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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549 
__________________________________________________

FORM 10-Q
__________________________________________________ 
(Mark One)
QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
For the quarterly period ended March 31, 2024
OR
TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
For the transition period from                          to                         
Commission file number 001-35151
_____________________________________________________________________ 

AG MORTGAGE INVESTMENT TRUST, INC.
(Exact name of registrant as specified in its charter) 
_____________________________________________________________________ 
Maryland27-5254382
(State or Other Jurisdiction of
Incorporation or Organization)
(I.R.S. Employer
Identification No.)
245 Park Avenue, 26th Floor
New York, New York
10167
(Address of Principal Executive Offices)(Zip Code)
(212) 692-2000
(Registrant’s Telephone Number, Including Area Code)
Securities registered pursuant to Section 12(b) of the Act:
Title of each class:Trading Symbols:Name of each exchange on which registered:
Common Stock, $0.01 par value per shareMITT
New York Stock Exchange (NYSE)
8.25% Series A Cumulative Redeemable Preferred StockMITT PrA
New York Stock Exchange (NYSE)
8.00% Series B Cumulative Redeemable Preferred StockMITT PrB
New York Stock Exchange (NYSE)
8.000% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred StockMITT PrC
New York Stock Exchange (NYSE)
9.500% Senior Notes due 2029MITN
 New York Stock Exchange (NYSE)
Indicate by check mark whether the registrant: (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days.  Yes   ý    No   ¨
Indicate by check mark whether the registrant has submitted electronically every Interactive Data File required to be submitted pursuant to Rule 405 and Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit such files).   Yes   ý    No  ¨
Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, a smaller reporting company, or an emerging growth company. See the definitions of "large accelerated filer," "accelerated filer," "smaller reporting company" and "emerging growth company" in Rule 12b-2 of the Exchange Act.
Large Accelerated filer ¨     Accelerated filer ý Non-Accelerated filer ¨ Smaller reporting company   Emerging growth company 
If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act. ¨ 
Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act).   
Yes       No   ý
As of May 3, 2024, there were 29,473,725 outstanding shares of common stock of AG Mortgage Investment Trust, Inc.



AG MORTGAGE INVESTMENT TRUST, INC.
TABLE OF CONTENTS
 Page
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 




PART I
 
ITEM 1. FINANCIAL STATEMENTS
 
AG Mortgage Investment Trust, Inc. and Subsidiaries
Consolidated Balance Sheets (Unaudited)
(in thousands, except per share data)
March 31, 2024December 31, 2023
Assets
Securitized residential mortgage loans, at fair value - $663,327 and $645,876 pledged as collateral, respectively (1)
$5,645,004 $5,358,281 
Residential mortgage loans, at fair value - $196,752 and $315,225 pledged as collateral, respectively
204,351 317,631 
Commercial loans, at fair value - $66,474 and $66,303 pledged as collateral, respectively
66,474 66,303 
Real estate securities, at fair value - $223,949 and $155,115 pledged as collateral, respectively
271,868 162,821 
Investments in debt and equity of affiliates54,842 55,103 
Cash and cash equivalents100,287 111,534 
Restricted cash16,347 14,039 
Other assets 41,495 40,716 
Total Assets$6,400,668 $6,126,428 
Liabilities
Securitized debt, at fair value (1)$4,980,942 $4,711,623 
Financing arrangements734,001 767,592 
Convertible senior unsecured notes78,530 85,266 
Senior unsecured notes32,810  
Dividend payable5,301 1,472 
Other liabilities (2)29,519 32,107 
Total Liabilities5,861,103 5,598,060 
Commitments and Contingencies (Note 12)
Stockholders’ Equity
Preferred stock - $227,991 aggregate liquidation preference
220,472 220,472 
Common stock, par value $0.01 per share; 450,000 shares of common stock authorized and 29,453 and 29,437 shares issued and outstanding at March 31, 2024 and December 31, 2023, respectively
295 294 
Additional paid-in capital823,908 823,715 
Retained earnings/(deficit)(505,110)(516,113)
Total Stockholders’ Equity539,565 528,368 
Total Liabilities and Stockholders’ Equity$6,400,668 $6,126,428 
(1)These balances relate to certain residential mortgage loans which were securitized resulting in the Company consolidating the variable interest entities that were created to facilitate these securitizations as the Company was determined to be the primary beneficiary. See Note 3 for additional details.
(2)Refer to Note 7 and Note 10 for additional details on amounts payable to affiliates.

The accompanying notes are an integral part of these unaudited consolidated financial statements.
3



AG Mortgage Investment Trust, Inc. and Subsidiaries
Consolidated Statements of Operations (Unaudited)
(in thousands, except per share data)
Three Months Ended
March 31, 2024March 31, 2023
Net Interest Income
Interest income$95,572 $57,803 
Interest expense78,393 46,188 
Total Net Interest Income17,179 11,615 
Other Income/(Loss)
Net interest component of interest rate swaps1,900 1,020 
Net realized gain/(loss)(1,103)100 
Net unrealized gain/(loss)10,014 8,717 
Total Other Income/(Loss)10,811 9,837 
Expenses
Management fee to affiliate (1)1,741 2,075 
Non-investment related expenses (1)3,114 2,820 
Investment related expenses (1)3,283 2,326 
Transaction related expenses (1)999 1,707 
Total Expenses9,137 8,928 
Income/(loss) before equity in earnings/(loss) from affiliates18,853 12,524 
Equity in earnings/(loss) from affiliates2,037 16 
Net Income/(Loss)20,890 12,540 
Dividends on preferred stock(4,586)(4,586)
Net Income/(Loss) Available to Common Stockholders$16,304 $7,954 
Earnings/(Loss) Per Share of Common Stock
Basic$0.55 $0.38 
Diluted$0.55 $0.38 
Weighted Average Number of Shares of Common Stock Outstanding
Basic29,453 21,066 
Diluted29,479 21,066 
            
(1)Refer to Note 10 for additional details on related party transactions.

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

4



AG Mortgage Investment Trust, Inc. and Subsidiaries
Consolidated Statements of Stockholders’ Equity (Unaudited)
(in thousands)

For the Three Months Ended March 31, 2024 and March 31, 2023
Common StockPreferred 
Stock
Additional
Paid-in Capital
Retained
Earnings/(Deficit)
SharesAmountTotal
Balance at January 1, 202429,437 $294 $220,472 $823,715 $(516,113)$528,368 
Grant of restricted stock and amortization of equity based compensation16 1 — 193 — 194 
Common dividends declared— — — — (5,301)(5,301)
Preferred dividends declared— — — — (4,586)(4,586)
Net Income/(Loss)— — — — 20,890 20,890 
Balance at March 31, 202429,453 $295 $220,472 $823,908 $(505,110)$539,565 
Common StockPreferred 
Stock
Additional
Paid-in Capital
Retained
Earnings/(Deficit)
SharesAmountTotal
Balance at January 1, 202321,284 $212 $220,472 $778,606 $(536,490)$462,800 
Repurchase of common stock(923)(9)— (5,235)— (5,244)
Grant of restricted stock16 1 — 86 — 87 
Common dividends declared— — — — (3,684)(3,684)
Preferred dividends declared— — — — (4,586)(4,586)
Net Income/(Loss)— — — — 12,540 12,540 
Balance at March 31, 202320,377 $204 $220,472 $773,457 $(532,220)$461,913 

The accompanying notes are an integral part of these unaudited consolidated financial statements.
5



AG Mortgage Investment Trust, Inc. and Subsidiaries
Consolidated Statements of Cash Flows (Unaudited)
(in thousands)
Three Months Ended
March 31, 2024March 31, 2023
Cash Flows from Operating Activities
Net income/(loss)$20,890 $12,540 
Adjustments to reconcile net income/(loss) to net cash provided by (used in) operating activities:
Net amortization of premium/(discount)2,428 1,492 
Net realized (gain)/loss1,103 (100)
Net unrealized (gain)/loss(10,014)(8,717)
Grant of restricted stock and amortization of equity based compensation194 87 
Equity in (earnings)/loss from affiliates(2,037)(16)
Distributions of income from investments in debt and equity of affiliates887 158 
Change in operating assets/liabilities:
Other assets3,056 977 
Other liabilities(4,535)108 
Net cash provided by (used in) operating activities11,972 6,529 
Cash Flows from Investing Activities
Purchases of residential mortgage loans(288,145)(22,834)
Purchases of real estate securities(127,991)(276,265)
Investments in debt and equity of affiliates (700)
Proceeds from sales of residential mortgage loans 66,551 
Proceeds from sales of real estate securities19,318  
Principal repayments on residential mortgage loans140,625 73,956 
Principal repayments on real estate securities869 712 
Distributions received in excess of income from investments in debt and equity of affiliates1,611 1,983 
Net settlement of interest rate swaps and other instruments4,390 (1,175)
Net settlement of TBAs10 179 
Cash flows provided by other investing activities1,082 371 
Net cash provided by (used in) investing activities(248,231)(157,222)
Cash Flows from Financing Activities
Repurchase of common stock (5,244)
Net borrowings under (repayments of) financing arrangements(30,295)8,271 
Principal repayments on fixed-rate long-term financing arrangements(2,895) 
Proceeds from issuance of senior unsecured notes32,763  
Repurchases of convertible senior unsecured notes(7,059) 
Deferred financing costs paid(142)(9)
Proceeds from issuance of securitized debt 365,602 235,709 
Principal repayments on securitized debt (124,596)(66,957)
Net collateral received from (paid to) derivative counterparty (9,026)
Dividends paid on common stock(1,472)(3,846)
Dividends paid on preferred stock(4,586)(4,586)
Net cash provided by (used in) financing activities227,320 154,312 
6



Three Months Ended
March 31, 2024March 31, 2023
Net change in cash and cash equivalents and restricted cash(8,939)3,619 
Cash and cash equivalents and restricted cash, Beginning of Period125,573 98,803 
Cash and cash equivalents and restricted cash, End of Period$116,634 $102,422 
Supplemental disclosure of cash flow information:
Cash paid for interest on financing arrangements and securitized debt$72,178 $42,932 
Cash paid for income taxes$121 $ 
Supplemental disclosure of non-cash financing and investing activities:
Common stock dividends declared but not paid$5,301 $3,684 
Transfer from residential mortgage loans to other assets$255 $915 

The following table provides a reconciliation of cash and cash equivalents and restricted cash reported within the consolidated balance sheets that sum to the total of the same such amounts shown in the consolidated statements of cash flows:
March 31, 2024March 31, 2023
Cash and cash equivalents$100,287 $87,876 
Restricted cash16,347 14,546 
Total cash, cash equivalents and restricted cash shown in the consolidated statements of cash flows$116,634 $102,422 
 
The accompanying notes are an integral part of these unaudited consolidated financial statements.

7



AG Mortgage Investment Trust Inc. and Subsidiaries
Notes to Consolidated Financial Statements (Unaudited)
March 31, 2024  

1. Organization

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

On December 6, 2023, the Company acquired Western Asset Mortgage Capital Corporation ("WMC"), an externally managed mortgage REIT that focused on investing in, financing and managing a portfolio of residential mortgage loans, real estate related securities, and commercial real estate loans. For more information, refer to the "WMC Acquisition" section below.

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

The Company's asset classes are primarily comprised of the following:
Asset ClassDescription
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, the Company includes these loans within its Non-Agency securitizations.
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.
Legacy WMC Commercial Investments(3)
Commercial Loans
Commercial loans represent first lien commercial mortgage loans participations.
CMBS(2)
Commercial Mortgage-Backed Securities ("CMBS") represent investments of fixed-rate and floating-rate CMBS, secured by, or evidencing an ownership interest in, a single commercial mortgage loan or a pool of commercial mortgage loans.
(1)These investments are included in the "Securitized residential mortgage loans, at fair value" and "Residential mortgage loans, at fair value" line items on the consolidated balance sheets.
(2)These investments are included in the "Real estate securities, at fair value" line item on the consolidated balance sheets.
(3)The Company's investments include commercial loans, CMBS and other securities (collectively, the "Legacy WMC Commercial Investments") that were acquired in the WMC acquisition. The Company expects to either hold the Legacy WMC Commercial Investments until maturity or opportunistically exit these investments.
8


AG Mortgage Investment Trust Inc. and Subsidiaries
Notes to Consolidated Financial Statements (Unaudited)
March 31, 2024

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

The Company was incorporated in the state of Maryland on March 1, 2011 and commenced operations in July 2011. The Company conducts its operations to qualify and be taxed as a real estate investment trust ("REIT") under the Internal Revenue Code of 1986, as amended (the "Code"). The Company is externally managed by AG REIT Management, LLC, a Delaware limited liability company (the "Manager"), a wholly-owned subsidiary of Angelo, Gordon & Co., L.P. ("TPG Angelo Gordon"), a diversified credit and real estate investing platform within TPG Inc. ("TPG"). The Manager has delegated to TPG Angelo Gordon the overall responsibility of its day-to-day duties and obligations arising under the management agreement.

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

WMC Acquisition

On December 6, 2023 (the "Closing Date"), the Company completed its acquisition of WMC, a Delaware corporation. WMC was an externally managed mortgage REIT that focused on investing in, financing and managing a portfolio of residential mortgage loans, real estate related securities, and commercial real estate loans. On the Closing Date, WMC merged with and into AGMIT Merger Sub, LLC, a Delaware limited liability company and wholly owned subsidiary of the Company ("Merger Sub"), with Merger Sub continuing as the surviving company (the "Merger"). As contemplated by the Agreement and Plan of Merger, dated as of August 8, 2023 (the "Merger Agreement"), the certificate of merger was filed with the Secretary of State of the State of Delaware, and the Merger was effective at 8:15 a.m., Eastern Time, on the Closing Date (the "Effective Time").

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

Pursuant to the Merger Agreement, the amount of the Per Share Additional Manager Consideration was reduced by the smallest amount (rounded to the nearest cent) necessary to cause the Per Share Additional Manager Consideration to be less than 10% of the total value of the Per Share Merger Consideration received by a holder of WMC Common Stock under the Merger Agreement. Pursuant to the previously disclosed amendment to the Company's management agreement, dated as of August 8, 2023, by and between MITT and the Manager (the "MITT Management Agreement Amendment"), which became effective on the Closing Date and amends the existing management agreement, dated as of June 29, 2011 (as amended, the "Existing MITT Management Agreement"), (i) the Manager will waive its right to seek reimbursement from MITT for any expenses otherwise reimbursable by MITT under the Existing MITT Management Agreement in an amount equal to approximately $1.3 million, which is the excess of $7.0 million over the aggregate Per Share Additional Manager Consideration paid by the Manager to the holders of WMC Common Stock under the Merger Agreement, and (ii) the Manager’s base management fee will be reduced by $0.6 million for the first four quarters following the Effective Time, beginning with the fiscal quarter in which the Effective Time occurred (i.e., resulting in an aggregate $2.4 million waiver of base management fees).

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

9


AG Mortgage Investment Trust Inc. and Subsidiaries
Notes to Consolidated Financial Statements (Unaudited)
March 31, 2024
Pursuant to the Merger Agreement, approximately 9.2 million shares of MITT common stock were issued to former WMC common stockholders and, following the consummation of the Merger, former WMC common stockholders owned approximately 31% of the common equity of MITT.

Purchase Price Allocation

The Company completed the WMC acquisition on December 6, 2023 to support continued growth of the Company and to create efficiency and scale for stockholders. The Company accounted for this transaction in accordance with Accounting Standards Codification ("ASC") 805, "Business Combinations" using the acquisition method of accounting, which requires, among other things, that the assets acquired and liabilities assumed be recognized at fair value as of the acquisition date. The following table summarizes the allocation of the total consideration paid to acquire the assets and assume the liabilities of WMC (in thousands, except exchange ratio and per share amounts).

Consideration
WMC shares outstanding at December 5, 2023 (1)6,143 
Exchange Ratio1.498 
Shares of MITT Common Stock Issued9,202 
MITT Common Stock Price as of December 5, 2023$5.56 
MITT Total Consideration (2)$51,163 
Assets
Securitized residential mortgage loans (3)$971,781 
Residential mortgage loans (3)6,046 
Commercial loans78,459 
Non-Agency RMBS48,200 
CMBS56,301 
Other securities1,159 
Agency RMBS745 
Cash and cash equivalents5,316 
Restricted cash873 
Other assets24,654 
Total Assets$1,193,534 
Liabilities
Securitized debt$837,317 
Financing arrangements171,170 
Convertible senior unsecured notes85,172 
Other liabilities18,522 
Total Liabilities$1,112,181 
Net Assets Acquired$81,353 
Bargain purchase gain$30,190 
(1)For time-based restricted stock units granted by WMC that fully vested as of the Closing Date, the fair value of the Company’s common stock issued in the satisfaction of these units was included in equity consideration transferred as no post acquisition service was required.
(2)MITT Total Consideration does not include the Per Share Additional Manager Consideration paid by the Manager to former holders of WMC Common Stock.
(3)The unpaid principal balance of residential mortgage loans acquired in connection with the Merger was $1.1 billion.

The fair value of the assets acquired and liabilities assumed required the use of significant assumptions and estimates. Critical estimates included, but were not limited to, future expected cash flows related to these assets and liabilities and the applicable discount rates. These estimates were based on assumptions that management believes to be reasonable; however, actual results may differ from these estimates. The assessment of fair value is based on information that was available to management at the
10


AG Mortgage Investment Trust Inc. and Subsidiaries
Notes to Consolidated Financial Statements (Unaudited)
March 31, 2024
time the consolidated financial statements were prepared. Those estimates and assumptions are subject to change as management obtains additional information related to those estimates during the applicable measurement period. The final determination must occur within one year of the acquisition date.

Under the acquisition method of accounting, merger-related transaction costs (such as advisory, legal, valuation, and other professional fees) are not included as components of consideration transferred but are expensed in the periods in which the costs are incurred. The Company incurred transaction costs of $6.0 million during the third and fourth quarters of 2023, which were included in the "Transaction related expenses" line item in the consolidated statements of operations.

At acquisition, the Company recognized a bargain purchase gain of $30.2 million which was separately recorded in the consolidated statements of operations. The bargain purchase gain represents the amount by which the fair value of the net assets acquired in the acquisition exceeds the fair value of the shares of MITT common stock issued as consideration at the Effective Time. As a result of macroeconomic factors and interest rate volatility, the prices per share of common stock of certain companies within the mortgage REIT industry have traded at discounts to book values per share in recent periods, which contributed to the bargain purchase gain recorded on the WMC acquisition.

Unaudited Supplemental Pro Forma Financial Information

The following table presents unaudited pro forma combined interest income and net income/(loss) available to common stockholders for the three months ended March 31, 2023 prepared as if the Merger had been consummated on January 1, 2023 (in thousands).
Three months ended March 31, 2023
Interest income$77,235 
Net Income/(Loss) Available to Common Stockholders15,104 

The unaudited supplemental pro forma financial information includes adjustments to reflect the deconsolidation of certain VIEs held by WMC, as well as adjustments to management fees and certain other expenses. The unaudited supplemental pro forma financial information does not include any anticipated expense synergies or other anticipated benefits of the Merger and, accordingly, the unaudited supplemental pro forma financial information is not necessarily indicative of either future results of operations or results that might have been achieved had the Merger occurred on January 1, 2023.

2. Summary of significant accounting policies
 
Consolidation and basis of presentation

The accompanying unaudited consolidated financial statements and related notes have been prepared on the accrual basis of accounting in accordance with accounting principles generally accepted in the United States of America ("GAAP") for interim financial reporting and the instructions to Form 10-Q and Rule 10-01 of Regulation S-X. The operating results presented for interim periods are not necessarily indicative of the results that may be expected for any other interim period or for the entire year. In the opinion of management, all adjustments considered necessary for a fair statement of the Company’s financial position, results of operations, and cash flows have been included for the interim period and are of a normal and recurring nature. The operating results presented for interim periods are not necessarily indicative of the results that may be expected for any other interim period or for the entire year.

Significant accounting policies

There have been no significant changes to the Company's accounting policies included in Note 2 to the consolidated financial statements of the Company’s Form 10-K for the year ended December 31, 2023. These unaudited consolidated financial statements and related notes should be read in conjunction with the consolidated financial statements and related notes for the year ended December 31, 2023 included in the Company’s Form 10-K.

Use of estimates
 
The preparation of consolidated financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the amounts reported in the consolidated financial statements and accompanying notes. Actual results may differ from those estimates.
11


AG Mortgage Investment Trust Inc. and Subsidiaries
Notes to Consolidated Financial Statements (Unaudited)
March 31, 2024

Investment consolidation
 
An entity is a variable interest entity ("VIE") if the equity investors (i) do not have sufficient equity at risk for the entity to finance its activities without additional subordinated financial support, (ii) are unable to direct the entity’s activities or (iii) are not exposed to the entity’s losses or entitled to its residual returns. VIEs within the scope of Accounting Standards Codification ("ASC") 810-10, "Consolidation" are required to be consolidated by their primary beneficiary. The primary beneficiary of a VIE is determined to be the party that has both the power to direct the activities of a VIE that most significantly impact the VIE’s economic performance and the obligation to absorb losses or the right to receive benefits from the VIE that could potentially be significant to the VIE. This determination can sometimes involve complex and subjective analyses. Further, ASC 810-10 also requires ongoing assessments of whether an enterprise is the primary beneficiary of a VIE. In accordance with ASC 810-10, all transferees, including variable interest entities, must be evaluated for consolidation. If the Company determines that consolidation is not required, it will then assess whether the transfer of the underlying assets would qualify as a sale, should be accounted for as secured financings under GAAP, or should be accounted for as an equity method investment, depending on the circumstances.
 
A Special Purpose Entity ("SPE") is an entity designed to fulfill a specific limited need of the company that organized it. SPEs are often used to facilitate transactions that involve securitizing financial assets or resecuritizing previously securitized financial assets. The objective of such transactions may include obtaining non-recourse financing, obtaining liquidity or refinancing the underlying securitized financial assets on improved terms. Securitization involves transferring assets to an SPE to convert all or a portion of those assets into cash before they would have been realized in the normal course of business through the SPE’s issuance of debt or equity instruments. Investors in an SPE usually have recourse only to the assets in the SPE and depending on the overall structure of the transaction, may benefit from various forms of credit enhancement, such as over-collateralization in the form of excess assets in the SPE, priority with respect to receipt of cash flows relative to holders of other debt or equity instruments issued by the SPE, or a line of credit or other form of liquidity agreement that is designed with the objective of ensuring that investors receive principal and/or interest cash flow on the investment in accordance with the terms of their investment agreement.

The Company enters into securitization transactions collateralized by its Non-Agency Loans/Agency-Eligible Loans and re- and non-performing loans (the trusts in which these loans are deposited are referred to as "Non-Agency VIEs" and "RPL/NPL VIEs", respectively), which may result in the Company consolidating the respective VIEs that are created to facilitate these securitizations. Based on the evaluations of each VIE, the Company may conclude that the VIEs should be consolidated and, as a result, transferred assets of these VIEs would be determined to be secured borrowings. Upon consolidation, the Company elected the fair value option pursuant to ASC 825 for the assets and liabilities of the Non-Agency VIEs and RPL/NPL VIEs. Electing the fair value option allows the Company to record changes in fair value in the consolidated statement of operations, which, in management's view, more appropriately reflects the results of operations for a particular reporting period as all activities will be recorded in a similar manner. The Company applied the guidance under ASC 810-10 (Measuring the Financial Assets and the Financial Liabilities of a Consolidated Collateralized Financing Entity) whereby the Company determines whether the fair value of the assets or liabilities of the Non-Agency VIEs and RPL/NPL VIEs are more observable as a basis for measuring the less observable financial instruments. The Company has determined that the fair value of the liabilities of the Non-Agency VIEs and RPL/NPL VIEs are more observable since the prices for these liabilities are more easily determined as similar instruments trade more frequently on a relative basis than the individual assets of the VIEs. See Note 3 for more detail regarding the Non-Agency VIEs and RPL/NPL VIEs and Note 5 for more detail related to the Company's determination of fair value for the assets and liabilities included within these VIEs.

Debt issuance costs

Debt issuance costs are costs incurred by the Company in connection with the issuance of Senior Unsecured Notes or other financing where the fair value option has not been elected. These costs may include underwriting commissions, rating agency, legal, accounting, and other fees. Debt issuance costs are included on the Company’s consolidated balance sheets as a direct reduction from the related financing liability. These costs are deferred and amortized over the life of the related financing as an adjustment to interest expense using the effective interest method.

12


AG Mortgage Investment Trust Inc. and Subsidiaries
Notes to Consolidated Financial Statements (Unaudited)
March 31, 2024
Recent accounting pronouncements

Debt with conversion and other options

In August 2020, FASB issued ASU 2020-06, "Debt-Debt with Conversion and Other Options (Subtopic 470-20) and Derivatives and Hedging- Contracts in Entity's Own Equity (Subtopic 815-40)." The amendments in this update affect entities that issue convertible instruments and/or contracts in an entity's own equity. For convertible instruments, the instruments primarily affected are those issued with beneficial conversion features or cash conversion features because the accounting models for those specific features are removed. This ASU is effective for the year ended December 31, 2024. The Company's adoption of ASU 2020-06 during the three months ended March 31, 2024 did not have a material impact on the consolidated financial statements.

Segment Reporting

In November 2023, the FASB issued ASU 2023-07, "Segment Reporting (Topic 280): Improvements to Reportable Segment Disclosures." ASU 2023-07 intends to improve reportable segment disclosure requirements, primarily through enhanced disclosures related to significant segment expenses. In addition, this standard is expected to enhance interim disclosure requirements, clarify circumstances in which an entity can disclose multiple segment measures of profit or loss and provides new segment disclosure requirements for entities with a single reportable segment. ASU 2023-07 is effective on a retrospective basis for annual periods beginning after December 15, 2023, for interim periods within fiscal years beginning after December 15, 2024, and early adoption is permitted. The Company does not expect the adoption of the new standard to have a material effect on its consolidated financial statements.

13


AG Mortgage Investment Trust Inc. and Subsidiaries
Notes to Consolidated Financial Statements (Unaudited)
March 31, 2024
3. Loans
 
Residential mortgage loans

The tables below detail information regarding the Company’s residential mortgage loan portfolio as of March 31, 2024 and December 31, 2023 ($ in thousands). The gross unrealized gains/(losses) in the table below represent inception to date gains/(losses).
 Unpaid Principal Balance  Gross Unrealized Weighted Average
March 31, 2024
Premium
(Discount)
Amortized CostGainsLossesFair ValueCouponYieldLife 
(Years) (1)
Securitized residential mortgage loans, at fair value (2)
Non-Agency Loans (3)$5,854,878 $(25,250)$5,829,628 $33,960 $(396,033)$5,467,555 5.33 %5.64 %9.63
Re- and Non-Performing Loans212,525 (16,622)195,903  (18,454)177,449 3.97 %6.27 %5.78
Total Securitized residential mortgage loans, at fair value$6,067,403 $(41,872)$6,025,531 $33,960 $(414,487)$5,645,004 5.28 %5.66 %9.49
Residential mortgage loans, at fair value
Non-Agency Loans$97,544 $1,112 $98,656 $1,131 $(643)$99,144 8.16 %7.15 %3.09
Agency-Eligible Loans99,930 2,397 102,327 658 (30)102,955 7.72 %6.98 %3.67
Re- and Non-Performing Loans2,439 (1,519)920 1,332  2,252 N/A116.45 %1.62
Total Residential mortgage loans, at fair value$199,913 $1,990 $201,903 $3,121 $(673)$204,351 7.94 %8.27 %3.36
Total as of March 31, 2024
$6,267,316 $(39,882)$6,227,434 $37,081 $(415,160)$5,849,355 5.36 %5.75 %9.30
Unpaid Principal BalanceGross UnrealizedWeighted Average
December 31, 2023
Premium
(Discount)
Amortized CostGainsLossesFair ValueCouponYieldLife 
(Years) (1)
Securitized residential mortgage loans, at fair value (2)
Non-Agency Loans (3)