AG Mortgage Investment Trust, Inc. (NYSE:MITT) Q3 2021 Earnings Conference Call November 5, 2021 8:30 AM ET Company Participants Jenny Neslin ??? General Counsel & Secretary David Roberts ??? Chairman and Chief Executive Officer T.J. Durkin ??? President Nick Smith ??? Chief Investment Officer Anthony Rossiello ??? Chief Financial Officer Conference Call Participants Doug Harter ??? Credit Suisse Bose George ??? KBW Eric Hagen ??? BTIG Jason Stewart ??? Jones Holding Operator Welcome to the AG Mortgage Inve ...

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 September 30, 2021 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 ___________________________________________________________________ ...

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 June 30, 2021 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 ...

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, 2021 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 2021 Earnings Conference Call May 5, 2021 8:30 AM ET Company Participants Jenny Neslin - Investor Relations David Roberts - Chairman & Chief Executive Officer T.J. Durkin - President Nick Smith - Chief Investment Officer Anthony Rossiello - Chief Financial Officer Conference Call Participants Bose George - KBW Trevor Cranston - JMP Securities Eric Hagen - BTIG Joshua Bolton - Credit Suisse Operator Welcome to the AG Mortgage Investment Trust First Quarter 20 ...

| --- | --- | |--------------------------------------------------------------------------------|-------| | | | | | | | | | | AG Mortgage Investment Trust, Inc. Q1 2021 Earnings Presentation May 6, 2021 | | Forward Looking Statements and 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, our inv ...

PART I. Business Overview [Item 1. Business](index=5&type=section&id=Item%201.%20Business) AG Mortgage Investment Trust, Inc. is an externally managed hybrid mortgage REIT investing in diversified credit and Agency RMBS portfolios, maintaining REIT tax status - The Company is a hybrid mortgage REIT, **externally managed by AG REIT Management, LLC**, operating to qualify as a REIT for U.S. federal income tax purposes and exempt from Investment Company Act registration[15](index=15&type=chunk)[16](index=16&type=chunk)[17](index=17&type=chunk) - The investment portfolio includes **Credit Investments (Residential and Commercial)** and **Agency RMBS**, with Residential Investments covering Non-Agency RMBS, Re/Non-Performing Loans, Non-QM Loans, and Land Related Financing[18](index=18&type=chunk)[19](index=19&type=chunk)[20](index=20&type=chunk)[21](index=21&type=chunk)[22](index=22&type=chunk)[24](index=24&type=chunk) - The financing strategy utilizes leverage and derivatives for hedging, with financing counterparties reduced from **30 in 2019 to 5 in 2020**, and **$0.7 billion** in debt outstanding due to COVID-19[29](index=29&type=chunk)[30](index=30&type=chunk)[31](index=31&type=chunk)[32](index=32&type=chunk) - To maintain REIT qualification and Investment Company Act exemption, the Company must distribute at least **90% of its ordinary taxable income annually** and adhere to investment activity limits[41](index=41&type=chunk)[42](index=42&type=chunk)[44](index=44&type=chunk)[46](index=46&type=chunk) [Item 1A. Risk Factors](index=11&type=section&id=Item%201A.%20Risk%20Factors) The Company faces significant risks from COVID-19, credit exposure, leverage, interest rates, external management, and complex regulatory compliance - The COVID-19 pandemic caused significant disruptions, leading to declines in asset values, increased margin calls, and illiquidity, forcing asset sales on unfavorable terms and anticipating increased delinquencies[63](index=63&type=chunk)[64](index=64&type=chunk)[65](index=65&type=chunk) - Significant credit risk arises from direct investments in residential real estate loans, including **Non-QM Loans**, which lack U.S. government guarantees and are exposed to legal and regulatory risks[68](index=68&type=chunk)[69](index=69&type=chunk)[70](index=70&type=chunk)[71](index=71&type=chunk) - The Company's business strategy relies on leverage, exposing it to risks such as margin calls, difficulty securing favorable financing terms, and counterparty credit risk, with the transition away from LIBOR also posing adverse effects[121](index=121&type=chunk)[123](index=123&type=chunk)[124](index=124&type=chunk)[134](index=134&type=chunk)[135](index=135&type=chunk) - Dependence on its external Manager creates potential conflicts of interest, as the management agreement was not negotiated at arm's length and the management fee is based on stockholders' equity rather than performance, making termination costly[141](index=141&type=chunk)[145](index=145&type=chunk)[146](index=146&type=chunk)[158](index=158&type=chunk)[161](index=161&type=chunk) - Maintaining REIT qualification is complex, requiring continuous satisfaction of asset, income, distribution, and ownership tests, with non-compliance leading to higher taxes, reduced distributions, and hedging limitations, alongside uncertainties in TBA tax treatment[166](index=166&type=chunk)[170](index=170&type=chunk)[171](index=171&type=chunk)[175](index=175&type=chunk)[177](index=177&type=chunk)[180](index=180&type=chunk) [Item 1B. Unresolved Staff Comments](index=42&type=section&id=Item%201B.%20Unresolved%20Staff%20Comments) There are no unresolved staff comments to report [Item 2. Properties](index=42&type=section&id=Item%202.%20Properties) As of December 31, 2020, the Company owned no material real estate or physical property - As of December 31, 2020, the Company did not own any real estate or other physical property materially important to its operations[215](index=215&type=chunk) [Item 3. Legal Proceedings](index=42&type=section&id=Item%203.%20Legal%20Proceedings) The Company is not party to any litigation or legal proceedings expected to have a material adverse effect - As of the date of this report, the Company is not party to any litigation or legal proceedings, or to its knowledge, any threatened litigation or legal proceedings, which are believed to have a material adverse effect on its results of operations or financial condition[216](index=216&type=chunk) [Item 4. Mine Safety Disclosures](index=42&type=section&id=Item%204.%20Mine%20Safety%20Disclosures) This item is not applicable to the Company PART II. Financial Information [Item 5. Market for Registrant's Common Equity, Related Stockholder Matters and Issuer Purchases of Equity Securities](index=43&type=section&id=Item%205.%20Market%20for%20Registrant's%20Common%20Equity,%20Related%20Stockholder%20Matters%20and%20Issuer%20Purchases%20of%20Equity%20Securities) Common stock trades on NYSE; 2020 dividends decreased significantly, and a **$20 million** preferred repurchase program was approved Common Stock Market and Dividend Information | Metric | 2020 | 2019 | | :--- | :--- | :--- | | Shares Outstanding (as of Feb 15, 2021) | 41,456,349 | N/A | | High Sale Price (Q1) | $16.70 | $18.49 | | Low Sale Price (Q2) | $1.46 | $15.25 | | Dividend Per Share | $0.03 | $1.90 | - The Board of Directors approved a Preferred Repurchase Program to acquire up to **$20 million** of the Company's Series A, B, and C Cumulative Redeemable Preferred Stock[224](index=224&type=chunk) - As of December 31, 2020, **1,879,680 shares** were available for future issuance under the Equity Incentive Plan[224](index=224&type=chunk) [Item 6. Selected Financial Data](index=45&type=section&id=Item%206.%20Selected%20Financial%20Data) Selected financial data for 2020 reveals significant reductions in total assets and stockholders' equity, with a shift from net income to a substantial net loss for common stockholders Selected Balance Sheet Data (in thousands) | Metric | December 31, 2020 | December 31, 2019 | | :--- | :--- | :--- | | Agency RMBS, at fair value | $518,352 | $2,315,439 | | Non-Agency RMBS, at fair value | $38,406 | $717,470 | | Residential mortgage loans, at fair value | $435,441 | $417,785 | | Total assets | $1,400,045 | $4,347,817 | | Financing arrangements | $564,047 | $3,233,468 | | Stockholders' equity | $409,705 | $849,046 | Selected Statement of Operations Data (in thousands, except per share data) | Metric | Year Ended December 31, 2020 | Year Ended December 31, 2019 | | :--- | :--- | :--- | | Total Net Interest Income | $37,580 | $81,552 | | Net realized gain/(loss) | $(256,522) | $(50,822) | | Unrealized gain/(loss) on real estate securities and loans, net | $(159,466) | $83,832 | | Net Income/(Loss) from Continuing Operations | $(421,585) | $97,338 | | Net Income/(Loss) Available to Common Stockholders | $(430,894) | $76,800 | | Total Earnings/(Loss) Per Common Share (Basic) | $(12.24) | $2.39 | | Dividends Declared Per Share of Common Stock | $0.03 | $1.90 | [Item 7. Management's Discussion and Analysis of Financial Condition and Results of Operations](index=47&type=section&id=Item%207.%20Management's%20Discussion%20and%20Analysis%20of%20Financial%20Condition%20and%20Results%20of%20Operations) The Company's 2020 financial performance was severely impacted by COVID-19, resulting in asset sales, reduced portfolio, substantial net losses, and strategic capital management - The COVID-19 pandemic caused extreme duress in financial markets, leading to significant declines in asset values and increased margin calls[234](index=234&type=chunk) - The Company responded by reducing its GAAP investment portfolio from **$4.0 billion to $1.2 billion** and its financing arrangements from **$3.2 billion to $564.0 million** in 2020[234](index=234&type=chunk)[235](index=235&type=chunk) Key Financial Performance Indicators (2020 vs 2019) | Metric | Year Ended Dec 31, 2020 | Year Ended Dec 31, 2019 | Change (YoY) | | :--- | :--- | :--- | :--- | | Net Interest Income (in thousands) | $37,580 | $81,552 | $(43,972) | | Net Realized Gain/(Loss) (in thousands) | $(256,522) | $(50,822) | $(205,700) | | Unrealized Gain/(Loss) on Real Estate Securities and Loans, net (in thousands) | $(159,466) | $83,832 | $(243,298) | | Net Income/(Loss) Available to Common Stockholders (in thousands) | $(430,894) | $76,800 | $(507,694) | | Book Value Per Common Share | $4.13 | $17.61 | $(13.48) | | Economic Leverage Ratio | 1.5x | 4.1x | -2.6x | | Core Earnings (in thousands) | $22,036 | $54,893 | $(32,857) | - The Company suspended preferred and common stock dividends in March 2020 to conserve capital but paid all preferred stock dividends in arrears and a **$0.03 per common share** dividend for Q4 2020 in December 2020[355](index=355&type=chunk)[356](index=356&type=chunk) - In 2020, the Company completed exchange offers, converting **1,405,574 shares of preferred stock** into **5,095,934 shares of common stock** and **$8.0 million in cash**, resulting in a net gain of **$10.6 million**[272](index=272&type=chunk)[771](index=771&type=chunk)[772](index=772&type=chunk) - The Company issued **1,369,870 shares of common stock** to its Manager in September 2020 to satisfy **$4.3 million** of deferred base management fees for Q1-Q3 2020[375](index=375&type=chunk)[381](index=381&type=chunk)[382](index=382&type=chunk) [COVID-19 Impact](index=47&type=section&id=COVID-19%20Impact) COVID-19 caused significant market disruption, leading to asset price declines, increased margin calls, and the Company's portfolio and financing reduction - Beginning in mid-March 2020, the COVID-19 pandemic led to extreme duress in financial and mortgage-related asset markets, causing credit spread widening, a sharp decrease in interest rates, and unprecedented illiquidity[234](index=234&type=chunk) - In response, the Company reduced its GAAP investment portfolio from **$4.0 billion to $1.2 billion** and its financing arrangements from **$3.2 billion to $564.0 million** by December 31, 2020, through sales and financing counterparty seizures[235](index=235&type=chunk) - The Company entered into three consecutive forbearance agreements with financing counterparties from March to June 2020, agreeing not to exercise rights or remedies related to defaults, and subsequently exited forbearance through reinstatement agreements[234](index=234&type=chunk)[324](index=324&type=chunk)[325](index=325&type=chunk) [Market Conditions](index=48&type=section&id=Market%20conditions) After initial COVID-19 disruption, markets showed cautious Q4 2020 recovery, supported by Federal Reserve actions, with home prices increasing and credit spreads tightening - The U.S. Federal Reserve responded to COVID-19 by cutting the Fed Funds target rate by **150 basis points** and committing to unlimited purchases of U.S. Treasuries and Agency RMBS, which helped stabilize broader market conditions by late Q2 2020[238](index=238&type=chunk) - Home price indices showed an annual increase of around **9% for 2020**, driven by limited supply and strong demand, with Credit Risk Transfer (CRT) mezzanine spreads tightening by **15 basis points** and subordinate spreads by **100 basis points** in Q4 2020[241](index=241&type=chunk)[242](index=242&type=chunk) - CMBS market conditions varied, with industrial, office, and multifamily properties showing delinquencies around **1.2% to 2.9%** at year-end 2020, while retail and hotels were more negatively affected, with delinquencies at **13% and 20%** respectively[245](index=245&type=chunk) [Results of Operations for the Fiscal Year 2020 and 2019](index=50&type=section&id=Results%20of%20Operations%20for%20the%20Fiscal%20Year%202020%20and%202019) 2020 operating results were significantly impacted by COVID-19, leading to a substantial net loss, sharp decline in book value, and reduced net interest income Consolidated Statements of Operations Summary (in thousands) | Metric | Year Ended Dec 31, 2020 | Year Ended Dec 31, 2019 | Change (YoY) | | :--- | :--- | :--- | :--- | | Total Net Interest Income | $37,580 | $81,552 | $(43,972) | | Net realized gain/(loss) | $(256,522) | $(50,822) | $(205,700) | | Unrealized gain/(loss) on real estate securities and loans, net | $(159,466) | $83,832 | $(243,298) | | Net Income/(Loss) Available to Common Stockholders | $(430,894) | $76,800 | $(507,694) | | Basic EPS | $(12.24) | $2.39 | $(14.63) | | Diluted EPS | $(12.24) | $2.39 | $(14.63) | - Interest income decreased by **$97.1 million** and interest expense decreased by **$53.2 million** in 2020, primarily due to a significant reduction in the size of the investment portfolio and related financing as a result of the COVID-19 pandemic[251](index=251&type=chunk)[253](index=253&type=chunk) - The Company recognized **$10.6 million** in net gain from Exchange Offers in 2020, related to the exchange of preferred stock for common stock and cash consideration[272](index=272&type=chunk) Book Value Per Common Share | Metric | December 31, 2020 | December 31, 2019 | | :--- | :--- | :--- | | Book Value Per Common Share (GAAP) | $4.13 | $17.61 | | Adjusted Book Value Per Common Share (Liquidation Preference) | $3.94 | $17.33 | [Net Interest Margin and Leverage Ratio](index=55&type=section&id=Net%20interest%20margin%20and%20leverage%20ratio) Net interest margin and leverage ratio significantly decreased in 2020, reflecting a strategic shift to credit investments and reduced portfolio size Net Interest Margin and Leverage Ratio | Metric | December 31, 2020 | December 31, 2019 | | :--- | :--- | :--- | | Investment Portfolio Weighted Average Yield | 4.36 % | 4.82 % | | Investment Portfolio Cost of Funds | 2.09 % | 2.35 % | | Investment Portfolio Net Interest Margin | 2.27 % | 2.47 % | | Investment Portfolio Leverage Ratio (Economic Leverage) | 1.5x | 4.1x | | GAAP Investment Portfolio Leverage Ratio (GAAP Leverage) | 2.4x | 4.1x | - The Company's capital allocation shifted to **19.7% in Agency RMBS** and **80.3% in credit investments** as of December 31, 2020, compared to **34.8% and 42.4%** respectively in 2019, impacting its weighted average yields, cost of funds, and leverage ratio[279](index=279&type=chunk)[294](index=294&type=chunk) [Core Earnings](index=56&type=section&id=Core%20Earnings) Core Earnings, a non-GAAP measure, decreased from **$54.9 million in 2019 to $22.0 million in 2020**, reflecting challenging market conditions Core Earnings (Non-GAAP) Reconciliation (in thousands, except per share data) | Metric | Year Ended Dec 31, 2020 | Year Ended Dec 31, 2019 | | :--- | :--- | :--- | | Net Income/(loss) available to common stockholders | $(430,894) | $76,800 | | Net realized (gain)/loss | $256,522 | $50,822 | | Unrealized (gain)/loss on real estate securities and loans, net | $159,466 | $(83,832) | | Core Earnings | $22,036 | $54,893 | | Core Earnings, per Diluted Share | $0.63 | $1.70 | - Core Earnings exclude unrealized/realized gains/losses on investments, transaction expenses, certain performance fees, changes in fair value of MSRs, deferred taxes, foreign currency gains/losses, discontinued operations income, and gains/losses from exchange offers, to provide a measure of core performance[283](index=283&type=chunk) [Investment Activities](index=57&type=section&id=Investment%20activities) In 2020, the GAAP investment portfolio significantly reduced from **$4.0 billion to $1.2 billion**, shifting equity to credit investments, with COVID-19 impacting loan delinquencies - The GAAP investment portfolio decreased from **$4.0 billion** at December 31, 2019, to **$1.2 billion** at December 31, 2020, with equity capital allocation shifting to **19.7% Agency RMBS** and **80.3% Credit Investments** in 2020[288](index=288&type=chunk) Investment Portfolio Fair Value and Leverage Ratio (in thousands) | Investment Type | Dec 31, 2020 Fair Value | Dec 31, 2019 Fair Value | Dec 31, 2020 % of Portfolio | Dec 31, 2019 % of Portfolio | Dec 31, 2020 Leverage Ratio | Dec 31, 2019 Leverage Ratio | | :--- | :--- | :--- | :--- | :--- | :--- | :--- | | Agency RMBS | $521,843 | $2,333,626 | 37.4 % | 52.8 % | 6.1x | 7.1x | | Residential Investments | $691,478 | $1,493,869 | 49.5 % | 33.8 % | 0.2x | 2.7x | | Commercial Investments | $182,296 | $589,709 | 13.1 % | 13.4 % | 0.9x | 2.1x | | Total Investment Portfolio | $1,395,617 | $4,417,204 | 100.0 % | 100.0 % | 1.5x | 4.1x | Credit Portfolio Fair Value (in thousands) | Credit Portfolio Component | December 31, 2020 | December 31, 2019 | | :--- | :--- | :--- | | Non-Agency RMBS | $128,131 | $835,325 | | CMBS | $56,788 | $431,023 | | Residential loans | $563,347 | $658,544 | | Commercial real estate loans | $125,508 | $158,686 | | Total Credit Investments | $873,774 | $2,083,578 | - For Re/Non-Performing Loans, **28%** of the population requested COVID-19 assistance, with **48%** reported as contractually current by year-end 2020, and a default rate for Q4 2020 of **4.8%**[311](index=311&type=chunk)[313](index=313&type=chunk) - For Non-QM Loans, **34%** requested assistance, with **67%** reported as current, and the default rate for Q4 2020 was **0.8%**[315](index=315&type=chunk)[316](index=316&type=chunk) [Financing Activities](index=64&type=section&id=Financing%20activities) The Company significantly reduced financing arrangements and counterparties in 2020 due to COVID-19, decreasing its Economic Leverage Ratio to **1.5x** - The Company reduced its financing counterparties from **30** as of December 31, 2019, to **5** as of December 31, 2020, with debt outstanding of **$0.7 billion**, inclusive of financing arrangements through affiliated entities[346](index=346&type=chunk) - In response to COVID-19, the Company entered into forbearance agreements and subsequently a Reinstatement Agreement in June 2020, which waived prior defaults and reinstated financing arrangements, subject to new financial covenants, including a Recourse Indebtedness to Stockholder's Equity leverage ratio limit of **3:1**[324](index=324&type=chunk)[325](index=325&type=chunk)[348](index=348&type=chunk) Leverage Ratios (in thousands) | Metric | December 31, 2020 | December 31, 2019 | | :--- | :--- | :--- | | GAAP Leverage | $979,303 | $3,441,451 | | GAAP Leverage Ratio | 2.4x | 4.1x | | Economic Leverage | $629,697 | $3,474,519 | | Economic Leverage Ratio | 1.5x | 4.1x | - As of December 31, 2020, BofA Securities, Inc., Credit Suisse AG, Cayman Islands Branch, and Barclays Capital Inc. each represented greater than **5%** of the Company's stockholders' equity at risk[350](index=350&type=chunk) [Dividends](index=69&type=section&id=Dividends) The Company suspended dividends in March 2020 due to COVID-19, but later paid all preferred stock dividends and declared a **$0.03 per common share** dividend - On March 27, 2020, the Board of Directors approved a suspension of quarterly dividends on all series of preferred stock and common stock to conserve capital during COVID-19 market volatility[355](index=355&type=chunk) - On December 17, 2020, the Company paid all preferred stock dividends in arrears and the full Q4 2020 dividends, subsequently declaring a common stock dividend of **$0.03 per share** for Q4 2020 on December 22, 2020[356](index=356&type=chunk) Common Stock Dividends Declared Per Share | Year | Dividend Per Share | | :--- | :--- | | 2020 | $0.03 | | 2019 | $1.90 | Preferred Stock Cash Dividends Per Share | Series | 2020 Total | 2019 Total | | :--- | :--- | :--- | | 8.25% Series A | $2.06252 | $2.06252 | | 8.00% Series B | $2.00 | $2.00 | | 8.000% Series C | $2.00 | $0.50 | [Liquidity and Capital Resources](index=71&type=section&id=Liquidity%20and%20capital%20resources) As of December 31, 2020, the Company had **$54.2 million** in liquidity, managing margin calls and capital structure through equity offerings and preferred stock exchanges - As of December 31, 2020, the Company had **$54.2 million** of liquidity, consisting of **$47.9 million** in cash and **$6.3 million** in unencumbered assets[358](index=358&type=chunk) - In 2020, the Company sold **2.1 million shares** of common stock under Equity Distribution Agreements for net proceeds of approximately **$7.1 million**[367](index=367&type=chunk) - The Company completed exchange offers in 2020, issuing **5,095,934 shares of common stock** and paying **$8.0 million in cash** for **1,405,574 shares of preferred stock**[371](index=371&type=chunk)[372](index=372&type=chunk)[373](index=373&type=chunk) - The Company issued **1,369,870 shares of common stock** to its Manager in September 2020 to satisfy **$4.3 million** of deferred base management fees[375](index=375&type=chunk) [Contractual Obligations](index=74&type=section&id=Contractual%20obligations) Primary contractual obligations include a **1.50%** management fee to its Manager, who deferred fees in 2020, and outstanding commitments on commercial loans - The management fee payable to the Manager is **1.50% of Stockholders' Equity per annum**, calculated and paid quarterly, with fees incurred totaling **$7.2 million** in 2020, down from **$9.8 million** in 2019[377](index=377&type=chunk)[378](index=378&type=chunk) - The Manager agreed to defer management fee payments and expense reimbursements from Q1 2020 through Q3 2020, with a portion of the accrued base management fee (**$4.3 million**) paid in common stock in September 2020[380](index=380&type=chunk)[381](index=381&type=chunk)[382](index=382&type=chunk) - The Company has a secured promissory note with the Manager for **$10 million**, accruing interest at **6.0% per annum**, payable on March 31, 2021, after repaying another **$10 million** loan from the Manager in July 2020[383](index=383&type=chunk) Outstanding Commitments (in thousands) | Commitment Type | Total Commitment | Funded Commitment | Remaining Commitment | | :--- | :--- | :--- | :--- | | Commercial loan G | $78,806 | $60,111 | $18,695 | | Commercial loan I | $26,000 | $15,929 | $10,071 | | Commercial loan K | $20,000 | $15,787 | $4,213 | | LOTS | $34,153 | $21,247 | $12,906 | | Total | $158,959 | $113,074 | $45,885 | [Off-Balance Sheet Arrangements](index=75&type=section&id=Off-balance%20sheet%20arrangements) As of December 31, 2020, the Company had no TBA positions; off-balance sheet arrangements primarily involve equity method investments in affiliates like AG Arc and MATH - As of December 31, 2020, the Company had no TBA (to-be-announced) positions[390](index=390&type=chunk) - Investments in debt and equity of affiliates, accounted for using the equity method, primarily consist of real estate securities, loans, and the Company's interest in AG Arc, with a fair value of **$150.7 million** as of December 31, 2020[391](index=391&type=chunk) Investments in Debt and Equity of Affiliates (in thousands) | Affiliate | December 31, 2020 Equity | December 31, 2019 Equity | | :--- | :--- | :--- | | AG Arc, at fair value | $45,341 | $28,546 | | Non-QM Loans | $42,065 | $54,019 | | Land Related Financing | $22,824 | $16,979 | | Other | $36,352 | $45,060 | | Total Investments in debt and equity of affiliates | $150,667 | $156,311 | [Certain Related Person Transactions](index=77&type=section&id=Certain%20related%20person%20transactions) Related person transactions, reviewed by the Audit Committee, include management fees to its Manager, asset management fees to Red Creek, and investment transactions with affiliates - The Company's Board of Directors has an 'Affiliated Transactions Policy' requiring approval by the Chief Risk Officer and Chief Compliance Officer of Angelo Gordon for transactions between the Company and entities managed by Angelo Gordon, which are reviewed quarterly by the Audit Committee[405](index=405&type=chunk) - Fees paid to Red Creek Asset Management LLC (an affiliate) for asset management services on Re/Non-Performing Loans and Non-QM Loans totaled **$2.7 million** in 2020, up from **$0.9 million** in 2019[396](index=396&type=chunk)[739](index=739&type=chunk) - The Company participated in multiple Non-QM Loan securitizations through MATT (an unconsolidated affiliate) in 2019 and 2020, retaining subordinate tranches, and sold its Ginnie Mae Excess MSR portfolio to Arc Home (an affiliate) for **$18.9 million** in August 2020[407](index=407&type=chunk)[409](index=409&type=chunk)[412](index=412&type=chunk)[413](index=413&type=chunk)[415](index=415&type=chunk)[416](index=416&type=chunk)[742](index=742&type=chunk)[744](index=744&type=chunk)[748](index=748&type=chunk)[749](index=749&type=chunk)[751](index=751&type=chunk)[752](index=752&type=chunk) [Critical Accounting Policies](index=80&type=section&id=Critical%20accounting%20policies) Critical accounting policies involve significant estimates for financial instrument valuation, real estate securities, loans, interest income, and financing, with ASU 2016-13 impacting yield recognition - The Company's critical accounting policies include Valuation of financial instruments, Accounting for real estate securities, Accounting for loans, Interest income recognition, and Financing arrangements[419](index=419&type=chunk)[420](index=420&type=chunk) - The adoption of ASU 2016-13 on January 1, 2020, changed how credit losses are measured, eliminating other-than-temporary impairment (OTTI) accounting for debt securities and loans measured at fair value, and impacting the recognition of effective yield[517](index=517&type=chunk)[583](index=583&type=chunk) - The preparation of consolidated financial statements requires management to make estimates and assumptions, which are inherently less certain due to the pervasive uncertainties of the COVID-19 pandemic[418](index=418&type=chunk) [Compliance with Investment Company Act and REIT Tests](index=81&type=section&id=Compliance%20with%20Investment%20Act%20and%20REIT%20tests) The Company continuously monitors and successfully maintained compliance with Investment Company Act and REIT qualification requirements for 2020 - The Company maintained compliance with the **40% test, the 55% test, and the 80% test** of the Investment Company Act, ensuring its exempt status from regulation as an investment company[423](index=423&type=chunk) - For the year ended December 31, 2020, the Company calculated that at least **75%** of its assets were real estate assets, cash, and government securities, and a sufficient portion of its revenue qualified for the **75% and 95%** gross income tests, thus qualifying as a REIT[424](index=424&type=chunk) [Item 7A. Quantitative and Qualitative Disclosures About Market Risk](index=75&type=section&id=Item%207A.%20Quantitative%20and%20Qualitative%20Disclosures%20About%20Market%20Risk) The Company faces significant market risks including interest rate, liquidity, prepayment, real estate value, credit, and basis risks, all heightened by COVID-19 - The Company's primary market risks include interest rates, liquidity, prepayment rates, real estate value, credit, and basis risk, all of which were particularly heightened due to the COVID-19 pandemic[425](index=425&type=chunk) - Interest rate risk is managed by monitoring rates, structuring financing, and using derivatives, but a rising interest rate environment can increase borrowing costs, narrowing the net interest spread, and decrease the fair value of fixed-rate assets[426](index=426&type=chunk)[427](index=427&type=chunk)[431](index=431&type=chunk) Interest Rate Sensitivity (Estimated % Change) | Change in Interest Rates (basis points) | Change in Fair Value as a Percentage of GAAP Equity | Change in Fair Value as a Percentage of Assets | Percentage Change in Projected Net Interest Income | | :--- | :--- | :--- | :--- | | +75 | -2.4 % | -0.7 % | 1.1 % | | +50 | -1.4 % | -0.4 % | 0.9 % | | +25 | -0.6 % | -0.2 % | 0.5 % | | -25 | 0.3 % | 0.1 % | -0.7 % | | -50 | 0.4 % | 0.1 % | -1.6 % | | -75 | 0.3 % | 0.1 % | -2.6 % | - Liquidity risk, primarily from financing long-maturity assets with shorter-term financings, is mitigated by maintaining prudent leverage, daily monitoring of liquidity, and holding cash and unpledged assets, though margin calls pose significant challenges[439](index=439&type=chunk)[440](index=440&type=chunk)[442](index=442&type=chunk)[444](index=444&type=chunk) - Credit risk from borrower defaults and credit spread widening on Non-Agency assets is managed through pre-acquisition due diligence and non-recourse financing, with COVID-19 expected to increase delinquencies, defaults, and forbearance requests[453](index=453&type=chunk)[454](index=454&type=chunk) [Item 8. Financial Statements and Supplementary Data](index=87&type=section&id=Item%208.%20Financial%20Statements%20and%20Supplementary%20Data) This section presents audited consolidated financial statements for 2020 and 2019, with an unqualified opinion from PricewaterhouseCoopers LLP, detailing accounting policies and COVID-19 impacts - PricewaterhouseCoopers LLP issued an unqualified opinion on the Company's consolidated financial statements as of December 31, 2020 and 2019, and on the effectiveness of its internal control over financial reporting as of December 31, 2020[462](index=462&type=chunk)[463](index=463&type=chunk) - A critical audit matter identified was the fair value of investments in certain residential mortgage loans, commercial loans, and Non-QM loans, due to significant management judgment and the complexity of assumptions used in valuation[470](index=470&type=chunk)[471](index=471&type=chunk) - The Notes to Consolidated Financial Statements provide extensive detail on the Company's accounting policies, including fair value measurements (Level 1, 2, 3 inputs), accounting for real estate securities and loans, interest income recognition, and financing arrangements, highlighting the impact of ASU 2016-13 and the COVID-19 pandemic[509](index=509&type=chunk)[514](index=514&type=chunk)[524](index=524&type=chunk)[551](index=551&type=chunk)[555](index=555&type=chunk)[583](index=583&type=chunk) Consolidated Balance Sheet Highlights (in thousands) | Metric | December 31, 2020 | December 31, 2019 | | :--- | :--- | :--- | | Total Assets | $1,400,045 | $4,347,817 | | Total Liabilities | $990,340 | $3,498,771 | | Total Stockholders' Equity | $409,705 | $849,046 | Consolidated Statements of Operations Highlights (in thousands) | Metric | Year Ended Dec 31, 2020 | Year Ended Dec 31, 2019 | | :--- | :--- | :--- | | Total Net Interest Income | $37,580 | $81,552 | | Total Other Income/(Loss) | $(424,070) | $39,104 | | Total Expenses | $33,466 | $30,962 | | Net Income/(Loss) | $(420,919) | $92,922 | | Net Income/(Loss) Available to Common Stockholders | $(430,894) | $76,800 | [Item 9. Changes in and Disagreements with Accountants on Accounting and Financial Disclosure](index=144&type=section&id=Item%209.%20Changes%20in%20and%20Disagreements%20with%20Accountants%20on%20Accounting%20and%20Financial%20Disclosure) There have been no changes in or disagreements with accountants on accounting and financial disclosure [Item 9A. Controls and Procedures](index=144&type=section&id=Item%209A.%20Controls%20and%20Procedures) Management concluded that disclosure controls and internal control over financial reporting were effective as of December 31, 2020 - The Company's disclosure controls and procedures were effective as of December 31, 2020, ensuring timely and accurate reporting of required information[799](index=799&type=chunk) - Management concluded that the Company's internal control over financial reporting was effective as of December 31, 2020, based on the COSO framework[801](index=801&type=chunk) - There have been no changes in the Company's internal control over financial reporting that materially affected or are reasonably likely to materially affect it during the last fiscal quarter[803](index=803&type=chunk) [Item 9B. Other Information](index=144&type=section&id=Item%209B.%20Other%20Information) On February 17, 2021, the Board approved a Second Amended and Restated Code of Business Conduct and Ethics, updating guidance on insider trading and conflicts of interest - On February 17, 2021, the Board of Directors approved a Second Amended and Restated Code of Business Conduct and Ethics, which includes additional guidance on insider trading, conflicts of interest, discrimination, harassment, disclosure policy, and reporting illegal/unethical behavior[804](index=804&type=chunk) PART III. Corporate Governance and Executive Compensation [Item 10. Directors, Executive Officers and Corporate Governance](index=146&type=section&id=Item%2010.%20Directors,%20Executive%20Officers%20and%20Corporate%20Governance) Information on directors, executive officers, and corporate governance is incorporated by reference from the definitive proxy statement [Item 11. Executive Compensation](index=146&type=section&id=Item%2011.%20Executive%20Compensation) Executive compensation information is incorporated by reference from the definitive proxy statement [Item 12. Security Ownership of Certain Beneficial Owners and Management and Related Stockholder Matters](index=146&type=section&id=Item%2012.%20Security%20Ownership%20of%20Certain%20Beneficial%20Owners%20and%20Management%20and%20Related%20Stockholder%20Matters) Security ownership information for beneficial owners and management is incorporated by reference from the definitive proxy statement [Item 13. Certain Relationships and Related Transactions, and Director Independence](index=146&type=section&id=Item%2013.%20Certain%20Relationships%20and%20Related%20Transactions,%20and%20Director%20Independence) Details on certain relationships, related transactions, and director independence are incorporated by reference from the definitive proxy statement [Item 14. Principal Accountant Fees and Services](index=146&type=section&id=Item%2014.%20Principal%20Accountant%20Fees%20and%20Services) Information regarding principal accountant fees and services is incorporated by reference from the definitive proxy statement PART IV. Exhibits and Signatures [Item 15. Exhibits and Financial Statement Schedules](index=147&type=section&id=Item%2015.%20Exhibits%20and%20Financial%20Statement%20Schedules) This section lists all exhibits filed as part of the 10-K report; financial statement schedules are omitted as information is in the consolidated financial statements - All consolidated financial statement schedules are omitted because they are either inapplicable or not deemed material, or the required information is provided in the Financial Statements and Notes thereto[814](index=814&type=chunk) - The exhibits include key corporate documents such as Articles of Amendment and Restatement, Bylaws, Articles Supplementary for preferred stock, and various agreements including the Management Agreement and Equity Distribution Agreements[815](index=815&type=chunk)[816](index=816&type=chunk) [Item 16. Form 10-K Summary](index=149&type=section&id=Item%2016.%20Form%2010-K%20Summary) The Company has not provided a summary for its Form 10-K [Signatures](index=150&type=section&id=Signatures) The report was signed on February 22, 2021, by the Chief Executive Officer, Chief Financial Officer, and other directors - The report was signed on February 22, 2021, by David N. Roberts (Chief Executive Officer) and Anthony W. Rossiello (Chief Financial Officer), along with other directors[823](index=823&type=chunk)[824](index=824&type=chunk)

| --- | --- | |--------------------------------------------------------------------------------------|-------| | | | | AG Mortgage Investment Trust, Inc. Q4 2020 Earnings Presentation February 19, 2021 | | Forward Looking Statements and 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, our inv ...

Financial Data and Key Metrics Changes - The adjusted GAAP book value per common share increased to $3.94 as of year-end compared to $3.08 as of September 30 [8] - Net income available to common stockholders for the fourth quarter was approximately $47 million or $1.16 per fully diluted share, driven by asset appreciation and earnings from Arc Home [22] - Total liquidity at the end of the quarter was $54 million, consisting of $48 million in cash and $6 million in unencumbered agency securities [27] Business Line Data and Key Metrics Changes - The portfolio size increased from $1.10 billion to $1.4 billion during the fourth quarter, primarily through agency purchases [14] - Arc Home achieved a 136% year-over-year growth in origination volume and generated $49 million of net income for the year [16] Market Data and Key Metrics Changes - The company reported strong performance in the residential whole loans and CMBs, contributing to the increase in book value [9] - The agency investments are being managed to balance liquidity and earnings power while focusing on whole loans [42] Company Strategy and Development Direction - The company aims to increase long-term earnings power while maintaining adequate liquidity and increasing book value, with a focus on residential whole loans [7] - The strategy includes simplifying the company to focus on growing residential whole loans alongside the growth from Arc Home [20] Management's Comments on Operating Environment and Future Outlook - Management noted that residential assets have largely recovered, with potential for further recovery primarily in the commercial sector [34] - The company expects to continue growing the portfolio and increasing leverage prudently to enhance earnings power [35] Other Important Information - The company reinstated dividends on both common and preferred stock, returning to normal dividend payments [10] - The adjusted book value metric was introduced to provide transparency regarding the impact of liquidation preference on common equity [24] Q&A Session Summary Question: Expected pace of capital deployment into non-QM loans - Management indicated that the market is recovering in terms of volume and they are actively working on bilateral agreements with originators [29] Question: Room for further recovery on book value - Management stated that most unrealized book value is on the commercial side, with residential assets largely recovered [34] Question: Earnings power of the existing portfolio and leverage - Management expressed confidence in the earnings power and indicated room for prudent leverage increases [35] Question: Agency investments focus - Management clarified that agency investments are part of a strategy to manage liquidity and earnings power while focusing on whole loans [42] Question: Thoughts on calling pieces of preferred capital structure - Management confirmed there are no current plans to call the preferred issue but will always look for the best use of capital [45] Question: Financing of re-performing and non-performing loans - Management noted that the majority of the non-performing loans are financed through securitization [46]

| --- | --- | |-------------------------------------------------------------------------------------|-------| | | | | | | | | | | AG Mortgage Investment Trust, Inc. Q3 2020 Earnings Presentation November 6, 2020 | | Forward Looking Statements and 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 valu ...