizations which continue to pay down and the Company does not expect MATT to acquire additional investments.

11. Equity

Stock repurchase programs

On August 3, 2022, the Company's Board of Directors authorized a stock repurchase program (the "2022 Repurchase Program") to repurchase up to $15.0 million of the Company’s outstanding common stock. The 2022 Repurchase Program does not have an expiration date and permits the Company to repurchase its shares through various methods, including open market repurchases, privately negotiated block transactions and Rule 10b5-1 plans. The Company may repurchase shares of its common stock from time to time in compliance with SEC regulations and other legal requirements. The extent to which the Company repurchases its shares, and the timing, manner, price, and amount of any such repurchases, will depend upon a variety of factors including market conditions and other corporate considerations as determined by the Company’s management, as well as the limits of the 2022 Repurchase Program and the Company's liquidity and business strategy. The 2022 Repurchase Program does not obligate the Company to acquire any particular amount of shares and may be modified or discontinued at any time. As of September 30, 2024, approximately $1.5 million of common stock remained authorized for future share repurchases under the 2022 Repurchase Program. There were no repurchases during the three and nine months ended September 30, 2024. The table below details the Company's share repurchases under the 2022 Repurchase Program during the nine months September 30, 2023.

Three Months Ended (1)						Total Number of Shares Purchased						Weighted Average Price Paid per Share (2)						Total Number of Shares Purchased as Part of Publicly Announced Program						Maximum Approximate Dollar Value that May Yet Be Purchased Under the Program (2)
March 31, 2023						923,261						$	5.68					923,261						$	2,569,940
June 30, 2023						187,020						5.93						187,020						1,461,810
Total						1,110,281						$	5.72					1,110,281						$	1,461,810

(1)Based on trade date.

(2)Includes brokerage commissions and clearing fees.

On May 4, 2023, the Company's Board of Directors authorized a stock repurchase program (the "2023 Repurchase Program") to repurchase up to $15.0 million of the Company’s outstanding common stock on substantially the same terms as the 2022 Repurchase Program. As of September 30, 2024, the full $15.0 million authorized amount remains available for repurchase under the 2023 Repurchase Program. This authorization is in addition to the amount remaining under the 2022 Repurchase Program.

On February 22, 2021, the Company's Board of Directors authorized a stock repurchase program (the "Preferred Repurchase Program") pursuant to which the Company's Board of Directors granted a repurchase authorization to acquire shares of the Company's 8.25% Series A Cumulative Redeemable Preferred Stock ("Series A Preferred Stock"), 8.00% Series B Cumulative Redeemable Preferred Stock ("Series B Preferred Stock"), and 8.000% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock ("Series C Preferred Stock") having an aggregate value of up to $20.0 million. No share repurchases under the Preferred Repurchase Program have been made since its authorization.

Shares of stock repurchased by the Company under any repurchase program, if any, will be cancelled and, until reissued by the Company, will be deemed to be authorized but unissued shares of its stock as required by Maryland law. The cost of the 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.

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AG Mortgage Investment Trust Inc. and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2024

Equity distribution agreements

On May 5, 2017, the Company has entered into an equity distribution agreement with each of Credit Suisse Securities (USA) LLC and JMP Securities LLC (collectively, the "Sales Agents"), which the Company refers to as the "Equity Distribution Agreements," pursuant to which the Company may sell up to $100.0 million aggregate offering price of shares of its common stock from time to time through the Sales Agents under the Securities Act of 1933. The Company did not issue any shares of common stock under the Equity Distribution Agreements during the three and nine months ended September 30, 2024 and 2023. Since inception of the program, the Company has issued approximately 2.2 million shares of common stock under the Equity Distribution Agreements for gross proceeds of $48.3 million. Effective November 6, 2024 the Company terminated the Equity Distribution Agreements and entered into new equity distribution agreements with each of BTIG, LLC, JonesTrading Institutional Services LLC, Keefe, Bruyette & Woods, Inc. and Piper Sandler & Co. Refer to Note 13 for additional details.

Shelf registration statement

On March 26, 2024, the Company filed a new shelf registration statement, registering up to $1.0 billion of its securities, including capital stock (the "2024 Registration Statement"). The 2024 Registration Statement was declared effective on April 9, 2024 and will generally remain effective for three years. Upon effectiveness of the 2024 Registration Statement, the Company's previous S-3 registration statement filed in 2021 was terminated.

Preferred stock

The Company is authorized to designate and issue up to 50.0 million shares of preferred stock, par value $0.01 per share, in one or more classes or series. As of September 30, 2024 and December 31, 2023, there were 1.7 million, 3.7 million, and 3.7 million of Series A Preferred Stock, Series B Preferred Stock, and Series C Preferred Stock, respectively, issued and outstanding.

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

Preferred Stock Series						Issuance Date						Shares Outstanding						Carrying Value						Aggregate Liquidation Preference (1)						Optional Redemption Date (2)						Rate (3)
Series A Preferred Stock						August 3, 2012						1,663						$	40,110					$	41,580					August 3, 2017						8.25%
Series B Preferred Stock						September 27, 2012						3,728						90,187						93,191						September 17, 2017						8.00%
Series C Preferred Stock						September 17, 2019						3,729						90,175						93,220						September 17, 2024						(4)
Total												9,120						$	220,472					$	227,991

(1)The Company's Preferred Stock has a liquidation preference of $25.00 per share.

(2)Shares have no stated maturity and are not subject to any sinking fund or mandatory redemption. Shares of the Company’s Preferred Stock are redeemable at $25.00 per share plus accumulated and unpaid dividends (whether or not declared) exclusively at the Company’s option. Shares of the Company's Series C Preferred Stock may be redeemable earlier than the optional redemption date under certain circumstances intended to preserve its qualification as a REIT for federal income tax purposes.

(3)Dividends are payable quarterly in arrears on the 17th day of each March, June, September, and December and holders are entitled to receive cumulative cash dividends at the respective stated rate per annum before holders of common stock are entitled to receive any cash dividends.

(4)The initial dividend rate for the Series C Preferred Stock, from and including the date of original issue to, but not including, September 17, 2024, was 8.000% per annum of the $25.00 per share liquidation preference. On and after September 17, 2024, dividends on the Series C Preferred Stock accumulate at a percentage of the $25.00 liquidation preference equal to an annual floating rate of the three-month CME Term SOFR (plus a tenor spread adjustment of 0.26161%) plus a spread of 6.476%. Pursuant to the terms of the Series C Preferred Stock, the Company has appointed a calculation agent to determine the floating rate. The calculation agent may also implement changes to the business day convention, the definition of business day, the dividend determination date, and any method for obtaining the substitute or successor base rate if such rate is unavailable on the relevant business day, in a manner that is consistent with industry accepted practices.

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AG Mortgage Investment Trust Inc. and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2024

The Company's Series A Preferred Stock, Series B Preferred Stock, and Series C Preferred Stock generally do not have any voting rights, subject to an exception in the event the Company fails to pay dividends on such stock for six or more quarterly periods (whether or not consecutive). Under such circumstances, holders of the Company's Series A Preferred Stock, Series B Preferred Stock, and Series C Preferred Stock voting together as a single class with the holders of all other classes or series of its preferred stock upon which like voting rights have been conferred and are exercisable and which are entitled to vote as a class with the Company's Series A Preferred Stock, Series B Preferred Stock, and Series C Preferred Stock will be entitled to vote to elect two additional directors to the Company’s Board of Directors until all unpaid dividends have been paid or declared and set apart for payment. In addition, certain material and adverse changes to the terms of any series of the Company's Series A Preferred Stock, Series B Preferred Stock, and Series C Preferred Stock cannot be made without the affirmative vote of holders of at least two-thirds of the outstanding shares of the series of the Company's Series A Preferred Stock, Series B Preferred Stock, and Series C Preferred Stock whose terms are being changed.

12. Commitments and Contingencies

 

From time to time, the Company may become involved in various claims and legal actions arising in the ordinary course of business. As of September 30, 2024, the Company was not involved in any material legal proceedings.

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

Commitment type						Date of Commitment						Total Commitment						Funded Commitment						Remaining Commitment
Non-Agency and Agency-Eligible Loans (1)						Various						$	40,986					$	—					$	40,986
Home Equity Loans (2)						Various						11,563						—						11,563
Total												$	52,549					$	—					$	52,549

(1)The Company entered into forward purchase commitments to acquire certain Non-Agency and Agency-Eligible Loans from Arc Home which have not yet settled as of September 30, 2024. The total commitment amount represents the agreed upon purchase price of any outstanding unpaid principal balance the Company has committed to purchase. Refer to Note 10 "Transactions with affiliates" for more information.

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

13. Subsequent Events

The Company announced that on November 4, 2024, its Board of Directors declared fourth quarter 2024 preferred stock dividends on its Series A Preferred Stock, Series B Preferred Stock, and Series C Preferred Stock in the amount of $0.51563, $0.50 and $0.725061 per share, respectively. The dividends will be paid on December 17, 2024 to holders of record on November 29, 2024.

On October 25, 2024, the Company sold Home Equity Loans with an unpaid principal balance of $48.9 million. These loans were recorded within the "Residential mortgage loans, at fair value" line item on the consolidated balance sheets as of September 30, 2024.

On November 6, 2024, the Company entered into separate equity distribution agreements (the "2024 Equity Distribution Agreements") with each of BTIG, LLC, JonesTrading Institutional Services LLC, Keefe, Bruyette & Woods, Inc. and Piper Sandler & Co. (collectively, the "2024 Sales Agents"), pursuant to which the Company may sell up to $75.0 million aggregate offering price of shares of its common stock from time to time through an "at the market" equity offering program under which the 2024 Sales Agents will act as sales agent.

Prior to entering into the 2024 Equity Distribution Agreements, effective November 6, 2024, the Company terminated the Equity Distribution Agreements related to its prior at-the-market program. At the time of such termination, $51.7 million remained unsold under the prior program.

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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," we refer to AG Mortgage Investment Trust, Inc. as "we," "us," the "Company," or "our," unless we specifically state otherwise or the context indicates otherwise. We refer to our external manager, AG REIT Management, LLC, as our "Manager," and we refer to the direct parent company of our Manager, Angelo, Gordon & Co., L.P., as "TPG Angelo Gordon."

 

The following discussion contains forward looking statements and 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, 2023, and any subsequent filings.

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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"), and Section 21E of the Securities Exchange Act of 1934, as amended (the "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, and our views on certain macroeconomic trends. When we use the words "believe," "expect," "anticipate," "estimate," "plan," "continue," "remain," "intend," "should," "could," "will," "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, without limitation:

•the persistence of labor shortages, supply chain imbalances, the Israel-Hamas conflict, Russia’s invasion of Ukraine, inflation, and the potential for an economic recession;

•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;

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

•regulatory and 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, or refinance, securitization transactions on the terms and pace anticipated or at all;

•the degree to which our hedging strategies may or may not protect us from interest rate and credit risk volatility;

•our ability to realize all of the expected benefits of the acquisition of Western Asset Mortgage Capital Corporation ("WMC") or that such benefits may take longer to realize than expected (including because we incurred significant costs associated with such acquisition);

•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;

•conditions in the market for Residential Investments and Agency RMBS;

•conditions in the market for commercial investments, including the Company's ability to successfully realize the commercial investments acquired from WMC within the timeframe anticipated or at all;

•legislative and regulatory actions by the U.S. Congress, U.S. Department of the Treasury, the Federal Reserve and other agencies and instrumentalities;

•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 Factors," and "Management’s Discussion and Analysis of Financial Condition and Results of Operations" in our Annual Report on Form 10-K for the year ended December 31, 2023 and any subsequent filings. 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.

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Third Quarter 2024 Executive Summary

Financial Highlights

•$10.58 Book Value per share;

◦Book value per common share is calculated using stockholders’ equity less the liquidation preference of $228.0 million on our issued and outstanding preferred stock divided by all outstanding common shares as of quarter-end;

•$0.40 of Net Income/(Loss) Available to Common Stockholders per diluted common share and $0.17 of Earnings Available for Distribution ("EAD") per diluted common share;

◦Refer to the "Earnings Available for Distribution" section below for further details related to our reconciliation of Net Income/(Loss) Available to Common Stockholders to EAD;

•11.8x GAAP Leverage Ratio and 1.5x Economic Leverage Ratio; and

•$0.19 dividend per common share declared.

Investment Activity

•The table below summarizes the fair value of purchases and proceeds from sales of investments during the quarter ended September 30, 2024 (in thousands).

Investment						Purchases						Sales
Agency-Eligible Loans						$	388,733					$	73,614
Home Equity Loans						136,206						—
Non-Agency Loans						—						86,349
Agency RMBS						—						543,172
Non-Agency RMBS (1) (2)						51,047						2,215
CMBS (1)						—						1,531
Total						$	575,986					$	706,881

(1)Includes sales of $2.2 million and $1.5 million of Non-Agency RMBS and CMBS, respectively, sold from the legacy portfolio acquired in the WMC acquisition.

(2)During the third quarter, we co-sponsored a rated securitization collateralized by $360.7 million of Agency-Eligible Loans. As the co-sponsor, the Company retained an "eligible vertical interest" to comply with risk retention rules which consists of at least 5% of each class of securities issued in the securitization. Upon evaluating our retained interest in the securitization trust, we determined we were not the primary beneficiary and, as a result, did not consolidate the securitization trust and recorded an investment of $51.0 million of Non-Agency RMBS.

•Subsequent to quarter end:

◦On October 25, 2024, sold Home Equity Loans with an unpaid principal balance of $48.9 million. These loans were recorded within the "Residential mortgage loans, at fair value" line item on the consolidated balance sheets as of September 30, 2024.

Financing Activity

•Executed a rated securitization of Agency-Eligible Loans with a total unpaid principal balance of $390.8 million, converting recourse financing with mark-to-market margin calls to non-recourse financing without mark-to-market margin calls; and

•The Company paid off the remaining $79.1 million principal amount outstanding of 6.75% convertible notes ("Legacy WMC Convertible Notes") at maturity in September 2024.

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Our company

 

We are 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. 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 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 third-party origination partners. We finance our acquired loans through various financing lines on a short-term basis and utilize TPG Angelo Gordon's 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.

On December 6, 2023, we acquired Western Asset Mortgage Capital Corporation, an externally managed mortgage REIT that focused on investing in, financing and managing a portfolio of residential mortgage loans, real estate related securities, and commercial real estate loans. Through this acquisition, we increased our investment portfolio by $1.2 billion, which primarily consisted of Securitized Non-Agency Loans. For more information, refer to the "WMC Acquisition" section below.

Our investment portfolio (which excludes our ownership in Arc Home) primarily includes Residential Investments and Agency RMBS. Currently, our Residential Investments primarily consist of newly originated Non-Agency Loans, Agency-Eligible Loans, and Home Equity 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 September 30, 2024, our investment portfolio consisted of the following Residential Investments and Agency RMBS: 

Asset Class						Description
Residential Investments
Non-Agency Loans(1)						•Non-Agency Loans are loans that do not conform to the underwriting guidelines of a government-sponsored enterprise ("GSE"). Non-Agency Loans consist of Qualified mortgage loans ("QM Loans") and Non-Qualified mortgage loans ("Non-QM Loans"). QM Loans are residential mortgage loans that comply with the Ability-To-Repay rules and related guidelines of the Consumer Finance Protection Bureau.
Agency-Eligible Loans(1)						•Agency-Eligible Loans are loans that are underwritten in accordance with GSE guidelines and are primarily secured by investment properties, but are not guaranteed by a GSE. Although these loans are underwritten in accordance with GSE guidelines and can be delivered to Fannie Mae and Freddie Mac, we include these loans within our Non-Agency securitizations.
Home Equity Loans(1)						•Home Equity Loans are revolving lines of credit or closed-end loans secured primarily by a second lien on a residential mortgaged property which provide borrowers access to the equity in their home without the need to pay off their existing mortgage. Home Equity Loans that are structured as revolving lines of credit generally have an initial draw period of 3 to 5 years, and after the initial draw period ends, the loans generally convert to 15- or 25-year amortizing loans.
Re- and Non-Performing Loans(1)						•Performing, re-performing, and non-performing loans are residential mortgage loans collateralized by a first lien mortgaged property.
Non-Agency RMBS(2)						•Non-Agency Residential Mortgage-Backed Securities ("RMBS") represent fixed- and floating- rate RMBS issued by entities other than U.S. GSEs or agencies of the U.S. government.
Agency RMBS(2)						•Agency RMBS represent interests in pools of residential mortgage loans guaranteed by a GSE such as Fannie Mae or Freddie Mac, or an agency of the U.S. Government such as Ginnie Mae.

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

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

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In addition, our investment portfolio includes commercial loans, commercial-mortgage backed securities ("CMBS") and other securities (collectively, the "Legacy WMC Commercial Investments") that were acquired in the WMC acquisition. The Legacy WMC commercial loans primarily include first lien commercial mortgage loan participations and are included in the "Commercial loans, at fair value" line item on the consolidated balance sheets. The Legacy WMC CMBS primarily include fixed-rate and floating-rate CMBS, secured by, or evidencing an ownership interest in, a single commercial mortgage loan or a pool of commercial mortgage loans, and are included in the "Real estate securities, at fair value" line item on the consolidated balance sheets. We expect to either hold the Legacy WMC Commercial Investments until maturity or opportunistically exit these investments.

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 or benefits 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 were incorporated in Maryland on March 1, 2011 and commenced operations in July 2011. We conduct our operations to qualify and be taxed as a 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 to our stockholders as long as we maintain our intended qualification as a REIT, with the exception of business conducted in our domestic taxable REIT subsidiaries ("TRSs") 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 Act.

WMC Acquisition

On December 6, 2023, (the "Closing Date") we completed our acquisition of WMC. On the Closing Date, WMC merged with and into AGMIT Merger Sub, LLC, a Delaware limited liability company and our wholly owned subsidiary ("Merger Sub"), with Merger Sub continuing as the surviving company (the "Merger"). As contemplated by the Agreement and Plan of Merger, dated as of August 8, 2023 (the “Merger Agreement”), the certificate of merger was filed with the Secretary of State of the State of Delaware, and the Merger was effective at 8:15 a.m., Eastern Time, on the Closing Date (the "Effective Time").

Pursuant to the terms and subject to the conditions set forth in the Merger Agreement, at the Effective Time, each outstanding share of WMC common stock, par value $0.01 per share (“WMC Common Stock”), was converted into the right to receive the following (the “Per Share Merger Consideration”): (i) from us, 1.498 shares of our common stock; and (ii) from our Manager, a cash amount equal to $0.92 (the “Per Share Additional Manager Consideration”). No fractional shares of our common stock were issued in the Merger, and the value of any fractional interests to which a former holder of WMC Common Stock was otherwise entitled was paid in cash.

In addition, on August 8, 2023, we and our Manager entered into an amendment (the “MITT Management Agreement Amendment”) to our existing management agreement, pursuant to which (i) the base management fee will be reduced by $0.6 million for the first four quarters following the Effective Time, beginning with the fiscal quarter in which the Effective Time occurs (i.e., resulting in an aggregate $2.4 million waiver of base management fees), and (ii) our Manager will waive its right to seek reimbursement from us for any expenses otherwise reimbursable by us under the management agreement in an amount equal to approximately $1.3 million, which is the excess of $7.0 million over the aggregate Per Share Additional Manager Consideration paid by our Manager to the holders of WMC Common Stock under the Merger Agreement.

Additionally, each outstanding share of WMC’s restricted common stock and each WMC restricted stock unit (each, a “WMC Equity Award”) vested in full immediately prior to the Effective Time and, as of the Effective Time, was considered outstanding for all purposes of the Merger Agreement, including the right to receive the Per Share Merger Consideration, except that WMC Equity Awards granted to certain members of the WMC board of directors at WMC’s 2023 annual stockholders’ meeting (collectively, the “2023 WMC Director Awards”) were treated as follows: (i) for M. Christian Mitchell and Lisa G. Quateman, who were appointed to our Board of Directors as of the Effective Time, the 2023 WMC Director Awards were equitably adjusted effective as of the Effective Time into awards relating to shares of our common stock that have the same value, vesting terms and other terms and conditions as applied to the corresponding WMC restricted stock units immediately prior to the Effective Time and (ii) for the other members of the WMC board of directors, the 2023 WMC Director Awards accelerated and vested pro-rata effective as of immediately prior to the Effective Time based on a fraction, the numerator of which was 166 (the number of days between the grant date and the Closing Date) and the denominator of which was 365, and the remaining unvested portion of such 2023 WMC Director Awards was cancelled without any consideration.

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The issuance of shares of our common stock to the former stockholders of WMC was registered under the Securities Act, pursuant to a registration statement on Form S-4 (File No. 333-274319), as amended, filed by MITT with the Securities and Exchange Commission (the “SEC”) and declared effective on September 29, 2023 (the “Registration Statement”). The joint proxy statement/prospectus included in the Registration Statement contains additional information about the Merger, the Merger Agreement and the transactions contemplated thereby.

Pursuant to the Merger Agreement, approximately 9.2 million shares of our common stock were issued in connection with the Merger to former WMC common stockholders, and former WMC common stockholders owned approximately 31% of the common equity of MITT as the combined company following the consummation of the Merger.

Our Manager and TPG Angelo Gordon

We are externally managed by AG REIT Management, LLC, a Delaware limited liability company (the "Manager"), a wholly-owned subsidiary of TPG Angelo Gordon, a diversified credit and real estate investing platform within TPG Inc. ("TPG"). TPG (Nasdaq: TPG) is a leading global alternative asset management firm.

On November 1, 2023, TPG completed the previously announced acquisition of TPG Angelo Gordon (the "TPG Transaction"), pursuant to which TPG Angelo Gordon, including our Manager, became indirect subsidiaries of TPG. Pursuant to the management agreement with our Manager, the closing of the TPG Transaction resulted in an assignment of the management agreement. The independent directors of our Board of Directors unanimously consented to such assignment on July 31, 2023 in advance of the TPG Transaction closing. There were no changes to the management agreement in connection with the TPG Transaction and the assignment of the management agreement became effective upon the closing of the TPG Transaction.

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 TPG 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 our Board of Directors delegates to it. Our Manager has delegated to TPG Angelo Gordon the overall responsibility with respect to our Manager’s day-to-day duties and obligations arising under our management agreement. TPG Angelo Gordon is a registered investment adviser under the Investment Advisers Act of 1940, as amended.

Through our relationship with our Manager, we benefit from the expertise and relationships that TPG 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 TPG Angelo Gordon's proprietary securitization platform to deliver non-agency investments to a diverse mix of investors.

Market Conditions

The financial markets have been, and will likely continue to remain, volatile given the overall market uncertainty related to inflation, the U.S. presidential election, and the path of monetary policy and interest rates. Throughout 2024, markets have displayed a high level of sensitivity to the Federal Reserve’s interest rate decisions. On September 18, 2024, the Federal Reserve lowered the target range for the Federal Funds Rate by 50 basis points to 4.75% to 5.00%, the first decline in four years. The Federal Reserve noted that the decrease was supported by greater confidence that inflation is moving sustainably toward 2% with the risks to achieving its employment and inflation goals being roughly in balance. As of September 2024, the Consumer Price Index report indicated inflation was 2.4% year over year with the unemployment rate remaining at 4.1%. During the third quarter, the 10-year U.S. treasury yield decreased by approximately 62 basis points to 3.79% and the 30-year mortgage rate decreased by approximately 78 basis points to 6.1%. The quarter ended with the spread between the 2-year and 10-year U.S. treasury yields at approximately 14 basis points positive sloping, re-establishing a normal yield curve. Despite the decline in benchmark and mortgage rates during the third quarter, this momentum reversed in the months of October and November. Upon the Republican party winning the U.S. presidential election, stock markets experienced notable increases, the U.S. dollar strengthened, and benchmark rates increased continuing the themes of market uncertainty and volatility which could impact our industry. The latest Federal Open Market Committee member median projection for the path of the Federal Funds Rate indicates 50 basis points of further rate cuts across the remaining two Federal Open Market Committee meetings this year followed by 100 basis points of rate cuts in 2025. Overall, the Federal Reserve continues to monitor available economic data to determine if they will continue rate cuts and to what extent rates will decline.

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RMBS spreads continued to tighten during the third quarter, and credit curves remained relatively flat. Pricing dynamics have been supported by strong investor interest for mortgage credit assets given high quality underwriting, rising home values and low housing supply. Trends in credit spreads on credit risk transfer ("CRT") assets can serve as a proxy for market participants evaluating credit related assets given the observability of transactions. CRT tranches tightened by 10 to 35 basis points. Senior and mezzanine (BBB) Non-QM tranches tightened by 5 basis points, while the subordinate BB rated tranches tightened by 20 basis points.

Primary RMBS market activity increased during the third quarter, totaling approximately $36 billion, an increase of 7% quarter-over-quarter and 88% against year-ago activity. The Non-QM sector ($11 billion) and Prime Jumbo sector ($8 billion) collectively comprised over half of the quarter’s new issuance. Additionally, issuance of RMBS backed by second liens and Home Equity Loans held steady, totaling over $3 billion, or 9% of the quarter’s activity, as focus has shifted to this rapidly expanding sector. Residential Transition Loan RMBS totaled over $1.9 billion or 5% of third quarter issuance as well. Year-to-date, primary RMBS activity is just below $100 billion, surpassing all of 2023.

The rise in the S&P CoreLogic Case-Shiller U.S. National Home Price Index persisted through July 2024. The Index was higher by 5% both year-to-date and year-over-year, but regionally, home price performance has been somewhat varied. Amid the rise in actual home prices, national home price expectations from third party research has generally reset higher with the average of the 2024 forecasts now approximating +3.5% and an average forecast for 2025 of +3%.

Prevailing mortgage rates fell sharply in the third quarter near 6% before rebounding to 6.4% in mid-October. Rates rose back above 7% during the second quarter of 2024 but descended quickly in August and September, according to Freddie Mac Primary Mortgage Market Survey. The effective mortgage rate outstanding was 3.92% as of June 2024, the latest data available, and remains well below prevailing rates. However, the “lock-in effect,” or disincentive for existing homeowners to sell their homes because their current mortgage rate is well below current market rates, is starting to show signs of decay as the effective mortgage rate has risen approximately 60 basis points since March 2022.

Total existing home listings continued to rise to 1.35 million in August, the highest reading since the fourth quarter of 2020. However, new listings are trending short of annual activity in 2015 through 2019, as well as the pandemic-affected years of 2020 through 2022. From January 1, 2024 through August of 2024, approximately 3.1 million new listings came to market, almost 900 thousand fewer new listings than the same periods in 2015 through 2022.

Presentation of investment, financing and hedging activities

 

In the "Investment activities," "Financing activities," "Hedging activities," and "Liquidity and capital resources" sections of this Item 2, we present information on our 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 excludes our investment in Arc Home.

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Our investment portfolio and the related financing arrangements are presented along with a reconciliation to GAAP. This presentation of our investment portfolio is consistent with how our management team evaluates the business, and we believe this presentation, when considered with the GAAP presentation, provides supplemental information useful for investors in evaluating our investment portfolio and financial condition. See Note 10 to the "Notes to Consolidated Financial Statements (unaudited)" for a discussion of investments in debt and equity of affiliates. See below for further terms used when describing our investment portfolio.

•Our "Investment portfolio" includes our Residential Investments, Agency RMBS, inclusive of TBAs, and Legacy WMC Commercial Investments.

•Our "Residential Investments" refer to our residential mortgage loans and Non-Agency RMBS.

◦"Residential mortgage loans" or "Loans" refer to our Non-Agency Loans, Agency-Eligible Loans, Home Equity Loans, and Re/Non-Performing Loans (exclusive of retained tranches from unconsolidated securitizations).

◦"Non-Agency RMBS" refer to the retained tranches from unconsolidated securitizations of Non-Agency Loans and Re/Non-Performing Loans issued under the GCAT shelf, as well as Non-Agency RMBS issued by third-parties.

•"Real estate securities" refers to our Non-Agency RMBS and Agency RMBS, inclusive of TBAs, as well as Legacy WMC CMBS and Other Securities that were acquired in the WMC acquisition.

•Our "Legacy WMC Commercial Investments" refer to the commercial loans and CMBS that we acquired in the WMC acquisition. We expect to either hold the Legacy WMC Commercial Investments until maturity or opportunistically exit these investments.

•Our "GAAP Residential Investments" refer to our Residential Investments excluding investments held within affiliated entities.

•Our "GAAP Investment portfolio" includes our GAAP Residential Investments, Agency RMBS, and Legacy WMC Commercial Investments and Other Securities.

For a reconciliation of our Investment portfolio to our GAAP Investment portfolio, see the Investment Portfolio section below.

Book value per share

The below table details book value per common share. Book value is calculated using stockholders’ equity less the liquidation preference of $228.0 million on our issued and outstanding preferred stock. Per share amounts for book value are calculated using all outstanding common shares in accordance with GAAP as of quarter-end.

			September 30, 2024						December 31, 2023
Book value per common share			$	10.58					$	10.20

Results of 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 fair value of our assets and the supply of, and demand for, our investments 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 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, inclusive of our cost or benefit of hedging, which represents the difference between the interest earned on our investment portfolio and the costs of financing and economic hedges in place on our investment portfolio, as well as any income or losses from our equity investments in affiliates.

 

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Three Months Ended September 30, 2024 compared to the Three Months Ended September 30, 2023

The table below presents certain information from our consolidated statements of operations for the three months ended September 30, 2024 and 2023 (in thousands).

						Three Months Ended
						September 30, 2024						September 30, 2023						Increase/(Decrease)
Statement of Operations Data:
Net Interest Income
Interest income						$	107,456					$	64,211					$	43,245
Interest expense						92,506						52,692						39,814
Total Net Interest Income						14,950						11,519						3,431
Other Income/(Loss)
Net interest component of interest rate swaps						2,180						2,221						(41)
Net realized gain/(loss)						(10,788)						7,127						(17,915)
Net unrealized gain/(loss)						19,700						(8,768)						28,468
Total Other Income/(Loss)						11,092						580						10,512
Expenses
Management fee to affiliate						1,708						2,054						(346)
Non-investment related expenses						2,750						2,454						296
Investment related expenses						3,411						2,347						1,064
Transaction related expenses						684						7,597						(6,913)
Total Expenses						8,553						14,452						(5,899)
Income/(loss) before equity in earnings/(loss) from affiliates						17,489						(2,353)						19,842
Equity in earnings/(loss) from affiliates						(849)						188						(1,037)
Net Income/(Loss)						16,640						(2,165)						18,805
Dividends on preferred stock						(4,716)						(4,586)						(130)
Net Income/(Loss) Available to Common Stockholders						$	11,924					$	(6,751)					$	18,675

Interest income

Interest income is calculated using the effective interest method for our GAAP investment portfolio.

 

Interest income increased from the three months ended September 30, 2023 to the three months ended September 30, 2024 primarily as a result of an increased investment portfolio resulting from the WMC acquisition in December 2023 along with purchases of residential mortgage loans during the period and an increase in the weighted average yield of our investment portfolio. The following table presents a summary of the weighted average amortized cost of and the weighted average yield on our GAAP investment portfolio ($ in millions).

						Three Months Ended
						September 30, 2024						September 30, 2023						Increase/(Decrease)
Weighted average amortized cost of our GAAP investment portfolio						$	7,244					$	4,932					$	2,312
Weighted average yield on our GAAP investment portfolio						5.93		%				5.21		%				0.72		%

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Interest expense

Interest expense is inclusive of our financing cost related to our financing arrangements on our GAAP investment portfolio, securitized debt, Legacy WMC Convertible Notes, and Senior Unsecured Notes.

Interest expense increased from the three months ended September 30, 2023 to the three months ended September 30, 2024 due to an increase in the GAAP financing balance outstanding resulting from the assumption of financing through the WMC acquisition in December 2023 along with the issuance of securitized debt and Senior Unsecured Notes during the period. Additionally, there was an increase in the weighted average financing rate. The following table presents a summary of the weighted average financing balance and the weighted average financing rate on our GAAP investment portfolio ($ in millions).

						Three Months Ended
						September 30, 2024						September 30, 2023						Increase/(Decrease)
Weighted average GAAP financing balance						$	6,965					$	4,575					$	2,390
Weighted average financing rate on our GAAP investment portfolio						5.31		%				4.61		%				0.70		%

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 interest rate swaps.

 

We recorded income on the net interest component of interest rate swaps during the three months ended September 30, 2024 and 2023 as a result of our swap portfolio being in a net receive position. The following table presents a summary of our interest rate swap portfolio as of September 30, 2024 and 2023 ($ in millions).

						September 30, 2024						September 30, 2023						Increase/(Decrease)
Interest rate swap notional value						$	305					$	405					$	(100)
Weighted average receive-variable rate						4.96		%				5.31		%				(0.35)		%
Weighted average pay-fix rate						3.28		%				3.99		%				(0.71)		%
Net weighted average (pay)/receive rate						1.68		%				1.32		%				0.36		%

Net realized gain/(loss)

 

The following table presents a summary of Net realized gain/(loss) for the three months ended September 30, 2024 and 2023 (in thousands). The realized loss during the three months ended September 30, 2024 was primarily driven by losses on unwinding pay-fix, receive-variable interest rate swaps which were held at unrealized losses, offset by gains on the sales of Agency RMBS.

						Three Months Ended
						September 30, 2024						September 30, 2023
Sales of residential mortgage loans and loans transferred to or sold from Other assets						$	124					$	(1,061)
Sales of real estate securities						10,297						(38)
Settlement of derivatives and other instruments						(21,209)						8,226
Total Net realized gain/(loss)						$	(10,788)					$	7,127

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Net unrealized gain/(loss)

The following table presents a summary of Net unrealized gain/(loss) for the three months ended September 30, 2024 and 2023 (in thousands). During the three months ended September 30, 2024, there were unrealized gains on our residential mortgage loans and Non-Agency RMBS which were offset by unrealized losses on securitized debt and interest rate swaps.

						Three Months Ended
						September 30, 2024						September 30, 2023
Residential mortgage loans						$	192,918					$	(92,322)
Commercial loans						72						—
Real estate securities						4,108						(2,584)
Securitized debt						(172,421)						85,793
Derivatives						(4,977)						345
Total Net unrealized gain/(loss)						$	19,700					$	(8,768)

Management fee to affiliate

 

Our management fee is based upon a percentage of our Stockholders’ Equity. See the "Contractual obligations" section of this Item 2 for further detail on the calculation of our management fee and for the definition of Stockholders’ Equity. In connection with the WMC acquisition, we and our Manager entered into the MITT Management Agreement Amendment pursuant to which the base management fee will be reduced by $0.6 million for the first four quarters following the transaction closing, beginning with the fiscal quarter in which the transaction closing occurs (i.e., resulting in an aggregate $2.4 million waiver of base management fees). During the three months ended September 30, 2024, the base management fee was reduced by $0.6 million. This was offset by an increase in stockholders' equity as calculated pursuant to the management agreement as a result of the WMC acquisition.

Non-investment related expenses

Non-investment related expenses are primarily comprised of professional fees, directors’ and officers’ ("D&O") insurance, directors’ compensation, and certain non-investment related expenses reimbursable to our Manager or its affiliates. We are required to reimburse our Manager or its affiliates for operating expenses incurred by our Manager or its affiliates on our behalf, including certain compensation expenses and other expenses relating to legal, accounting, and other services. Refer to the "Contractual obligations" section below for more detail on certain expenses reimbursable to our Manager or its affiliates. The following table presents a summary of our non-investment related expenses (in thousands).

						Three Months Ended
						September 30, 2024						September 30, 2023
Affiliate reimbursement (1)						$	1,636					$	1,400
Professional Fees						341						443
D&O insurance						335						272
Directors' compensation						259						176
Other						179						163
Total Non-investment related expenses						$	2,750					$	2,454

(1)For the three months ended September 30, 2024, the Manager agreed to waive its right to receive expense reimbursements of $0.3 million pursuant to the MITT Management Agreement Amendment executed in connection with the Merger. Of the $1.3 million expense reimbursement waiver agreed upon in connection with the Merger, $0.2 million remains outstanding as of September 30, 2024.

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Investment related expenses

Investment related expenses are primarily comprised of servicing fees, asset management fees, trustee fees, and certain investment related expenses reimbursable to the Manager or its affiliates. We are required to reimburse our Manager or its affiliates for operating expenses incurred by our Manager or its affiliates on our behalf associated with our investment portfolio. The WMC acquisition in December 2023 resulted in an increase in our residential mortgage loan portfolio of $1.1 billion of unpaid principal balance, which contributed to an increase in investment related expenses. The following table presents a summary of our investment related expenses (in thousands).

						Three Months Ended
						September 30, 2024						September 30, 2023
Affiliate reimbursement						$	194					$	148
Servicing fees						1,827						999
Residential mortgage loan asset management fees						660						692
Trustee and bank fees						548						364
Other						182						144
Total Investment related expenses						$	3,411					$	2,347

Transaction related expenses

Historically, transaction related expenses have included expenses primarily associated with purchasing and securitizing residential mortgage loans as well as certain other transaction and performance related fees associated with assets we invest in. Transaction related expenses decreased from the three months ended September 30, 2023 to the three months ended September 30, 2024 primarily due to less expenses associated with securitizations and, for the three months ended September 30, 2023, we incurred $4.9 million of transaction expenses attributable to the WMC acquisition.

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. Substantially all of these investments are comprised of real estate securities, loans, and our investment in AG Arc which holds our investment in Arc Home. The below tables summarize the components of the "Equity in earnings/(loss) from affiliates" line item on our consolidated statements of operations (in thousands).

						Three Months Ended
						September 30, 2024						September 30, 2023
MATT Non-QM Securities (1)						$	(1,070)					$	2,606
Land Related Financing						—						64
Re/Non-Performing Securities						6						338
AG Arc (2)						215						(2,820)
Equity in earnings/(loss) from affiliates						$	(849)					$	188

(1)For the three months ended September 30, 2024, the earnings/(loss) generated from our investment in MATT Non-QM Securities consisted of interest income of $0.6 million and net unrealized losses of $(1.7) million. For the three months ended September 30, 2023, the earnings/(loss) generated from our investment in MATT Non-QM Securities consisted of net interest income of $1.1 million, interest expense of $(0.2) million, and net unrealized gains of $1.7 million.

(2)Refer to the table below for additional detail on the earnings/(loss) generated from our investment in AG Arc.

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

						Three Months Ended
						September 30, 2024						September 30, 2023
Interest income						$	924					$	1,410
Interest expense						72						239
Total Net Interest Income						852						1,171
Net unrealized gain/(loss)						(1,883)						1,946
After-tax earnings/(loss) at AG Arc (1)						(186)						(109)
Net unrealized gain/(loss) on investment in AG Arc (2)						760						(1,911)
Elimination of gains on loans sold to MITT (3)						(359)						(800)
Total AG Arc Earnings/(Loss)						215						(2,820)
Other operating expenses						33						109
Equity in earnings/(loss) from affiliates						$	(849)					$	188

(1)The earnings/(loss) at AG Arc during the three months ended September 30, 2024 were the result of $(0.1) million related to changes in the fair value of the MSR portfolio held by Arc Home and $(0.1) million of losses related to Arc Home's lending and servicing operations. The earnings/(loss) at AG Arc during the three months ended September 30, 2023 were primarily the result of $(0.4) million of losses related to changes in the fair value of the MSR portfolio held by Arc Home, offset by $0.3 million of income related to Arc Home's lending and servicing operations.

(2)As of September 30, 2024, the fair value of our investment in Arc Home was calculated using a valuation multiple of 0.95x of book value, which was increased from 0.94x of book value as of June 30, 2024. As of September 30, 2023, the fair value of our investment in Arc Home was calculated using a valuation multiple of 0.89x of book value, which was reduced from 0.94x of book value as of June 30, 2023.

(3)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. Refer to Note 10 to the "Notes to Consolidated Financial Statements (unaudited)" for more information on this accounting policy.

Dividends on Preferred Stock

Holders of our Series A Preferred Stock, Series B Preferred Stock, and Series C Preferred Stock are entitled to receive cumulative cash dividends at their respective rates per annum on the $25.00 per share liquidation preference for each series. Our Series A Preferred Stock and Series B Preferred Stock have fixed rates of 8.25% and 8.00%, respectively. The initial dividend rate for our Series C Preferred Stock, from issuance through September 16, 2024, was 8.000%. On and after September 17, 2024, dividends on the Series C Preferred Stock accumulate at an annual floating rate of three-month CME Term SOFR (plus a tenor spread adjustment of 0.26161%) plus a spread of 6.476%.

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Nine Months Ended September 30, 2024 compared to the Nine Months Ended September 30, 2023

The table below presents certain information from our consolidated statements of operations for the nine months ended September 30, 2024 and 2023 (in thousands).

						Nine Months Ended
						September 30, 2024						September 30, 2023						Increase/(Decrease)
Statement of Operations Data:
Net Interest Income
Interest income						$	302,843					$	182,802					$	120,041
Interest expense						254,333						148,309						106,024
Total Net Interest Income						48,510						34,493						14,017
Other Income/(Loss)
Net interest component of interest rate swaps						6,447						5,025						1,422
Net realized gain/(loss)						(9,928)						9,171						(19,099)
Net unrealized gain/(loss)						20,488						(257)						20,745
Total Other Income/(Loss)						17,007						13,939						3,068
Expenses
Management fee to affiliate						5,202						6,190						(988)
Non-investment related expenses						8,610						7,848						762
Investment related expenses						10,185						6,905						3,280
Transaction related expenses						2,164						9,700						(7,536)
Total Expenses						26,161						30,643						(4,482)
Income/(loss) before equity in earnings/(loss) from affiliates						39,356						17,789						21,567
Equity in earnings/(loss) from affiliates						2,099						642						1,457
Net Income/(Loss)						41,455						18,431						23,024
Dividends on preferred stock						(13,888)						(13,758)						(130)
Net Income/(Loss) Available to Common Stockholders						$	27,567					$	4,673					$	22,894

Interest income

Interest income increased from the nine months ended September 30, 2023 to the nine months ended September 30, 2024 primarily as a result of an increased investment portfolio resulting from the WMC acquisition in December 2023 along with purchases of residential mortgage loans during the period and an increase in the weighted average yield of our investment portfolio. The following table presents a summary of the weighted average amortized cost of and the weighted average yield on our GAAP investment portfolio ($ in millions).

						Nine Months Ended
						September 30, 2024						September 30, 2023						Increase/(Decrease)
Weighted average amortized cost of our GAAP investment portfolio						$	6,837					$	4,825					$	2,012
Weighted average yield on our GAAP investment portfolio						5.91		%				5.05		%				0.86		%

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Interest expense

Interest expense increased from the nine months ended September 30, 2023 to the nine months ended September 30, 2024 due to an increase in the GAAP financing balance outstanding resulting from the assumption of financing through the WMC acquisition in December 2023 along with the issuance of securitized debt and Senior Unsecured Notes during the period. Additionally, there was an increase in the weighted average financing rate. The following table presents a summary of the weighted average financing balance and the weighted average financing rate on our GAAP investment portfolio ($ in millions).

						Nine Months Ended
						September 30, 2024						September 30, 2023						Increase/(Decrease)
Weighted average GAAP financing balance						$	6,470					$	4,445					$	2,025
Weighted average financing rate on our GAAP investment portfolio						5.24		%				4.45		%				0.79		%

Net interest component of interest rate swaps

We recorded income on the net interest component of interest rate swaps during the nine months ended September 30, 2024 and 2023 as a result of our swap portfolio being in a net receive position. Interest income increased from the nine months ended September 30, 2023 to the nine months ended September 30, 2024 as a result of an increase in the net weighted average notional balance along with an increase in the net weighted average receive rate during the nine months ended September 30, 2024 compared with the nine months ended September 30, 2023. The following table presents a summary of our interest rate swap portfolio as of September 30, 2024 and 2023 ($ in millions).

						September 30, 2024						September 30, 2023						Increase/(Decrease)
Interest rate swap notional value						$	305					$	405					$	(100)
Weighted average receive-variable rate						4.96		%				5.31		%				(0.35)		%
Weighted average pay-fix rate						3.28		%				3.99		%				(0.71)		%
Net weighted average (pay)/receive rate						1.68		%				1.32		%				0.36		%

Net realized gain/(loss)

 

The following table presents a summary of Net realized gain/(loss) for the nine months ended September 30, 2024 and 2023 (in thousands). The realized loss during the nine months ended September 30, 2024 was primarily driven by losses from unwinding pay-fix, receive-variable interest rate swaps which were held at unrealized losses, offset by gains on the sales of Agency RMBS and Non-Agency RMBS.

						Nine Months Ended
						September 30, 2024						September 30, 2023
Sales of residential mortgage loans and loans transferred to or sold from Other assets						$	323					$	(11,409)
Sales of real estate securities						13,024						(38)
Settlement of derivatives and other instruments						(23,275)						20,618
Total Net realized gain/(loss)						$	(9,928)					$	9,171

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Net unrealized gain/(loss)

The following table presents a summary of Net unrealized gain/(loss) for the nine months ended September 30, 2024 and 2023 (in thousands). During the nine months ended September 30, 2024, there were unrealized gains on residential mortgage loans and interest rate swaps offset by unrealized losses on our securitized debt.

						Nine Months Ended
						September 30, 2024						September 30, 2023
Residential mortgage loans						$	207,250					$	(13,217)
Commercial loans						322						—
Real estate securities						(706)						(2,282)
Securitized debt						(188,779)						25,346
Derivatives						2,401						(10,104)
Total Net unrealized gain/(loss)						$	20,488					$	(257)

Management fee to affiliate

 

During the nine months ended September 30, 2024, the base management fee was reduced by $1.8 million in connection with the WMC acquisition. This was offset by an increase in stockholders' equity as calculated pursuant to the management agreement as a result of the WMC acquisition.

Non-investment related expenses

The following table presents a summary of our non-investment related expenses (in thousands).

						Nine Months Ended
						September 30, 2024						September 30, 2023
Affiliate reimbursement (1)						$	4,936					$	4,200
Professional Fees						1,113						1,505
D&O insurance						1,003						817
Directors' compensation						903						529
Other						655						797
Total Non-investment related expenses						$	8,610					$	7,848

(1)For the nine months ended September 30, 2024, the Manager agreed to waive its right to receive expense reimbursements of $0.9 million pursuant to the MITT Management Agreement Amendment executed in connection with the Merger. Of the $1.3 million expense reimbursement waiver agreed upon in connection with the Merger, $0.2 million remains outstanding as of September 30, 2024.

 

Investment related expenses

The following table presents a summary of our investment related expenses (in thousands). The WMC acquisition in December 2023 resulted in an increase in our residential mortgage loan portfolio of $1.1 billion of unpaid principal balance, which contributed to an increase in investment related expenses.

						Nine Months Ended
						September 30, 2024						September 30, 2023
Affiliate reimbursement						$	395					$	360
Servicing fees						5,601						3,044
Residential mortgage loan asset management fees						1,994						1,981
Trustee and bank fees						1,594						1,106
Other						601						414
Total Investment related expenses						$	10,185					$	6,905

Transaction related expenses

Transaction related expenses decreased from the nine months ended September 30, 2023 to the nine months ended September 30, 2024 primarily due to less expenses associated with securitizations and, for the nine months ended September 30, 2023, we incurred $4.9 million of transaction expenses attributable to the WMC acquisition.

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Equity in earnings/(loss) from affiliates

 

The below tables summarize the components of the "Equity in earnings/(loss) from affiliates" line item on our consolidated statements of operations (in thousands).

						Nine Months Ended
						September 30, 2024						September 30, 2023
MATT Non-QM Securities (1)						$	307					$	4,580
Land Related Financing (2)						—						805
Re/Non-Performing Securities						322						249
AG Arc (3)						1,470						(4,992)
Equity in earnings/(loss) from affiliates						$	2,099					$	642

(1)For the nine months ended September 30, 2024, the earnings/(loss) generated from our investment in MATT Non-QM Securities consisted of interest income of $2.2 million, net unrealized losses of $(1.8) million, and other expenses of $(0.1) million. For the nine months ended September 30, 2023, the earnings/(loss) generated from our investment in MATT Non-QM Securities consisted of net interest income of $3.2 million, interest expenses of $(0.5) million, net unrealized gains of $2.1 million, and other expenses of $(0.2) million.

(2)Decrease in Land Related Financing as assets held within LOTS paid off in full during 2023.

(3)Refer to the table below for additional detail on the earnings/(loss) generated from our investment in AG Arc.

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

						Nine Months Ended
						September 30, 2024						September 30, 2023
Interest income						$	3,055					$	4,923
Interest expense						216						752
Total Net Interest Income						2,839						4,171
Net unrealized gain/(loss)						(2,061)						1,861
After-tax earnings/(loss) at AG Arc (1)						(24)						(2,115)
Net unrealized gain/(loss) on investment in AG Arc (2)						2,459						(1,736)
Elimination of gains on loans sold to MITT (3)						(965)						(1,141)
Total AG Arc Earnings/(Loss)						1,470						(4,992)
Other operating expenses						149						398
Equity in earnings/(loss) from affiliates						$	2,099					$	642

(1)The earnings/(loss) at AG Arc during the nine months ended September 30, 2024 were primarily the result of $(0.6) million of losses related to Arc Home's lending and servicing operations, offset by $0.6 million related to changes in the fair value of the MSR portfolio held by Arc Home. The earnings/(loss) at AG Arc during the nine months ended September 30, 2023 were primarily the result of $(1.6) million related to changes in the fair value of the MSR portfolio held by Arc Home, along with $(0.5) million of losses related to Arc Home's lending and servicing operations.

(2)As of September 30, 2024, the fair value of our investment in Arc Home was calculated using a valuation multiple of 0.95x of book value, which was increased from 0.89x of book value as of December 31, 2023. As of September 30, 2023, the fair value of our investment in Arc Home was calculated using a valuation multiple of 0.89x of book value, which was reduced from 0.94x of book value as of December 31, 2022.

(3)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. Refer to Note 10 to the "Notes to Consolidated Financial Statements (unaudited)" for more information on this accounting policy.

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Dividends on Preferred Stock

Holders of our Series A Preferred Stock, Series B Preferred Stock, and Series C Preferred Stock are entitled to receive cumulative cash dividends at their respective rates per annum on the $25.00 per share liquidation preference for each series. Our Series A Preferred Stock and Series B Preferred Stock have fixed rates of 8.25% and 8.00%, respectively. The initial dividend rate for our Series C Preferred Stock, from issuance through September 16, 2024, was 8.000%. On and after September 17, 2024, dividends on the Series C Preferred Stock accumulate at an annual floating rate of three-month CME Term SOFR (plus a tenor spread adjustment of 0.26161%) plus a spread of 6.476%.

Earnings Available for Distribution

One of our objectives is to generate net income from net interest margin on the portfolio, and management uses EAD, as one of several metrics, to help measure our performance against this objective. Management believes that this non-GAAP measure, when considered with our GAAP financial statements, provides supplemental information useful for investors to help evaluate our financial performance. However, management also believes that our definition of EAD has important limitations as it does not include certain earnings or losses our management team considers in evaluating our financial performance. Our presentation of EAD 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, Net 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.

We define EAD, a non-GAAP financial measure, as Net Income/(loss) available to common 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 as well as transaction related expenses incurred in connection with the WMC acquisition, (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 EAD, 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, (vi) any bargain purchase gains recognized, and (vii) certain other nonrecurring gains or losses. Items (i) through (vii) above include any amount related to those items held in affiliated entities. Transaction related expenses referenced in (ii) above are primarily comprised of costs incurred prior to or at the time of executing our securitizations and acquiring or disposing of residential mortgage loans. These costs are nonrecurring and may include underwriting fees, legal fees, diligence fees, and other similar transaction related expenses. Recurring expenses, such as servicing fees, custodial fees, trustee fees and other similar ongoing fees are not excluded from earnings available for distribution. Management considers the transaction related expenses 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 EAD on the remainder of its portfolio. Management excludes all deferred taxes because it believes deferred taxes are not representative of current operations. EAD includes 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.

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A reconciliation of "Net Income/(loss) available to common stockholders" to EAD for the three and nine months ended September 30, 2024 and 2023 is set forth below (in thousands, except per share data).

			Three Months Ended												Nine Months Ended
			September 30, 2024						September 30, 2023						September 30, 2024						September 30, 2023
Net Income/(loss) available to common stockholders			$	11,924					$	(6,751)					$	27,567					$	4,673
Add (Deduct):
Net realized (gain)/loss			10,788						(7,127)						9,928						(9,171)
Net unrealized (gain)/loss			(19,700)						8,768						(20,488)						257
Transaction related expenses and deal related performance fees (1)			709						7,605						2,235						9,857
Equity in (earnings)/loss from affiliates			849						(188)						(2,099)						(642)
EAD from equity method investments (2)(3)			306						(215)						134						(648)
Earnings available for distribution			$	4,876					$	2,092					$	17,277					$	4,326
Earnings available for distribution, per Diluted Share			$	0.17					$	0.10					$	0.59					$	0.21

(1)For the three months ended September 30, 2024 and 2023, total transaction related expenses and deal related performance fees included $0.7 million and $7.6 million, respectively, recorded within the "Transaction related expenses" line item and $25 thousand and $9 thousand, respectively, recorded within the "Interest expense" line item, which relates to the amortization of deferred financing costs. For the nine months ended September 30, 2024 and 2023, total transaction related expenses and deal related performance fees included $2.2 million and $9.7 million, respectively, recorded within the "Transaction related expenses" line item and $0.1 million and $0.2 million, respectively, recorded within the "Interest expense" line item, which relates to the amortization of deferred financing costs.

(2)For the three months ended September 30, 2024 and 2023, $32 thousand or $0.00 per share and $0.4 million or $0.02 per share, respectively; and for the nine months ended September 30, 2024 and 2023, $1.6 million or $0.05 per share and $1.2 million or $0.06 per share, respectively, of realized and unrealized changes in the fair value of Arc Home's net mortgage servicing rights and corresponding derivatives, and other asset impairments were excluded from EAD, net of deferred tax expense or benefit. Additionally, for the three months ended September 30, 2024 and 2023, $0.8 million or $0.03 per share and $(1.9) million or $(0.09) per share, respectively; and for the nine months ended September 30, 2024 and 2023, $2.5 million or $0.08 per share and $(1.7) million or $(0.08) per share, respectively, of unrealized changes in the fair value of our investment in Arc Home were excluded from EAD.

(3)EAD 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 September 30, 2024 and 2023, we eliminated $0.4 million or $0.01 per share and $0.8 million or $0.04 per share, respectively, of intra-entity profits recognized by Arc Home, and also decreased the cost basis of the underlying loans we purchased by the same amount. For the nine months ended September 30, 2024 and 2023, we eliminated $1.0 million or $0.03 per share and $1.1 million or $0.06 per share, respectively, of intra-entity profits recognized by Arc Home, and also decreased the cost basis of the underlying loans we purchased by the same amount. Refer to Note 10 to the "Notes to Consolidated Financial Statements (unaudited)" for more information on this accounting policy.

Investment activities

Investment activities

We aim 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 may also invest in Agency RMBS to 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 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.

In December 2023, through our acquisition of WMC, we increased our investment portfolio by $1.2 billion, which primarily consisted of Securitized Non-Agency Loans. For more information on the WMC acquisition, refer to "WMC Acquisition" above and the section entitled "WMC Acquisition" in Note 1 to the "Notes to Consolidated Financial Statements (unaudited)."

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Net interest margin and leverage ratio

Net interest margin and leverage ratio are metrics that management believes should be considered when evaluating the performance of our investment portfolio. Net interest margin provides investors visibility into our profitability of interest income versus interest expense including the net effect of our interest rate swaps for insight into earnings available for distribution.

GAAP net interest margin and non-GAAP net interest margin, a non-GAAP financial measure, are calculated by subtracting the weighted average cost of funds from the weighted average yield for our GAAP investment portfolio and our investment portfolio, respectively. The weighted average yield represents an effective interest rate on our cost basis, 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 cost 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 or benefit, which is the weighted average of the net pay or receive rates on our interest rate swaps. GAAP and non-GAAP cost of funds are weighted by the outstanding financing arrangements on our GAAP investment portfolio and our investment portfolio, respectively, and the cost of securitized debt at quarter-end.

Our leverage ratio is determined by our portfolio mix as well as many additional factors, including the liquidity of our portfolio, the availability and price of our financing, the available capacity to finance our assets, and anticipated regulatory developments. See the "Financing activities" section below for more detail on our leverage ratio.

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Investment portfolio

The following tables present a summary of our Investment Portfolio, inclusive of net interest margin and leverage ratios, as of September 30, 2024 and a reconciliation of these metrics on our Investment Portfolio to their respective metrics on our GAAP Investment Portfolio ($ in thousands).

						Investment																		Securitized Debt																		Cost of Funds (c)						Allocated Equity (d)						Net Interest Margin
Instrument						Amortized Cost						Fair Value						Yield (a)(b)						Amortized Cost						Fair Value						Financing Arrangements																								Leverage Ratio (e)
Residential Investments
Securitized Non-Agency Loans						$	6,235,950					$	6,052,165					5.60		%				$	5,511,198					$	5,391,483					$	364,626					5.21		%				$	296,056					0.39		%				1.0x
Securitized Re/Non-Performing Loans						188,142						174,533						6.10		%				112,682						106,069						42,688						4.33		%				25,776						1.77		%				1.6x
Agency-Eligible Loans						111,667						112,821						6.76		%				—						—						103,745						6.57		%				9,076						0.19		%				11.4x
Home Equity Loans						135,272						136,854						9.62		%				—						—						114,475						5.93		%				22,379						3.69		%				5.1x
Non-Agency Loans						13,770						13,405						4.52		%				—						—						7,674						5.04		%				5,731						(0.52)		%				1.3x
Residential Whole Loans						860						1,967						111.21		%				—						—						—						—		%				1,967						111.21		%				N/A
Non-Agency RMBS						140,693						143,699						8.89		%				—						—						90,155						5.69		%				53,544						3.20		%				1.7x
Total Residential Investments						6,826,354						6,635,444						5.79		%				5,623,880						5,497,552						723,363						5.23		%				414,529						0.56		%				1.6x
Agency RMBS						21,068						20,237						7.95		%				—						—						2,141						5.56		%				18,096						2.39		%				0.1x
Legacy WMC Commercial Investments (f)
Commercial Loans						66,458						66,875						9.63		%				—						—						47,222						8.13		%				19,653						1.50		%				2.4x
CMBS (g)						57,987						52,685						16.93		%				—						—						20,313						6.88		%				32,372						10.05		%				0.6x
Total Legacy WMC Commercial Investments						124,445						119,560						13.03		%				—						—						67,535						7.75		%				52,025						5.28		%				1.3x
Other Securities						1,026						998						12.45		%				—						—						—						—		%				998						12.45		%				N/A
Total Investment Portfolio						$	6,972,893					$	6,776,239					5.93		%				$	5,623,880					$	5,497,552					$	793,039					5.25		%				$	485,648					0.68		%				1.5x
Cash and Cash Equivalents (h)																																																102,532						4.82		%
Interest Rate Swaps (i)																																																7,956						1.68		%
Arc Home																																																30,967
Senior Unsecured Notes																																																(95,548)						10.61		%
Non-Interest Earning Assets, net																																																8,530
Total Stockholders' Equity																																																$	540,085											1.5x
						Investment																		Securitized Debt																		Cost of Funds (c)						Allocated Equity (d)						Net Interest Margin
						Amortized Cost						Fair Value						Yield (a)(b)						Amortized Cost						Fair Value						Financing Arrangements																								Leverage Ratio (e)
Total Investment Portfolio						$	6,972,893					$	6,776,239					5.93		%				$	5,623,880					$	5,497,552					$	793,039					5.25		%				$	485,648					0.68		%				1.5x
Investments in Debt and Equity of Affiliates						16,745						20,061						20.59		%				—						—						3,540						7.66		%				16,521						12.93		%				(j)
GAAP Investment Portfolio						$	6,956,148					$	6,756,178					5.90		%				$	5,623,880					$	5,497,552					$	789,499					5.25		%				$	469,127					0.65		%				11.8x

(a)Excludes any net TBA positions.

(b)As of September 30, 2024, the weighted average yields are presented based on the amortized cost of the underlying loans and securities. The weighted average yield of the Company's investment portfolio based on the fair value of the underlying loans and securities as of September 30, 2024 was 6.00%.

(c)The cost of funds related to the financing on our investment portfolio inclusive of the benefit of 0.08% from our interest rate hedges was 5.25%. When including our Senior Unsecured Notes, the total cost of funds was 5.33%.

(d)Allocated equity represents the investment fair value less the associated securitized debt at fair value and financing arrangements, where applicable.

(e)The leverage ratio on each asset class and 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 less any cash posted as collateral by its equity invested inclusive of any cash collateral posted on financing arrangements. 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 as defined below in the "Financing Activities" section.

(f)We expect to either hold the Legacy WMC Commercial Investments until maturity or opportunistically exit these investments.

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

(h)Cash and cash equivalents may include a portion of cash invested in money market funds. The yield represents the interest earned on money market funds as of period end.

(i)Interest rate swaps represents the sum of the net fair value of interest rate swaps and the margin posted on interest rate swaps as of period end. Yield on interest rate swaps represents the weighted average net receive/(pay) rate as of period end. The impact of the net interest component of interest rate swaps on the cost of funds is included within the respective investment portfolio asset line items.

(j)Refer to the "Financing activities" section below for an aggregate breakout of leverage.

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Securitized Non-Agency Loans

As noted above, our investment activities primarily include acquiring and securitizing newly-originated residential mortgage loans. These securitization trusts ("Non-Agency VIEs") are collateralized by Non-Agency and Agency-Eligible Loans.

In each securitization transaction, we transfer a pool of loans to a wholly-owned subsidiary and the loans are deposited into a newly created securitization trust. The securitization trust issues various classes of mortgage pass-through certificates backed by the cash flows from the underlying residential mortgage loans (the "Certificates"). When we sponsor a residential mortgage loan securitization, we are generally required to retain at least 5% of the fair value of the Certificates issued in the securitization ("Risk Retention Rules"). We can retain either an "eligible vertical interest" (which consists of at least 5% of each class of securities issued in the securitization), an "eligible horizontal residual interest" (which is the most subordinate class of securities with a fair value of at least 5% of the aggregate credit risk) or a combination of both totaling 5% (the "Required Credit Risk"). In order to comply with the Risk Retention Rules in each securitization transaction, we generally purchase the most subordinated classes of Certificates and the excess cash flow Certificates. We also purchase the Certificates entitled to excess servicing fees and may purchase other Certificates issued by the securitization trust, while typically selling the senior classes of Certificates to unrelated third parties.

If we are determined to be the primary beneficiary of these securitization transactions, we consolidate the respective VIE created to facilitate the transaction and record "Securitized residential mortgage loans" and "Securitized debt" on the consolidated balance sheets in accordance with U.S. GAAP. However, as noted above, our equity at risk represents certain Certificates from each securitization which we retain.

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The following table summarizes our Securitized residential mortgage loans and Securitized debt, as well as the economic interest on retained Certificates related to our Non-Agency VIEs as of September 30, 2024 (in thousands).

						Unpaid Principal Balance						Fair Value
Securitized residential mortgage loans in Non-Agency VIEs						$	6,242,559					$	6,052,165
Securitized debt in Non-Agency VIEs (1)						5,634,967						5,391,483
Other assets (2)						N/A						774
Retained Certificates from Non-Agency VIEs (3)(4)(5)(6)												$	661,456
Retained interests in Non-Agency VIEs						Current Face						Fair Value
Senior Bonds						$	59,516					$	60,164
Mezzanine Bonds						23,348						22,290
Subordinate Bonds						524,780						406,594
Interest Only / Excess Servicing Bonds (1)(7)						N/A						172,408
Retained Certificates from Non-Agency VIEs (3)(4)(5)(6)												$	661,456
Financing arrangements on retained Certificates from Non-Agency VIEs												364,626
Retained Certificates from Non-Agency VIEs, net of financing arrangements												$	296,830

(1)Interest Only securities have no principal balances and bear interest based on a notional value. The notional value is used solely to determine interest distributions on the interest only classes of securities. As of September 30, 2024, the Securitized debt in Non-Agency VIEs line item includes interest only classes with a notional value of $1.3 billion. As of September 30, 2024, the notional value of Interest Only / Excess Servicing Bonds was $11.6 billion.

(2)Represents the fair value of real estate owned within Non-Agency VIEs. We record real estate owned at the lower of cost or fair value less estimated costs to sell. As of September 30, 2024, we recorded real estate owned within our Non-Agency VIEs at $0.7 million.     

(3)Maximum loss exposure from our involvement with VIEs pertains to the fair value of the Certificates retained from the VIEs. We have no obligation to provide any other explicit or implicit support to the securitization trusts.

(4)As of September 30, 2024, our equity at risk included bonds with a fair value of $438.6 million held in order to comply with Risk Retention Rules. We are generally required to hold the Required Credit Risk until the later of (i) the fifth anniversary of the securitization closing date and (ii) the date on which the aggregate unpaid principal balance of the mortgage loans has been reduced to 25% of the aggregate unpaid principal balance of the mortgage loans as of the securitization closing date, but no longer than the seventh anniversary of the closing date.

(5)As of September 30, 2024, a portion of our equity at risk included bonds exposed to the first loss of the securitization with a fair value of $112.6 million.

(6)Excludes net other asset/(liabilities) held within the VIEs of $7.8 million as of September 30, 2024.

(7)As the sponsor and depositor of each securitization, we may purchase all of the outstanding Certificates (an "Optional Redemption") following the earlier of (1) an applicable anniversary date (typically two or three years) of the respective securitization or (2) the date at which the unpaid principal balance of the applicable collateral has declined below a certain percentage (typically 10% to 30%) of the principal balance originally contributed to the securitization. As of September 30, 2024, there were four securitizations with an unpaid principal balance of $0.6 billion that met the criteria for an Optional Redemption.

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Securitized residential mortgage loans and Residential mortgage loans

The following table presents information regarding collateral characteristics of our residential mortgage loans as of September 30, 2024 ($ in thousands).

						Unpaid Principal Balance																		Weighted Average (1)(2)
																		Loan Count (1)						Original LTV Ratio (3)						Current FICO (4)						Coupon						Life (Years) (5)
Securitized residential mortgage loans
Non-Agency Loans						$	6,242,559											15,494						67.74		%				762						5.60		%				8.77
Re- and Non-Performing Loans						202,824												1,374						79.82		%				656						3.95		%				5.71
Total Securitized residential mortgage loans						$	6,445,383											16,868						68.13		%				758						5.55		%				8.67
Residential mortgage loans
Agency-Eligible Loans						$	109,219											235						72.93		%				778						7.58		%				3.73
Home Equity Loans						130,652												1,725						65.33		%				742						10.72		%				4.25
Non-Agency Loans						14,018												25						65.88		%				644						7.57		%				3.61
Re- and Non-Performing Loans (1)						2,094												N/A						N/A						N/A						N/A						1.46
Total Residential mortgage loans						$	255,983											1,985						68.63		%				749						9.19		%				3.97
Total as of September 30, 2024						$	6,701,366											18,853						68.14		%				758						5.69		%				8.49

(1)Loan count and weighted average 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)Amounts are weighted based on unpaid principal balance.

(3)Represents the original LTV or, for Re- and Non-Performing Loans and Non-Agency Loans acquired from WMC, the LTV at acquisition. For Home Equity Loans, represents the combined LTV, which considers the loan balances on a borrower’s first mortgage and related Home Equity Loan.

(4)Weighted average current FICO excludes borrowers where FICO scores were not available. Data is based on the latest available information.

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

See Note 3 to the "Notes to Consolidated Financial Statements (unaudited)" for additional information on credit quality and a breakout of geographic concentration of credit risk within loans we include in the "Securitized residential mortgage loans, at fair value" and "Residential mortgage loans, at fair value" line items on our consolidated balance sheets.

Legacy WMC Commercial loans

See Note 3 to the "Notes to Consolidated Financial Statements (unaudited)" for information on the coupons, weighted average life, geographic concentration, collateral characteristics, LTV, and maturities of the loans we include in the "Commercial loans, at fair value" line item on our consolidated balance sheets.

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Non-Agency RMBS and Legacy WMC CMBS & Other Securities

The following table presents the fair value, coupon, and weighted average life of our Non-Agency RMBS and Legacy WMC CMBS and Other Securities portfolios as of September 30, 2024 ($ in thousands).

																		Weighted Average
Instrument						Current Face						Fair Value						Coupon (1)						Life (Years) (2)
GCAT Non-Agency RMBS
GCAT Non-Agency Securities						$	43,794					$	37,424					4.82		%				6.93
GCAT Non-Agency RMBS Interest Only (3)						N/A						3,469						0.81		%				3.10
MATT Non-QM Securities (3)						4,497						13,050						0.45		%				3.11
Re/Non-Performing Securities (3)						5,516						7,011						1.01		%				0.15
Total GCAT Non-Agency RMBS						53,807						60,954						1.32		%				3.31
Non-Agency Securities						84,641						81,797						6.16		%				11.18
Non-Agency RMBS Interest Only (3)						N/A						948						0.50		%				6.28
Total Non-Agency RMBS						$	138,448					$	143,699					2.13		%				4.81
CMBS						100,896						52,685						5.37		%				2.14
Other Securities						N/A						998						N/A						7.80
Total Non-Agency RMBS, CMBS, and Other Securities						$	239,344					$	197,382					2.76		%				4.43
Less: Investments in Debt and Equity of Affiliates						$	10,013					$	20,061					0.54		%				2.85
Total GAAP Non-Agency RMBS and CMBS						$	229,331					$	177,321					3.81		%				5.65

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

(2)Weighted average life is based on projected life. Typically, actual maturities are shorter than stated contractual maturities.

(3)Interest Only securities have no principal balances and bear interest based on a notional value. The notional value is used solely to determine interest distributions on the interest only classes of securities. As of September 30, 2024, the notional value of interest only classes included in the GCAT Non-Agency RMBS Interest Only, MATT Non-QM Securities, Re/Non-Performing Securities, and Non-Agency RMBS Interest Only line items was $87.3 million, $274.8 million, $21.5 million, and $81.4 million, respectively.

The following table presents the fair value of our Non-Agency RMBS and Legacy WMC CMBS and Other Securities by credit rating as of September 30, 2024 (in thousands).

												Legacy WMC
Credit Rating (1)						Non-Agency RMBS						CMBS						Other Securities
AAA						$	30,886					$	—					$	—
AA						18,426						—						—
A						12,893						—						—
BBB						19,653						4,889						—
BB						13,324						—						—
B						7,234						1,182						—
Below B						—						31,364						—
Not Rated						41,283						15,250						998
Total: Non-Agency RMBS						$	143,699					$	52,685					$	998
Less: Investments in Debt and Equity of Affiliates						$	20,061					$	—					$	—
Total: GAAP Basis						$	123,638					$	52,685					$	998

(1)Represents the minimum rating for rated assets of S&P, Moody's, Morningstar, and Fitch credit ratings, stated in terms of the S&P equivalent.

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The following table presents the collateral type of our Non-Agency RMBS and Legacy WMC CMBS portfolio as of September 30, 2024 (in thousands).

Instrument						Current Face						Fair Value
Non-Agency RMBS
Non-QM Loans (1)						$	54,014					$	58,946
Re- and Non-Performing Loans (1)						5,516						7,011
Prime (1)						78,918						77,742
Total Non-Agency RMBS						$	138,448					$	143,699
Legacy WMC CMBS
Single-Asset/Single-Borrower - Fixed Rate						$	51,400					$	23,032
Single-Asset/Single-Borrower - Floating Rate						34,450						19,061
Conduit - Fixed Rate						15,046						10,592
Total Legacy WMC CMBS						$	100,896					$	52,685

(1)The current face on our Non-Agency RMBS excludes interest only classes which have no principal balances and bear interest based on a notional value. The notional value is used solely to determine interest distributions on the interest only classes of securities. As of September 30, 2024, the notional value of interest only classes included in the Non-QM Loans, Re-and Non-Performing Loans, and Prime line items was $362.1 million, $21.5 million, and $81.4 million, respectively.

The following table presents the geographic concentration of the underlying collateral for our Non-Agency RMBS and Legacy WMC CMBS portfolios as of September 30, 2024 ($ in thousands).

Non-Agency RMBS																		Legacy WMC CMBS
Geographic Location						Concentration						Fair Value						Geographic Location						Concentration						Fair Value
California						31.0		%				$	44,490					California						37.2		%				$	19,592
New York						10.4		%				15,003						Bahamas						27.6		%				14,559
Florida						9.4		%				13,459						Minnesota						11.1		%				5,854
Texas						5.4		%				7,801						Texas						5.5		%				2,911
North Carolina						3.4		%				4,836						New York						3.0		%				1,600
Other						40.4		%				58,110						Other						15.6		%				8,169
Total						100.0		%				$	143,699					Total						100.0		%				$	52,685

Agency RMBS

Although our investment activities primarily include acquiring and securitizing newly-originated residential mortgage loans, from time to time we invest excess liquidity into Agency RMBS. The following table presents certain characteristics of our Agency RMBS portfolio as of September 30, 2024 ($ in thousands).

												Weighted Average
						Fair Value						CPR (1)						Coupon						Life (2)
Agency RMBS Interest Only						$	20,237					4.6		%				4.06		%				5.70

(1)Represents the weighted average monthly Constant Prepayment Rates ("CPR") published during the period for our in-place portfolio.

(2)Weighted average life is based on projected life. Typically, actual maturities are shorter than stated contractual maturities. .

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Financing activities

In December 2023, through our acquisition of WMC, we assumed liabilities of $1.1 billion, which primarily consisted of securitized debt, financing arrangements, and convertible senior unsecured notes. For more information on the acquisition of WMC, refer to "WMC Acquisition" above and the section entitled "WMC Acquisition" in Note 1 to the "Notes to Consolidated Financial Statements (unaudited)."

Financing Arrangements

We use leverage to finance the purchase of our investment portfolio. Our leverage has primarily been in the form of repurchase agreements and similar financing arrangements (which we refer to collectively as financing arrangements), and securitized debt.

Repurchase agreements involve the sale and a simultaneous agreement to repurchase the transferred assets or similar assets at a future date. The amount borrowed generally is equal to the fair value of the assets pledged less an agreed-upon discount, referred to as a "haircut." The size of the haircut reflects the perceived risk associated with the pledged asset. Haircuts may change as our financing arrangements mature or roll and are sensitive to governmental regulations. Interest rates for our financing arrangements are determined based on prevailing rates (typically a spread over a base rate) corresponding to the terms of the borrowings, and interest is paid on a monthly basis or, for shorter term arrangements, at the end of the term. Repurchase agreements typically have a term of up to one year for loans and a term of 30 to 90 days for securities. Repurchase agreements are generally mark-to-market with respect to margin calls and recourse to us. We had outstanding financing arrangements with six and seven counterparties as of September 30, 2024 and December 31, 2023, respectively.

 

Our financing arrangements generally include customary representations, warranties, and covenants, but may also contain more restrictive supplemental terms and conditions. Although specific to each financing arrangement, typical supplemental terms include requirements of minimum equity and liquidity, leverage ratios, and performance triggers. In addition, some of the financing arrangements contain cross default features, whereby default under an agreement with one lender simultaneously causes default under agreements with other lenders. To the extent that we fail to comply with the covenants contained in these financing arrangements or are 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 September 30, 2024, we are in compliance with all of our financial 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.

Legacy WMC Convertible Notes

Through our acquisition of WMC, we assumed the Legacy WMC Convertible Notes. In September 2024, we paid off the remaining principal amount outstanding of the Legacy WMC Convertible Notes at maturity. See Note 6 to the "Notes to Consolidated Financial Statements (unaudited)" for additional information on the Legacy WMC Convertible Notes.

Senior Unsecured Notes

On January 26, 2024, we issued $34.5 million principal amount of 9.500% senior notes due 2029.

On May 15, 2024, we issued $65.0 million principal amount of 9.500% senior notes due 2029.

See Note 6 to the "Notes to Consolidated Financial Statements (unaudited)" for additional information on the Senior Unsecured Notes.

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Recourse and non-recourse financing

The below table provides detail on the breakout between recourse and non-recourse financing as of September 30, 2024 (in thousands).

						September 30, 2024
Recourse financing - Financing arrangements, including those in Investments in Debt and Equity of Affiliates						$	739,704
Recourse Financing - Senior Unsecured Notes						95,548
Non-recourse financing - Securitized debt, at fair value						5,497,552
Non-recourse financing - Financing arrangements						53,335
Total Financing						6,386,139
Less:
Recourse financing - Financing arrangements included in Investments in Debt and Equity of Affiliates						3,540
Total Financing in Investments in Debt and Equity of Affiliates						3,540
Total Financing: GAAP Basis						$	6,382,599

Leverage

We use leverage to increase potential returns to our stockholders and to fund the acquisition of our investment portfolio. Our financing strategy is designed to increase the size of our investment portfolio by borrowing against the fair value of the assets in our portfolio. When acquiring residential mortgage loans and other assets, we finance our investments using repurchase agreements or similar financing arrangements, which we refer to collectively as "financing arrangements." Upon accumulating a targeted amount of residential mortgage loans, we finance these assets utilizing long-term, non-recourse, non-mark-to-market securitizations as market conditions permit. Financing arrangements are generally recourse to the Company whereas securitized debt used to finance our Non-Agency VIEs and RPL/NPL VIEs is generally non-recourse to the Company. In addition to disclosing GAAP leverage, we also disclose Economic Leverage, which excludes non-recourse financing. Management believes that this non-GAAP measure, when considered with our GAAP financial statements, provides supplemental information useful for investors to help evaluate our use of leverage and the related risk associated with our leverage profile. Our presentation of Economic Leverage 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, GAAP leverage calculated in accordance with GAAP. Our GAAP financial results and the reconciliations from these results should be carefully evaluated.

We define GAAP leverage as the sum of (1) GAAP Securitized debt, at fair value, (2) GAAP Financing arrangements, net of any restricted cash posted on such financing arrangements, (3) Senior Unsecured Notes, and (4) the amount payable on purchases that have not yet settled less the financing remaining on sales that have not yet settled. We define Economic Leverage, a non-GAAP metric, as the sum of: (i) our GAAP leverage, exclusive of any fully non-recourse financing arrangements, (ii) financing arrangements held through affiliated entities, net of any restricted cash posted on such financing arrangements, exclusive of any financing utilized through AG Arc, inclusive of any adjustment related to unsettled trades as described in (4) in the previous sentence, and exclusive of any non-recourse financing arrangements and (iii) our net TBA position (at cost), if any.

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The calculations in the tables below divide GAAP leverage and Economic Leverage by our GAAP stockholders’ equity to derive our leverage ratios. The following tables present a reconciliation of our Economic Leverage ratio to GAAP Leverage ($ in thousands).

September 30, 2024						Leverage						Stockholders’ Equity						Leverage Ratio
Securitized debt, at fair value						$	5,497,552
GAAP Financing arrangements						789,499
Senior Unsecured Notes						95,548
Restricted cash posted on financing arrangements						(3,283)
GAAP Leverage						$	6,379,316					$	540,085					11.8x
Financing arrangements through affiliated entities						3,540
Non-recourse financing arrangements (1)						(5,550,887)
Economic Leverage						$	831,969					$	540,085					1.5x

(1) Non-recourse financing arrangements include securitized debt and other non-recourse financing arrangements.

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 derivative instruments 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 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. Derivatives have not been designated as hedging instruments for GAAP. See Note 7 in the "Notes to Consolidated Financial Statements (unaudited)" for more information.

Dividends

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 financing arrangements and other debt payable. If our cash available for distribution is less than our net taxable income, we could be required to sell assets or borrow funds to make required cash distributions or we may make a portion of the required distribution in the form of a taxable stock distribution or distribution of debt securities.

 

As described above, our distribution requirements are based on taxable income rather than GAAP net income. Differences between taxable income and GAAP net income include (i) unrealized gains and losses associated with investment and derivative portfolios which are marked-to-market in current income for GAAP purposes, but excluded from taxable income until realized or settled, (ii) temporary differences related to amortization of premiums and discounts paid on investments, (iii) the timing and amount of deductions related to stock-based compensation, (iv) temporary differences related to the recognition of realized gains and losses on sold investments and certain terminated derivatives, (v) taxes, and (vi) differences between GAAP income or losses in our TRSs and taxable income resulting from dividend distributions to the REIT from our TRSs.

During the nine months ended September 30, 2024, the Company declared common stock dividends of $0.56. During the same period, the Company declared and paid preferred stock dividends on its Series A Preferred Stock, Series B Preferred Stock, and Series C Preferred Stock of $1.54689, $1.50, and $1.50, respectively.

Liquidity and capital resources

 

Our liquidity determines our ability to meet our cash obligations, including distributions to our stockholders, payment of our expenses, financing our investments and satisfying other general business needs.

Our principal sources of cash consist of borrowings under financing arrangements, principal and interest payments we receive on our investment portfolio, cash generated from our operating results, and proceeds from capital market transactions. We typically use cash to repay principal and interest on our financing arrangements, to purchase loans, real estate securities, and other real

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estate related assets, to make dividend payments on our capital stock, to repurchase our capital stock, and to fund our operations. We may also generate liquidity when restricted cash that was pledged as collateral for clearing and executing trades, derivatives, and financing arrangements becomes unrestricted when the related collateral requirements are exceeded or at the maturity of the derivative or financing arrangement. Refer to "—Margin requirements" below discussing instances where we may use liquidity to meet margin requirements. At September 30, 2024, we had $119.7 million of liquidity, which consisted of $102.5 million of cash and cash equivalents and $17.2 million of unencumbered Agency RMBS available to support our liquidity needs. Refer to the "Contractual obligations" section of this Item 2 for additional obligations that could impact our liquidity.

Margin requirements

 

The fair value of our loans and real estate securities fluctuate according to market conditions. When the fair value of the assets pledged as collateral to secure a financing arrangement decreases to the point where the difference between the collateral fair value and the financing arrangement amount is less than the haircut, our lenders may issue a "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 transactions in the market. Lenders also issue margin calls as the published current principal balance factors change on the pool of mortgages underlying the securities pledged as collateral when scheduled and unscheduled paydowns are announced monthly. We experience margin calls in the ordinary course of our business. In seeking to effectively manage 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." The level of liquidity we maintain to meet margin calls is directly affected by our leverage levels, our haircuts and the price changes on our assets. Typically, if interest rates increase or if credit spreads widen, then the prices of our collateral (and our unpledged Agency RMBS that constitute a portion of 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 on existing financing arrangements increase, our liquidity will proportionately decrease. We intend to maintain a level of liquidity in relation to our borrowings that enables us to meet reasonably anticipated margin calls but that also allows us to be substantially invested in 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 may force us to liquidate assets into potentially unfavorable market conditions and harm our results of operations and financial condition.

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 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 assets, 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.

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Cash flows

The below details changes to our cash, cash equivalents, and restricted cash for the nine months ended September 30, 2024 and 2023 ($ in thousands).

						Nine Months Ended
						September 30, 2024						September 30, 2023						Change
Cash and cash equivalents and restricted cash, Beginning of Period						$	125,573					$	98,803					$	26,770
Net cash provided by (used in) operating activities (1)						40,184						18,120						22,064
Net cash provided by (used in) investing activities (2)						(637,889)						(471,590)						(166,299)
Net cash provided by (used in) financing activities (3)						586,350						493,929						92,421
Net change in cash and cash equivalents and restricted cash						(11,355)						40,459						(51,814)
Cash and cash equivalents and restricted cash, End of Period						$	114,218					$	139,262					$	(25,044)

(1)Cash provided by operating activities is primarily attributable to net interest income less operating expenses for the nine months ended September 30, 2024.

(2)Cash used in investing activities for the nine months ended September 30, 2024 was primarily attributable to purchases of investments, offset by principal repayments on investments and sales of investments.

(3)Cash provided by financing activities for the nine months ended September 30, 2024 was primarily attributable to proceeds from the issuance of securitized debt and our Senior Unsecured Notes and net borrowings under financing agreements, offset by principal repayments on securitized debt, repurchases of the Legacy WMC Convertible Senior Unsecured Notes and the subsequent payoff of the Legacy WMC Convertible Senior Unsecured Notes at maturity, and dividend payments.

Stock repurchase programs

On August 3, 2022, our Board of Directors authorized a stock repurchase program (the "2022 Repurchase Program") to repurchase up to $15.0 million of our outstanding common stock. The 2022 Repurchase Program does not have an expiration date and permits us to repurchase our shares through various methods, including open market repurchases, privately negotiated block transactions and Rule 10b5-1 plans. We may repurchase shares of our common stock from time to time in compliance with SEC regulations and other legal requirements. The extent to which we repurchase our shares, and the timing, manner, price, and amount of any such repurchases, will depend upon a variety of factors including market conditions and other corporate considerations as determined by management, as well as the limits of the 2022 Repurchase Program and our liquidity and business strategy. The 2022 Repurchase Program does not obligate us to acquire any particular amount of shares and may be modified or discontinued at any time. As of the date of this filing, approximately $1.5 million of common stock remained authorized for future share repurchases under the 2022 Repurchase Program. See Note 11 in the "Notes to Consolidated Financial Statements (unaudited)" for additional details on the shares repurchased under the 2022 Repurchase Program during the three and nine months ended September 30, 2024 and 2023.

On May 4, 2023, our Board of Directors authorized a stock repurchase program (the "2023 Repurchase Program") to repurchase up to $15.0 million of our outstanding common stock on substantially the same terms as the 2022 Repurchase Program. As of the date of this filing, the full $15.0 million authorized amount remains available for repurchase under the 2023 Repurchase Program. This authorization is in addition to the amount remaining under the 2022 Repurchase Program.

On February 22, 2021, our Board of Directors authorized a stock repurchase program (the "Preferred 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.

Shares of stock repurchased by us under any repurchase program, if any, will be cancelled and, until reissued by us, will be deemed to be authorized but unissued shares of its stock as required by Maryland law. The cost of the acquisition by us 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.

Equity distribution 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"), which we refer to as the "Equity Distribution Agreements," pursuant to which

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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, under the Securities Act of 1933. We did not issue any shares of common stock under the Equity Distribution Agreements during the three and nine months ended September 30, 2024. Since inception of the program, we have issued approximately 2.2 million shares of common stock under the Equity Distribution Agreements for gross proceeds of $48.3 million.

Effective November 6, 2024, the Company terminated the Equity Distribution Agreements and entered into new equity distribution agreements (the "2024 Equity Distribution Agreements") with each of BTIG, LLC, JonesTrading Institutional Services LLC, Keefe, Bruyette & Woods, Inc. and Piper Sandler & Co. (collectively, the "2024 Sales Agents"). Pursuant to the 2024 Equity Distribution Agreements, the Company may sell up to $75.0 million aggregate offering price of shares of its common stock from time to time through an "at the market" equity offering program under which the 2024 Sales Agents will act as sales agent and/or principal.

Forward-looking statements regarding liquidity

 

Based upon our current portfolio, leverage and available borrowing arrangements, we believe the net proceeds of our common equity offerings, preferred equity offerings, senior unsecured note issuances, and private placements, combined with cash flow from operating activities, financing activities, 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, funding financing maturities, and paying general corporate expenses.

 

Contractual obligations

 

Management agreement

 

The management agreement, as amended, provides for payment to the Manager of a management fee, an incentive fee, and reimbursements of certain expenses incurred by the Manager or its affiliates on behalf of us. Pursuant to our management agreement, the closing of the TPG Transaction resulted in an assignment of the management agreement. Our independent directors unanimously consented to such assignment on July 31, 2023 in advance of the TPG Transaction closing. There were no changes to the management agreement in connection with the TPG Transaction and the assignment of the management agreement became effective upon the closing of the TPG Transaction.

In connection with the Merger with WMC, which was completed on December 6, 2023, and contemporaneously with the execution of the Merger Agreement, on August 8, 2023, we and our Manager entered into the MITT Management Agreement Amendment, pursuant to which (i) our Manager’s base management fee will be reduced by $0.6 million for the first four quarters following the Effective Time, beginning with the fiscal quarter in which the Effective Time occurs (i.e., resulting in an aggregate $2.4 million waiver of base management fees), and (ii) our Manager will waive its right to seek reimbursement from us for any expenses otherwise reimbursable by us under the management agreement in an amount equal to approximately $1.3 million, which is the excess of $7.0 million over the aggregate Per Share Additional Merger Consideration paid by our Manager to the holders of WMC Common Stock under the Merger Agreement. The MITT Management Agreement Amendment became effective automatically upon the closing of the Merger.

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Management fee

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" 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. The below table details the management fees incurred during the three and nine months ended September 30, 2024 and 2023 (in thousands).

						Three Months Ended												Nine Months Ended
Consolidated statements of operations line item:						September 30, 2024						September 30, 2023						September 30, 2024						September 30, 2023
Management fee to affiliate (1)						$	1,708					$	2,054					$	5,202					$	6,190

(1)For the three and nine months ended September 30, 2024, the Manager agreed to waive its right to receive management fees of $0.6 million and $1.8 million, respectively, pursuant to the MITT Management Agreement Amendment executed in connection with the Merger. As of September 30, 2024, all of the $2.4 million management fee waiver agreed upon in connection with the Merger has been utilized.

As of September 30, 2024 and December 31, 2023, we have recorded management fees payable of $1.7 million and $1.5 million, respectively. The management fee payable is included within the "Due to affiliates" line item within the "Other liabilities" line item on the consolidated balance sheets.

 

Incentive fee

The Manager is entitled to an annual incentive fee with respect to each applicable fiscal year, which will be equal to 15% of the amount by which our cumulative adjusted net income from November 22, 2021 exceeds the cumulative hurdle amount, which represents an 8% return (cumulative, but not compounding) on an equity hurdle base consisting of the sum of (i) $341.5 million and (ii) the gross proceeds of any subsequent public or private common stock offerings by us. The annual incentive fee will be payable in cash, or, at the option of our Board of Directors, shares of common stock or a combination of cash and shares.

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

Termination fee

 

Upon the occurrence of (i) our termination of the management agreement without cause or (ii) the Manager’s termination of the management agreement upon a breach by the Company of any material term of the management agreement, the Manager will be entitled to a termination fee equal to three times the average annual management fee during the 24-month period prior to such termination, calculated as of the end of the most recently completed fiscal quarter. As of September 30, 2024 and December 31, 2023, no event of termination of the management agreement had occurred.

Expense reimbursement

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 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, reimbursements are subject to an annual budget process which combines guidelines from the management agreement with oversight by our Board of Directors and discussions with our Manager.

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The below table details the expense reimbursement incurred during the three and nine months ended September 30, 2024 and 2023 (in thousands).

						Three Months Ended												Nine Months Ended
Consolidated statements of operations line item:						September 30, 2024						September 30, 2023						September 30, 2024						September 30, 2023
Non-investment related expenses (1)						$	1,636					$	1,400					$	4,936					$	4,200
Investment related expenses						194						148						395						360
Transaction related expenses						22						326						396						707
Expense reimbursements to Manager or its affiliates						$	1,852					$	1,874					$	5,727					$	5,267

(1)For the three and nine months ended September 30, 2024, the Manager agreed to waive its right to receive expense reimbursements of $0.3 million and $0.9 million, respectively, pursuant to the MITT Management Agreement Amendment executed in connection with the Merger. Of the $1.3 million expense reimbursement waiver agreed upon in connection with the Merger, $0.2 million remains outstanding as of September 30, 2024.

As of September 30, 2024 and December 31, 2023, we recorded a reimbursement payable to our Manager or its affiliates of $2.9 million and $1.5 million, respectively The reimbursement payable to the Manager or its affiliates is included within the "Due to affiliates" line item within the "Other liabilities" line item on the consolidated balance sheets.

Share-based compensation

The AG Mortgage Investment Trust, Inc. 2020 Equity Incentive Plan, which became effective on April 15, 2020 following the approval 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 value of any such awards based on the grant date fair value). As of September 30, 2024, 406,539 shares of common stock remained available to be awarded under the 2020 Equity Incentive Plan.

 

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

On December 6, 2023, in connection with the WMC acquisition, we granted an aggregate 25,962 restricted stock units to the two independent directors added to our Board of Directors who previously served on WMC's board of directors. Through September 30, 2024, the two independent directors have also been granted an aggregate of 1,698 dividend equivalent units. These restricted stock units and associated dividend equivalent units vested in full on June 23, 2024, and will be settled in shares of our common stock upon each independent director's separation from service with our Board of Directors.

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 common stock that may be subject to awards thereunder to our Manager. As of September 30, 2024, there were no shares or awards issued under the 2021 Manager Plan. Following the execution of the Third Amendment to our management agreement in November 2021 related to the incentive fee, our compensation committee no longer expects to continue its historical practice of making periodic equity grants to the Manager pursuant to the 2021 Manager Plan.

Unfunded commitments

See Note 12 of the "Notes to Consolidated Financial Statements (unaudited)" for detail on our commitments as of September 30, 2024.

Off-balance sheet arrangements

Our investments in debt and equity of affiliates primarily consist of real estate securities and our interest in AG Arc. Investments in debt and equity of affiliates are accounted for using the equity method of accounting. Certain of our investments in debt and equity of affiliates securitize residential mortgage loans and retain interests in the subordinated tranches of the transferred assets. These retained interests are included in the MATT Non-QM Securities and Re/Non-Performing Securities line items of our investment portfolio. See Note 10 to the "Notes to Consolidated Financial Statements (unaudited)" for a discussion of investments in debt and equity of affiliates.

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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. Refer to Note 7 to the "Notes to Consolidated Financial Statements (unaudited)" for additional detail on TBAs as of September 30, 2024, if applicable.

For additional information on our commitments as of September 30, 2024, refer to Note 12 of the "Notes to Consolidated Financial Statements (unaudited)." We do not expect these commitments, taken as a whole, to be significant to, or to have a material impact on, our overall liquidity or capital resources or our operations.

Critical accounting policies and estimates

 

We prepare our consolidated financial statements in conformity with GAAP, which requires the use of estimates and assumptions that affect reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the amounts of income 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 believe that the estimates, judgments and assumptions utilized in the preparation of our consolidated financial statements are prudent and reasonable. Although our estimates contemplate conditions as of September 30, 2024 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 and liabilities at the date of the consolidated financial statements and the reported amounts of income and expenses during the periods presented.

Our most critical accounting policies include (i) Valuation of financial instruments, (ii) Accounting for loans, (iii) Accounting for real estate securities, (iv) Interest income recognition, (v) Financing arrangements, (vi) Investment consolidation, and (vii) Accounting for business combinations. Our critical accounting estimates are those which require assumptions to be made about matters that are highly uncertain and include (i), (iv), and (vi) above. A discussion of critical accounting policies and estimates is included in our Form 10-K. Our critical accounting policies and estimates have not materially changed since December 31, 2023.

REIT Qualification

We have elected to be treated as a REIT under Sections 856 through 859 of the Internal Revenue Code of 1986, as amended (the "Code"). Our qualification as a REIT depends upon our ability to meet on a continuing basis, through actual investment and operating results, various complex requirements under the Code relating to, among other things, the sources of our gross income, the composition and values of our assets, our distribution levels and the diversity of ownership of our shares. We believe that we are organized in conformity with the requirements for qualification and taxation as a REIT under the Code, and that our manner of operation enables us to meet the requirements for qualification and taxation as a REIT.

We generally need to distribute at least 90% of our ordinary taxable income each year (subject to certain adjustments) to our stockholders in order to qualify as a REIT under the Code. Our ability to make distributions to our stockholders depends, in part, upon the performance of our investment portfolio.

As a REIT, we generally are not subject to U.S. federal income tax on our REIT taxable income that we distribute currently to our stockholders. If we fail to qualify as a REIT in any taxable year and do not qualify for certain statutory relief provisions, we will be subject to U.S. federal income tax at regular corporate rates and may be precluded from qualifying as a REIT for the subsequent four taxable years following the year during which we lost our REIT qualification. Accordingly, our failure to qualify as a REIT could have a material adverse impact on our results of operations and our ability to pay distributions, if any, to our stockholders. Even if we qualify for taxation as a REIT, we may be subject to some U.S. federal, state and local taxes on our income or property. In addition, any income earned by a domestic taxable REIT subsidiary, or TRS, will be subject to corporate income taxation.

Investment Company Act Exemption

 

We conduct our operations so that we are not considered an investment company under Section 3(a)(1)(C) of the Investment Company Act. 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

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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.

Conducting our operations so as not to be considered an investment company under the Investment Company Act and the rules and regulations promulgated under the Investment Company Act and SEC staff interpretive guidance limits our ability to make certain investments. For example, these restrictions limit our and our subsidiaries’ ability to invest directly in Agency RMBS mortgage-related securities that represent less than the entire ownership in a pool of mortgage loans or debt and equity tranches of Non-Agency RMBS (in each case to the extent such interest are not retained interest in securitizations consisting of mortgage loans that were owned by us and such securitizations were not sponsored by us in order to obtain financing to acquire additional mortgage loans), certain real estate companies and assets not related to real estate.

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ITEM 3. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK

The primary components of our market risk relate to interest rates, liquidity, real estate, credit, prepayment rates, basis, and capital markets risk. While we do not seek to avoid risk completely, we seek to assume risk that can be reasonably quantified from historical experience and to actively manage that risk, to earn sufficient returns to justify taking those risks and to maintain capital levels consistent with the risks we undertake. Many of these risks have become particularly heightened due to sustained inflation, rising mortgage rates, the Federal Reserve's monetary policy actions, and market uncertainty from geopolitical risks.

 

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 financing arrangements. We generally seek to manage this risk by monitoring the reset index and the interest rate related to our investment portfolio and our financings; by structuring our financing arrangements to have a range of maturity terms, amortizations and interest rate adjustment periods; and by using derivative instruments to adjust interest rate sensitivity of our investment portfolio and borrowings. Our hedging techniques can be highly complex, and the value of our investment portfolio and derivatives may be adversely affected as a result of changing interest rates.

 

Interest rate effects on net interest income

 

Our operating results depend in large part upon differences between the yields earned on our investments and our cost of borrowing and upon the effectiveness of our interest rate hedging activities. The majority of our financing arrangements are short term in nature, exclusive of our residential mortgage loans financed through securitized debt. Repurchase agreements financing our securities portfolio or retained interests from our securitizations 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 one year. The financing rate on these agreements will generally be determined at the outset of each transaction by reference to prevailing rates plus a spread. As a result, our borrowing costs will tend to increase during periods of rising interest rates as we renew, or "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.

 

In an attempt to offset the increase in funding costs related to rising interest rates, our Manager may cause us to enter into hedging transactions structured to provide us with positive cash flow in the event 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 fair value of the assets that we acquire.

 

Generally, in a rising interest rate environment, the fair value of our loan and real estate securities 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 represent a majority of our portfolio.

 

The fair value of our investment portfolio could change at a different rate than the fair value of our liabilities when interest rates change. We measure the sensitivity of our portfolio to changes in interest rates by estimating the duration of our assets and liabilities. Duration is the approximate percentage change in fair value for an instantaneous 100 basis point parallel shift in the yield 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 assets. We allocate the net duration by asset type based on the interest rate sensitivity.

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The following chart details information about our duration gap as of September 30, 2024.

Duration (1)(2)						Years
Agency RMBS						(0.17)
Securitized Residential Mortgage Loans						2.76
Real Estate Securities and Legacy WMC Commercial Loans						0.38
Hedges on securitized products						(0.64)
Securitized products subtotal						2.50
Residential Mortgage Loans (3)						0.47
Hedges on Residential Mortgage Loans						(0.11)
Residential Mortgage Loans subtotal						0.36
Senior Unsecured Notes						(0.25)
Total						2.44

(1)Duration related to financing arrangements is netted within its respective line items.

(2)Duration does not include our investment in AG Arc LLC.

(3)Residential Mortgage Loans are inclusive of forward purchase commitments to acquire Non-Agency Loans and Agency-Eligible Loans as of September 30, 2024.

The following table quantifies the estimated percent change in GAAP equity, the fair value of our assets, and projected net interest income should interest rates go up or down instantaneously by 25, 50, and 75 basis points, assuming (i) the yield curves of the rate shocks will be parallel to each other and the current yield curve and (ii) all other market risk factors remain constant. These estimates were compiled using a combination of third-party services and models, market data and internal models. All changes in equity, assets, and income are measured as percentage changes from the GAAP equity, assets, and projected net interest income from our base interest rate scenario. The base interest rate scenario assumes spot and forward interest rates existing as of September 30, 2024. 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 result 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, 2024, our Manager may from time to time sell any of our investments as a part of the overall management of our investment portfolio.

Change in Interest Rates (basis points) (1)						Change in Fair Value as a Percentage of GAAP Equity (2)(3)						Change in Fair Value as a Percentage of Assets (2)(3)						Percentage Change in Projected Net Interest Income (4)
75						(4.8)		%				(0.4)		%				(1.3)		%
50						(3.1)		%				(0.2)		%				(0.7)		%
25						(1.6)		%				(0.1)		%				(0.2)		%
(25)						1.6		%				0.1		%				0.2		%
(50)						3.1		%				0.2		%				0.5		%
(75)						4.7		%				0.4		%				0.7		%

(1)Includes investments held through affiliated entities that are reported as "Investments in debt and equity of 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.

(3)Changes in fair value as a percentage of GAAP equity and assets are inclusive of forward purchase commitments to acquire Non-Agency Loans and Agency-Eligible Loans as of September 30, 2024.

(4)Interest income includes trades settled as of September 30, 2024.

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

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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 financings primarily in the form of financing arrangements. Our Manager seeks to mitigate our liquidity risks by maintaining a prudent level of leverage, monitoring our liquidity position on a daily basis and maintaining a reasonable 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.

Liquidity risk – financing arrangements

 

We pledge mortgage loans or real estate securities and cash as collateral to secure our financing arrangements. Should the fair value of our mortgage loans or real estate securities 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 mortgage loans or real estate securities 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 financing arrangements at their scheduled maturities, which could cause material additional harm to our liquidity position and result in substantial losses. Further, should funding conditions tighten as they did in 2007-2008, 2009 and more recently in March 2020, our financing arrangement counterparties may increase our margin requirements on new financings, including repurchase transactions that we roll at maturity with the same counterparty. This would require us to post additional collateral and would reduce our ability to use leverage and could potentially cause us to incur substantial losses.

 

Liquidity risk – derivatives

 

The terms of our interest rate swaps 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 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 swaps. Hence, as our swaps 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 gain value in a rising interest rate environment, we are able to recall variation margin from our counterparties. By recalling variation margin from our swaps counterparties, we are able to partially mitigate the liquidity risk created by margin calls on our repurchase transactions during periods of rising interest rates.

 

Initial margin works differently. Collateral posted to meet initial margin requirements is intended to create a safety buffer to benefit our counterparties if we were to default on our payment obligations under the terms of the swaps and our counterparties were forced to unwind the swap. Initial margin on our centrally cleared trades varies from day to day depending upon various factors, including the absolute level of interest rates and the implied volatility of interest rates. There is a distinctly positive correlation between initial margin, on the one hand, and the absolute level of interest rates and implied volatility of interest rates, on the other hand. As a result, in times of rising interest rates or increasing rate volatility, we anticipate that the initial margin required on our centrally-cleared trades will likewise increase, potentially by a substantial amount. These margin increases will have a negative impact on our liquidity position and will likely impair the intended liquidity risk mitigation effect of our swaps discussed above.

 

Real estate value risk

 

Residential 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), natural disasters, the effects of climate change (including flooding, drought, and severe weather) and other natural events, 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 investment portfolio 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

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interest on our investments.

Credit risk

We are exposed to the risk of potential credit losses from an unanticipated increase in borrower defaults as well as general credit spread widening on any non-agency assets in our 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.

The potential effects of sustained inflation, elevated mortgage rates and the Federal Reserve's monetary policy actions may cause an increase in credit risk of our credit sensitive assets. Any future period of payment deferrals, forbearance, delinquencies, defaults, foreclosures or losses will likely adversely affect our net interest income from residential loans 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.

 

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 310-10.

 

In addition, our interest rate hedges are structured in part based upon assumed levels of future prepayments within our mortgage loan or real estate securities 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 book value triggered by the risk of incurring losses on the fair value of Agency RMBS as a result of widening market spreads between the yields on Agency RMBS and the yields on comparable duration Treasury securities. The basis risk associated with fluctuations in fair value of 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.

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Capital Market Risk

We are exposed to risks related to the equity capital markets, and our related ability to raise capital through the issuance of our common stock, preferred stock or other equity instruments. We are also exposed to risks related to the debt capital markets, and our related ability to finance our business through revolving facilities or other debt instruments. As a REIT, we are required to distribute a significant portion of our taxable income annually, which constrains our ability to accumulate operating cash flow and therefore may require us to utilize debt or equity capital to finance our business. We seek to mitigate these risks by monitoring the debt and equity capital markets to inform our decisions on the amount, timing, and terms of capital we raise.

ITEM 4. CONTROLS AND PROCEDURES

(a) Evaluation of Disclosure Controls and Procedures

Our management is responsible for establishing and maintaining disclosure controls and procedures that are designed to ensure that information the Company is required to disclose in the reports that it files or submits under the Securities Exchange Act of 1934, as amended (the "Exchange Act") 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, 2024. 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.

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PART II — OTHER INFORMATION

 

			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.

			ITEM 1A.			RISK FACTORS.

Refer to the risks identified under the caption "Risk Factors", in our Annual Report on Form 10-K for the year ended December 31, 2023 and our subsequent filings, which are available on the Securities and Exchange Commission’s website at www.sec.gov, and in the "Forward-Looking Statements" and "Management’s Discussion and Analysis of Financial Condition and Results of Operations" sections herein.

			ITEM 2.			UNREGISTERED SALES OF EQUITY SECURITIES AND USE OF PROCEEDS.

None.

			ITEM 3.			DEFAULTS UPON SENIOR SECURITIES.

None.

			ITEM 4.			MINE SAFETY DISCLOSURES

None.

			ITEM 5.			OTHER INFORMATION.

None.

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			ITEM 6.			EXHIBITS.

 

Exhibit No.						Description
3.1						Articles of Amendment and Restatement of AG Mortgage Investment Trust, Inc., incorporated by reference to Exhibit 3.1 of Amendment No. 2 to the Company's Registration Statement on Form S-11, filed with the Securities and Exchange Commission on April 18, 2011 ("Pre-Effective Amendment No. 2").
3.2						Articles of Amendment to Articles of Amendment and Restatement of AG Mortgage Investment Trust, Inc., incorporated by reference to Exhibit 3.1 of the Company's Current Report on Form 8-K, filed with the Securities and Exchange Commission on May 8, 2017.
3.3						Amended and Restated Bylaws of AG Mortgage Investment Trust, Inc., incorporated by reference to Exhibit 3.3 of the Company's Quarterly Report on Form 10-Q, filed with the Securities and Exchange Commission on November 8, 2022.
3.4						Articles Supplementary of 8.25% Series A Cumulative Redeemable Preferred Stock, incorporated by reference to Exhibit 3.1 of the Company's Current Report on Form 8-K, filed with the Securities and Exchange Commission on August 2, 2012.
3.5						Articles Supplementary of 8.00% Series B Cumulative Redeemable Preferred Stock, incorporated by reference to Exhibit 3.1 of the Company's Current Report on Form 8-K, filed with the Securities and Exchange Commission on September 24, 2012.
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.
4.1						Specimen Common Stock Certificate of AG Mortgage Investment Trust, Inc., incorporated by reference to Exhibit 4.1 on Form 10-Q filed with the Securities and Exchange Commission on May 7, 2021.
4.2						Specimen 8.25% Series A Cumulative Redeemable Preferred Stock Certificate, incorporated by reference to Exhibit 4.1 of the Company's Current Report on Form 8-K, filed with the Securities and Exchange Commission on August 2, 2012.
4.3						Specimen 8.00% Series B Cumulative Redeemable Preferred Stock Certificate, incorporated by reference to Exhibit 4.1 of the Company's Current Report on Form 8-K, filed with the Securities and Exchange Commission on September 24, 2012.
4.4						Specimen 8.000% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock Certificate, incorporated by reference to Exhibit 3.9 of the Company's Registration Statement on Form 8-A12B, filed with the Securities and Exchange Commission on September 16, 2019.

4.5						Indenture, dated January 26, 2024, between AG Mortgage Investment Trust, Inc. and U.S. Bank Trust Company, National Association, as Trustee, incorporated by reference to Exhibit 4.2 of the Company's Registration Statement on Form 8-A12B, filed with the Securities and Exchange Commission on January 26, 2024.
4.6						First Supplemental Indenture, dated January 26, 2024, between AG Mortgage Investment Trust, Inc. and U.S. Bank Trust Company, National Association, as Trustee, incorporated by reference to Exhibit 4.3 to the Company's Registration Statement on Form 8-A12B, filed with the Securities and Exchange Commission on January 26, 2024.

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4.7						Second Supplemental Indenture, dated May 15, 2024, between AG Mortgage Investment Trust, Inc. and U.S. Bank Trust Company, National Association, as Trustee, incorporated by reference to Exhibit 4.4 to the Company's Registration Statement on Form 8-A12B, filed with the Securities and Exchange Commission on May 15, 2024.
4.8						Form of 9.500% Senior Notes Due 2029 of AG Mortgage Investment Trust, Inc. (attached as Exhibit A to the First Supplemental Indenture, incorporated by reference to Exhibit 4.3 to the Company's Registration Statement on Form 8-A12B, filed with the Securities and Exchange Commission on January 26, 2024).
4.9						Form of 9.500% Senior Notes Due 2029 of AG Mortgage Investment Trust, Inc. (attached as Exhibit A to the Second Supplemental Indenture, incorporated by reference to Exhibit 4.4 to the Company's Registration Statement on Form 8-A12B, filed with the Securities and Exchange Commission on May 15, 2024).
31.1*						Certification of Thomas J. Durkin pursuant to Rule 13a-14(a), as adopted pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.
31.2*						Certification of Anthony W. Rossiello pursuant to Rule 13a-14(a), as adopted pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.
32.1*						Certification of Thomas J. Durkin pursuant to Rule 13a-14(b) and 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.
32.2*						Certification of Anthony W. Rossiello pursuant to Rule 13a-14(b) and 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.
101.INS						XBRL Instance Document
101.SCH						XBRL Taxonomy Extension Schema Document
101.CAL						XBRL Taxonomy Extension Calculation Linkbase Document
101.DEF						XBRL Taxonomy Extension Definition Linkbase Document
101.LAB						XBRL Taxonomy Extension Label Linkbase Document
101.PRE						XBRL Taxonomy Extension Presentation Linkbase Document
104						Cover Page Interactive Data File (formatted as Inline XBRL)

			*			Filed herewith.

 

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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 6, 2024			By:			/s/ THOMAS J. DURKIN
			Thomas J. Durkin
			Chief Executive Officer and President (principal executive officer)
November 6, 2024			By:			/s/ ANTHONY W. ROSSIELLO
			Anthony W. Rossiello
			Chief Financial Officer (principal financial officer and principal accounting officer)

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