AG Mortgage Investment Trust, Inc. Q3 2024 Earnings Presentation 1 September 30, 2024 Forward Looking Statements & Non-GAAP Financial Information Forward Looking Statements: This presentation includes "forward-looking statements" within the meaning of the safe harbor provisions of the United States Private Securities Litigation Reform Act of 1995 related to dividends, book value, adjusted book value, our investments, our business and investment strategy, investment returns, return on equity, liquidity, fina ...

Group 1 - AG Mortgage Investment Trust, Inc. (NYSE: MITT) is an actively managed mortgage real estate investment trust (mREIT) that has been previously traded [1] - The company offers a strategy for investors to achieve outsized returns through a blended trading and investing approach [1] Group 2 - The company is currently promoting a significant sale on its services, allowing new members to save 75% compared to the regular price of $1,668 [2] - A money-back guarantee is offered to ensure customer satisfaction [2]

Company Performance - AG Mortgage Investment Trust (MITT) reported quarterly earnings of $0.17 per share, missing the Zacks Consensus Estimate of $0.20 per share, but showing an increase from $0.10 per share a year ago, representing an earnings surprise of -15% [1] - The company posted revenues of $14.95 million for the quarter ended September 2024, missing the Zacks Consensus Estimate by 6.56%, compared to year-ago revenues of $11.52 million [2] - Over the last four quarters, AG Mortgage Investment Trust has not surpassed consensus EPS or revenue estimates [2] Stock Performance and Outlook - AG Mortgage Investment Trust shares have increased approximately 12.3% since the beginning of the year, while the S&P 500 has gained 19.8% [3] - The company's earnings outlook is crucial for investors, as it includes current consensus earnings expectations for upcoming quarters and any recent changes to these expectations [4] - The current consensus EPS estimate for the coming quarter is $0.21 on $17 million in revenues, and $0.84 on $66 million in revenues for the current fiscal year [7] Industry Context - The REIT and Equity Trust industry, to which AG Mortgage Investment Trust belongs, is currently ranked in the top 33% of over 250 Zacks industries, indicating a favorable outlook [8] - Empirical research suggests a strong correlation between near-term stock movements and trends in earnings estimate revisions, which can be tracked by investors [5] - The estimate revisions trend for AG Mortgage Investment Trust is currently favorable, resulting in a Zacks Rank 2 (Buy) for the stock, suggesting it is expected to outperform the market in the near future [6]

Financial Performance - Q3 2024 net interest income was $15.8 million, driven by unrealized gains on residential mortgage loans and non-agency RMBS[4] - Economic return on equity (ROE) for Q3 2024 was 3.9%, a decrease of 1.4% from the previous quarter[3] - Earnings available for distribution (EAD) for the three months ended September 30, 2024, amounted to $4,876,000, translating to $0.17 per diluted share[22] - Net income available to common stockholders for the three months ended September 30, 2024, was $11,924,000, or $0.40 per diluted share[22] - The company reported a Net Income of $11,924 thousand for the three months ended September 30, 2024, compared to a Net Loss of $6,751 thousand for the same period in 2023[37] Asset Management - Book value per share increased to $10.58 in Q3 2024, reflecting strong asset appreciation in the investment portfolio[3] - Total investment portfolio valued at $6,972.9 million with a yield of 5.9% as of September 30, 2024[18] - The company’s stockholders' equity was $450,422 thousand as of September 30, 2023, increasing to $528,368 thousand by December 31, 2023[31] - Securitized residential mortgage loans at fair value increased to $6,226,698 thousand as of September 30, 2024, from $5,358,281 thousand on December 31, 2023[33] Loan and Securitization Activity - The company purchased $136.2 million in home equity loans during Q3 2024, contributing to a current pipeline of approximately $200 million[5] - Securitized loans in Q3 2024 totaled $751.5 million, with $390.8 million from agency-eligible loans[5] - The non-agency loan portfolio has a total securitized UPB of $6.2 billion, with a current loan-to-value (LTV) ratio of 59%[9] - Home equity loans represented a year-over-year growth of 138%, with a weighted average coupon of 10.7%[12] - The weighted average yield on securitized non-agency loans was 5.6%, with a financing cost of 5.2%[18] - The agency-eligible loans had a yield of 6.8% with a financing cost of 6.6%[18] Financial Ratios and Leverage - Economic leverage stood at 3.0x as of September 30, 2024, with $6.4 billion in financing[19] - Securitized debt constituted 86.1% of the financing profile, with a cost of funds averaging 5.1%[20] - As of September 30, 2023, MITT's GAAP Leverage Ratio was 9.7x, increasing to 10.5x by December 31, 2023, and projected to reach 12.0x by June 30, 2024[31] - Economic Leverage increased from $560,061 thousand on September 30, 2023, to a projected $1,353,660 thousand by June 30, 2024[31] Cash and Expenses - Cash and cash equivalents totaled $102.5 million, yielding 4.8%[18] - The company’s cash and cash equivalents were $102,532 thousand as of September 30, 2024, down from $111,534 thousand on December 31, 2023[33] - Total Expenses decreased from $14,452 thousand in the three months ended September 30, 2023, to $8,553 thousand in the same period of 2024[37] - Dividends on preferred stock for the three months ended September 30, 2024, were $4,716 thousand, compared to $4,586 thousand for the same period in 2023[37] Investment Yield - The weighted average unlevered yield of legacy commercial real estate loans is 9.6%, representing 1.8% of the investment portfolio[14] - The company retained approximately 5% to 10% of securitizations, borrowing against retained bonds to manage risk[7] - The company reported a net unrealized gain of $19,700,000 for the period, offset by a net realized loss of $10,788,000[21]

Financial Performance - Net Income/(Loss) Available to Common Stockholders per diluted common share is $(0.02) and Earnings Available for Distribution (EAD) per diluted common share is $0.21[199]. - The company declared a dividend of $0.19 per common share, representing a 5.6% increase over the prior quarter[199]. - Net income available to common stockholders for Q2 2024 was $(661,000), a decrease of 119.0% from $3,470,000 in Q2 2023[237]. - Net income available to common stockholders for the six months ended June 30, 2024, was $15,643,000, compared to $11,424,000 in the previous year, reflecting a 37.0% increase[261]. - The net unrealized gain for the six months ended June 30, 2024, was $788,000, compared to $8,511,000 in the prior year, indicating a decrease of 90.7%[270]. Investment Activity - Total investment activity includes purchases of $869.773 million and sales of $19.858 million during the quarter[200]. - The acquisition of Western Asset Mortgage Capital Corporation increased the investment portfolio by $1.2 billion, primarily consisting of Securitized Non-Agency Loans[207]. - The weighted average yield on the GAAP investment portfolio increased to 5.87% in Q2 2024 from 5.02% in Q2 2023, reflecting a rise of 0.85%[239]. - The weighted average yield on the GAAP investment portfolio improved to 5.89% for the six months ended June 30, 2024, up from 4.97% in the previous year, an increase of 0.92%[263]. - Total Investment Portfolio as of June 30, 2024, is $7,264,038, with a fair value of $6,872,177 and a yield of 6.09%[289]. Financing and Leverage - The company maintains a 12.2x GAAP Leverage Ratio and a 2.5x Economic Leverage Ratio[199]. - GAAP leverage as of June 30, 2024, was reported at 12.2x, with stockholders' equity at $533.5 million[320]. - Economic leverage was calculated at 2.5x as of June 30, 2024, indicating a total of $1.35 billion in economic leverage[320]. - The leverage ratio for the total investment portfolio is 2.3x[289]. - The company assumed liabilities of $1.1 billion through the acquisition of WMC, primarily consisting of securitized debt and financing arrangements[313]. Interest Income and Expenses - Net interest income for the three months ended June 30, 2024, was $16,381,000, an increase of 44.2% from $11,359,000 in the same period of 2023[237]. - Interest income rose to $99,815,000 in Q2 2024, up 64.2% from $60,788,000 in Q2 2023, primarily due to an increased investment portfolio from the WMC acquisition[238]. - Interest expense increased to $83,434,000 in Q2 2024, up 68.8% from $49,429,000 in Q2 2023, driven by higher financing costs associated with the WMC acquisition[240]. - Interest expense increased to $161,827,000 for the six months ended June 30, 2024, from $95,617,000 in the same period last year, a rise of 68.9%[264]. - The net interest component of interest rate swaps increased to $2,367,000 in Q2 2024, up 33.0% from $1,784,000 in Q2 2023[242]. Market Conditions - The S&P CoreLogic Case-Shiller U.S. National Home Price Index increased by 4% year-to-date and 6% year-over-year as of May 2024[225]. - Total existing home listings rose to 1.28 million in May 2024, the highest level since July 2022, but still below pre-pandemic levels[227]. - The effective mortgage rate outstanding held steady at 3.8% as of March 2024, reflecting low housing turnover and limited mortgage originations[226]. - RMBS spreads tightened by 10 to 20 basis points during Q2 2024, reflecting strong investor appetite for U.S. housing and mortgage credit[223]. - The 10-year U.S. treasury yield increased by approximately 48 basis points during April 2024 to 4.69%[221]. Risk Management - The company is subject to interest rate risk, which is influenced by various economic factors, and seeks to manage this risk through monitoring and hedging strategies[363]. - The majority of financing arrangements are short-term, with initial terms typically between 30 and 90 days, leading to increased borrowing costs during rising interest rates[364]. - A 75 basis point increase in interest rates could result in a 5.7% decrease in fair value as a percentage of GAAP equity[374]. - The company faces primary liquidity risk from financing long-maturity assets with shorter-term financing arrangements[376]. - A decrease in the fair value of mortgage loans or real estate securities pledged as collateral may lead to margin calls, adversely affecting liquidity[377]. Shareholder Activities - Approximately 9.2 million shares of common stock were issued to former WMC common stockholders, who now own approximately 31% of the common equity of the combined company[216]. - The company has approximately $1.5 million remaining authorized for future share repurchases under the 2022 Repurchase Program as of the date of the filing[331]. - The 2023 Repurchase Program has a full authorized amount of $15.0 million available for repurchase as of the date of the filing[332]. - The company has issued approximately 2.2 million shares of common stock under the Equity Distribution Agreements for gross proceeds of $48.3 million since inception[335]. - The management agreement amendment resulted in a waiver of $2.4 million in base management fees for the first four quarters following the merger, with $0.6 million remaining outstanding as of June 30, 2024[338].

Financial Data and Key Metrics Changes - Adjusted book value decreased from $10.58 to $10.37, resulting in a break-even economic return on equity for the quarter [5][10] - Net interest income for the quarter was $17.4 million, with a GAAP net loss available to common shareholders of approximately $700,000 or $0.02 per share [6][10] - Earnings available for distribution (EAD) per share was $0.21, covering the newly set dividend of $0.19 per share by $0.02 [6][10] Business Line Data and Key Metrics Changes - The investment portfolio increased by approximately 11% to $6.9 billion, with acquisitions of $423 million in residential mortgage loans and $428 million in agency RMBS [11] - The delinquency rate of the loan portfolio remained low at approximately 1%, with a modest improvement quarter-over-quarter [8] Market Data and Key Metrics Changes - The company ended the quarter with total liquidity of approximately $180 million, consisting of $120 million in cash and $59 million in unencumbered agency RMBS [12] - Economic leverage ratio at quarter end was 2.5 turns, with expectations to return to historical levels post-maturity of convertible notes [12] Company Strategy and Development Direction - The company is focused on efficiently addressing the impending maturity of $86 million convertible notes due on September 15, 2024, by issuing $65 million of investment-grade senior unsecured notes [6][10] - The merger with WMC has resulted in the company being included in the Russell 2000, which is expected to broaden the investor base and improve liquidity [7] Management's Comments on Operating Environment and Future Outlook - Management noted elevated levels of interest rate volatility and a resilient residential mortgage borrower environment, with expectations to remain active in securitization markets [8][9] - The company anticipates a return to more normalized leverage levels after addressing the convertible note maturity [31] Other Important Information - The company executed two securitizations during the quarter, including a private label securitization backed by Fannie and Freddie eligible investor loans [8] - Arc Home's sale of its MSR portfolio is expected to generate liquidity for growth in its core business and capitalize on new opportunities in residential mortgage origination [9] Q&A Session Summary Question: Timeframe for rotating out of agency MBS into core assets - Management indicated that the rotation of excess liquidity will likely take two to three quarters post-convertible note maturity in September [13] Question: Book value risk related to agency investments - Management stated that the strategy involves running a consistent duration perspective with less leverage, which should mitigate risks compared to fully leveraged agency rates [14] Question: Update on EAD trends with upcoming liquidity - Management acknowledged that the current quarter is interim, aiming to avoid cash drag while creating ROE, with expectations for a more normalized portfolio [16] Question: Securitization activity and loan market opportunities - Management highlighted that the non-QM space continues to present the lowest cost of capital opportunities, with plans to remain active in the agency eligible positions [20][21] Question: Volume projections for Arc Home - Management expects growth to continue, with a highly seasonal origination environment, aligning with MBA forecasts [27] Question: Leverage targets for agency RMBS portfolio - Management anticipates returning to a lower leverage target after addressing the convertible note maturity, with current leverage being a temporary measure [30][31] Question: Prepayment speeds and their impact on earnings - Management noted that the majority of the loan block is well protected from prepayment risks, with a focus on maintaining efficiency in the market [32]

Financial Performance - Earnings Available for Distribution (EAD) was $0.21 per diluted common share during Q2 2024, covering the declared dividend of $0.19 per share, which is a 5.6% increase from the previous quarter[2] - The net income for the second quarter of 2024 was $3,925,000, down from $8,056,000 in the same quarter of 2023, indicating a decline of 51.3%[24] - The company reported a net loss available to common stockholders of $661,000 for the second quarter of 2024, compared to a profit of $3,470,000 in the prior year[24] - For the three months ended June 30, 2024, the net income available to common stockholders was $(661,000), compared to $3,470,000 for the same period in 2023[29] - Earnings available for distribution increased to $6,276,000, or $0.21 per diluted share, from $1,652,000, or $0.08 per diluted share in the prior year[30] Assets and Liabilities - The company's total assets as of June 30, 2024, were $7,100,101,000, an increase from $6,126,428,000 at the end of 2023, marking a 15.9% growth[22] - Total liabilities increased to $6,566,599,000 as of June 30, 2024, compared to $5,598,060,000 at the end of 2023, a rise of 17.3%[22] - The company’s cash and cash equivalents as of June 30, 2024, were $120,912,000, up from $111,534,000 at the end of 2023, a growth of 8.5%[22] Investment and Portfolio - The investment portfolio increased to $6.9 billion as of June 30, 2024, compared to $6.2 billion as of March 31, 2024[3] - Arc Home originated $604.0 million of residential mortgage loans during Q2 2024, with MITT purchasing loans totaling $133.6 million[9] - The investment in AG Arc LLC was valued at $35.0 million as of June 30, 2024, representing a 44.6% ownership interest[36] Income and Expenses - Interest income for the three months ended June 30, 2024, was $99,815,000, compared to $60,788,000 for the same period in 2023, representing a 64.3% increase[24] - Total net interest income for the second quarter of 2024 was $16,381,000, up from $11,359,000 in the prior year, reflecting a 44.8% increase[24] - Operating expenses increased to $12,623,000 for the three months ended June 30, 2024, from $11,604,000 in the same period of 2023[30] - Transaction-related expenses for the three months ended June 30, 2024, amounted to $503,000, compared to $452,000 in the same period of 2023[29] Dividends and Shareholder Returns - For the second quarter of 2024, the company declared a dividend of $0.19 per share for common stock, paid on July 31, 2024[14] - The company’s preferred stock dividends for the second quarter of 2024 amounted to $4,586,000, unchanged from the same period in 2023[24] Leverage and Ratios - The GAAP Leverage Ratio was 12.2x and the Economic Leverage Ratio was 2.5x as of June 30, 2024[3] - The Economic Leverage ratio as of June 30, 2024, was 2.5x, while the GAAP Leverage ratio was 12.2x, indicating a substantial difference in leverage metrics[35] Book Value - Book Value per share decreased to $10.63 as of June 30, 2024, down from $10.84 as of March 31, 2024, representing a decline of 1.9%[2] - Adjusted Book Value per share decreased to $10.37 as of June 30, 2024, down from $10.58 as of March 31, 2024, reflecting a decrease of 2.0%[2]

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 _____________________________________________________________________ A ...

AG Mortgage Investment Trust, Inc. (NYSE:MITT) Q1 2024 Earnings Conference Call May 3, 2024 8:30 AM ET Company Participants Jenny Neslin - General Counsel T.J. Durkin - Chief Executive Officer & President Nick Smith - Chief Investment Officer Anthony Rossiello - Chief Financial Officer Conference Call Participants Doug Harter - UBS Jason Weaver - JonesTrading Bose George - KBW Eric Hagen - BTIG Operator Good day and thank you for standing by. Welcome to the AG Mortgage Investment Trust First Quarter 2024 Ea ...

| --- | --- | --- | --- | --- | --- | --- | --- | |--------------|-------|----------|--------|-------|-------|---------|--------| | Reconciliation of GAAP Net Income to Earnings Available for Distribution \nNet Income/(loss) available to common | | Amount (000's) | Per Diluted Share 6 | Components of Earnings Available for Distribution \nNet Interest Income | | Amount (000's) \n$ 18,212 | Per Diluted Share 6 \n$ 0.62 | | stockholders | | $ 16,304 | $ 0.55 | | | | | | Add (Deduct): | | | | Net Interest Compo ...