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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 September 30, 2025

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) 

_____________________________________________________________________ 

Maryland			27-5254382
(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 share

MITT

New York Stock Exchange (NYSE)

8.25% Series A Cumulative Redeemable Preferred Stock

MITT PrA

New York Stock Exchange (NYSE)

8.00% Series B Cumulative Redeemable Preferred Stock

MITT PrB

New York Stock Exchange (NYSE)

8.000% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock

MITT PrC

New York Stock Exchange (NYSE)

9.500% Senior Notes due 2029

MITN

New York Stock Exchange (NYSE)

9.500% Senior Notes due 2029

MITP

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 November 5, 2025, there were 31,744,449 outstanding shares of common stock of AG Mortgage Investment Trust, Inc.

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AG MORTGAGE INVESTMENT TRUST, INC.

TABLE OF CONTENTS

						Page
PART I.     FINANCIAL INFORMATION
Item 1.			Financial Statements (unaudited)
			Consolidated Balance Sheets as of September 30, 2025 and December 31, 2024			3
			Consolidated Statements of Operations for the three and nine months ended September 30, 2025 and 2024			4
			Consolidated Statements of Stockholders’ Equity for the three and nine months ended September 30, 2025 and 2024			5
			Consolidated Statements of Cash Flows for the nine months ended September 30, 2025 and 2024			6
			Notes to Consolidated Financial Statements (unaudited)
			Note 1. Organization			8
			Note 2. Summary of Significant Accounting Policies			9
			Note 3. Loans			12
			Note 4. Real Estate Securities			17
			Note 5. Fair Value Measurements			18
			Note 6. Financing			24
			Note 7. Other Assets and Liabilities			27
			Note 8. Earnings Per Share			30
			Note 9. Income Taxes			31
			Note 10. Related Party Transactions			32
			Note 11. Equity			37
			Note 12. Commitments and Contingencies			40
			Note 13. Segment Reporting			40
			Note 14. Subsequent Events			40
Item 2.			Management’s Discussion and Analysis of Financial Condition and Results of Operations			41
Item 3.			Quantitative and Qualitative Disclosures About Market Risk			76
Item 4.			Controls and Procedures			79
PART II.    OTHER INFORMATION						81
Item 1.			Legal Proceedings			81
Item 1A.			Risk Factors			81
Item 2.			Unregistered Sales of Equity Securities and Use of Proceeds			81
Item 3.			Defaults Upon Senior Securities			81
Item 4.			Mine Safety Disclosures			81
Item 5.			Other Information			81
Item 6.			Exhibits			82

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PART I

 

ITEM 1. FINANCIAL STATEMENTS

 

AG Mortgage Investment Trust, Inc. and Subsidiaries

Consolidated Balance Sheets (Unaudited)

(in thousands, except per share data)

			September 30, 2025						December 31, 2024
Assets
Securitized residential mortgage loans, at fair value - $803,984 and $705,294 pledged as collateral, respectively (1)			$	8,288,983					$	6,197,678
Residential mortgage loans, at fair value - $225,247 and $215,773 pledged as collateral, respectively			226,504						220,217
Commercial loans, at fair value - $57,738 and $67,005 pledged as collateral, respectively			57,738						67,005
Real estate securities, at fair value - $187,129 and $165,393 pledged as collateral, respectively			206,944						201,360
Investments in debt and equity of affiliates			61,344						46,841
Cash and cash equivalents			59,000						118,662
Restricted cash			17,808						19,906
Other assets			57,982						41,940
Total Assets			$	8,976,303					$	6,913,609
Liabilities
Securitized debt, at fair value (1)			$	7,428,111					$	5,491,967
Financing arrangements			838,245						742,108
Senior unsecured notes			96,267						95,721
Dividend payable			6,664						5,632
Other liabilities (2)			47,173						34,758
Total Liabilities			8,416,460						6,370,186
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 31,732 and 29,640 shares issued and outstanding at September 30, 2025 and December 31, 2024, respectively			317						296
Additional paid-in capital			840,237						824,380
Retained earnings/(deficit)			(501,183)						(501,725)
Total Stockholders’ Equity			559,843						543,423
Total Liabilities and Stockholders’ Equity			$	8,976,303					$	6,913,609

(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. The "Securitized debt, at fair value" is collateralized by the "Securitized residential mortgage loans, at fair value" held within the securitization trusts. See Note 3 and Note 6 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

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AG Mortgage Investment Trust, Inc. and Subsidiaries

Consolidated Statements of Operations (Unaudited)

(in thousands, except per share data)

			Three Months Ended												Nine Months Ended
			September 30, 2025						September 30, 2024						September 30, 2025						September 30, 2024
Net Interest Income
Interest income			$	124,714					$	107,456					$	344,709					$	302,843
Interest expense			105,232						92,506						288,626						254,333
Total Net Interest Income			19,482						14,950						56,083						48,510
Other Income/(Loss)
Net interest component of interest rate swaps			1,108						2,180						2,666						6,447
Net realized gain/(loss)			(3,578)						(10,788)						(7,062)						(9,928)
Net unrealized gain/(loss)			13,199						19,700						13,961						20,488
Total Other Income/(Loss)			10,729						11,092						9,565						17,007
Expenses
Management fee to affiliate (1)			2,319						1,708						6,947						5,202
Non-investment related expenses (1)			2,603						2,734						8,390						8,552
Investment related expenses (1)			4,322						3,411						11,205						10,185
Transaction related expenses (1)			1,962						684						6,041						2,164
Total Expenses			11,206						8,537						32,583						26,103
Income/(loss) before equity in earnings/(loss) from affiliates			19,005						17,505						33,065						39,414
Equity in earnings/(loss) from affiliates			1,645						(849)						3,061						2,099
Income/(Loss) before Income Taxes			20,650						16,656						36,126						41,513
Income tax expense			689						16						743						58
Net Income/(Loss)			19,961						16,640						35,383						41,455
Dividends on preferred stock			5,344						4,716						15,969						13,888
Net Income/(Loss) Available to Common Stockholders			$	14,617					$	11,924					$	19,414					$	27,567
Earnings/(Loss) Per Share of Common Stock
Basic			$	0.47					$	0.40					$	0.64					$	0.94
Diluted			$	0.47					$	0.40					$	0.64					$	0.93
Weighted Average Number of Shares of Common Stock Outstanding
Basic			31,049						29,493						30,136						29,473
Diluted			31,064						29,520						30,158						29,500

(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

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AG Mortgage Investment Trust, Inc. and Subsidiaries

Consolidated Statements of Stockholders’ Equity (Unaudited)

(in thousands, except per share data)

For the Three Months Ended September 30, 2025 and September 30, 2024
			Common Stock												Preferred  Stock						Additional Paid-in Capital						Retained Earnings/(Deficit)
			Shares						Amount																								Total
Balance at July 1, 2025			29,691						$	297					$	220,472					$	824,763					$	(509,125)					$	536,407
Issuance of common stock			2,028						20						—						15,310						—						15,330
Grant of restricted stock and amortization of equity based compensation			13						—						—						164						—						164
Common dividends declared ($0.21 per share)			—						—						—						—						(6,664)						(6,664)
Preferred dividends declared (1)			—						—						—						—						(5,355)						(5,355)
Net Income/(Loss)			—						—						—						—						19,961						19,961
Balance at September 30, 2025			31,732						$	317					$	220,472					$	840,237					$	(501,183)					$	559,843
			Common Stock												Preferred  Stock						Additional Paid-in Capital						Retained Earnings/(Deficit)
			Shares						Amount																								Total
Balance at July 1, 2024			29,474						$	295					$	220,472					$	824,106					$	(511,371)					$	533,502
Grant of restricted stock and amortization of equity based compensation			19						—						—						133						—						133
Common dividends declared ($0.19 per share)			—						—						—						—						(5,604)						(5,604)
Preferred dividends declared (1)			—						—						—						—						(4,586)						(4,586)
Net Income/(Loss)			—						—						—						—						16,640						16,640
Balance at September 30, 2024			29,493						$	295					$	220,472					$	824,239					$	(504,921)					$	540,085

For the Nine Months Ended September 30, 2025 and September 30, 2024
			Common Stock												Preferred  Stock						Additional Paid-in Capital						Retained Earnings/(Deficit)
			Shares						Amount																								Total
Balance at January 1, 2025			29,640						$	296					$	220,472					$	824,380					$	(501,725)					$	543,423
Issuance of common stock			2,028						20						—						15,310						—						15,330
Grant of restricted stock and amortization of equity based compensation			64						1						—						547						—						548
Common dividends declared ($0.62 per share)			—						—						—						—						(18,831)						(18,831)
Preferred dividends declared (2)			—						—						—						—						(16,010)						(16,010)
Net Income/(Loss)			—						—						—						—						35,383						35,383
Balance at September 30, 2025			31,732						$	317					$	220,472					$	840,237					$	(501,183)					$	559,843
			Common Stock												Preferred  Stock						Additional Paid-in Capital						Retained Earnings/(Deficit)
			Shares						Amount																								Total
Balance at January 1, 2024			29,437						$	294					$	220,472					$	823,715					$	(516,113)					$	528,368
Grant of restricted stock and amortization of equity based compensation			56						1						—						524						—						525
Common dividends declared ($0.56 per share)			—						—						—						—						(16,505)						(16,505)
Preferred dividends declared (2)			—						—						—						—						(13,758)						(13,758)
Net Income/(Loss)			—						—						—						—						41,455						41,455
Balance at September 30, 2024			29,493						$	295					$	220,472					$	824,239					$	(504,921)					$	540,085

(1)For the three months ended September 30, 2025 and 2024, dividends totaling $0.51563 and $0.51563 per share of Series A Preferred Stock, $0.50 and $0.50 per share of Series B Preferred Stock, and $0.706042 and $0.50 per share of Series C Preferred Stock outstanding were declared, respectively.

(2)For the nine months ended September 30, 2025 and 2024, dividends totaling $1.54689 and $1.54689 per share of Series A Preferred Stock, $1.50 and $1.50 per share of Series B Preferred Stock, and $2.103968 and $1.50 per share of Series C Preferred Stock outstanding were declared, respectively.

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

5

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AG Mortgage Investment Trust, Inc. and Subsidiaries

Consolidated Statements of Cash Flows (Unaudited)

(in thousands)

			Nine Months Ended
			September 30, 2025						September 30, 2024
Cash Flows from Operating Activities
Net income/(loss)			$	35,383					$	41,455
Adjustments to reconcile net income/(loss) to net cash provided by (used in) operating activities:
Net amortization of premium/(discount)			13,812						8,335
Net realized (gain)/loss			7,062						9,928
Net unrealized (gain)/loss			(13,961)						(20,488)
Grant of restricted stock and amortization of equity based compensation			548						525
Equity in (earnings)/loss from affiliates			(3,061)						(2,099)
Distributions of income from investments in debt and equity of affiliates			—						1,098
Change in operating assets/liabilities:
Other assets			3,218						8,172
Other liabilities			(2,107)						(6,742)
Net cash provided by (used in) operating activities			40,894						40,184
Cash Flows from Investing Activities
Purchases of residential mortgage loans			(2,674,073)						(1,241,586)
Purchases of real estate securities			(26,064)						(627,495)
Investments in debt and equity of affiliates			(114)						—
Proceeds from sales of residential mortgage loans			57,761						159,963
Proceeds from sales of real estate securities			5,189						586,094
Principal repayments on residential mortgage loans			674,461						475,300
Principal repayments on real estate securities			25,666						19,981
Principal funding on residential mortgage loans			(12,921)						(171)
Distributions received in excess of income from investments in debt and equity of affiliates			4,179						8,472
Net settlement of interest rate swaps and other instruments			(12,643)						(23,854)
Net settlement of TBAs			(1,852)						24
Cash flows provided by other investing activities			5,609						5,383
Net cash provided by (used in) investing activities			(1,954,802)						(637,889)
Cash Flows from Financing Activities
Net borrowings under (repayments of) financing arrangements			146,260						31,545
Principal repayments on fixed-rate long-term financing arrangements			(49,312)						(8,379)
Proceeds from issuance of senior unsecured notes			—						95,217
Repurchases of convertible senior unsecured notes			—						(7,059)
Principal repayments of convertible senior unsecured notes			—						(79,120)
Deferred financing costs paid			(328)						(142)
Proceeds from issuance of securitized debt			2,414,135						1,020,319
Principal repayments on securitized debt			(624,798)						(439,900)
Dividends paid on common stock			(17,799)						(12,373)
Dividends paid on preferred stock			(16,010)						(13,758)
Net cash provided by (used in) financing activities			1,852,148						586,350
Net change in cash and cash equivalents and restricted cash			(61,760)						(11,355)
Cash and cash equivalents and restricted cash, Beginning of Period			138,568						125,573
Cash and cash equivalents and restricted cash, End of Period			$	76,808					$	114,218

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			Nine Months Ended
			September 30, 2025						September 30, 2024
Supplemental disclosure of cash flow information:
Cash paid for interest			$	263,028					$	230,581
Cash paid for taxes			$	226					$	141
Supplemental disclosure of non-cash financing and investing activities:
Transfer from residential mortgage loans to securitized residential mortgage loans			$	2,592,027					$	1,104,188
Common stock dividends declared but not paid			$	6,664					$	5,604
Transfer from residential mortgage loans to other assets			$	8,319					$	3,568
Investments in debt and equity of affiliates (Note 10)			$	15,330					$	—
Issuance of common stock (Note 10)			$	15,330					$	—

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:

			September 30, 2025						September 30, 2024
Cash and cash equivalents			$	59,000					$	102,532
Restricted cash			17,808						11,686
Total cash, cash equivalents and restricted cash shown in the consolidated statements of cash flows			$	76,808					$	114,218

 

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

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AG Mortgage Investment Trust Inc. and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2025  

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 residential mortgage loans through Arc Home, LLC ("Arc Home"), a residential mortgage loan originator in which the Company owned an approximate 66.0% interest as of September 30, 2025, 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.

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, Agency-Eligible Loans, and Home Equity 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 Class						Description
Residential Investments
Non-Agency Loans(1)						•Non-Agency Loans are loans that do not conform to the underwriting guidelines of a government-sponsored enterprise ("GSE"). Non-Agency Loans consist of Qualified mortgage loans ("QM Loans") and Non-Qualified mortgage loans ("Non-QM Loans"). QM Loans are residential mortgage loans that comply with the Ability-To-Repay rules and related guidelines of the Consumer Financial 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.
Home Equity Loans(1)						•Home Equity Loans are revolving lines of credit or closed-end loans secured primarily by a second lien on a residential mortgaged property which provide borrowers access to the equity in their home without the need to pay off their existing mortgage. Home Equity Loans that are structured as revolving lines of credit generally have an initial draw period of 3 to 5 years, and after the initial draw period ends, the loans generally convert to 15- or 25-year amortizing loans.
Re- and Non-Performing Loans(1)						•Performing, re-performing, and non-performing loans are residential mortgage loans collateralized by a first lien mortgaged property.
Non-Agency RMBS(2)						•Non-Agency Residential Mortgage-Backed Securities ("RMBS") represent fixed- and floating-rate RMBS issued by entities other than U.S. GSEs or agencies of the U.S. government. Non-Agency RMBS are primarily secured by Non-QM, Agency-Eligible, Home Equity, and Prime Jumbo Loans.
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 loan participations.
CMBS(2)						•Commercial Mortgage-Backed Securities ("CMBS") represent 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.

8

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AG Mortgage Investment Trust Inc. and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2025

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

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

(3)These investments include commercial loans and CMBS (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.

The Company conducts its business through one operating and reportable segment, Loans and Securities, which reflects how the Company manages its business and analyzes and reports its results of operations. Refer to Note 13 for additional details on segment reporting.

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, its wholly-owned subsidiaries, and certain variable interest entities. All intercompany balances and transactions have been eliminated in consolidation.

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. For the three and nine months ended September 30, 2024, the Company reclassified $16 thousand and $58 thousand, respectively, from the “Non-investment related expenses” line item into the “Income tax expense” line item on the consolidated statement of operations. These expenses were reclassified to conform to the current year presentation of expenses. 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, 2024. 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, 2024 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.

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

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AG Mortgage Investment Trust Inc. and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2025

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, Home Equity Loans, and re- and non-performing loans (the trusts in which these loans are deposited are referred to as "Non-Agency VIEs", "Home Equity 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, Home Equity 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, Home Equity 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, Home Equity 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, Home Equity 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.

Transfers of financial assets

 

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

 

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

10

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AG Mortgage Investment Trust Inc. and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2025

the securities or loans sold. When a transfer of financial assets does not qualify for sale accounting, ASC 860-10 requires the transfer to be accounted for as a secured borrowing with a pledge of collateral.

 

From time to time, the Company may securitize mortgage loans it holds if such financing is available. These transactions will be recorded in accordance with ASC 860-10 and will be accounted for as either a "sale" and the loans will be removed from the consolidated balance sheets or as a "financing" and will be classified as "Securitized residential mortgage loans, at fair value" on the consolidated balance sheets, depending upon the structure of the securitization transaction. ASC 860-10 is a standard that may require the Company to exercise significant judgment in determining whether a transaction should be recorded as a "sale" or a "financing."

Recent accounting pronouncements

Income taxes

In December 2023, the FASB issued ASU 2023-09, "Improvements to Income Tax Disclosures (Topic 740)", which focuses on income tax disclosures around effective tax rates and cash income taxes paid. This standard requires entities to provide additional information about federal, state and foreign income taxes and reconciling items in the rate reconciliation table, and to disclose further disaggregation of income taxes paid (net of refunds received) by federal (national), state and foreign taxes by jurisdiction. For public business entities, the ASU is effective for annual periods beginning after December 15, 2024, with early adoption permitted. The guidance should be applied prospectively, but entities have the option to apply it retrospectively for each period presented. The Company is currently evaluating the potential impact upon adoption, but does not expect the adoption of the new standard to have a material effect on its consolidated financial statements.

Expense disaggregation

In November 2024, the FASB issued ASU 2024-03, "Income Statement - Reporting Comprehensive Income Expense Disaggregation Disclosures (Subtopic 220- 40)", and in January 2025, the FASB issued ASU 2025-01, "Income Statement - Reporting Comprehensive Income - Expense Disaggregation Disclosures (Subtopic 220-40): Clarifying the Effective Date". This standard requires public companies to disclose additional information about specific expense categories in the notes to financial statements at interim and annual reporting periods. The new standard, as clarified by ASU 2025-01, is effective for annual reporting periods beginning after December 15, 2026, and interim reporting periods beginning after December 15, 2027, with early adoption permitted. The Company is currently evaluating the potential impact upon adoption, but does not expect the adoption of the new standard to have a material effect on its consolidated financial statements.

11

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AG Mortgage Investment Trust Inc. and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2025

3. Loans

 

Residential mortgage loans

The tables below detail information regarding the Company’s residential mortgage loan portfolio by collateral type as of September 30, 2025 and December 31, 2024 ($ in thousands). The gross unrealized gains/(losses) in the table below represent inception to date gains/(losses) since acquisition.

			Unpaid Principal Balance																		Gross Unrealized																		Weighted Average
September 30, 2025									Premium (Discount)						Amortized Cost						Gains						Losses						Fair Value						Coupon						Yield (1)						Life  (Years) (2)
Securitized residential mortgage loans, at fair value (3)
Non-Agency Loans (4)			$	7,298,543					$	52,275					$	7,350,818					$	77,557					$	(285,689)					$	7,142,686					5.86		%				5.76		%				7.44
Home Equity Loans			921,111						64,181						985,292						22,619						—						1,007,911						9.81		%				7.73		%				5.01
Re- and Non-Performing Loans			160,916						(9,529)						151,387						—						(13,001)						138,386						4.25		%				5.97		%				5.53
Total Securitized residential mortgage loans, at fair value			$	8,380,570					$	106,927					$	8,487,497					$	100,176					$	(298,690)					$	8,288,983					6.26		%				5.99		%				7.14
Residential mortgage loans, at fair value
Agency-Eligible Loans			$	95,124					$	83					$	95,207					$	486					$	(22)					$	95,671					6.58		%				6.25		%				5.95
Home Equity Loans			121,535						6,326						127,861						1,143						—						129,004						9.42		%				7.90		%				4.77
Non-Agency Loans			555						16						571						8						(7)						572						6.77		%				3.65		%				3.48
Re- and Non-Performing Loans			1,314						(854)						460						797						—						1,257						N/A						NM						1.17
Total Residential mortgage loans, at fair value			$	218,528					$	5,571					$	224,099					$	2,434					$	(29)					$	226,504					8.17		%				7.59		%				5.26
Total as of September 30, 2025			$	8,599,098					$	112,498					$	8,711,596					$	102,610					$	(298,719)					$	8,515,487					6.31		%				6.03		%				7.09
			Unpaid Principal Balance																		Gross Unrealized																		Weighted Average
December 31, 2024									Premium (Discount)						Amortized Cost						Gains						Losses						Fair Value						Coupon						Yield (1)						Life  (Years) (2)
Securitized residential mortgage loans, at fair value (3)
Non-Agency Loans (4)			$	6,382,814					$	5,817					$	6,388,631					$	28,767					$	(372,801)					$	6,044,597					5.59		%				5.68		%				8.12
Re- and Non-Performing Loans			182,501						(11,515)						170,986						—						(17,905)						153,081						3.43		%				6.55		%				5.53
Total Securitized residential mortgage loans, at fair value			$	6,565,315					$	(5,698)					$	6,559,617					$	28,767					$	(390,706)					$	6,197,678					5.53		%				5.70		%				8.05
Residential mortgage loans, at fair value
Agency-Eligible Loans			$	101,570					$	908					$	102,478					$	31					$	(364)					$	102,145					6.89		%				6.58		%				4.95
Home Equity Loans			99,863						1,625						101,488						2,509						(33)						103,964						10.35		%				9.89		%				4.30
Non-Agency Loans			13,098						(273)						12,825						101						(647)						12,279						7.54		%				4.72		%				3.76
Re- and Non-Performing Loans			2,016						(1,168)						848						981						—						1,829						N/A						103.24		%				1.37
Total Residential mortgage loans, at fair value			$	216,547					$	1,092					$	217,639					$	3,622					$	(1,044)					$	220,217					8.54		%				8.39		%				4.54
Total as of December 31, 2024			$	6,781,862					$	(4,606)					$	6,777,256					$	32,389					$	(391,750)					$	6,417,895					5.62		%				5.79		%				7.93

NM - Not Meaningful

(1)The weighted average yields are calculated based on the amortized cost of the underlying loans.

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

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

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

12

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AG Mortgage Investment Trust Inc. and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2025

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

						Unpaid Principal Balance												Loan Count (1)												Aging by Unpaid Principal Balance (1)
September 30, 2025																																				Current						30-59 Days						60-89 Days						90+ Days (2)
Securitized residential mortgage loans
Non-Agency Loans						$	7,298,543											18,795																		$	7,094,787					$	85,167					$	36,597					$	81,992
Home Equity Loans						921,111												11,056																		919,036						1,375						588						112
Re- and Non-Performing Loans						160,916												1,095																		128,989						11,575						4,044						16,308
Total Securitized residential mortgage loans						$	8,380,570											30,946																		$	8,142,812					$	98,117					$	41,229					$	98,412
Residential mortgage loans
Agency-Eligible Loans						$	95,124											228																		$	95,124					$	—					$	—					$	—
Home Equity Loans						121,535												1,506																		121,504						—						—						31
Non-Agency Loans						555												2																		362						—						—						193
Re- and Non-Performing Loans (1)						1,314												N/A																		N/A						N/A						N/A						N/A
Total Residential mortgage loans						$	218,528											1,736																		$	216,990					$	—					$	—					$	224
Total as of September 30, 2025						$	8,599,098											32,682																		$	8,359,802					$	98,117					$	41,229					$	98,636
						Unpaid Principal Balance												Loan Count (1)												Aging by Unpaid Principal Balance (1)
December 31, 2024																																				Current						30-59 Days						60-89 Days						90+ Days (2)
Securitized residential mortgage loans
Non-Agency Loans						$	6,382,814											16,087																		$	6,183,680					$	86,606					$	33,793					$	78,735
Re- and Non-Performing Loans						182,501												1,259																		132,477						14,114						3,702						32,208
Total Securitized residential mortgage loans						$	6,565,315											17,346																		$	6,316,157					$	100,720					$	37,495					$	110,943
Residential mortgage loans
Agency-Eligible Loans						$	101,570											214																		$	101,062					$	508					$	—					$	—
Home Equity Loans						99,863												1,292																		99,838						25						—						—
Non-Agency Loans						13,098												24																		4,967						1,275						1,162						5,694
Re- and Non-Performing Loans (1)						2,016												N/A																		N/A						N/A						N/A						N/A
Total Residential mortgage loans						$	216,547											1,530																		$	205,867					$	1,808					$	1,162					$	5,694
Total as of December 31, 2024						$	6,781,862											18,876																		$	6,522,024					$	102,528					$	38,657					$	116,637

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

(2)Represents loans that either have a delinquency status greater than 90 days or are in the process of foreclosure. As of September 30, 2025, the $98.6 million of unpaid principal balance included securitized residential mortgage loans and residential mortgage loans that were 90+ days delinquent with a fair value of $42.6 million and loans in the process of foreclosure with a fair value of $53.1 million. As of December 31, 2024, the $116.6 million of unpaid principal balance included securitized residential mortgage loans and residential mortgage loans that were 90+ days delinquent with a fair value of $51.9 million and loans in the process of foreclosure with a fair value of $57.9 million.

As of September 30, 2025 and December 31, 2024, 6.5% and 9.6%, respectively, of the unpaid principal balance of the Company's securitized residential mortgage loans and residential mortgage loans were adjustable rate mortgages.

 

During the three and nine months ended September 30, 2025 and 2024, the Company purchased residential mortgage loans, as detailed below (in thousands).

						Three Months Ended																								Nine Months Ended
						September 30, 2025												September 30, 2024												September 30, 2025												September 30, 2024
						Unpaid Principal Balance						Fair Value (1)						Unpaid Principal Balance						Fair Value (1)						Unpaid Principal Balance						Fair Value (1)						Unpaid Principal Balance						Fair Value (1)
Agency-Eligible Loans						$	861,631					$	888,611					$	380,542					$	388,733					$	1,554,544					$	1,595,966					$	1,054,749					$	1,073,436
Home Equity Loans						768,692						830,877						131,533						136,206						991,487						1,063,466						131,533						136,206
Non-Agency Loans						—						—						—						—						—						—						23,506						23,796
Total						$	1,630,323					$	1,719,488					$	512,075					$	524,939					$	2,546,031					$	2,659,432					$	1,209,788					$	1,233,438

(1)Fair value represents purchase price at acquisition.

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AG Mortgage Investment Trust Inc. and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2025

During the three and nine months ended September 30, 2025 and 2024, the Company sold residential mortgage loans as detailed below ($ in thousands).

						Three Months Ended																								Nine Months Ended
						Number of Loans						Proceeds						Realized Gains						Realized Losses						Number of Loans						Proceeds						Realized Gains						Realized Losses
September 30, 2025
Agency-Eligible Loans						—						$	—					$	—					$	—					88						$	37,333					$	238					$	(219)
Non-Agency Loans						—						—						—						—						21						11,336						341						(1,152)
Re- and Non-Performing Loans						—						—						—						—						88						9,092						832						(1,149)
Total						—						$	—					$	—					$	—					197						$	57,761					$	1,411					$	(2,520)
September 30, 2024
Agency-Eligible Loans						190						$	73,614					$	356					$	(276)					190						$	73,614					$	356					$	(276)
Non-Agency Loans						160						86,349						1,274						(137)						160						86,349						1,274						(137)
Total						350						$	159,963					$	1,630					$	(413)					350						$	159,963					$	1,630					$	(413)

The Company’s residential mortgage loan portfolio consists of mortgage loans on residential real estate located throughout the United States. The following is a summary of the geographic concentration of credit risk as of September 30, 2025 and December 31, 2024 and includes states where the exposure is greater than 5% of the fair value of the Company's residential mortgage loan portfolio.

 

Geographic Concentration of Credit Risk (1)			September 30, 2025						December 31, 2024
California			30		%				35		%
Florida			10		%				11		%
New York			8		%				11		%
Texas			6		%				6		%
New Jersey			4		%				5		%
Other			42		%				32		%

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

 

Variable interest entities

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

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AG Mortgage Investment Trust Inc. and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2025

The following table details the carrying value related to the assets and liabilities of the Company’s consolidated VIEs as of September 30, 2025 and December 31, 2024 (in thousands).

						Non-Agency VIEs												Home Equity VIEs (1)						RPL/NPL VIEs
						September 30, 2025						December 31, 2024						September 30, 2025						September 30, 2025						December 31, 2024
Assets
Securitized residential mortgage loans, at fair value (2)						$	7,142,686					$	6,044,597					$	1,007,911					$	138,386					$	153,081
Restricted Cash						—						—						1,055						10						10
Other assets						37,726						30,922						8,611						3,921						2,064
Total Assets						$	7,180,412					$	6,075,519					$	1,017,577					$	142,317					$	155,155
Liabilities
Securitized debt, at fair value (2) (3)						$	6,469,626					$	5,391,413					$	861,727					$	96,758					$	100,554
Other liabilities						27,899						22,185						4,846						280						298
Total Liabilities						$	6,497,525					$	5,413,598					$	866,573					$	97,038					$	100,852
Total Equity (4)						$	682,887					$	661,921					$	151,004					$	45,279					$	54,303

(1)As of December 31, 2024, the Company did not hold any assets or liabilities in Home Equity VIEs.

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

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

(4)The Company had outstanding financing arrangements collateralized by the Company's retained interests in its VIEs. Refer to Note 6 for additional information.

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AG Mortgage Investment Trust Inc. and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2025

Legacy WMC Commercial loans

The tables below detail information regarding the Company's Legacy WMC Commercial loan portfolio as of September 30, 2025 and December 31, 2024 ($ in thousands). The gross unrealized gains/(losses) in the table below represent inception to date gains/(losses) since acquisition.

September 30, 2025												Premium / (Discount)						Amortized Cost						Gross Unrealized												Fair Value						Weighted Average																		Maturity Date (3)						LTV (4)						Location
Loan (1)(2)						Unpaid Principal Balance																		Gains						Losses												Coupon						Yield (3)						Life (Years) (3)
Loan A (5)						$	7,259					$	(29)					$	7,230					$	—					$	(334)					$	6,896					8.42		%				—		%				N/A						N/A						61.63		%				IL, FL
Loan B (5)						13,206						(52)						13,154						—						(608)						12,546						8.42		%				—		%				N/A						N/A						75.33		%				CA
Loan C (5)						24,535						(99)						24,436						—						(1,127)						23,309						8.42		%				—		%				N/A						N/A						77.22		%				NY
Loan D (6)						22,204						(44)						22,160						—						(7,173)						14,987						7.60		%				—		%				N/A						N/A						42.50		%				CT
Total						$	67,204					$	(224)					$	66,980					$	—					$	(9,242)					$	57,738					8.15		%				—		%																65.94		%

December 31, 2024												Premium / (Discount)						Amortized Cost						Gross Unrealized												Fair Value						Weighted Average																		Maturity Date (9)						LTV (4)						Location
Loan (1)(2)						Unpaid Principal Balance																		Gains						Losses												Coupon						Yield (7)						Life (Years) (8)
Loan A (5)						$	7,259					$	(64)					$	7,195					$	41					$	—					$	7,236					8.71		%				10.69		%				0.42						5/6/2025						61.63		%				IL, FL
Loan B (5)						13,206						(116)						13,090						74						—						13,164						8.71		%				10.69		%				0.42						5/6/2025						75.33		%				CA
Loan C (5)						24,535						(215)						24,320						137						—						24,457						8.71		%				10.69		%				0.42						5/6/2025						77.22		%				NY
Loan D (6)						22,204						(168)						22,036						112						—						22,148						7.89		%				8.73		%				0.68						8/6/2025						42.50		%				CT
Total						$	67,204					$	(563)					$	66,641					$	364					$	—					$	67,005					8.44		%				10.04		%				0.50												63.69		%

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

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

(3)The borrowers for the Company’s Legacy WMC Commercial Loans are in maturity default as of September 30, 2025. See footnotes 5 and 6 for further details related to each loan. Due to these defaults, the lender on the Company’s financing arrangements is permitted to request full repayment of the debt with respect to such assets. The Company does not currently expect the lender to require repayment of the related outstanding financing arrangements prior to its scheduled maturity in March 2026.

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

(5)Loans A, B, and C have a floating rate coupon equal to 4.20% plus one-month SOFR and are collateralized by hotels. During the second quarter 2025, these loans entered maturity default and were placed on non-accrual. Following a period of forbearance, the lender parties and the borrower are pursuing a consensual sale of the hotels, which may include transferring title of all or certain of the properties to the lender parties via a deed-in-lieu of foreclosure to facilitate the sale. The Company currently expects the sales process to be completed in the first half of 2026, however there are no assurances that sales can be completed within the time anticipated or at all.

(6)Loan D has a floating rate coupon equal to 3.38% plus one-month SOFR and is collateralized by a retail property. During the third quarter 2025, the loan entered maturity default. The property is generating positive cash flow and, as of the date of this report, the Company has continued to receive interest payments from the property’s cash flows. The lender parties are currently evaluating with the borrower a deed-in-lieu of foreclosure and/or a consensual sale of the property through a national commercial real estate sales advisor. In connection with the foregoing and the valuation analysis obtained from a third-party pricing service provider, the Company recognized an unrealized loss of $7.1 million for the three months ended September 30, 2025 and placed the loan on cost recovery status.

(7)The weighted average yields are calculated based on the amortized cost of the underlying loans.

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

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

16

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AG Mortgage Investment Trust Inc. and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2025

4. Real Estate Securities

 

The following tables detail the Company’s real estate securities portfolio by collateral type as of September 30, 2025 and December 31, 2024 ($ in thousands). The Company’s real estate securities include its interest in VIEs in which the Company has concluded that it is not the primary beneficiary and, as a result, did not consolidate the VIEs. The gross unrealized gains/(losses) in the tables below represent inception to date unrealized gains/(losses) since acquisition. 

						Current Face (1)						Premium/ (Discount) (1)						Amortized Cost						Gross Unrealized												Fair Value (2)						Weighted Average
September 30, 2025																								Gains						Losses												Coupon (3)						Yield (4)						Life (Years) (5)
Non-Agency RMBS
Non-QM Loans (6)						$	48,961					$	(2,412)					$	48,548					$	819					$	(2,670)					$	46,697					3.05		%				6.90		%				3.90
Agency-Eligible Loans (7)						46,431						(2,722)						44,336						1,735						(116)						45,955						3.53		%				7.43		%				6.78
Home Equity Loans (7)						37,950						(93)						47,628						4,820						(180)						52,268						6.04		%				12.09		%				6.65
Prime Jumbo Loans						6,345						(2,596)						3,900						910						(15)						4,795						1.03		%				9.23		%				7.68
Total Non-Agency RMBS						139,687						(7,823)						144,412						8,284						(2,981)						149,715						3.42		%				8.84		%				6.00
Legacy WMC CMBS (8)						82,962						(37,886)						45,076						6,050						(10,443)						40,683						6.47		%				17.52		%				1.58
Agency RMBS Interest Only						N/A						N/A						17,220						75						(749)						16,546						4.56		%				7.67		%				5.35
Total as of September 30, 2025						$	222,649					$	(45,709)					$	206,708					$	14,409					$	(14,173)					$	206,944					4.26		%				10.63		%				5.31

						Current Face (1)						Premium/ (Discount) (1)						Amortized Cost						Gross Unrealized												Fair Value (2)						Weighted Average
December 31, 2024																								Gains						Losses												Coupon (3)						Yield (4)						Life (Years) (5)
Non-Agency RMBS
Non-QM Loans (6)						$	49,516					$	(2,772)					$	49,015					$	1,678					$	(5,544)					$	45,149					2.83		%				7.65		%				4.62
Agency-Eligible Loans (7)						51,861						(3,062)						49,488						1,555						(148)						50,895						3.45		%				7.47		%				6.91
Home Equity Loans						15,526						640						26,076						1,445						(491)						27,030						3.40		%				16.36		%				5.26
Prime Jumbo Loans						6,415						(2,701)						3,879						632						(6)						4,505						0.97		%				9.41		%				7.95
Total Non-Agency RMBS						123,318						(7,895)						128,458						5,310						(6,189)						127,579						3.08		%				9.40		%				5.65
Legacy WMC CMBS (8)						100,896						(41,879)						59,017						2,577						(8,809)						52,785						5.13		%				16.74		%				1.77
Agency RMBS Interest Only						N/A						N/A						20,517						908						(429)						20,996						4.32		%				10.35		%				6.55
Total as of December 31, 2024						$	224,214					$	(49,774)					$	207,992					$	8,795					$	(15,427)					$	201,360					3.62		%				11.58		%				5.20

(1)Current Face and Premium/(Discount) exclude Interest Only securities, which have no principal balances and bear interest based on a notional value. The notional value is used solely to determine interest distributions on the interest only classes of securities. As of September 30, 2025, the notional balance of the Non-QM Loans, Agency-Eligible Loans, Home Equity Loans, Prime Jumbo Loans and Agency RMBS Interest Only line items were $71.5 million, $43.4 million, $163.2 million, $25.5 million and $87.6 million, respectively. As of December 31, 2024, the notional value of the Non-QM Loans, Agency-Eligible Loans, Home Equity Loans, Prime Jumbo Loans and Agency RMBS Interest Only line items were $85.6 million, $50.4 million, $163.3 million, $28.3 million and $107.2 million, respectively.

(2)The fair value of the securities held in unconsolidated VIEs represents the Company’s maximum loss exposure in unconsolidated VIEs. The Company has no obligation to provide any other explicit or implicit support to unconsolidated VIEs.

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

(4)The weighted average yields are calculated based on the amortized cost of the underlying securities.

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

(6)Certain Non-Agency RMBS include securities issued under Gold Creek Asset Trust ("GCAT"), which is the TPG Angelo Gordon securitization shelf under which the Company or private funds under the management of TPG Angelo Gordon securitize loans. These securities were retained from rated Non-QM Loan securitizations the Company participated in alongside private funds managed by TPG Angelo Gordon. The Company’s interest in the retained tranches represents its continuing involvement in these securitization trusts. As of September 30, 2025 and December 31, 2024, the Company’s Non-QM Loans includes $42.2 million and $40.3 million of retained securities from these transactions, respectively.

(7)For certain Non-Agency RMBS, the Company acted as a co-sponsor alongside an unrelated third party of rated securitizations. As the co-sponsor, the Company retained an "eligible vertical interest" to comply with risk retention rules which consists of at least 5% of each class of securities issued in the securitizations and represents the Company’s continuing involvement in these securitization trusts. The remaining tranches were sold to third parties and certain private funds managed by TPG Angelo Gordon or retained by the Company. As of September 30, 2025 and December 31, 2024, the Company’s Agency-Eligible Loans includes $44.0 million and $48.2 million of retained securities from these transactions, respectively. As of September 30, 2025, the Company’s Home Equity Loans includes $24.5 million of retained securities from these transactions.

(8)As of September 30, 2025, there are Legacy WMC CMBS with an unpaid principal balance of $23.5 million and a fair value of $7.1 million which are on non-accrual or cost recovery status. As of December 31, 2024, there are Legacy WMC CMBS with an unpaid principal balance of $23.5 million and a fair value of $6.0 million which are on non-accrual or cost recovery status.

17

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AG Mortgage Investment Trust Inc. and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2025

The following tables summarize the Company's real estate securities according to their projected weighted average life classifications as of September 30, 2025 and December 31, 2024 (in thousands).

September 30, 2025						Non-Agency RMBS												Legacy WMC CMBS																		Agency RMBS
Weighted Average Life (1)						Fair Value						Amortized Cost						Fair Value						Amortized Cost																		Fair Value						Amortized Cost
Less than or equal to one year						$	—					$	—					$	2,451					$	5,914																	$	—					$	—
Greater than one year and less than or equal to five years						50,957						49,357						38,232						39,162																		644						613
Greater than five years and less than or equal to ten years						78,249						75,275						—						—																		15,902						16,607
Greater than ten years						20,509						19,780						—						—																		—						—
Total as of September 30, 2025						$	149,715					$	144,412					$	40,683					$	45,076																	$	16,546					$	17,220

December 31, 2024						Non-Agency RMBS												Legacy WMC CMBS																		Agency RMBS
Weighted Average Life (1)						Fair Value						Amortized Cost						Fair Value						Amortized Cost																		Fair Value						Amortized Cost
Less than or equal to one year						$	2,983					$	2,901					$	14,731					$	14,945																	$	—					$	—
Greater than one year and less than or equal to five years						16,277						13,197						38,054						44,071																		676						667
Greater than five years and less than or equal to ten years						71,588						75,990						—						—																		20,320						19,850
Greater than ten years						36,731						36,370						—						—																		—						—
Total as of December 31, 2024						$	127,579					$	128,458					$	52,785					$	59,016																	$	20,996					$	20,517

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

The Company sold real estate securities during the three and nine months ended September 30, 2025 and 2024, as detailed below ($ in thousands).

			Three Months Ended																								Nine Months Ended
			Number of Securities						Proceeds						Realized Gains						Realized Losses						Number of Securities						Proceeds						Realized Gains						Realized Losses
September 30, 2025
Agency RMBS			—						$	—					$	—					$	—					1						$	1,894					$	241					$	—
Non-Agency RMBS			—						—						—						—						2						1,336						72						—
Legacy WMC CMBS			—						—						—						—						1						1,959						—						(144)
September 30, 2024
Agency RMBS			6						$	543,172					$	10,172					$	—					6						$	543,172					$	10,172					$	—
Non-Agency RMBS			1						2,215						187						—						14						41,391						3,352						(482)
Legacy WMC CMBS			1						1,531						—						(62)						1						1,531						—						(62)

5. Fair value measurements

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

18

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AG Mortgage Investment Trust Inc. and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2025

The following tables present the Company’s financial instruments measured at fair value on a recurring basis as of September 30, 2025 and December 31, 2024 (in thousands).

						Fair Value at September 30, 2025
						Level 1						Level 2						Level 3						Total
Assets:
Securitized residential mortgage loans						$	—					$	—					$	8,288,983					$	8,288,983
Residential mortgage loans						—						1,257						225,247						226,504
Legacy WMC Commercial Loans						—						—						57,738						57,738
Non-Agency RMBS						—						11,288						138,427						149,715
Legacy WMC CMBS						—						40,683						—						40,683
Agency RMBS						—						16,546						—						16,546
Derivative assets (1)						—						5,795						128						5,923
Cash equivalents (2)						53,422						—						—						53,422
AG Arc (3)						—						—						49,244						49,244
Total Assets Measured at Fair Value						$	53,422					$	75,569					$	8,759,767					$	8,888,758
Liabilities:
Securitized debt						$	—					$	—					$	(7,428,111)					$	(7,428,111)
Loan purchase commitment (4)						—						—						(410)						(410)
Derivative liabilities (1)						—						(4,004)						(221)						(4,225)
Total Liabilities Measured at Fair Value						$	—					$	(4,004)					$	(7,428,742)					$	(7,432,746)
						Fair Value at December 31, 2024
						Level 1						Level 2						Level 3						Total
Assets:
Securitized residential mortgage loans						$	—					$	—					$	6,197,678					$	6,197,678
Residential mortgage loans						—						1,829						218,388						220,217
Legacy WMC Commercial loans						—						—						67,005						67,005
Non-Agency RMBS						—						12,046						115,533						127,579
Legacy WMC CMBS						—						52,785						—						52,785
Agency RMBS						—						20,996						—						20,996
Derivative assets (1)						—						11,414						204						11,618
Cash equivalents (2)						117,979						—						—						117,979
AG Arc (3)						—						—						30,778						30,778
Total Assets Measured at Fair Value						$	117,979					$	99,070					$	6,629,586					$	6,846,635
Liabilities:
Securitized debt						$	—					$	—					$	(5,491,967)					$	(5,491,967)
Derivative liabilities (1)						—						(38)						(336)						(374)
Total Liabilities Measured at Fair Value						$	—					$	(38)					$	(5,492,303)					$	(5,492,341)

(1)As of September 30, 2025, the Company applied a reduction in fair value of $4.9 million and $2.3 million to its interest rate swap assets and liabilities, respectively, related to variation margin with a corresponding increase or decrease in restricted cash. As of December 31, 2024, the Company applied a reduction in fair value of $11.4 million and $35.0 thousand to its interest rate swap assets and liabilities, respectively, related to variation margin with a corresponding increase or decrease in restricted cash, net of collateral posted by the Company's derivative counterparties. Derivative assets and liabilities are included in the "Other assets" and "Other liabilities" line items on the consolidated balance sheets, respectively.

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

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

(4)The Company has elected the fair value option pursuant to ASC 825 for its loan purchase commitments. Loan purchase commitment liabilities are included in the “Other liabilities" line item on the consolidated balance sheets.

19

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AG Mortgage Investment Trust Inc. and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2025

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

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

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

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

The Company did not have any transfers of assets or liabilities between Levels 1 and 2 of the fair value hierarchy during the three and nine months ended September 30, 2025 and 2024.

The Company did not have any transfers of assets or liabilities between Levels 1 or 2 and Level 3 of the fair value hierarchy during the three and nine months ended September 30, 2025. The Company transferred $1.6 million of residential mortgage loans from Level 3 to Level 2 of the fair value hierarchy during the nine months ended September 30, 2024. Transfers into the Level 3 category of the fair value hierarchy occur due to instruments exhibiting indications of reduced levels of market transparency. Transfers out of the Level 3 category of the fair value hierarchy occur due to instruments exhibiting indications of increased levels of market transparency. Indications of increases or decreases in levels of market transparency include a change in observable transactions or executable quotes involving these instruments or similar instruments. Changes in these indications could impact price transparency, and thereby cause a change in level designations in future periods.

20

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AG Mortgage Investment Trust Inc. and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2025

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

Three Months Ended September 30, 2025
			Residential Mortgage Loans (1)						Legacy WMC Commercial Loans						Non-Agency RMBS																		Other Assets (2)												AG Arc						Securitized Debt												Other Liabilities (2)
Beginning balance			$	6,974,999					$	64,883					$	137,945																	$	511											$	32,205					$	(5,937,637)											$	(51)
Purchases			1,719,848						—						—																		—												15,330						—												—
Issuances of Securitized Debt			—						—						—																		—												—						(1,678,309)												—
Capital distributions			—						—						—																		—												(628)						—												—
Proceeds from sales or settlements			—						—						—																		(628)												—						—												153
Principal repayments			(251,531)						—						(2,898)																		—												—						238,336												—
Principal funding			5,968						—						—																		—												—						—												—
Included in net income:
Net premium and discount amortization (3)			(591)						6						(679)																		—												—						(4,791)												—
Net realized gain/(loss)			(224)						—						—																		628												—						—												(153)
Net unrealized gain/(loss)			67,042						(7,151)						4,059																		(383)												—						(45,710)												(580)
Equity in earnings/(loss) from affiliates			—						—						—																		—												2,337						—												—
Other (4)			(1,281)						—						—																		—												—						—												—
Ending Balance			$	8,514,230					$	57,738					$	138,427																	$	128											$	49,244					$	(7,428,111)											$	(631)
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held as of September 30, 2025
Net premium and discount amortization (3)			$	(591)					$	6					$	(679)																	$	—											$	—					$	(4,791)											$	—
Net unrealized gain/(loss)			67,042						(7,151)						4,059																		128												—						(45,710)												(631)
Equity in earnings/(loss) from affiliates			—						—						—																		—												2,337						—												—

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

(1)Includes Securitized residential mortgage loans.

(2)Other assets and Other liabilities include derivative forward purchase commitments and loan purchase commitments, if applicable.

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

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

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

21

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AG Mortgage Investment Trust Inc. and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2025

Nine Months Ended September 30, 2025
			Residential Mortgage Loans (1)						Legacy WMC Commercial Loans						Non-Agency RMBS																		Other Assets (2)												AG Arc						Securitized Debt												Other Liabilities (2)
Beginning balance			$	6,416,066					$	67,005					$	115,533																	$	204											$	30,778					$	(5,491,967)											$	(336)
Purchases			2,659,469						—						25,963																		—												15,330						—												—
Issuances of Securitized Debt			—						—						—																		—												—						(2,401,639)												—
Capital distributions			—						—						—																		—												(628)						—												—
Proceeds from sales or settlements			(57,761)						—						—																		(886)												—						—												451
Principal repayments			(673,916)						—						(6,600)																		—												—						621,485												—
Principal funding			12,921						—						—																		—												—						—												—
Included in net income:
Net premium and discount amortization (3)			3,514						339						(2,197)																		—												—						(18,248)												—
Net realized gain/(loss)			(1,946)						—						—																		886												—						—												(451)
Net unrealized gain/(loss)			163,425						(9,606)						5,728																		(76)												—						(137,742)												(295)
Equity in earnings/(loss) from affiliates			—						—						—																		—												3,764						—												—
Other (4)			(7,542)						—						—																		—												—						—												—
Ending Balance			$	8,514,230					$	57,738					$	138,427																	$	128											$	49,244					$	(7,428,111)											$	(631)
Change in unrealized appreciation/(depreciation) for level 3 assets/liabilities still held as of September 30, 2025
Net premium and discount amortization (3)			$	3,473					$	339					$	(2,197)																	$	—											$	—					$	(18,248)											$	—
Net unrealized gain/(loss)			162,568						(9,606)						5,728																		128												—						(137,742)												(631)
Equity in earnings/(loss) from affiliates			—						—						—																		—												3,764						—												—

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

(1)Includes Securitized residential mortgage loans.

(2)Other assets and Other liabilities include derivative forward purchase commitments and loan purchase commitments, if applicable.

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

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

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

22

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AG Mortgage Investment Trust Inc. and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2025

The following table presents a summary of quantitative information about the significant unobservable inputs used in the fair value measurement of investments for which the Company has utilized Level 3 inputs to determine fair value as of September 30, 2025 and December 31, 2024 ($ in thousands).

																		September 30, 2025												December 31, 2024
						Valuation Technique						Unobservable Input						Fair Value						Range (Weighted Average) (1)						Fair Value						Range (Weighted Average) (1)
						Securitized Residential Mortgage Loans
												Yield												4.63% - 17.25% (5.80%)												5.75% - 11.18% (6.26%)
						Discounted Cash Flow						Projected Collateral Prepayments						$	8,288,983					4.37% - 13.58% (9.82%)						$	6,197,678					4.95% - 14.48% (8.87%)
									Projected Collateral Losses												0.00% - 1.81% (0.10%)												0.00% - 2.02% (0.08%)
									Projected Collateral Severities												-35.90% - 100.00% (28.06%)												-19.30% - 26.00% (19.34%)
						Residential Mortgage Loans
												Yield												5.73% - 11.54% (6.76%)												6.44% - 15.63% (7.76%)
						Discounted Cash Flow						Projected Collateral Prepayments						$	225,247					3.82% - 34.32% (15.84%)						$	218,388					1.29% - 32.03% (17.65%)
									Projected Collateral Losses												0.00% - 11.14% (1.32%)												0.00% - 26.56% (1.00%)
												Projected Collateral Severities												-25.00% - 59.41% (15.80%)												-25.96% - 25.00% (16.59%)
						Legacy WMC Commercial Loans
												Yield												4.39% - 9.17% (7.93%)												8.06% - 9.63% (9.11%)
						Discounted Cash Flow						Credit Spread						$	57,738					70 bps - 512 bps (397 bps)						$	67,005					377 bps - 512 bps (467 bps)
												Recovery Percentage (2)												69.53% - 98.73% (91.15%)												100.00% - 100.00% (100.00%)
						Non-Agency RMBS
												Yield												5.02% - 20.00% (7.69%)												5.86% - 25.00% (7.90%)
						Discounted Cash Flow						Projected Collateral Prepayments						$	138,427					7.46% - 12.21% (10.79%)						$	115,533					7.37% - 14.50% (11.46%)
									Projected Collateral Losses												0.00% - 0.25% (0.06%)												0.00% - 0.18% (0.04%)
												Projected Collateral Severities												10.00% - 100.00% (44.32%)												10.00% - 25.00% (18.17%)
						Other Assets (3)
												Yield												5.92% - 6.76% (6.05%)												6.59% - 7.70% (6.72%)
						Discounted Cash Flow						Projected Collateral Prepayments						$	128					9.07% - 23.38% (17.57%)						$	204					11.52% - 25.78% (19.09%)
									Projected Collateral Losses												0.05% - 5.96% (1.19%)												0.02% - 2.73% (0.71%)
												Projected Collateral Severities												10.00% - 10.00% (10.00%)												10.00% - 10.00% (10.00%)
												Pull Through Percentages												65.00% - 100.00% (94.15%)												60.00% - 100.00% (89.33%)
						AG Arc
						Comparable Multiple						Book Value Multiple						$	49,244					1.025x - 1.025x (1.025x)						$	30,778					0.95x - 0.95x (0.95x)
						Securitized Debt
												Yield												4.36% - 30.00% (5.42%)												5.11% - 25.00% (5.86%)
						Discounted Cash Flow						Projected Collateral Prepayments						$	(7,428,111)					4.37% - 13.58% (9.81%)						$	(5,491,967)					4.95% - 14.48% (8.85%)
												Projected Collateral Losses												0.00% - 0.50% (0.10%)												0.00% - 0.50% (0.07%)
												Projected Collateral Severities												10.00% - 100.00% (27.76%)												10.00% - 26.00% (19.63%)
						Other Liabilities (3)
												Yield												5.91% - 6.76% (6.11%)												6.58% - 6.96% (6.67%)
						Discounted Cash Flow						Projected Collateral Prepayments						$	(631)					6.05% - 26.73% (18.23%)						$	(336)					9.00% - 26.94% (18.34%)
									Projected Collateral Losses												0.10% - 10.10% (0.32%)												0.01% - 1.36% (0.17%)
												Projected Collateral Severities												10.00% - 13.83% (10.03%)												10.00% - 10.00% (10.00%)
												Pull Through Percentages												65.00% - 100.00% (92.02%)												65.00% - 100.00% (90.48%)

(1)Amounts are weighted based on fair value.

(2)Represents the proportion of the principal expected to be collected relative to the loan balances as of September 30, 2025 and December 31, 2024.

(3)Other assets and Other liabilities include derivative forward purchase commitments and loan purchase commitments, if applicable.

23

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AG Mortgage Investment Trust Inc. and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2025

6. Financing

The following table presents a summary of the Company's financing as of September 30, 2025 and December 31, 2024 ($ in thousands).

			September 30, 2025																																				December 31, 2024
			Financing																		Weighted Average												Collateral Fair Value (1)(2)						Financing
			Current Face						Carrying Value						Stated Maturity						Funding Cost						Life (Years)												Carrying Value
Financing Arrangements by Asset Type (3)
Securitized Residential Mortgage Loans (4)
Non-Agency Loans			$	439,020					$	439,020					Oct 2025 - May 2026						5.71		%				0.19						$	675,319					$	370,913
Home Equity Loans			68,851						68,851						Dec 2025						5.02		%				0.21						86,761						—
Re- and Non-Performing Loans			26,992						26,992						Oct 2025						6.23		%				0.04						41,904						31,798
Residential Mortgage Loans (5)
Agency-Eligible Loans			89,845						89,845						Nov 2025						5.96		%				0.16						95,671						95,688
Home Equity Loans (6)			59,623						59,623						Jun 2026 - Jul 2026						6.75		%				0.75						129,004						87,440
Non-Agency Loans			—						—						N/A						N/A						N/A						572						7,615
Legacy WMC Commercial Loans			27,436						27,436						Mar 2026						7.16		%				0.48						57,738						47,222
Non-Agency RMBS			98,130						98,130						Oct 2025 - May 2026						5.08		%				0.23						130,657						78,978
Legacy WMC CMBS			17,348						17,348						Oct 2025 - Dec 2025						5.55		%				0.15						40,651						20,416
Agency RMBS			11,000						11,000						Oct 2025 - Dec 2025						4.60		%				0.22						15,821						2,038
Total Financing Arrangements			$	838,245					$	838,245											5.72		%				0.24						$	1,274,098					$	742,108
Securitized debt, at fair value (7)(8)
Non-Agency Loans (9)			$	6,676,720					$	6,469,626					N/A						5.35		%				5.73						N/A						$	5,391,413
Home Equity Loans (9)			828,954						861,727						N/A						5.89		%				2.52						N/A						—
Re- and Non-Performing Loans			102,656						96,758						N/A						3.42		%				3.36						N/A						100,554
Total Securitized Debt			$	7,608,330					$	7,428,111											5.39		%				5.38						N/A						$	5,491,967
Senior Unsecured Notes (10)
February 2029 Senior Unsecured Notes			$	34,500					$	33,249					Feb 2029						10.79		%				3.43						N/A						$	33,028
May 2029 Senior Unsecured Notes			65,000						63,018						May 2029						10.52		%				3.68						N/A						62,693
Total Senior Unsecured Notes			$	99,500					$	96,267											10.61		%				3.59						N/A						$	95,721
Total Financing			$	8,546,075					$	8,362,623											5.48		%				5.02						$	1,274,098					$	6,329,796

(1)The Company also had $4.4 million and $10.6 million of cash pledged under repurchase agreements as of September 30, 2025 and December 31, 2024, respectively.

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

(3)Financing arrangements are recorded at amortized cost on the Company's consolidated balance sheets. The fair value of the Company's financing arrangements approximates the carrying value due to their floating interest rates and short-term maturities of generally one year or less. Financing arrangements are classified as Level 2 of the fair value hierarchy.

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

(5)The Company's Residential mortgage loan financing arrangements include a maximum borrowing capacity of $1.6 billion on facilities used to finance Agency-Eligible, Home Equity and Non-Agency Loans of which $50 million is contractually committed.

(6)The collateral fair value pledged includes $54.0 million of Home Equity Loans, with an unpaid principal balance of $50.9 million, in which the Company has no outstanding financing but has the ability to borrow from up to $50 million of available committed financing at an advance rate of 87.5% of unpaid principal balance pledged as collateral.

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

(8)The weighted average funding costs are calculated based on the amortized cost of the underlying securities.

(9)The current face on the Company's Securitized debt in the Company's Non-Agency VIEs and Home Equity VIEs excludes Interest Only classes which have no principal balances and bear interest based on a notional value. The notional value is used solely to determine interest distributions on the interest only classes of securities. As of September 30, 2025, the notional value of interest only classes of Securitized debt in the Non-Agency VIEs and Home Equity VIEs was $3.4 billion and $310.9 million, respectively.

(10)The Senior Unsecured Notes are recorded at amortized cost in the Company's consolidated balance sheets. As of September 30, 2025, the fair value of the Senior Unsecured Notes was $101.3 million. The fair value of the Senior Unsecured Notes is based upon prices obtained from third-party pricing services or broker quotations and are classified as Level 2 of the fair value hierarchy.

24

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AG Mortgage Investment Trust Inc. and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2025

Senior Unsecured Notes

The Company’s Senior Unsecured Notes consist of $34.5 million principal amount 9.500% Senior Notes due February 2029 ("February 2029 Senior Unsecured Notes") and $65.0 million principal amount 9.500% Senior Notes due May 2029 ("May 2029 Senior Unsecured Notes" and together with the February 2029 Senior Unsecured Notes, the "Senior Unsecured Notes"). The February 2029 Senior Unsecured Notes were issued on January 26, 2024 in a public offering for net proceeds of approximately $32.8 million and the May 2029 Senior Unsecured Notes were issued on May 15, 2024 in a public offering for net proceeds of approximately $62.4 million. The below table provides a summary of the Senior Unsecured Notes as of September 30, 2025 ($ in thousands).

						Principal Amount (1)						Carrying Value												Maturity Date (2)						Redemption Date (3)						Rate (4)
February 2029 Senior Unsecured Notes						$	34,500					$	33,249											February 15, 2029						February 15, 2026						9.500		%
May 2029 Senior Unsecured Notes						$	65,000					$	63,018											May 15, 2029						May 15, 2026						9.500		%

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

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

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

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

The below table details the total interest expense incurred on the Senior Unsecured Notes during the three and nine months ended September 30, 2025 and 2024 (in thousands).

						Three Months Ended												Nine Months Ended
						September 30, 2025						September 30, 2024						September 30, 2025						September 30, 2024
Coupon interest expense						$	2,363					$	2,363					$	7,089					$	4,563
Amortization expense						187						168						546						332
Total interest expense						$	2,550					$	2,531					$	7,635					$	4,895

Legacy WMC Convertible Notes

In connection with the WMC acquisition, a wholly owned subsidiary of the Company assumed, and the Company guaranteed, $86.25 million aggregate principal amount of Legacy WMC Convertible Notes. The Legacy WMC Convertible Notes had an interest rate of 6.75% and interest was paid semiannually. During the nine months ended September 30, 2024, the Company repurchased $7.1 million of principal amount of its outstanding Legacy WMC Convertible Notes. The Company paid off the remaining principal amount outstanding of the Legacy WMC Convertible Notes at maturity in September 2024.

There was no interest expense incurred during the three and nine months ended September 30, 2025 as the Legacy WMC Convertible Notes matured in September 2024. The below table details the total interest expense incurred on the Legacy WMC Convertible Notes during the three and nine months ended September 30, 2024 (in thousands).

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

25

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AG Mortgage Investment Trust Inc. and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2025

Contractual maturities

The following table allocates the current face of the Company's borrowings under financing arrangements and the Senior Unsecured Notes as of September 30, 2025 by contractual maturity (in thousands). Securitized debt is excluded from the below table as it does not have a contractual maturity.

						Within 30 Days						Over 30 Days to 3 Months						Over 3 Months to 12 Months						Over 12 Months						Total
Financing Arrangements by Asset Type
Securitized Residential Mortgage Loans
Non-Agency Loans						$	139,443					$	188,404					$	111,173					$	—					$	439,020
Home Equity Loans						—						68,851						—						—						68,851
Re- and Non-Performing Loans						26,992						—						—						—						26,992
Residential Mortgage Loans
Agency-Eligible Loans						—						89,845						—						—						89,845
Home Equity Loans						—						—						59,623						—						59,623
Legacy WMC Commercial Loans (1)						—						—						27,436						—						27,436
Non-Agency RMBS						2,262						83,300						12,568						—						98,130
Legacy WMC CMBS						6,309						11,039						—						—						17,348
Agency RMBS						930						10,070						—						—						11,000
Total Financing Arrangements						$	175,936					$	451,509					$	210,800					$	—					$	838,245
Senior Unsecured Notes
February 2029 Senior Unsecured Notes						$	—					$	—					$	—					$	34,500					$	34,500
May 2029 Senior Unsecured Notes						—						—						—						65,000						65,000
Total Senior Unsecured Notes						$	—					$	—					$	—					$	99,500					$	99,500

(1)The borrowers for the Company’s Legacy WMC Commercial Loans are in maturity default as of September 30, 2025. Due to these defaults, the lender on the Company’s financing arrangements is permitted to request full repayment of the debt with respect to such assets. The Company does not currently expect the lender to require repayment of the related outstanding financing arrangements prior to its scheduled maturity in March 2026.

Counterparties

The Company had outstanding financing arrangements with six counterparties as of September 30, 2025 and December 31, 2024.

The following table presents information as of September 30, 2025 and December 31, 2024 with respect to each counterparty that provides the Company with financing for which the Company had greater than 5% of its stockholders’ equity at risk, excluding stockholders’ equity at risk under financing through affiliated entities ($ in thousands).

						September 30, 2025																		December 31, 2024
Counterparty						Stockholders' Equity at Risk						Weighted Average Maturity (days)						Percentage of Stockholders' Equity						Stockholders' Equity at Risk						Weighted Average Maturity (days)						Percentage of Stockholders' Equity
BofA Securities, Inc.						$	144,199					72						25.8		%				$	135,141					82						25.0		%
Goldman Sachs Bank USA						132,921						50						23.7		%				92,220						118						17.1		%
Barclays Capital Inc.						106,142						132						19.0		%				75,516						20						14.0		%
JP Morgan Securities, LLC						30,459						29						5.4		%				(1)						(1)						(1)
Atlas Securitized Products, L.P.						30,233						175						5.4		%				(1)						(1)						(1)
Various (2)						(2)						(2)						(2)						81,855						211						15.2		%

(1)As of December 31, 2024, the Company had less than 5% of its equity at risk under financing arrangements with Atlas Securitized Products, L.P. and JP Morgan Securities, LLC.

(2)As of December 31, 2024, certain retained interests in securitizations are held in WMC RR 2023-1 Trust, a wholly owned subsidiary of the Company. WMC RR 2023-1 Trust issued certificates which were sold to various third-party investors. WMC RR 2023-1 Trust matured and was paid off in July 2025.

26

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AG Mortgage Investment Trust Inc. and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2025

Financial Covenants

The Company’s financing arrangements generally include customary representations, warranties, and covenants, but may also contain more restrictive supplemental terms and conditions. Although specific to each financing arrangement, typical supplemental terms include requirements of minimum equity and liquidity, leverage ratios, and performance triggers. In addition, some of the financing arrangements contain cross default features, whereby default under an agreement with one lender simultaneously causes default under agreements with other lenders. To the extent that the Company fails to comply with the covenants contained in these financing arrangements or is otherwise found to be in default under the terms of such agreements, the counterparty has the right to accelerate amounts due under the associated agreement. Financings pursuant to financing arrangements are generally recourse to the Company. As of September 30, 2025, the Company is in compliance with all of its financial covenants.

7. Other assets and liabilities

The following table details certain information related to the Company's "Other assets" and "Other liabilities" line items on its consolidated balance sheets as of September 30, 2025 and December 31, 2024 (in thousands).

						September 30, 2025						December 31, 2024
Other assets
Interest receivable						$	48,566					$	34,930
Real estate owned						5,506						3,537
Derivative assets, at fair value						1,004						204
Other assets						2,628						3,269
Due from broker						278						—
Total Other assets						$	57,982					$	41,940
Other liabilities
Due to affiliates (1)						$	5,015					$	4,275
Interest payable						36,042						28,294
Derivative liabilities, at fair value						1,909						340
Loan purchase commitment, at fair value						410						—
Accrued expenses						2,200						1,698
Due to broker						899						48
Taxes payable						698						103
Total Other liabilities						$	47,173					$	34,758

(1)Refer to Note 10 for more information.

27

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AG Mortgage Investment Trust Inc. and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2025

Derivatives

The following table presents information related to the Company's derivatives and other instruments and their balance sheet location as of September 30, 2025 and December 31, 2024 (in thousands).

												Balance Sheet  Location						September 30, 2025												December 31, 2024
Derivatives and Other Instruments (1)																		Notional						Fair Value						Notional						Fair Value
Pay Fix/Receive Float Interest Rate Swap Agreements (2) (3)												Other assets						$	231,500					$	56					$	337,550					$	—
Pay Fix/Receive Float Interest Rate Swap Agreements (2) (3)												Other liabilities						213,560						—						5,000						(4)
Short TBAs												Other assets						—						820						—						—
Short TBAs												Other liabilities						—						(1,688)						—						—
Forward Purchase Commitments												Other assets						32,446						128						30,581						204
Forward Purchase Commitments												Other liabilities						30,096						(221)						35,398						(336)

(1)As of September 30, 2025 and December 31, 2024, no derivatives held by the Company were designated as hedges for accounting purposes.

(2)As of September 30, 2025, the Company applied a reduction in fair value of $4.9 million and $2.3 million to its interest rate swap assets and liabilities, respectively, related to variation margin with a corresponding increase or decrease in restricted cash. As of December 31, 2024, the Company applied a reduction in fair value of $11.4 million and $35.0 thousand to its interest rate swap assets and liabilities, respectively, related to variation margin with a corresponding increase or decrease in restricted cash, net of collateral posted by the Company's derivative counterparties.

(3)As of September 30, 2025, the Company's pay fix/receive float interest rate swaps had a weighted average pay-fixed rate of 3.34%, a weighted average receive-variable rate of 4.24%, and a weighted average years to maturity of 4.66 years. As of December 31, 2024, the Company's pay fix/receive float interest rate swaps had a weighted average pay-fixed rate of 3.48%, a weighted average receive-variable rate of 4.49%, and a weighted average years to maturity of 4.86 years.

Derivative and other instruments eligible for offset are presented gross on the consolidated balance sheets as of September 30, 2025 and December 31, 2024, if applicable. The Company has not offset or netted any derivatives or other instruments with any financial instruments or cash collateral posted or received.

 

The Company must post cash or securities as collateral on its derivative instruments when their fair value declines. This typically occurs when prevailing market rates change adversely, with the severity of the change also dependent on the term of the derivatives involved. The posting of collateral is generally bilateral, meaning that if the fair value of the Company’s derivatives increases, its counterparty must post collateral. As of September 30, 2025, the Company's restricted cash balance included $12.3 million of collateral related to certain derivatives, of which $9.7 million represents cash collateral posted by the Company and $2.6 million represents amounts related to variation margin. As of December 31, 2024, the Company's restricted cash balance included $9.3 million of collateral related to certain derivatives, of which $0.7 million represents cash collateral posted by the Company and $8.6 million represents amounts related to variation margin.

28

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AG Mortgage Investment Trust Inc. and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2025

The following table summarizes total income related to derivatives and other instruments for the three and nine months ended September 30, 2025 and 2024 (in thousands).

						Three Months Ended												Nine Months Ended
						September 30, 2025						September 30, 2024						September 30, 2025						September 30, 2024
Included within Net interest component of interest rate swaps
Interest Rate Swaps						$	1,108					$	2,180					$	2,666					$	6,447
Included within Net unrealized gain/(loss)
Interest Rate Swaps						(830)						(5,215)						(7,560)						3,379
Short TBAs						(868)						—						(868)						63
Forward Purchase Commitments						(129)						238						39						(1,041)
						(1,827)						(4,977)						(8,389)						2,401
Included within Net realized gain/(loss)
Interest Rate Swaps						(1,299)						(21,551)						(3,867)						(24,612)
Short TBAs						(2,514)						—						(1,852)						24
Forward Purchase Commitments						119						342						79						1,313
						(3,694)						(21,209)						(5,640)						(23,275)
Total income/(loss)						$	(4,413)					$	(24,006)					$	(11,363)					$	(14,427)

Derivative Activity

 

The following table presents information about the Company’s derivatives for the three and nine months ended September 30, 2025 and 2024 (in thousands).

						Beginning Notional Amount						Buys or Covers						Sales or Shorts (1)						Ending Notional Amount																		Derivative Asset						Derivative Liability
Three Months Ended September 30, 2025
Interest Rate Swaps						$	345,000					$	227,180					$	(127,120)					$	445,060																	$	56					$	—
Short TBAs						(195,000)						775,000						(580,000)						—																		820						(1,688)
Three Months Ended September 30, 2024
Interest Rate Swaps						$	818,000					$	129,000					$	(642,500)					$	304,500																	$	—					$	(86)
Nine Months Ended September 30, 2025
Interest Rate Swaps						$	342,550					$	626,680					$	(524,170)					$	445,060																	$	56					$	—
Short TBAs						—						1,075,000						(1,075,000)						—																		820						(1,688)
Nine Months Ended September 30, 2024
Interest Rate Swaps						$	503,000					$	846,750					$	(1,045,250)					$	304,500																	$	—					$	(86)
Short TBAs						(9,000)						130,000						(121,000)						—																		—						—

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

29

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AG Mortgage Investment Trust Inc. and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2025

8. Earnings per share

The following table presents a reconciliation of the earnings and shares used in calculating basic and diluted earnings per share for the three and nine months ended September 30, 2025 and 2024 (in thousands, except per share data).

						Three Months Ended												Nine Months Ended
						September 30, 2025						September 30, 2024						September 30, 2025						September 30, 2024
Numerator:
Net Income/(Loss)						$	19,961					$	16,640					$	35,383					$	41,455
Dividends on preferred stock						5,344						4,716						15,969						13,888
Net Income/(Loss) Available to Common Stockholders						$	14,617					$	11,924					$	19,414					$	27,567
Denominator:
Basic weighted average common shares outstanding						31,049						29,493						30,136						29,473
Dilutive effect of restricted stock units						15						27						22						27
Diluted weighted average common shares outstanding						31,064						29,520						30,158						29,500
Earnings/(Loss) Per Share
Basic						$	0.47					$	0.40					$	0.64					$	0.94
Diluted						$	0.47					$	0.40					$	0.64					$	0.93

Dividends

The following tables detail the Company's common stock dividends declared during the nine months ended September 30, 2025 and 2024.

Nine Months Ended September 30, 2025

Nine Months Ended September 30, 2024

Declaration Date

Record Date

Payment Date

Cash Dividend Per Share

Declaration Date

Record Date

Payment Date

Cash Dividend Per Share

3/17/2025

3/31/2025

4/30/2025

$

0.20

3/15/2024

3/29/2024

4/30/2024

$

0.18

6/17/2025

6/30/2025

7/31/2025

0.21

6/13/2024

6/28/2024

7/31/2024

0.19

9/15/2025

9/30/2025

10/31/2025

0.21

9/16/2024

9/30/2024

10/31/2024

0.19

Total

$

0.62

Total

$

0.56

30

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AG Mortgage Investment Trust Inc. and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2025

The following tables detail the Company's preferred stock dividends declared and paid during the nine months ended September 30, 2025 and 2024.

						2025																		Cash Dividend Per Share
						Declaration Date						Record Date						Payment Date						8.25% Series A						8.00% Series B						8.000% Series C
						2/14/2025						2/28/2025						3/17/2025						$	0.51563					$	0.50					$	0.693062
						5/5/2025						5/30/2025						6/17/2025						0.51563						0.50						0.704864
						7/31/2025						8/29/2025						9/17/2025						0.51563						0.50						0.706042
						Total																		$	1.54689					$	1.50					$	2.103968
						2024																		Cash Dividend Per Share
						Declaration Date						Record Date						Payment Date						8.25% Series A						8.00% Series B						8.000% Series C
						2/16/2024						2/29/2024						3/18/2024						$	0.51563					$	0.50					$	0.50
						5/2/2024						5/31/2024						6/17/2024						0.51563						0.50						0.50
						8/1/2024						8/30/2024						9/17/2024						0.51563						0.50						0.50
						Total																		$	1.54689					$	1.50					$	1.50

9. Income taxes

 

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

On December 6, 2023, the Company acquired WMC, an externally managed mortgage REIT. The WMC acquisition is intended to qualify as a reorganization within the meaning of Section 368(a) of the Internal Revenue Code.

Excise Tax

Excise tax represents a non-deductible 4% tax on the required amount of the Company’s ordinary income and net capital gains not distributed during the year. The expense is calculated in accordance with applicable tax regulations. The below table details excise tax expense for the three and nine months ended September 30, 2025 and 2024, which is recorded in the “Non-investment related expenses” line item on the consolidated statement of operations (in thousands).

						Three Months Ended												Nine Months Ended
						September 30, 2025						September 30, 2024						September 30, 2025						September 30, 2024
Excise tax expense (1)						$	34					$	—					$	77					$	—

(1)During the nine months ended September 30, 2025, the Company recorded a reduction in excise tax expense of $0.1 million related to an excise tax refund.

REIT Net Operating Loss and Net Capital Loss Carryforwards

In connection with the WMC acquisition, the Company obtained federal net operating loss ("NOL") carryforwards of $321.6 million, of which $223.8 million do not have an expiration date and can be carried forward indefinitely. However, the Company’s use of the NOLs obtained in the WMC acquisition is limited under Section 382 of the Internal Revenue Code. As of September 30, 2025 and December 31, 2024, the remaining NOL carryforwards obtained in the WMC acquisition was $319.4 million.

As of September 30, 2025 and December 31, 2024, the Company had estimated net capital loss ("NCL") carryforwards of $279.4 million and $278.9 million, respectively. These NCL carryforwards (which exclude NCLs acquired from WMC) can be

31

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AG Mortgage Investment Trust Inc. and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2025

utilized to offset future net gains from the sale of capital assets. NCL carryforwards of $225.7 million were generated during the year ended December 31, 2020 and any unutilized NCL carryforwards will expire on December 31, 2025.

In connection with the WMC acquisition, the Company obtained NCL carryforwards. As of September 30, 2025 and December 31, 2024, these estimated NCL carryforwards were $151.6 million and $150.6 million, respectively. These NCL carryforwards will expire between 2026 and 2030. However, the Company’s use of these NCLs is limited under Sections 382 and 383 of the Internal Revenue Code.

Taxable REIT Subsidiaries

The Company elected to treat certain domestic subsidiaries as taxable REIT subsidiaries ("TRSs"). The Company’s financial results are generally not expected to reflect provisions for current or deferred income taxes, except for any activities conducted through one or more TRSs that are subject to corporate income taxation. Currently, the Company has wholly owned domestic TRSs that are taxable as corporations and subject to U.S. federal, state, and local income tax on net income at the applicable corporate rates. The federal statutory rate for the three and nine months ended September 30, 2025 and 2024 was 21%. The Company’s effective tax rate differs from its combined U.S. federal, state, and local corporate statutory tax rate primarily due to income earned at the REIT, which is not subject to tax due to the deduction for qualifying distributions made by the Company, and any change in the valuation allowance as disclosed in further detail below. The tax expense attributable to its TRSs is recorded in the "Income tax expense" line item on the consolidated statement of operations. The below table details the tax expense attributable to its TRSs for the three and nine months ended September 30, 2025 and 2024 (in thousands).

						Three Months Ended												Nine Months Ended
						September 30, 2025						September 30, 2024						September 30, 2025						September 30, 2024
Income tax expense						$	689					$	16					$	743					$	58

Deferred income taxes reflect the net tax effects of temporary differences between the carrying amount of assets and liabilities for financial reporting and tax reporting purposes at the TRS level. As of September 30, 2025 and December 31, 2024, the Company recorded a deferred tax asset of approximately $32.8 million and $34.7 million, respectively, relating to net operating loss carryforwards, capital loss carryforwards, and basis differences of certain investments held within TRSs. In assessing the realizability of deferred tax assets, the Company considers whether it is more likely than not that some portion or all of the deferred tax assets will not be realized. The ultimate realization of deferred tax assets is dependent upon the generation of future taxable income during periods in which temporary differences become deductible. The Company concluded it is more likely than not the deferred tax asset will not be realized and established a full valuation allowance as of September 30, 2025 and December 31, 2024.

Uncertain Income Tax Positions

Based on its analysis of any potential uncertain income tax positions, the Company concluded it did not have any uncertain tax positions that meet the recognition or measurement criteria of ASC 740 as of September 30, 2025 and December 31, 2024. The Company’s and WMC's federal income tax returns for the last three tax years are open to examination by the Internal Revenue Service. There are no ongoing U.S. federal, state or local tax examinations related to the Company. In the event that the Company incurs income tax related interest and penalties, its policy is to classify them as a component of provision for income taxes. The Company did not incur any interest or penalties during the three and nine months ended September 30, 2025 and 2024.

10. Related party transactions

 

Manager

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

32

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AG Mortgage Investment Trust Inc. and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2025

TPG Angelo Gordon the overall responsibility of its day-to-day duties and obligations arising under the Company’s management agreement. Below is a description of the fees and reimbursements provided in the management agreement.

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

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

Management fee

 

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

The below table details the management fees incurred during the three and nine months ended September 30, 2025 and 2024 (in thousands).

						Three Months Ended												Nine Months Ended
Consolidated statements of operations line item:						September 30, 2025						September 30, 2024						September 30, 2025						September 30, 2024
Management fee to affiliate (1)						$	2,319					$	1,708					$	6,947					$	5,202

(1)For the three and nine months ended September 30, 2024, the Manager agreed to waive its right to receive management fees of $0.6 million and $1.8 million, respectively, pursuant to the MITT Management Agreement Amendment executed in connection with the WMC acquisition.

As of September 30, 2025 and December 31, 2024, the Company recorded management fees payable of $2.3 million and $2.3 million, respectively. The management fee payable is included within the "Due to affiliates" item within the "Other liabilities" line item on the consolidated balance sheets.

Incentive fee

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

33

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AG Mortgage Investment Trust Inc. and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2025

annual incentive fee will be payable in cash, or, at the option of the Company's Board of Directors, shares of common stock or a combination of cash and shares.

During the three and nine months ended September 30, 2025 and 2024, the Company did not incur any incentive fee expense.

Termination fee

 

Upon the occurrence of (i) the Company’s termination of the management agreement without cause or (ii) the Manager’s termination of the management agreement upon a breach by the Company of any material term of the management agreement, the Manager will be entitled to a termination fee equal to three times the average annual management fee during the 24-month period prior to such termination, calculated as of the end of the most recently completed fiscal quarter. As of September 30, 2025 and December 31, 2024, no event of termination of the management agreement had occurred.

 

Expense reimbursement

 

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

 

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

 

The below table details the expense reimbursement incurred during the three and nine months ended September 30, 2025 and 2024 (in thousands).

						Three Months Ended												Nine Months Ended
Consolidated statements of operations line item:						September 30, 2025						September 30, 2024						September 30, 2025						September 30, 2024
Non-investment related expenses (1)						$	1,544					$	1,636					$	4,687					$	4,936
Investment related expenses						256						194						551						395
Transaction related expenses						174						22						543						396
Expense reimbursements to Manager or its affiliates						$	1,974					$	1,852					$	5,781					$	5,727

(1)For the three and nine months ended September 30, 2024, the Manager agreed to waive its right to receive expense reimbursements of $0.3 million and $0.9 million, respectively, pursuant to the MITT Management Agreement Amendment executed in connection with the WMC acquisition.

As of September 30, 2025 and December 31, 2024, the Company recorded a reimbursement payable to the Manager or its affiliates of $2.5 million and $1.7 million, respectively. The reimbursement payable to the Manager or its affiliates is included within the "Due to affiliates" line item within the "Other liabilities" line item on the consolidated balance sheets.

 

Investments in debt and equity of affiliates

 

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

34

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AG Mortgage Investment Trust Inc. and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2025

Arc Home

On December 9, 2015, the Company, alongside private funds managed by TPG Angelo Gordon, through AG Arc LLC ("AG Arc") formed Arc Home. As of September 30, 2025 and December 31, 2024, the Company had an approximate 66.0% and 44.6% interest in AG Arc, respectively. Arc Home is a multi-channel licensed mortgage originator and servicer primarily engaged in the business of originating and selling residential mortgage loans while retaining the mortgage servicing rights associated with certain loans that it originates. Arc Home is led by an external management team. The Company elected the fair value option with respect to its investment in AG Arc pursuant to ASC 825. The Company elected to treat its investment in AG Arc as a taxable REIT subsidiary.

On August 1, 2025, the Company purchased an additional 21.4% interest in AG Arc from certain private funds managed by TPG Angelo Gordon. In connection with the acquisition, the Company issued 2,027,676 restricted shares of the Company’s common stock as consideration. The Company continues to account for its investment in AG Arc using the equity method as it maintains significant influence, however does not have control over major decisions affecting AG Arc’s operations and financial policies.

MATH

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

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

The below table summarizes the components of the "Investments in debt and equity of affiliates" line item on the Company's consolidated balance sheets as of September 30, 2025 and December 31, 2024 (in thousands).

						September 30, 2025																		December 31, 2024
						Assets						Liabilities						Equity						Assets						Liabilities						Equity
Non-QM Securities (1)						$	10,614					$	—					$	10,614					$	13,304					$	—					$	13,304
Re/Non-Performing Securities						691						—						691						2,462						(588)						1,874
Total Residential Investments						11,305						—						11,305						15,766						(588)						15,178
AG Arc, at fair value						49,244						—						49,244						30,778						—						30,778
Cash and Other assets/(liabilities)						809						(14)						795						910						(25)						885
Investments in debt and equity of affiliates						$	61,358					$	(14)					$	61,344					$	47,454					$	(613)					$	46,841

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

35

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AG Mortgage Investment Trust Inc. and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2025

The below table reconciles the net income/(loss) to the "Equity in earnings/(loss) from affiliates" line item on the Company's consolidated statements of operations for the three and nine months ended September 30, 2025 and 2024 (in thousands).

						Three Months Ended												Nine Months Ended
						September 30, 2025						September 30, 2024						September 30, 2025						September 30, 2024
Non-QM Securities						$	(581)					$	(1,070)					$	(384)					$	307
Re/Non-Performing Securities						(17)						6						(137)						322
AG Arc (1)						2,243						215						3,582						1,470
Equity in earnings/(loss) from affiliates						$	1,645					$	(849)					$	3,061					$	2,099

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

Transactions with affiliates

 

Transactions with Red Creek Asset Management LLC

 

In connection with the Company’s investments in residential mortgage loans, the Company engages asset managers to provide advisory, consultation, asset management, and other services. The Company engaged Red Creek Asset Management LLC (the "Asset Manager"), a related party of the Manager and direct subsidiary of TPG Angelo Gordon, as the asset manager for certain of its residential mortgage loans. The Company pays the Asset Manager asset management fees which are assessed periodically by a third-party valuation firm. The below details the fees paid by the Company to the Asset Manager during the three and nine months ended September 30, 2025 and 2024 (in thousands).

						Three Months Ended												Nine Months Ended
						September 30, 2025						September 30, 2024						September 30, 2025						September 30, 2024
Fees paid to Asset Manager						$	587					$	799					$	1,760					$	2,124

As of September 30, 2025 and December 31, 2024, the Company recorded asset management fees payable of $0.2 million and $0.2 million, respectively. Asset management fees payable are included within the "Due to affiliates" line item within the "Other liabilities" line item on the consolidated balance sheets.

Transactions with Arc Home

Arc Home may sell loans to the Company, third-parties, or affiliates of the Manager. The below table details the unpaid principal balance of residential mortgage loans sold to the Company during the three and nine months ended September 30, 2025 and 2024 (in thousands).

						Three Months Ended												Nine Months Ended
						September 30, 2025						September 30, 2024						September 30, 2025						September 30, 2024
Residential mortgage loans sold by Arc Home to the Company						$	22,993					$	166,183					$	83,950					$	379,565

    

In connection with the sale of loans from Arc Home to the Company, the Company eliminates any intra-entity profits or losses typically recognized through the "Equity in earnings/(loss) from affiliates" line item on the Company's consolidated statement of operations and adjusts the cost basis of the underlying loans resulting in unrealized gains or losses on the underlying loans. The table below summarizes intra-entity profits eliminated during the three and nine months ended September 30, 2025 and 2024 (in thousands).

						Three Months Ended												Nine Months Ended
						September 30, 2025						September 30, 2024						September 30, 2025						September 30, 2024
Intra-Entity Profits Eliminated						$	94					$	359					$	182					$	965

The Company enters into forward purchase commitments with Arc Home whereby the Company commits to purchase residential mortgage loans from Arc Home at a particular price on a best-efforts basis. Actual loan purchases are contingent

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AG Mortgage Investment Trust Inc. and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2025

upon successful loan closings. These commitments to purchase mortgage loans are classified as derivatives. From time to time, the Company may determine that certain loans it has previously committed to purchase will be sold to third parties and, as a result, the derivative will be settled on a net basis with Arc Home. See Note 7 and Note 12, if applicable, for more detail.

Transactions under the Company's Affiliated Transaction Policy

The below table details transactions where the Company purchased or sold assets from or to an affiliate of the Manager ($ in millions). The transactions were executed in accordance with the Company's Affiliated Transaction Policy. Refer to the "Transactions with Arc Home" section above for additional information related to transactions with Arc Home, which are excluded from the table below.

Date

Transaction

Fair Value (1)

Pricing Methodology

June 2025

Purchase of Re/Non-Performing Securities (2)

$

0.1

Third party pricing vendors (3)

August 2025

Purchase of AG Arc (4) (5)

$

15.7

Third party pricing vendors (3)

(1)As of the transaction date.

(2)The Company purchased an additional interest in certain re/non-performing securities which are recorded within the “Investments in debt and equity of affiliates” line item on the consolidated balance sheets.

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

(4)The Company’s Board of Directors, including its independent directors, approved the transaction and obtained a fairness opinion from a third party financial advisor.

(5)Refer to “Investments in debt and equity of affiliates - Arc Home” above for additional information on this transaction.

11. Equity

Stock repurchase programs

On August 3, 2022, the Company's Board of Directors authorized a stock repurchase program (the "2022 Repurchase Program") to repurchase up to $15.0 million of the Company’s outstanding common stock. The 2022 Repurchase Program does not have an expiration date and permits the Company to repurchase its shares through various methods, including open market repurchases, privately negotiated block transactions and Rule 10b5-1 plans. The Company may repurchase shares of its common stock from time to time in compliance with SEC regulations and other legal requirements. The extent to which the Company repurchases its shares, and the timing, manner, price, and amount of any such repurchases, will depend upon a variety of factors including market conditions and other corporate considerations as determined by the Company’s management, as well as the limits of the 2022 Repurchase Program and the Company's liquidity and business strategy. The 2022 Repurchase Program does not obligate the Company to acquire any particular amount of shares and may be modified or discontinued at any time. As of September 30, 2025, approximately $1.5 million of common stock remained authorized for future share repurchases under the 2022 Repurchase Program. There were no repurchases during the three and nine months ended September 30, 2025 and 2024.

On May 4, 2023, the Company's Board of Directors authorized a stock repurchase program (the "2023 Repurchase Program") to repurchase up to $15.0 million of the Company’s outstanding common stock on substantially the same terms as the 2022 Repurchase Program. As of September 30, 2025, the full $15.0 million authorized amount remains available for repurchase under the 2023 Repurchase Program. This authorization is in addition to the amount remaining under the 2022 Repurchase Program.

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

Shares of stock repurchased by the Company under any repurchase program, if any, will be cancelled and, until reissued by the Company, will be deemed to be authorized but unissued shares of its stock as required by Maryland law. The cost of the acquisition by the Company of shares of its own stock in excess of the aggregate par value of the shares first reduces additional paid-in capital, to the extent available, with any residual cost applied against retained earnings.

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AG Mortgage Investment Trust Inc. and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2025

Restricted stock grants

 

Equity Incentive Plans

On May 5, 2025, following approval by stockholders at the Company’s annual stockholders meeting, the Company’s 2025 Equity Incentive Plan (the “2025 Equity Incentive Plan”) became effective. The maximum number of shares of the Company’s common stock that may be issued under the 2025 Equity Incentive Plan is 800,000 shares of common stock, plus 220,781 shares of common stock (which reflects the number of shares that remained available for issuance under the equity incentive plan approved in 2020 (the “2020 Equity Incentive Plan”) as of May 4, 2025), plus 130,000 shares of common stock that remain subject to outstanding awards under the 2020 Equity Incentive Plan but only to the extent that such shares become forfeited or otherwise lapse. As a result of the adoption of the 2025 Equity Incentive Plan, no additional awards will be granted under the 2020 Equity Incentive Plan (although awards previously made under the 2020 Equity Incentive Plan will remain in effect subject to the terms of the 2020 Equity Incentive Plan and the applicable award agreement).

Since inception of the 2025 Equity Incentive Plan and through September 30, 2025, the Company has granted an aggregate 13,383 shares of restricted common stock and 411 dividend equivalent units to its independent directors, all of which have vested. As of September 30, 2025, there were 1,006,987 remaining shares available to be issued under the 2025 Equity Incentive Plan.

As of September 30, 2025, the Company has 12,981 restricted stock units and 2,460 associated dividend equivalent units outstanding, all of which are fully vested and held by one of the Company’s independent directors. These units will be settled on a one-for-one basis in shares of the Company's common stock upon the director's separation from service with the Company.

Manager Equity Incentive Plans

Following approval of the Company's stockholders at its 2021 annual meeting of stockholders, the AG Mortgage Investment Trust, Inc. 2021 Manager Equity Incentive Plan (the "2021 Manager Plan") became effective on April 7, 2021 and provides for a maximum of 573,425 shares of common stock that may be subject to awards thereunder to the Manager. As of September 30, 2025, there were no shares or awards issued under the 2021 Manager Plan. Following the execution of the Third Amendment to the management agreement in November 2021 related to the incentive fee, the Company's compensation committee no longer expects to continue its historical practice of making periodic equity grants to the Manager pursuant to the 2021 Manager Plan.

Director compensation

As of September 30, 2025, the Company's Board of Directors consisted of four independent directors. The annual base director's fee for each independent director is $150,000, $70,000 of which is payable on a quarterly basis in cash and $80,000 of which is payable on a quarterly basis in shares of restricted common stock. The number of shares of restricted common stock to be issued each quarter to each independent director is determined based on the average of the high and low prices of the Company’s common stock on the New York Stock Exchange on the last trading day of each fiscal quarter. To the extent that any fractional shares would otherwise be issuable and payable to each independent director, a cash payment is made to each independent director in lieu of any fractional shares. All directors’ fees are paid pro rata (and restricted common stock grants determined) on a quarterly basis in arrears, and shares issued are fully vested and non-forfeitable. These shares may not be sold or transferred by such director during the time of their service as an independent member of the Company’s Board of Directors.

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

Equity distribution agreements

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

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AG Mortgage Investment Trust Inc. and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2025

At the time of such termination, $51.7 million remained unsold under the prior program. The Company did not issue any shares of common stock under any of its equity distribution agreements then in effect during the three and nine months ended September 30, 2025 and 2024.

Shelf registration statement

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

Acquisition of additional interest in AG Arc

On August 1, 2025, in connection with the acquisition of an additional 21.4% interest in AG Arc, the Company issued 2,027,676 restricted shares of the Company’s common stock (the “Holder Shares”) to certain funds managed by TPG Angelo Gordon (the “Holders”) as consideration. Refer to Note 10 for additional information. Pursuant to the registration rights agreement the Company entered into with the Holders, in August 2025, the Company filed a resale shelf registration statement on Form S-3 registering the resale of all the Holder Shares, which was declared effective by the Securities and Exchange Commission in August 2025.

Preferred stock

The Company is authorized to designate and issue up to 50.0 million shares of preferred stock, par value $0.01 per share, in one or more classes or series. As of September 30, 2025 and December 31, 2024, there were 1.7 million, 3.7 million, and 3.7 million of Series A Preferred Stock, Series B Preferred Stock, and Series C Preferred Stock, respectively, issued and outstanding.

The following table includes a summary of preferred stock issued and outstanding as of September 30, 2025 ($ and shares in thousands).

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

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

(2)Shares have no stated maturity and are not subject to any sinking fund or mandatory redemption. Shares of the Company’s Preferred Stock are redeemable at $25.00 per share plus accumulated and unpaid dividends (whether or not declared) exclusively at the Company’s option.

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

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

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AG Mortgage Investment Trust Inc. and Subsidiaries

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2025

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

12. Commitments and Contingencies

 

From time to time, the Company may become involved in various claims and legal actions arising in the ordinary course of business. As of September 30, 2025, the Company was not involved in any material legal proceedings.

The below table details the Company's outstanding commitments as of September 30, 2025 (in thousands).

Commitment type						Date of Commitment						Total Commitment						Funded Commitment						Remaining Commitment
Agency-Eligible Loans (1)						Various						$	184,391					$	—					$	184,391
Home Equity Loans (2)						Various						132,006						121,535						10,471
Total												$	316,397					$	121,535					$	194,862

(1)The Company entered into commitments to acquire certain loans which have not yet settled as of September 30, 2025. The total commitment amount represents the agreed upon purchase price of any outstanding unpaid principal balance the Company has committed to purchase. The total commitment to purchase Agency-Eligible Loans includes $120.5 million related to Loan Purchase Commitments with third parties and $63.9 million related to Forward Purchase Commitments with Arc Home. Refer to Note 10 "Transactions with affiliates" for more information related to Forward Purchase Commitments with Arc Home.

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

13. Segment Reporting

The Company operates its business as a single operating and reportable segment, Loans and Securities, as its business focuses on acquiring, investing in and financing 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 residential mortgage loans through Arc Home or through other third-party origination partners. The Company finances its acquired loans through various financing lines on a short-term basis and utilizes TPG Angelo Gordon’s proprietary securitization platform to secure long-term, non-recourse, non-mark-to-market financing as market conditions permit.

The Company’s Chief Operating Decision Maker (“CODM”) is its Chief Executive Officer. The CODM manages the business and reviews financial information presented on a consolidated basis. The CODM uses consolidated net income reported on the consolidated statements of operations as the primary measure to make resource allocation decisions and evaluate the performance of the Company. Operating expenses include management fees, non-investment related expenses, investment related expenses and transaction related expenses. The CODM is regularly provided operating expenses as presented on the consolidated statements of operations when evaluating the Company’s net income. There is no difference between segment assets and total consolidated assets as presented on the consolidated balance sheets. As the Company operates as a single segment, the accounting policies utilized by the segment are consistent with those included in the consolidated financial statements here within.

14. Subsequent Events

The Company announced that on November 3, 2025, its Board of Directors declared fourth quarter 2025 preferred stock dividends on its Series A Preferred Stock, Series B Preferred Stock, and Series C Preferred Stock in the amount of $0.51563, $0.50 and $0.680181 per share, respectively. The dividends will be paid on December 17, 2025 to holders of record on November 28, 2025.

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ITEM 2. MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS

 

In this quarterly report on Form 10-Q, or this "report," we refer to AG Mortgage Investment Trust, Inc. and its wholly-owned subsidiaries as "we," "us," the "Company," or "our," unless we specifically state otherwise or the context indicates otherwise. We refer to our external manager, AG REIT Management, LLC, as our "Manager," and we refer to the direct parent company of our Manager, Angelo, Gordon & Co., L.P., as "TPG Angelo Gordon."

 

The following discussion contains forward looking statements and should be read in conjunction with our consolidated financial statements and the accompanying notes to our consolidated financial statements, which are included in Item 1 of this report, as well as the information contained in our Annual Report on Form 10-K for the year ended December 31, 2024, and any subsequent filings.

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Forward-Looking Statements

 

We make forward-looking statements within the meaning of Section 27A of the Securities Act of 1933, as amended (the "Securities Act"), and Section 21E of the Securities Exchange Act of 1934, as amended (the "Exchange Act"), in this report that are subject to substantial known and unknown risks and uncertainties. These forward-looking statements include information about possible or assumed future results of our business, financial condition, liquidity, returns, results of operations, plans, yields, objectives, the composition of our portfolio, actions by governmental entities, including the Federal Reserve, and the potential effects of actual and proposed legislation on us, and our views on certain macroeconomic trends. When we use the words "believe," "expect," "anticipate," "estimate," "plan," "continue," "remain," "intend," "should," "could," "will," "may" or similar expressions, we intend to identify forward-looking statements.

These forward-looking statements are based upon information presently available to our management and are inherently subjective, uncertain and subject to change. There can be no assurance that actual results will not differ materially from our expectations. Some, but not all, of the factors that might cause such a difference include, without limitation:

•the persistence of labor shortages, supply chain imbalances, the Middle Eastern conflict, the Russia-Ukraine conflict, inflation, and the potential for an economic recession;

•changes in our business and investment strategy;

•our ability to predict and control costs;

•changes in interest rates and the fair value of our assets, including negative changes resulting in margin calls relating to the financing of our assets;

•changes in the yield curve;

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

•regulatory and structural changes in the residential loan market and its impact on non-agency mortgage markets;

•increased rates of default or delinquencies and/or decreased recovery rates on our assets;

•our ability to obtain and maintain financing arrangements on terms favorable to us or at all;

•our ability to enter into, or refinance, securitization transactions on the terms and pace anticipated or at all;

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

•changes in general economic conditions, in our industry and in the finance and real estate markets, including the impact on the value of our assets;

•changes in trade policies and tariffs, and the impact of a prolonged U.S. federal government shutdown, together with any future downturns in the global economy or market disruptions resulting therefrom;

•conditions in the market for residential mortgage investments and Agency RMBS;

•conditions in the market for commercial investments, including the Company's ability to successfully realize the commercial investments acquired from Western Asset Mortgage Capital Corporation ("WMC") within the timeframe anticipated or at all;

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

•our ability to make distributions to our stockholders in the future;

•our ability to maintain our qualification as a REIT for federal tax purposes; and

•our ability to qualify for an exemption from registration under the Investment Company Act of 1940, as amended (the "Investment Company Act").

We caution investors not to rely unduly on any forward-looking statements, which speak only as of the date made, and urge you to carefully consider the risks noted above and identified under the captions "Risk Factors," and "Management’s Discussion and Analysis of Financial Condition and Results of Operations" in our Annual Report on Form 10-K for the year ended December 31, 2024 and any subsequent filings. New risks and uncertainties arise from time to time, and it is impossible for us to predict those events or how they may affect us. Except as required by law, we are not obligated to, and do not intend to, update or revise any forward-looking statements, whether as a result of new information, future events or otherwise. All forward-looking statements that we make, or that are attributable to us, are expressly qualified by this cautionary notice.

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Third Quarter 2025 Executive Summary

Financial Highlights

•$10.46 Book Value per share;

•$0.47 of Net Income/(Loss) Available to Common Stockholders per diluted common share and $0.23 of Earnings Available for Distribution ("EAD") per diluted common share;

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

•14.9x GAAP Leverage Ratio and 1.7x Economic Leverage Ratio; and

•$0.21 dividend per common share declared in the third quarter 2025.

Investment Activity

•The table below summarizes the fair value of purchases of investments during the quarter ended September 30, 2025 (in thousands).

Investment						Purchases
Agency-Eligible Loans						$	888,611
Home Equity Loans						830,877
Total						$	1,719,488

•One Legacy WMC CMBS bond paid off at par for $15.0 million, returning capital of $10.7 million.

Acquisition of AG Arc LLC

•On August 1, 2025, purchased an additional 21.4% interest in AG Arc LLC (“AG Arc”) from certain private funds managed by TPG Angelo Gordon. In connection with the acquisition, we issued 2,027,676 restricted shares of our common stock as consideration. Upon closing of the transaction on August 1, 2025, and giving effect to our acquisition of the additional 21.4% interest, we have an approximate 66.0% interest in AG Arc. Refer to Note 10 to the "Notes to Consolidated Financial Statements (unaudited)" for additional information related to the transaction.

Financing Activity

•The table below summaries the four rated securitizations executed during the quarter ended September 30, 2025 (in millions).

Collateral

Month

Unpaid Principal Balance

Home Equity Loans(1)

July 2025

$

301.3

Home Equity Loans

July 2025

647.0

Agency-Eligible Loans

August 2025

347.0

Agency-Eligible Loans

September 2025

417.1

Total

$

1,712.4

(1) Converted recourse financing with mark-to-market margin calls to non-recourse financing without mark-to-market margin calls.

•Paid off certain Legacy WMC fixed-rate long-term financing arrangements, which had an outstanding balance, including unpaid principal balance and accrued interest payable, of $43.8 million. The financing was collateralized by certain retained interests in securitizations acquired from WMC.

◦Pledged these assets under a recourse financing arrangement with mark-to-market margin calls;

◦Issued an additional $56.6 million of securitized debt from the securitizations acquired from WMC;

◦Generated net proceeds of $55.4 million for reinvestment through the payoff of the Legacy WMC fixed-rate long-term financing arrangements and subsequent issuance of securitized debt;

•Amended a financing arrangement to convert financing on our residential mortgage loans with a total borrowing capacity of $400 million from financing with mark-to-market margin calls to financing without mark-to-market margin calls; and

•Pledged Home Equity Loans with a fair value of $54.0 million under a financing arrangement with the ability to draw on up to $50 million of available contractually committed financing at an advance rate of 87.5% of unpaid principal balance pledged as collateral, which was $50.9 million as of September 30, 2025.

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Our company

 

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

We focus our investment activities primarily on acquiring and securitizing newly-originated residential mortgage loans within the non-agency segment of the housing market. We obtain our assets through Arc Home, LLC ("Arc Home"), our residential mortgage loan originator in which we owned an approximate 66.0% interest as of September 30, 2025, and through other third-party origination partners. We finance our acquired loans through various financing lines on a short-term basis and utilize TPG Angelo Gordon's proprietary securitization platform to secure long-term, non-recourse, non-mark-to-market financing as market conditions permit. Through our ownership in Arc Home, we also have exposure to mortgage banking activities. Arc Home is a multi-channel licensed mortgage originator and servicer primarily engaged in the business of originating and selling residential mortgage loans while retaining the mortgage servicing rights associated with certain loans that it originates.

On December 6, 2023, we 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.

Our investment portfolio (which excludes our ownership in Arc Home) primarily includes Residential Investments and Agency RMBS. Currently, our Residential Investments primarily consist of newly originated Non-Agency Loans, Agency-Eligible Loans, and Home Equity Loans, which we refer to as our target assets. In addition, we may also invest in other types of residential mortgage loans and other mortgage related assets.

As of September 30, 2025, our investment portfolio consisted of the following Residential Investments and Agency RMBS: 

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

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

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

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

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

We were incorporated in Maryland on March 1, 2011 and commenced operations in July 2011. We conduct our operations to qualify and be taxed as a REIT for U.S. federal income tax purposes. Accordingly, we generally will not be subject to U.S. federal income taxes on our taxable income that we distribute to our stockholders as long as we maintain our intended qualification as a REIT, with the exception of business conducted in our domestic taxable REIT subsidiaries ("TRSs") which are subject to corporate income tax. We also operate our business in a manner that permits us to maintain our exemption from registration under the Investment Company Act.

Our Manager and TPG Angelo Gordon

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

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

Pursuant to the terms of our management agreement, our Manager provides us with our management team, including our officers, along with appropriate support personnel. All of our officers are employees of TPG Angelo Gordon or its affiliates. We do not have any employees. Our Manager is at all times subject to the supervision and oversight of our Board of Directors and has only such functions and authority as our Board of Directors delegates to it. Our Manager has delegated to TPG Angelo Gordon the overall responsibility with respect to our Manager’s day-to-day duties and obligations arising under our management agreement. TPG Angelo Gordon is a registered investment adviser under the Investment Advisers Act of 1940, as amended.

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

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Market Conditions

Throughout the third quarter of 2025, Federal Reserve Chair Jerome Powell maintained a data-dependent stance on monetary policy. The Federal Reserve acknowledged progress on inflation, with both headline and core Consumer Price Index stabilizing around 3%. Nevertheless, achieving the long-term inflation target of 2% remains a key objective. Although the unemployment rate remained relatively low, ongoing labor market weakness supported the case for interest rate cuts. In response, the Federal Open Market Committee reduced the Fed Funds rate by 25 basis points at both its September and October meetings, setting the target range at 3.75% to 4.00%. Overall, the bond market experienced positive returns during the third quarter of 2025, and mortgage rates declined as the Federal Reserve delivered the September rate cut and signaled the potential for additional easing. By quarter-end, the yield spread between 2-year and 10-year U.S. Treasuries widened to 54 basis points, marking a slight steepening from the previous quarter. On October 1, 2025, the U.S. government shut down after Congress failed to pass a funding bill, resulting in delays to critical government data releases and increasing uncertainty for future monetary policy decisions and the broader economic outlook.

In the third quarter of 2025, RMBS spreads generally tightened. Non-QM spreads tightened throughout the capital structure, with senior tranches by 20 to 25 basis points, mezzanine tranches by up to 15 basis points, and subordinate tranches by approximately 50 basis points. Senior prime jumbo spreads were slightly tighter while the subordinate stack was more mixed, with investment grade tranches little changed and non-investment grade tranches tightening approximately 30 basis points. Closed-end second lien spreads tightened by up to 25 basis points during the quarter led by higher tranches within the structure. Trends in credit spreads on credit risk transfer ("CRT") assets can serve as a proxy for market participants evaluating credit-related assets given the observability of transactions. Lower rated CRT tranches were up to 10 basis points tighter as the CRT sector has benefitted from scarcity value as the GSEs have opted to retain more of the capital structure for their newly issued transactions amid favorable underlying collateral fundamentals. Non-QM credit curves flattened during the quarter as the difference in yields for Non-QM BB and AAA tranches was only 165 basis points at the end of September 2025, amid robust demand for residential credit.

Primary RMBS market activity increased sharply during the third quarter of 2025, rising to $47 billion, an increase of 33% compared to the second quarter of 2025 and 23% against year-ago levels. Non-QM drove the annual change, increasing approximately $9 billion, or 81%, to almost $21 billion, followed by gains in Home Equity which increased over $5 billion, or 156%. Prime Jumbo decreased by almost $2 billion to $6.5 billion, and the remainder of the cohorts within the residential market experienced relatively minor changes. On a year-to-date basis, primary RMBS activity totaled approximately $122 billion, or 23% more than year-ago levels driven by activity in Non-QM, Prime Jumbo, and Home Equity loans. As we have noted previously, the home equity sector has received significant industry focus for its growth potential with estimates of $17 trillion tappable home equity, including $2 trillion belonging to conventional mortgage borrowers.

The S&P CoreLogic Case-Shiller U.S. National Home Price Index was 1.7% higher year-over-year in July 2025, the latest data available, near the peak established in June 2025. Regional price variations continued to exist, and on an annual basis, metropolitan areas in the Northeast and Midwest continued to lead gains while regions in Florida, Texas and the Mountain West have been weaker. New York City area home prices led annual gains, rising 6.4% from July 2024 to July 2025, with Chicago following nearby at 6.2%. Cleveland, Detroit and Boston rose 4 to 4.5% as well. Meanwhile, regions in California were mixed with Los Angeles roughly flat and other areas up to 2% lower. Additionally, Denver fell by 0.6% and Dallas by 1.2%. In Florida, Miami and Tampa were 1.3% and 2.8% lower, respectively, against July 2024 readings. Overall, home price growth and available for-sale inventory have had a relatively strong inverse relationship as regions with inventory growth since 2019 have had weaker home price gains, and vice versa.

During the third quarter of 2025, prevailing mortgage rates fell over 30 basis points to end the quarter at approximately 6.3%, according to the Freddie Mac Primary Mortgage Market Survey. Prevailing mortgage rates were last at this level in the fourth quarter of 2024 after touching the low 6% range in September 2024. After a slow climb throughout 2023 and 2024, the effective mortgage rate outstanding has just inched higher to 4.11% as of the second quarter of 2025, the latest data available, up from only 4.03% to end 2024. This rate, which measures the rate on outstanding mortgage debt, is 80 basis points higher than the low established at the end of the first quarter of 2022 but remains well below prevailing rates, underscoring the stickiness of the “lock-in effect” or disincentive for existing homeowners to sell their homes because their current mortgage rate is well below current market rates.

Total existing home inventory steadied during the third quarter of 2025, sitting at 1.53 million units in August 2025, the latest data available, little changed since May 2025. This is the highest level of inventory since June 2020 but hardly breaches the typical inventory levels of 1.5 to 2 million units from 2016 to 2019 and well below the range of 1.7 to 2.5 million units from 2000 to 2004, periods with a smaller count of U.S. households. When evaluating new listings, which are a timelier barometer of

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activity, year-to-date inventory is 1% lower year-over-year and is 22% below average year-to-date listings through August 2025 from 2015 through 2022. This reduced level of activity follows an annual shortage of over 1 million new listings in each of 2023 and 2024 compared to annual activity in 2015 through 2019 as well as pandemic-affected 2020 through 2022, underscoring the limited supply theme.

Presentation of investment, financing and hedging activities

 

In the "Investment activities," "Financing activities," "Hedging activities," and "Liquidity and capital resources" sections of this Item 2, we present information on our investment portfolio and the related financing arrangements inclusive of unconsolidated ownership interests in affiliates that are accounted for under GAAP using the equity method. Our investment portfolio excludes our investment in Arc Home.

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

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

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

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

◦"Non-Agency RMBS" refer to the retained tranches from unconsolidated securitizations of Non-QM Loans, Agency-Eligible Loans, Home Equity Loans, Prime Jumbo Loans, and Re/Non-Performing Loans issued either under the Gold Creek Asset Trust ("GCAT") shelf or from third-parties.

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

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

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

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

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

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Book value per share

The below table details book value per common share (in thousands, except per share data). Per share amounts for book value are calculated using all outstanding common shares in accordance with GAAP as of quarter-end.

			September 30, 2025						December 31, 2024
Stockholders’ Equity			$	559,843					$	543,423
Less: Liquidation preference of preferred stock			(227,991)						(227,991)
Book Value			$	331,852					$	315,432
Common shares outstanding			31,732						29,640
Book value per common share			$	10.46					$	10.64

Results of Operations

 

Our operating results can be affected by a number of factors and primarily depend on the size and composition of our investment portfolio, the level of our net interest income, the fair value of our assets and the supply of, and demand for, our investments in residential mortgage loans in the marketplace, among other things, which can be impacted by unanticipated credit events, such as defaults, liquidations or delinquencies, experienced by borrowers whose residential mortgage loans are included in our investment portfolio and other unanticipated events in our markets. Our primary source of net income or loss available to common stockholders is our net interest income, inclusive of our cost or benefit of hedging, which represents the difference between the interest earned on our investment portfolio and the costs of financing and economic hedges in place on our investment portfolio, as well as any income or losses from our equity investments in affiliates.

 

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Three Months Ended September 30, 2025 compared to the Three Months Ended September 30, 2024

The table below presents certain information from our consolidated statements of operations for the three months ended September 30, 2025 and 2024 (in thousands).

						Three Months Ended
						September 30, 2025						September 30, 2024						Change
Statement of Operations Data:
Net Interest Income
Interest income						$	124,714					$	107,456					$	17,258
Interest expense						105,232						92,506						12,726
Total Net Interest Income						19,482						14,950						4,532
Other Income/(Loss)
Net interest component of interest rate swaps						1,108						2,180						(1,072)
Net realized gain/(loss)						(3,578)						(10,788)						7,210
Net unrealized gain/(loss)						13,199						19,700						(6,501)
Total Other Income/(Loss)						10,729						11,092						(363)
Expenses
Management fee to affiliate						2,319						1,708						611
Non-investment related expenses						2,603						2,734						(131)
Investment related expenses						4,322						3,411						911
Transaction related expenses						1,962						684						1,278
Total Expenses						11,206						8,537						2,669
Income/(loss) before equity in earnings/(loss) from affiliates						19,005						17,505						1,500
Equity in earnings/(loss) from affiliates						1,645						(849)						2,494
Income/(Loss) before Income Taxes						20,650						16,656						3,994
Income tax expense						689						16						673
Net Income/(Loss)						19,961						16,640						3,321
Dividends on preferred stock						5,344						4,716						628
Net Income/(Loss) Available to Common Stockholders						$	14,617					$	11,924					$	2,693

Interest income

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

 

Interest income increased from the three months ended September 30, 2024 to the three months ended September 30, 2025 primarily due to a higher weighted average amortized cost of our GAAP investment portfolio as a result of purchases of residential mortgage loans and Non-Agency RMBS and an increase in the weighted average yield of our investment portfolio. The following table presents a summary of the weighted average amortized cost of and the weighted average yield on our GAAP investment portfolio ($ in millions).

						Three Months Ended
						September 30, 2025						September 30, 2024						Change
Weighted average amortized cost of our GAAP investment portfolio						$	8,185					$	7,244					$	941
Weighted average yield on our GAAP investment portfolio						6.09		%				5.93		%				0.16		%

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Interest expense

Interest expense is inclusive of our financing cost related to our financing arrangements on our GAAP investment portfolio, securitized debt, Senior Unsecured Notes, and, for 2024, Legacy WMC Convertible Notes.

Interest expense increased from the three months ended September 30, 2024 to the three months ended September 30, 2025 due to a higher weighted average GAAP financing balance outstanding resulting from the issuance of securitized debt during the period, offset by the repayment of the Legacy WMC Convertible Notes upon maturity in September 2024. Additionally, there was an increase in the weighted average financing rate. The following table presents a summary of the weighted average financing balance and the weighted average financing rate on our GAAP investment portfolio ($ in millions).

						Three Months Ended
						September 30, 2025						September 30, 2024						Change
Weighted average GAAP financing balance						$	7,739					$	6,965					$	774
Weighted average financing rate on our GAAP investment portfolio						5.44		%				5.31		%				0.13		%

Net interest component of interest rate swaps

Net interest component of interest rate swaps represents the net interest income received or expense paid on our interest rate swaps.

 

We recorded income on the net interest component of interest rate swaps during the three months ended September 30, 2025 and 2024 as a result of our swap portfolio being in a net receive position during the periods. The decrease in income from the three months ended September 30, 2024 to the three months ended September 30, 2025 was the result of a decrease in the weighted average receive rate and weighted average notional balance. The following table presents a summary of our interest rate swap portfolio as of September 30, 2025 and 2024 ($ in millions).

						Three Months Ended
						September 30, 2025						September 30, 2024						Change
Net weighted average interest rate swap notional value						$	425					$	522					$	(97)
Net weighted average (pay)/receive rate						1.04		%				1.67		%				(0.63)		%

    

Net realized gain/(loss)

 

The following table presents a summary of Net realized gain/(loss) for the three months ended September 30, 2025 and 2024 (in thousands). During the three months ended September 30, 2025, net realized losses primarily related to short TBAs and unwinding certain pay-fix, receive-float interest rate swap agreements, which were held at unrealized losses.

						Three Months Ended
						September 30, 2025						September 30, 2024
Sales of residential mortgage loans and loans transferred to or sold from Other assets						$	(240)					$	124
Loan purchase commitment						356						—
Sales of real estate securities						—						10,297
Settlement of derivatives and other instruments						(3,694)						(21,209)
Total Net realized gain/(loss)						$	(3,578)					$	(10,788)

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Net unrealized gain/(loss)

The following table presents a summary of Net unrealized gain/(loss) for the three months ended September 30, 2025 and 2024 (in thousands). During the three months ended September 30, 2025, we recognized unrealized gains on residential mortgage loans and Non-Agency RMBS, offset by unrealized losses on securitized debt, CMBS, commercial loans, short TBAs, interest rate swaps, and loan purchase commitments.

						Three Months Ended
						September 30, 2025						September 30, 2024
Residential mortgage loans						$	66,980					$	192,918
Commercial loans						(7,151)						72
Real estate securities						1,741						4,108
Securitized debt						(45,710)						(172,421)
Loan purchase commitment						(834)						—
Derivatives						(1,827)						(4,977)
Total Net unrealized gain/(loss)						$	13,199					$	19,700

Management fee to affiliate

 

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

Non-investment related expenses

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

						Three Months Ended
						September 30, 2025						September 30, 2024
Affiliate reimbursement (1)						$	1,544					$	1,636
Professional fees						374						341
D&O insurance						255						335
Directors' fees and equity based compensation						253						259
Excise tax expense						34						—
Other						143						163
Total Non-investment related expenses						$	2,603					$	2,734

(1)For the three months ended September 30, 2024, the Manager agreed to waive its right to receive expense reimbursements of $0.3 million pursuant to the MITT Management Agreement Amendment executed in connection with the WMC acquisition.

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Investment related expenses

Investment related expenses are primarily comprised of servicing fees, asset management fees, trustee fees, and certain investment related expenses reimbursable to the Manager or its affiliates. We are required to reimburse our Manager or its affiliates for operating expenses incurred by our Manager or its affiliates on our behalf associated with our investment portfolio. These expenses increased from the three months ended September 30, 2024 to the three months ended September 30, 2025 primarily due to an increase in our GAAP residential mortgage loan portfolio. The following table presents a summary of our investment related expenses (in thousands).

						Three Months Ended
						September 30, 2025						September 30, 2024
Affiliate reimbursement						$	256					$	194
Servicing fees						2,529						1,827
Residential mortgage loan asset management fees						614						660
Trustee and bank fees						684						548
Other						239						182
Total Investment related expenses						$	4,322					$	3,411

Transaction related expenses

Transaction related expenses primarily include expenses associated with purchasing and securitizing residential mortgage loans. During the three months ended September 30, 2025, the expenses primarily consisted of $0.8 million related to refinancing our fixed-rate long-term financing arrangements and $0.9 million related to our acquisition of an additional 21.4% interest in AG Arc. During the three months ended September 30, 2024, transaction related expenses were related to one rated securitization.

Equity in earnings/(loss) from affiliates

 

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

						Three Months Ended
						September 30, 2025						September 30, 2024
MATT Non-QM Securities						$	(581)					$	(1,070)
Re/Non-Performing Securities						(17)						6
AG Arc (1)						2,243						215
Equity in earnings/(loss) from affiliates						$	1,645					$	(849)

(1)Effective August 1, 2025, our allocation of AG Arc’s earnings is 66.0%. For all prior periods, our allocation of AG Arc’s earnings was 44.6%.

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

						Three Months Ended
						September 30, 2025									September 30, 2024
Interest income						$	594																	$	924
Interest expense						—																		72
Total Net Interest Income (1)						594																		852
Net unrealized gain/(loss)						(1,156)																		(1,883)
Other operating expenses (1)						36																		33
Total MATT Non-QM Securities and Re/Non Performing Securities (2)						(598)																		(1,064)
Net operating income/(loss) from AG Arc (1) (3)						1,204																		(154)
Other income/(loss) from AG Arc (3)						(118)																		(32)
Unrealized gain/(loss) on investment in AG Arc (4)						1,251																		760
Elimination of gains on loans sold from AG Arc to MITT (1) (5)						(94)																		(359)
Total AG Arc Earnings/(Loss)						2,243																		215
Equity in earnings/(loss) from affiliates						$	1,645																	$	(849)

(1)Represents items included in Earnings Available for Distribution. Refer to the “Earnings Available for Distribution” section below for further detail.

(2)Primarily represents earnings from our investment in MATT Non-QM Securities.

(3)Net operating income/(loss) from AG Arc represents income/(loss) related to Arc Home's lending and servicing operations, net of operating expenses and related current tax expense or benefit. Other income/(loss) from AG Arc represents realized and unrealized changes in the fair value of Arc Home's mortgage servicing rights, transaction related expenses, and other asset impairments, net of related tax expense or benefit.

(4)As of September 30, 2025, the fair value of our investment in Arc Home was calculated using a valuation multiple of 1.025x of book value, which increased from 1.00x of book value as of June 30, 2025. As of September 30, 2024, the fair value of our investment in Arc Home was calculated using a valuation multiple of 0.95x of book value which increased from 0.94x of book value as of June 30, 2024.

(5)The earnings recognized by AG Arc do not include our portion of gains recorded by Arc Home in connection with the sale of residential mortgage loans to us. Refer to Note 10 to the "Notes to Consolidated Financial Statements (unaudited)" for more information on this accounting policy.

Income tax expense

Income tax expense for the three months ended September 30, 2025 resulted from an increase in taxable income within our taxable REIT subsidiary primarily related to gains on residential mortgage loan securitization activity. During the three months ended September 30, 2024, income tax expense represented minimum state and local tax filing fees.

Dividends on Preferred Stock

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

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Nine Months Ended September 30, 2025 compared to the Nine Months Ended September 30, 2024

The table below presents certain information from our consolidated statements of operations for the nine months ended September 30, 2025 and 2024 (in thousands).

						Nine Months Ended
						September 30, 2025						September 30, 2024						Change
Statement of Operations Data:
Net Interest Income
Interest income						$	344,709					$	302,843					$	41,866
Interest expense						288,626						254,333						34,293
Total Net Interest Income						56,083						48,510						7,573
Other Income/(Loss)
Net interest component of interest rate swaps						2,666						6,447						(3,781)
Net realized gain/(loss)						(7,062)						(9,928)						2,866
Net unrealized gain/(loss)						13,961						20,488						(6,527)
Total Other Income/(Loss)						9,565						17,007						(7,442)
Expenses
Management fee to affiliate						6,947						5,202						1,745
Non-investment related expenses						8,390						8,552						(162)
Investment related expenses						11,205						10,185						1,020
Transaction related expenses						6,041						2,164						3,877
Total Expenses						32,583						26,103						6,480
Income/(loss) before equity in earnings/(loss) from affiliates						33,065						39,414						(6,349)
Equity in earnings/(loss) from affiliates						3,061						2,099						962
Income/(Loss) before Income Taxes						36,126						41,513						(5,387)
Income tax expense						743						58						685
Net Income/(Loss)						35,383						41,455						(6,072)
Dividends on preferred stock						15,969						13,888						2,081
Net Income/(Loss) Available to Common Stockholders						$	19,414					$	27,567					$	(8,153)

Interest income

Interest income increased from the nine months ended September 30, 2024 to the nine months ended September 30, 2025 primarily due to a higher weighted average amortized cost of our GAAP investment portfolio as a result of purchases of residential mortgage loans and Non-Agency RMBS and an increase in the weighted average yield of our investment portfolio. The following table presents a summary of the weighted average amortized cost of and the weighted average yield on our GAAP investment portfolio ($ in millions).

						Nine Months Ended
						September 30, 2025						September 30, 2024						Change
Weighted average amortized cost of our GAAP investment portfolio						$	7,586					$	6,837					$	749
Weighted average yield on our GAAP investment portfolio						6.06		%				5.91		%				0.15		%

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Interest expense

Interest expense increased from the nine months ended September 30, 2024 to the nine months ended September 30, 2025 due to a higher weighted average GAAP financing balance outstanding resulting from the issuance of securitized debt and Senior Unsecured Notes during the period, offset by the repayment of the Legacy WMC Convertible Notes upon maturity in September 2024. Additionally, there was an increase in the weighted average financing rate. The following table presents a summary of the weighted average financing balance and the weighted average financing rate on our GAAP investment portfolio ($ in millions).

						Nine Months Ended
						September 30, 2025						September 30, 2024						Change
Weighted average GAAP financing balance						$	7,136					$	6,470					$	666
Weighted average financing rate on our GAAP investment portfolio						5.39		%				5.24		%				0.15		%

Net interest component of interest rate swaps

We recorded income on the net interest component of interest rate swaps during the nine months ended September 30, 2025 and 2024 as a result of our swap portfolio being in a net receive position. The decrease in income from the nine months ended September 30, 2024 to the nine months ended September 30, 2025 was the result of a decrease in the weighted average receive rate and weighted average notional balance. The following table presents a summary of our interest rate swap portfolio as of September 30, 2025 and 2024 ($ in millions).

						Nine Months Ended
						September 30, 2025						September 30, 2024						Change
Net weighted average interest rate swap notional value						$	388					$	527					$	(139)
Net weighted average (pay)/receive rate						0.92		%				1.63		%				(0.71)		%

Net realized gain/(loss)

 

The following table presents a summary of Net realized gain/(loss) for the nine months ended September 30, 2025 and 2024 (in thousands). The net realized loss during the nine months ended September 30, 2025 was primarily driven by losses from unwinding certain pay-fix, receive-float interest rate swap agreements and short TBAs, which were held at unrealized losses, and losses recognized on the sale of non-agency loans and re- and non-performing loans.

						Nine Months Ended
						September 30, 2025						September 30, 2024
Sales of residential mortgage loans and loans transferred to or sold from Other assets						$	(1,947)					$	323
Loan purchase commitment						356						—
Sales of real estate securities						169						13,024
Settlement of derivatives and other instruments						(5,640)						(23,275)
Total Net realized gain/(loss)						$	(7,062)					$	(9,928)

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Net unrealized gain/(loss)

The following table presents a summary of Net unrealized gain/(loss) for the nine months ended September 30, 2025 and 2024 (in thousands). During the nine months ended September 30, 2025, we recognized unrealized gains on our residential mortgage loans, non-agency RMBS, and CMBS, which were offset by unrealized losses on securitized debt, interest rate swaps, and commercial loans.

						Nine Months Ended
						September 30, 2025						September 30, 2024
Residential mortgage loans						$	163,237					$	207,250
Commercial loans						(9,606)						322
Real estate securities						6,871						(706)
Securitized debt						(137,742)						(188,779)
Loan purchase commitment						(410)						—
Derivatives						(8,389)						2,401
Total Net unrealized gain/(loss)						$	13,961					$	20,488

Management fee to affiliate

 

During the nine months ended September 30, 2024, the base management fee was reduced by $1.8 million in connection with the WMC acquisition.

Non-investment related expenses

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

						Nine Months Ended
						September 30, 2025						September 30, 2024
Affiliate reimbursement (1)						$	4,687					$	4,936
Professional fees						1,244						1,113
D&O insurance						765						1,003
Directors' fees and equity based compensation						866						903
Excise tax expense (2)						77						—
Other						751						597
Total Non-investment related expenses						$	8,390					$	8,552

(1)For the nine months ended September 30, 2024, the Manager agreed to waive its right to receive expense reimbursements of $0.9 million pursuant to the MITT Management Agreement Amendment executed in connection with the WMC acquisition.

(2)During the nine months ended September 30, 2025, we recorded a reduction in excise tax expense of $0.1 million related to an excise tax refund.

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Investment related expenses

Investment related expenses are primarily comprised of servicing fees, asset management fees, trustee fees, and certain investment related expenses reimbursable to the Manager or its affiliates. We are required to reimburse our Manager or its affiliates for operating expenses incurred by our Manager or its affiliates on our behalf associated with our investment portfolio. These expenses increased from the nine months ended September 30, 2024 to the nine months ended September 30, 2025 primarily due to an increase in our GAAP residential mortgage loan portfolio. The following table presents a summary of our investment related expenses (in thousands).

						Nine Months Ended
						September 30, 2025						September 30, 2024
Affiliate reimbursement						$	551					$	395
Servicing fees						6,479						5,601
Residential mortgage loan asset management fees						1,693						1,994
Trustee and bank fees						1,862						1,594
Other						620						601
Total Investment related expenses						$	11,205					$	10,185

Transaction related expenses

Transaction related expenses increased from the nine months ended September 30, 2024 to the nine months ended September 30, 2025 primarily due to increased expenses associated with securitizations in 2025 compared with 2024, along with expenses of $0.8 million related to refinancing our fixed-rate long-term financing arrangements and $0.9 million related to our acquisition of an additional 21.4% interest in AG Arc.

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Equity in earnings/(loss) from affiliates

 

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

						Nine Months Ended
						September 30, 2025						September 30, 2024
MATT Non-QM Securities						$	(384)					$	307
Re/Non-Performing Securities						(137)						322
AG Arc (1)						3,582						1,470
Equity in earnings/(loss) from affiliates						$	3,061					$	2,099

(1)Effective August 1, 2025, our allocation of AG Arc’s earnings is 66.0%. For all prior periods, our allocation of AG Arc’s earnings was 44.6%.

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

						Nine Months Ended
						September 30, 2025						September 30, 2024
Interest income						$	1,920																	$	3,055
Interest expense						3																		216
Total Net Interest Income (1)						1,917																		2,839
Net unrealized gain/(loss)						(2,305)																		(2,061)
Other operating expenses (1)						133																		149
Total MATT Non-QM Securities and Re/Non Performing Securities (2)						(521)																		629
Net operating income/(loss) from AG Arc (1) (3)						1,184																		(1,591)
Other income/(loss) from AG Arc (3)						(74)																		1,567
Unrealized gain/(loss) on investment in AG Arc (4)						2,654																		2,459
Elimination of gains on loans sold from AG Arc to MITT (1) (5)						(182)																		(965)
Total AG Arc Earnings/(Loss)						3,582																		1,470
Equity in earnings/(loss) from affiliates						$	3,061																	$	2,099

(1)Represents items included in Earnings Available for Distribution. Refer to the “Earnings Available for Distribution” section below for further detail.

(2)Primarily represents earnings from our investment in MATT Non-QM Securities.

(3)Net operating income/(loss) from AG Arc represents income/(loss) related to Arc Home's lending and servicing operations, net of operating expenses and related current tax expense or benefit. Other income/(loss) from AG Arc represents realized and unrealized changes in the fair value of Arc Home's mortgage servicing rights, transaction related expenses, and other asset impairments, net of related tax expense or benefit.

(4)As of September 30, 2025, the fair value of our investment in Arc Home was calculated using a valuation multiple of 1.025x of book value, which increased from 0.95x of book value as of December 31, 2024. As of September 30, 2024, the fair value of our investment in Arc Home was calculated using a valuation multiple of 0.95x of book value, which increased from 0.89x of book value as of December 31, 2023.

(5)The earnings recognized by AG Arc do not include our portion of gains recorded by Arc Home in connection with the sale of residential mortgage loans to us. Refer to Note 10 to the "Notes to Consolidated Financial Statements (unaudited)" for more information on this accounting policy.

Income tax expense

Income tax expense for the nine months ended September 30, 2025 resulted from an increase in taxable income within our taxable REIT subsidiary primarily related to gains on residential mortgage loan securitization activity. During the nine months ended September 30, 2024, tax expense represented minimum state and local tax filing fees.

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Dividends on Preferred Stock

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

Earnings Available for Distribution

One of our objectives is to generate net income from net interest margin on the portfolio, and management uses EAD, as one of several metrics, to help measure our performance against this objective. Management believes that this non-GAAP measure, when considered with our GAAP financial statements, provides supplemental information useful for investors to help evaluate our financial performance. However, management also believes that our definition of EAD has important limitations as it does not include certain earnings or losses our management team considers in evaluating our financial performance. Our presentation of EAD may not be comparable to similarly-titled measures of other companies, who may use different calculations. This non-GAAP measure should not be considered a substitute for, or superior to, Net Income/(loss) available to common stockholders or Net income/(loss) per diluted common share calculated in accordance with GAAP. Our GAAP financial results and the reconciliations from these results should be carefully evaluated.

We define EAD, a non-GAAP financial measure, as Net Income/(loss) available to common stockholders excluding (i) (a) unrealized gains/(losses) on loans, real estate securities, derivatives and other investments, inclusive of our investment in AG Arc, and (b) net realized gains/(losses) on the sale or termination of such instruments, (ii) any transaction related expenses incurred in connection with the acquisition, disposition, or securitization of our investments as well as transaction related expenses incurred in connection with the WMC acquisition, (iii) accrued deal-related performance fees payable to third party operators to the extent the primary component of the accrual relates to items that are excluded from EAD, such as unrealized and realized gains/(losses), (iv) realized and unrealized changes in the fair value of Arc Home's net mortgage servicing rights and the derivatives intended to offset changes in the fair value of those net mortgage servicing rights, (v) deferred taxes recognized at our taxable REIT subsidiaries, if any, (vi) any bargain purchase gains recognized, and (vii) certain other nonrecurring gains or losses. Items (i) through (vii) above include any amount related to those items held in affiliated entities. Transaction related expenses referenced in (ii) above are primarily comprised of costs incurred prior to or at the time of executing our securitizations and acquiring or disposing of residential mortgage loans. These costs are nonrecurring and may include underwriting fees, legal fees, diligence fees, and other similar transaction related expenses. Recurring expenses, such as servicing fees, custodial fees, trustee fees and other similar ongoing fees are not excluded from earnings available for distribution. Management considers the transaction related expenses to be similar to realized losses incurred at the acquisition, disposition, or securitization of an asset and does not view them as being part of its core operations. Management views the exclusion described in (iv) above to be consistent with how it calculates EAD on the remainder of its portfolio. Management excludes all deferred taxes because it believes deferred taxes are not representative of current operations. EAD includes the net interest income and other income earned on our investments on a yield adjusted basis, including the net interest component of interest rate swaps, TBA dollar roll income/(loss), or any other investment activity that may earn or pay net interest or its economic equivalent. Additionally, EAD includes the net operating income/(loss) from Arc Home.

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A reconciliation of "Net Income/(loss) available to common stockholders" to EAD for three and nine months ended September 30, 2025 and 2024 is set forth below (in thousands, except per share data).

			Three Months Ended												Nine Months Ended
			September 30, 2025						September 30, 2024						September 30, 2025						September 30, 2024
Net Income/(loss) available to common stockholders			$	14,617					$	11,924					$	19,414					$	27,567
Add (Deduct):
Net realized (gain)/loss			3,578						10,788						7,062						9,928
Net unrealized (gain)/loss			(13,199)						(19,700)						(13,961)						(20,488)
Transaction related expenses and deal related performance fees (1)			2,504						709						6,727						2,235
Equity in (earnings)/loss from affiliates			(1,645)						849						(3,061)						(2,099)
EAD from equity method investments (2)			1,668						306						2,786						134
Dollar roll income/(loss)			(432)						—						(543)						—
Earnings available for distribution			$	7,091					$	4,876					$	18,424					$	17,277
Earnings available for distribution, per Diluted Share			$	0.23					$	0.17					$	0.61					$	0.59

(1)The following table presents additional detail related to transaction related expenses and deal related performance fees excluded from EAD (in thousands). The interest expense line item relates to the amortization of deferred financing costs and the income tax expense line item relates to taxes incurred on items excluded from EAD, as defined above.

			Three Months Ended												Nine Months Ended
Consolidated statements of operations line item:			September 30, 2025						September 30, 2024						September 30, 2025						September 30, 2024
Transaction related expenses			$	1,962					$	684					$	6,041					$	2,164
Interest expense			99						25						243						71
Income tax expense			443						—						443						—
Transaction related expenses and deal related performance fees			$	2,504					$	709					$	6,727					$	2,235

(2)The following table presents additional detail related to EAD from equity method investments (in thousands). Refer to the “Equity in earnings/(loss) from affiliates” section within the “Results of Operations” above for additional detail.

						Three Months Ended												Nine Months Ended
						September 30, 2025																		September 30, 2024						September 30, 2025						September 30, 2024
Net interest income						$	594																	$	852					$	1,917					$	2,839
Other operating expenses						(36)																		(33)						(133)						(149)
Net operating income/(loss) from AG Arc						1,204																		(154)						1,184						(1,591)
Elimination of gains on loans sold from AG Arc to MITT						(94)																		(359)						(182)						(965)
EAD from equity method investments						$	1,668																	$	306					$	2,786					$	134

Investment activities

Investment activities

We aim to allocate capital to investment opportunities with attractive risk/return profiles in our target asset classes. Our investment activities primarily include acquiring and securitizing newly-originated residential mortgage loans. We finance our acquired loans through various financing lines on a short-term basis and securitize the loans to obtain long-term, non-recourse, non-mark-to-market financing as market conditions permit. We may also invest in Agency RMBS to utilize excess liquidity. Our investment and capital allocation decisions depend on prevailing market conditions and compliance with Investment Company Act and REIT tests, among other factors, and may change over time in response to opportunities available in different economic and capital market environments. As a result, in reacting to market conditions and taking into account a variety of other factors, including liquidity, duration, and interest rate expectations, the mix of our assets changes over time as we deploy capital. We actively evaluate our investments based on factors including, among others, the characteristics of the underlying collateral, geography, expected return, expected future prepayment trends, supply of and demand for our investments, costs of financing, costs of hedging, expected future interest rate volatility, and the overall shape of the U.S. Treasury and interest rate swap yield curves.

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Net interest margin and leverage ratio

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

GAAP net interest margin and non-GAAP net interest margin, a non-GAAP financial measure, are calculated by subtracting the weighted average cost of funds from the weighted average yield for our GAAP investment portfolio and our investment portfolio, respectively. The weighted average yield represents an effective interest rate on our cost basis, which utilizes all estimates of future cash flows and adjusts for actual prepayment and cash flow activity as of quarter-end. The calculation of weighted average yield is weighted on amortized cost at quarter-end. The weighted average cost of funds is the sum of the weighted average funding costs on total financing arrangements outstanding at quarter-end, including all non-recourse financing arrangements, and our weighted average hedging cost or benefit, which is the weighted average of the net pay or receive rates on our interest rate swaps. GAAP and non-GAAP cost of funds are weighted by the outstanding financing arrangements on our GAAP investment portfolio and our investment portfolio, respectively, and the amortized cost of securitized debt and senior unsecured notes at quarter-end.

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

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Investment portfolio

The following table presents a summary of our Investment Portfolio, inclusive of net interest margin and leverage ratios, as of September 30, 2025 and a reconciliation of these metrics on our Investment Portfolio to their respective metrics on our GAAP Investment Portfolio ($ in thousands).

						Investment																		Securitized Debt																		Cost of Funds (c)						Allocated Equity (d)						Net Interest Margin
Instrument						Amortized Cost						Fair Value						Yield (a)(b)						Amortized Cost						Fair Value						Financing Arrangements																								Leverage Ratio (e)
Residential Investments
Securitized Non-Agency Loans						$	7,350,818					$	7,142,686					5.76		%				$	6,613,928					$	6,469,626					$	439,020					5.35		%				$	234,040					0.41		%				1.8x
Securitized Home Equity Loans						985,292						1,007,911						7.73		%				855,544						861,727						68,851						5.78		%				77,333						1.95		%				0.9x
Securitized Re/Non-Performing Loans						151,387						138,386						5.97		%				100,975						96,758						26,992						4.01		%				14,636						1.96		%				1.8x
Agency-Eligible Loans						95,207						95,671						6.25		%				—						—						89,845						4.85		%				5,826						1.40		%				15.4x
Home Equity Loans						127,861						129,004						7.90		%				—						—						59,623						5.71		%				69,381						2.19		%				0.9x
Non-Agency Loans						571						572						3.65		%				—						—						—						—		%				572						3.65		%				N/A
Residential Whole Loans						460						1,257						NM						—						—						—						—		%				1,257						NM						N/A
Non-Agency RMBS						153,998						161,020						9.64		%				—						—						98,130						4.91		%				62,890						4.73		%				1.5x
Total Residential Investments						8,865,594						8,676,507						6.09		%				7,570,447						7,428,111						782,461						5.37		%				465,935						0.72		%				1.7x
Agency RMBS						17,220						16,546						7.67		%				—						—						11,000						4.60		%				5,546						3.07		%				2.0x
Legacy WMC Commercial Investments (f)
Commercial Loans (g)						66,980						57,738						—		%				—						—						27,436						7.16		%				30,302						(7.16)		%				0.9x
CMBS (h)						45,076						40,683						17.52		%				—						—						17,348						5.55		%				23,335						11.97		%				0.7x
Total Legacy WMC Commercial Investments						112,056						98,421						7.05		%				—						—						44,784						6.54		%				53,637						0.51		%				0.8x
Total Investment Portfolio						$	8,994,870					$	8,791,474					6.11		%				$	7,570,447					$	7,428,111					$	838,245					5.37		%				$	525,118					0.74		%				1.6x
Cash and Cash Equivalents (i)																																																59,000						4.06		%
Interest Rate Swaps (j)																																																11,155						0.90		%
Arc Home																																																49,244
Senior Unsecured Notes																																																(96,267)						10.61		%
Non-Interest Earning Assets, net																																																11,593
Total Stockholders' Equity																																																$	559,843											1.7x
						Investment																		Securitized Debt																		Cost of Funds (c)						Allocated Equity (d)						Net Interest Margin
						Amortized Cost						Fair Value						Yield (a)(b)						Amortized Cost						Fair Value						Financing Arrangements																								Leverage Ratio (e)
Total Investment Portfolio						$	8,994,870					$	8,791,474					6.11		%				$	7,570,447					$	7,428,111					$	838,245					5.37		%				$	525,118					0.74		%				1.6x
Investments in Debt and Equity of Affiliates						9,586						11,305						21.69		%				—						—						—						—		%				11,305						21.69		%				N/A
GAAP Investment Portfolio						$	8,985,284					$	8,780,169					6.09		%				$	7,570,447					$	7,428,111					$	838,245					5.37		%				$	513,813					0.72		%				14.9x

NM - Not Meaningful

(a)Excludes any net TBA positions.

(b)The weighted average yields are calculated based on the amortized cost of the underlying loans and securities.

(c)The cost of funds related to the financing on our investment portfolio inclusive of the benefit of 0.05% from our interest rate hedges was 5.37%. When including our Senior Unsecured Notes, the total cost of funds was 5.43%.

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

(e)The leverage ratio on each asset class and on our investment portfolio represents Economic Leverage as defined below in the "Financing Activities" section and is calculated by dividing each investment type's total recourse financing arrangements less any cash posted as collateral by its equity invested inclusive of any cash collateral posted on financing arrangements. The Economic Leverage Ratio excludes any fully non-recourse financing arrangements and includes any net receivables or payables on TBAs. The leverage ratio on our GAAP Investment Portfolio represents GAAP leverage as defined below in the "Financing Activities" section.

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

(g)The Legacy WMC Commercial Loans are on non-accrual status or cost-recovery status.

(h)There are Legacy WMC CMBS with an unpaid principal balance of $23.5 million and a fair value of $7.1 million which are on non-accrual or cost recovery status.

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

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

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Securitized Non-Agency Loans and Home Equity Loans

As noted above, our investment activities primarily include acquiring and securitizing newly-originated residential mortgage loans. Non-Agency VIEs are collateralized by Non-Agency and Agency-Eligible Loans. Home Equity VIEs are collateralized by revolving lines of credit and closed-end loans secured primarily by a second lien on a residential mortgaged property. Refer to Notes 2 and 3 to the “Notes to Consolidated Financial Statements (unaudited)” for additional information on the assets and liabilities of our consolidated Non-Agency VIEs and Home Equity VIEs.

In each securitization transaction, a pool of loans is transferred into a newly formed securitization trust. The securitization trust issues various classes of mortgage pass-through certificates backed by the cash flows from the underlying residential mortgage loans (the "Certificates"). When we sponsor a residential mortgage loan securitization, we are generally required to retain at least 5% of the fair value of the Certificates issued in the securitization ("Risk Retention Rules"). We can retain either an "eligible vertical interest" (which consists of at least 5% of each class of securities issued in the securitization), an "eligible horizontal residual interest" (which is the most subordinate class of securities with a fair value of at least 5% of the aggregate credit risk) or a combination of both totaling 5% (the "Required Credit Risk"). We typically sell the senior classes of Certificates to unrelated third parties. When we choose to retain an eligible horizontal residual interest, we generally purchase the most subordinated classes of Certificates and the excess cash flow Certificates. When we choose to retain an eligible vertical interest, we purchase a 5% interest in each class of Certificates issued. We also may purchase the Certificates entitled to excess servicing fees and other Certificates not required to meet Risk Retention Rules.

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

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The following table summarizes our Securitized residential mortgage loans and Securitized debt, as well as the economic interest on retained Certificates related to our Non-Agency VIEs and Home Equity VIEs as of September 30, 2025 (in thousands).

						Non-Agency VIEs												Home Equity VIEs
						Unpaid Principal Balance						Fair Value						Unpaid Principal Balance						Fair Value
Securitized residential mortgage loans in VIEs						$	7,298,543					$	7,142,686					$	921,111					$	1,007,911
Securitized debt in VIEs (1)						6,676,720						6,469,626						828,954						861,727
Other assets (2)						N/A						2,259						N/A						1,055
Retained Certificates from VIEs (3)(4)(5)(6)												$	675,319											$	147,239
Retained interests in VIEs						Current Face						Fair Value						Current Face						Fair Value
Senior Bonds						$	129,304					$	131,573					$	38,886					$	39,091
Mezzanine Bonds						23,348						21,894						1,117						1,119
Subordinate Bonds						470,769						350,972						52,153						49,739
Interest Only / Excess Servicing Bonds (1)(7)						N/A						170,880						N/A						57,290
Retained Certificates from VIEs (3)(4)(5)(6)												$	675,319											$	147,239
Financing arrangements on retained Certificates from VIEs												439,020												68,851
Retained Certificates from VIEs, net of financing arrangements												$	236,299											$	78,388

(1)Interest Only securities have no principal balances and bear interest based on a notional value. The notional value is used solely to determine interest distributions on the interest only classes of securities. The Securitized debt in the Non-Agency VIEs and Interest Only/Excess Servicing Bonds line items include interest only classes with a notional value of $3.4 billion and $12.1 billion, respectively. The Securitized debt in the Home Equity VIEs and Interest Only/Excess Servicing Bonds line items include interest only classes with a notional value of $310.9 million and $610.2 million, respectively.

(2)For Non-Agency VIEs, represents the fair value of real estate owned within the VIEs. We record real estate owned at the lower of cost or fair value less estimated costs to sell. We recorded real estate owned within our Non-Agency VIEs at $2.1 million. For Home Equity VIEs, represents cash held in reserve accounts within the Home Equity VIEs and included within our restricted cash.

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

(4)Our equity at risk included bonds in our Non-Agency VIEs and Home Equity VIEs with a fair value of $457.2 million and $50.5 million, respectively, held in order to comply with Risk Retention Rules. We are generally required to hold the Required Credit Risk until the later of (i) the fifth anniversary of the securitization closing date and (ii) the date on which the aggregate unpaid principal balance of the mortgage loans has been reduced to 25% of the aggregate unpaid principal balance of the mortgage loans as of the securitization closing date, but no longer than the seventh anniversary of the closing date.

(5)A portion of our equity at risk included bonds exposed to the first loss of the securitization in the Non-Agency VIEs and Home Equity VIEs with a fair value of $110.9 million and $57.3 million, respectively.

(6)Excludes net other asset/(liabilities) held within the Non-Agency VIEs and Home Equity VIEs of $7.7 million and $3.8 million, respectively.

(7)As the sponsor and depositor of each securitization, we may purchase all of the outstanding Certificates (an "Optional Redemption") following the earlier of (1) an applicable anniversary date (typically two or three years) of the respective securitization or (2) the date at which the unpaid principal balance of the applicable collateral has declined below a certain percentage (typically 10% to 30%) of the principal balance originally contributed to the securitization. As of September 30, 2025, there were 10 Non-Agency securitizations with an unpaid principal balance of $2.4 billion that met the criteria for an Optional Redemption.

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Securitized residential mortgage loans and Residential mortgage loans

The following table presents information regarding collateral characteristics of our residential mortgage loans as of September 30, 2025 ($ in thousands).

						Unpaid Principal Balance																		Weighted Average (1)(2)
												Fair Value						Loan Count (1)						Original LTV Ratio (3)						Current FICO (4)						Coupon						Life (Years) (5)
Securitized residential mortgage loans
Non-Agency Loans						$	7,298,543					$	7,142,686					18,795						70.80		%				765						5.86		%				7.44
Home Equity Loans						921,111						1,007,911						11,056						65.49		%				746						9.81		%				5.01
Re- and Non-Performing Loans						160,916						138,386						1,095						80.45		%				671						4.25		%				5.53
Total Securitized residential mortgage loans						$	8,380,570					$	8,288,983					30,946						71.01		%				763						6.26		%				7.14
Residential mortgage loans
Agency-Eligible Loans						$	95,124					$	95,671					228						73.80		%				772						6.58		%				5.95
Home Equity Loans						121,535						129,004						1,506						65.84		%				749						9.42		%				4.77
Non-Agency Loans						555						572						2						65.60		%				639						6.77		%				3.48
Re- and Non-Performing Loans (1)						1,314						1,257						N/A						N/A						N/A						N/A						1.17
Total Residential mortgage loans						$	218,528					$	226,504					1,736						69.33		%				759						8.17		%				5.26
Total as of September 30, 2025						$	8,599,098					$	8,515,487					32,682						70.37		%				761						6.31		%				7.09

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

(2)Amounts are weighted based on unpaid principal balance.

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

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

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

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

Legacy WMC Commercial loans

As of September 30, 2025, the borrowers of the Legacy WMC Commercial loans were in maturity default. The lender parties (including us) are evaluating with the borrowers consensual sales of the underlying properties collateralizing the loans and/or transferring title of all or certain of the properties to the lender parties via a deed-in-lieu of foreclosure. See Note 3 to the "Notes to Consolidated Financial Statements (unaudited)" for information on the status of the Legacy WMC Commercial loans, as well as coupons, weighted average life, geographic concentration, collateral characteristics, LTV, and maturities of the loans we include in the "Commercial loans, at fair value" line item on our consolidated balance sheets.

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Non-Agency RMBS and Legacy WMC CMBS

The following table presents the fair value, coupon, and weighted average life of our Non-Agency RMBS and Legacy WMC CMBS portfolios as of September 30, 2025 ($ in thousands).

																		Weighted Average
Instrument						Current Face						Fair Value						Coupon (1)						Life (Years) (2)
Non-Agency RMBS by collateral type:
Non-QM Loans (3)						$	53,458					$	57,311					1.56		%				2.84
Agency-Eligible Loans (3)						46,431						45,955						3.53		%				6.78
Home Equity Loans (3)						37,950						52,268						6.04		%				6.65
Prime Jumbo Loans (3)						6,345						4,795						1.03		%				7.68
Re- and Non-Performing Loans (3)						N/A						691						—		%				2.92
Total Non-Agency RMBS						$	144,184					$	161,020					2.45		%				4.70
Legacy WMC CMBS
Single-Asset/Single-Borrower - Fixed Rate						$	48,498					$	21,301					6.11		%				1.71
Single-Asset/Single-Borrower - Floating Rate						19,421						6,526						9.16		%				0.57
Conduit - Fixed Rate						15,043						12,856						4.20		%				2.44
Legacy WMC CMBS (4)						$	82,962					$	40,683					6.47		%				1.58
Total Non-Agency RMBS and Legacy WMC CMBS						$	227,146					$	201,703					3.19		%				4.36
Less: Investments in Debt and Equity of Affiliates						$	4,497					$	11,305					0.54		%				2.31
Total GAAP Non-Agency RMBS and Legacy WMC CMBS						$	222,649					$	190,398					4.19		%				5.31

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

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

(3)Interest Only securities have no principal balances and bear interest based on a notional value. The notional value is used solely to determine interest distributions on the interest only classes of securities. The notional value of interest only classes included in the Non-QM Loans, Agency-Eligible Loans, Home Equity Loans, Prime Jumbo Loans, and Re- and Non-Performing Loans line items was $308.2 million, $43.4 million, $163.2 million, $25.5 million, and $0.8 million, respectively.

(4)There are Legacy WMC CMBS with an unpaid principal balance of $23.5 million and a fair value of $7.1 million which are on non-accrual or cost recovery status.

The following table presents the fair value of our Non-Agency RMBS and Legacy WMC CMBS by credit rating as of September 30, 2025 (in thousands).

Credit Rating (1)						Non-Agency RMBS						Legacy WMC CMBS
AAA						$	45,588					$	—
AA						6,669						—
A						12,062						—
BBB						22,765						—
BB						15,055						5,769
B						11,938						1,151
Below B						—						33,705
Not Rated						46,943						58
Total Non-Agency RMBS and Legacy WMC CMBS						$	161,020					$	40,683
Less: Investments in Debt and Equity of Affiliates						$	11,305					$	—
Total GAAP Non-Agency RMBS and Legacy WMC CMBS						$	149,715					$	40,683

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

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The following table presents the geographic concentration of the underlying collateral for our Non-Agency RMBS and Legacy WMC CMBS portfolios as of September 30, 2025 ($ in thousands).

Non-Agency RMBS																		Legacy WMC CMBS
Geographic Location						Concentration						Fair Value						Geographic Location						Concentration						Fair Value
California						32.4		%				$	52,167					California						43.9		%				$	17,859
Florida						9.1		%				14,655						Minnesota						16.4		%				6,672
New York						8.6		%				13,928						Texas						8.9		%				3,602
Texas						4.6		%				7,419						New York						6.1		%				2,465
New Jersey						3.6		%				5,807						Ohio						4.7		%				1,923
Other						41.7		%				67,044						Other						20.0		%				8,162
Total						100.0		%				$	161,020					Total						100.0		%				$	40,683

Agency RMBS

Although our investment activities primarily include acquiring and securitizing newly-originated residential mortgage loans, from time to time we invest excess liquidity into Agency RMBS. The following table presents the fair value, constant prepayment rate (“CPR”), coupon, and weighted average life experienced on our Agency RMBS portfolio as of September 30, 2025 ($ in thousands).

												Weighted Average
						Fair Value						CPR (1)						Coupon						Life (Years) (2)
Agency RMBS Interest Only						$	16,546					9.1		%				4.56		%				5.35

(1)Represents the weighted average monthly CPRs published during the period for our in-place portfolio.

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

Financing activities

Financing Arrangements

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

Repurchase agreements involve the sale and a simultaneous agreement to repurchase the transferred assets or similar assets at a future date. The amount borrowed generally is equal to the fair value of the assets pledged less an agreed-upon discount, referred to as a "haircut." The size of the haircut reflects the perceived risk associated with the pledged asset. Haircuts may change as our financing arrangements mature or roll and are sensitive to governmental regulations. Interest rates for our financing arrangements are determined based on prevailing rates (typically a spread over a base rate) corresponding to the terms of the borrowings, and interest is paid on a monthly basis or, for shorter term arrangements, at the end of the term. Repurchase agreements typically have a term of up to one year for loans and a term of 30 to 90 days for securities. Repurchase agreements are generally mark-to-market with respect to margin calls and recourse to us. We also have certain financing arrangements collateralized by residential mortgage loans which are recourse to us, but are not subject to mark-to-market margin calls. We had outstanding financing arrangements with six counterparties as of September 30, 2025.

 

Our financing arrangements generally include customary representations, warranties, and covenants, but may also contain more restrictive supplemental terms and conditions. Although specific to each financing arrangement, typical supplemental terms include requirements of minimum equity and liquidity, leverage ratios, and performance triggers. In addition, some of the financing arrangements contain cross default features, whereby default under an agreement with one lender simultaneously causes default under agreements with other lenders. To the extent that we fail to comply with the covenants contained in these financing arrangements or are otherwise found to be in default under the terms of such agreements, the counterparty has the right to accelerate amounts due under the associated agreement. As of September 30, 2025, we are in compliance with all of our financial covenants.

Securitized Debt

We also utilize securitized debt to finance our loan portfolio. As explained in the “Investment Activities” section above, our investment strategy focuses on acquiring and securitizing newly originated residential mortgage loans. In each securitization

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transaction, a pool of loans is transferred into a newly formed securitization trust. This trust issues Certificates, and we typically sell the senior classes of these Certificates to unrelated third parties. We record “Securitized debt" on our consolidated balance sheet in accordance with U.S. GAAP when we determine that we are the primary beneficiary of the securitization transaction. The proceeds from securitization transactions are used to repay any outstanding financing arrangements initially employed to acquire newly originated residential mortgage loans, replacing recourse financing with mark-to-market margin calls with securitized debt. Securitized debt is generally long-term in nature, non-recourse to us and is not subject to mark-to-market margin calls. Additionally, generally the holders of the securitized debt have no recourse to the general credit of the Company and we have no obligation to provide any other explicit or implicit support to the securitization trusts.

Senior Unsecured Notes

During 2024, we issued senior unsecured notes which consist of $34.5 million principal amount 9.500% Senior Notes due February 2029 and $65.0 million principal amount 9.500% Senior Notes due May 2029. See Note 6 to the "Notes to Consolidated Financial Statements (unaudited)" for additional information on the Senior Unsecured Notes.

Leverage

We use leverage to increase potential returns to our stockholders. Our financing strategy is designed to increase the size of our investment portfolio by borrowing against the fair value of the assets in our portfolio. As discussed above, financing arrangements are generally recourse to the Company whereas securitized debt used to finance our Non-Agency VIEs, Home Equity VIEs, and RPL/NPL VIEs is generally non-recourse to the Company. In addition to disclosing GAAP leverage, we also disclose Economic Leverage, which excludes non-recourse financing. Management believes that this non-GAAP measure, when considered with our GAAP financial statements, provides supplemental information useful for investors to help evaluate our use of leverage and the related risk associated with our leverage profile. Our presentation of Economic Leverage may not be comparable to similarly-titled measures of other companies, who may use different calculations. This non-GAAP measure should not be considered a substitute for, or superior to, GAAP leverage calculated in accordance with GAAP. Our GAAP financial results and the reconciliations from these results should be carefully evaluated.

We define GAAP leverage as the sum of (1) Securitized debt, at fair value, (2) Financing arrangements, net of any restricted cash posted on such financing arrangements, (3) Senior Unsecured Notes, and (4) the amount payable on purchases that have not yet settled less the financing remaining on sales that have not yet settled. We define Economic Leverage, a non-GAAP metric, as the sum of our GAAP leverage, exclusive of any fully non-recourse financing arrangements, and our net TBA position (at cost), if any. Our leverage does not include any financing utilized through AG Arc.

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

September 30, 2025						Leverage						Stockholders’ Equity						Leverage Ratio
Securitized debt, at fair value (1)						$	7,428,111
Financing arrangements (2)						838,245
Senior Unsecured Notes (2)						96,267
Restricted cash posted on financing arrangements						(4,427)
GAAP Leverage						$	8,358,196					$	559,843					14.9x
Non-recourse financing arrangements (1)						(7,428,111)
Net TBA (receivable)/payable adjustment						868
Economic Leverage						$	930,953					$	559,843					1.7x

(1) Securitized debt, at fair value is non-recourse to the Company.

(2) Financing arrangements and senior unsecured notes are recourse to the Company.

Hedging activities

 

Subject to maintaining our qualification as a REIT and our Investment Company Act exemption, to the extent leverage is deployed, we may utilize derivative instruments in an effort to hedge the interest rate risk associated with the financing of our portfolio. Specifically, we may seek to hedge our exposure to potential interest rate mismatches between the interest we earn on our investments and our borrowing costs caused by fluctuations in short-term interest rates. We may utilize interest rate swaps, swaption agreements, and other financial instruments such as short positions in to-be-announced securities. In utilizing leverage

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and interest rate derivatives, our objectives are to improve risk-adjusted returns and, where possible, to lock in, on a long-term basis, a spread between the yield on our assets and the costs of our financing and hedging. Derivatives have not been designated as hedging instruments for accounting purposes. See Note 7 in the "Notes to Consolidated Financial Statements (unaudited)" for more information.

Dividends

Federal income tax law generally requires that a REIT distribute annually at least 90% of its REIT ordinary taxable income, without regard to the deduction for dividends paid and excluding net capital gains and that it pay tax at regular corporate rates to the extent that it annually distributes less than 100% of its net taxable income. Before we pay any dividend, whether for U.S. federal income tax purposes or otherwise, we must first meet both our operating requirements and debt service on our financing arrangements and other debt payable. If our cash available for distribution is less than our net taxable income, we could be required to sell assets or borrow funds to make required cash distributions or we may make a portion of the required distribution in the form of a taxable stock distribution or distribution of debt securities.

 

As described above, our distribution requirements are based on taxable income rather than GAAP net income. Differences between taxable income and GAAP net income include (i) unrealized gains and losses associated with investment and derivative portfolios which are marked-to-market in current income for GAAP purposes, but excluded from taxable income until realized or settled, (ii) temporary differences related to amortization of premiums and discounts paid on investments, (iii) the timing and amount of deductions related to stock-based compensation, (iv) temporary differences related to the recognition of realized gains and losses on sold investments and certain terminated derivatives, (v) taxes, and (vi) differences between GAAP income or losses in our TRSs and taxable income resulting from dividend distributions to the REIT from our TRSs. Undistributed taxable income is based on current estimates and is not finalized until we file our annual tax return for that tax year, typically in October of the following year. As of December 31, 2024, we had undistributed taxable income of $0.36 per common share.

During the nine months ended September 30, 2025, the Company declared common stock dividends of $0.62 per share. During the same period, the Company declared and paid preferred stock dividends on its Series A Preferred Stock, Series B Preferred Stock, and Series C Preferred Stock of $1.54689, $1.50, and $2.103968 per share, respectively.

Liquidity and capital resources

 

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

Our principal sources of cash consist of borrowings under securitized debt and financing arrangements, principal and interest payments we receive on our investment portfolio, cash generated from our operating results, proceeds from the sale of investments, and proceeds from capital market transactions. We typically use cash to repay principal and interest on our securitized debt, financing arrangements and senior unsecured notes, to purchase loans, real estate securities, and other real estate related assets, to make dividend payments on our capital stock, to repurchase our capital stock, and to fund our operations. We may also generate liquidity when restricted cash that was pledged as collateral for clearing and executing trades, derivatives, and financing arrangements becomes unrestricted when the related collateral requirements are exceeded or at the maturity of the derivative or financing arrangement. Refer to "—Margin requirements" below discussing instances where we may use liquidity to meet margin requirements. At September 30, 2025, we had $104.2 million of liquidity, which consisted of $59.0 million of cash and cash equivalents, $44.5 million of available committed financing on certain Home Equity Loans, and $0.7 million of unencumbered Agency RMBS available to support our liquidity needs. The $44.5 million of available committed financing on Home Equity Loans relates to certain financing arrangements in which our counterparty has contractually committed to provide up to $50.0 million of financing at an advance rate of 87.5% of unpaid principal balance pledged as collateral, which was $50.9 million as of September 30, 2025.

Margin requirements

 

The fair value of our loans and real estate securities fluctuate according to market conditions. When the fair value of the assets pledged as collateral to secure a financing arrangement decreases to the point where the difference between the collateral fair value and the financing arrangement amount is less than the haircut, our lenders may issue a "margin call," which requires us to post additional collateral to the lender in the form of additional assets or cash. Under our repurchase facilities, our lenders have full discretion to determine the fair value of the securities we pledge to them. Our lenders typically value assets based on recent transactions in the market. Lenders also issue margin calls as the published current principal balance factors change on the pool of mortgages underlying the securities pledged as collateral when scheduled and unscheduled paydowns are announced monthly. We experience margin calls in the ordinary course of our business. In addition to our cash and cash equivalents, we may hold

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unpledged Agency RMBS and maintain available committed financing on certain residential mortgage loans to effectively manage the margin requirements established by our lenders. We refer to this position as our "liquidity." Additionally, we may use certain financing arrangements collateralized by residential mortgage loans which are not subject to mark-to-market margin calls. The level of liquidity we maintain to meet margin calls is directly affected by our leverage levels, our haircuts and the price changes on our assets. Typically, if interest rates increase or if credit spreads widen, then the prices of our collateral (and our unpledged Agency RMBS that constitute a portion of our liquidity) will decline, we will experience margin calls, and we will need to use our liquidity to meet the margin calls. There can be no assurance that we will maintain sufficient levels of liquidity to meet any margin calls. If our haircuts on existing financing arrangements increase, our liquidity will proportionately decrease. We intend to maintain a level of liquidity in relation to our borrowings that enables us to meet reasonably anticipated margin calls but that also allows us to be substantially invested in the residential mortgage market. We may misjudge the appropriate amount of our liquidity by maintaining excessive liquidity, which would lower our investment returns, or by maintaining insufficient liquidity, which may force us to liquidate assets into potentially unfavorable market conditions and harm our results of operations and financial condition.

Similar to the margin calls that we receive on our borrowing agreements, we may also receive margin calls on our derivative instruments when their fair value declines. This typically occurs when prevailing market rates change adversely, with the severity of the change also dependent on the terms of the derivatives involved. We may also receive margin calls on our derivatives based on the implied volatility of interest rates. Our posting of collateral with our counterparties can be done in cash or assets, and is generally bilateral, which means that if the fair value of our interest rate hedges increases, our counterparty will be required to post collateral with us. Refer to the "Liquidity risk – derivatives" section of Item 3 below for a further discussion on margin.

Cash flows

The below details changes to our cash, cash equivalents, and restricted cash for the nine months ended September 30, 2025 and 2024 (in thousands).

						Nine Months Ended
						September 30, 2025						September 30, 2024						Change
Cash and cash equivalents and restricted cash, Beginning of Period						$	138,568					$	125,573					$	12,995
Net cash provided by (used in) operating activities (1)						40,894						40,184						710
Net cash provided by (used in) investing activities (2)						(1,954,802)						(637,889)						(1,316,913)
Net cash provided by (used in) financing activities (3)						1,852,148						586,350						1,265,798
Net change in cash and cash equivalents and restricted cash						(61,760)						(11,355)						(50,405)
Cash and cash equivalents and restricted cash, End of Period						$	76,808					$	114,218					$	(37,410)

(1)Cash provided by operating activities is primarily attributable to net interest income less operating expenses for the nine months ended September 30, 2025.

(2)Cash used in investing activities for the nine months ended September 30, 2025 was primarily attributable to purchases of residential mortgage loans and real estate securities, offset by principal repayments on our investment portfolio and proceeds from the sale of certain investments.     

(3)Cash provided by financing activities for the nine months ended September 30, 2025 was primarily attributable to proceeds from the issuance of securitized debt and net borrowings under financing arrangements, offset by principal repayments on securitized debt, repayments of fixed-rate long-term financing arrangements, and dividend payments.

Stock repurchase programs

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

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authorized for future share repurchases under the 2022 Repurchase Program. There were no shares repurchased during the three and nine months ended September 30, 2025 and 2024.

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

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

Shares of stock repurchased by us under any repurchase program, if any, will be cancelled and, until reissued by us, will be deemed to be authorized but unissued shares of our stock as required by Maryland law. The cost of the acquisition by us of shares of our own stock in excess of the aggregate par value of the shares first reduces additional paid-in capital, to the extent available, with any residual cost applied against retained earnings.

Equity distribution agreements

On November 6, 2024, we entered into separate equity distribution agreements (the "2024 Equity Distribution Agreements") with each of BTIG, LLC, JonesTrading Institutional Services LLC, Keefe, Bruyette & Woods, Inc. and Piper Sandler & Co. (collectively, the "2024 Sales Agents"), pursuant to which we may sell up to $75.0 million aggregate offering price of shares of our common stock from time to time through an "at-the-market" equity offering program under which the 2024 Sales Agents will act as sales agent. Prior to entering into the 2024 Equity Distribution Agreements, we terminated the equity distribution agreements related to our prior at-the-market program (the "Equity Distribution Agreements"). At the time of such termination, $51.7 million remained unsold under the prior program. We did not issue any shares of common stock under any of our equity distribution agreements then in effect during the three and nine months ended September 30, 2025 and 2024.

Acquisition of additional interest in AG Arc

On August 1, 2025, in connection with the acquisition of an additional 21.4% interest in AG Arc, we issued 2,027,676 restricted shares of common stock (the “Holder Shares”) to certain funds managed by TPG Angelo Gordon (the “Holders”) as consideration. Refer to Note 10 of the "Notes to Consolidated Financial Statements (unaudited)" for additional information. Pursuant to the registration rights agreement we entered into with the Holders, in August 2025, we filed a resale shelf registration statement on Form S-3 registering the resale of all the Holder Shares (the “Resale Shelf”), which was declared effective by the Securities and Exchange Commission in August 2025.

Forward-looking statements regarding liquidity

 

Based upon our current portfolio, leverage and available borrowing arrangements, we believe the net proceeds of our common equity offerings, preferred equity offerings, senior unsecured note issuances, and private placements, combined with cash flow from operating activities, financing activities, and our available borrowing capacity will be sufficient to enable us to meet our anticipated liquidity requirements, including funding our investment activities, paying fees under our management agreement, funding our distributions to stockholders, funding financing maturities, and paying general corporate expenses.

 

Contractual obligations

 

Management agreement

 

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

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In connection with the closing of the WMC acquisition, the MITT Management Agreement Amendment became effective, pursuant to which (i) our Manager’s base management fee was 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), and (ii) our Manager waived its right to seek reimbursement from us for any expenses otherwise reimbursable by us under the management agreement in an amount equal to approximately $1.3 million, which was the excess of $7.0 million over the aggregate per share additional merger consideration paid by our Manager to the holders of WMC Common Stock under the merger agreement.

Management fee

The management fee is calculated and payable quarterly in arrears in an amount equal to 1.50% of our Stockholders’ Equity, per annum. For purposes of calculating the management fee, "Stockholders’ Equity" means the sum of the net proceeds from any issuances of equity securities (including preferred securities) since inception (allocated on a pro rata daily basis for such issuances during the fiscal quarter of any such issuance, and excluding any future equity issuance to the Manager), plus our retained earnings at the end of such quarter (without taking into account any non-cash equity compensation expense or other non-cash items described below incurred in current or prior periods), less any amount that we pay for repurchases of our common stock, excluding any unrealized gains, losses or other non-cash items that have impacted stockholders’ equity as reported in our financial statements prepared in accordance with GAAP, regardless of whether such items are included in other comprehensive income or loss, or in net income, and excluding one-time events pursuant to changes in GAAP, and certain other non-cash charges after discussions between the Manager and our independent directors and after approval by a majority of our independent directors. Stockholders’ Equity, for purposes of calculating the management fee, could be greater or less than the amount of stockholders’ equity shown on our financial statements. The below table details the management fees incurred during the three and nine months ended September 30, 2025 and 2024 (in thousands).

						Three Months Ended												Nine Months Ended
Consolidated statements of operations line item:						September 30, 2025						September 30, 2024						September 30, 2025						September 30, 2024
Management fee to affiliate (1)						$	2,319					$	1,708					$	6,947					$	5,202

(1)For the three and nine months ended September 30, 2024, the Manager agreed to waive its right to receive management fees of $0.6 million and $1.8 million, respectively, pursuant to the MITT Management Agreement Amendment executed in connection with the WMC acquisition.

As of September 30, 2025 and December 31, 2024, we have recorded management fees payable of $2.3 million and $2.3 million, respectively. The management fee payable is included within the "Due to affiliates" line item within the "Other liabilities" line item on the consolidated balance sheets.

 

Incentive fee

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

During the three and nine months ended September 30, 2025 and 2024, we did not incur any incentive fee expense.

Termination fee

 

Upon the occurrence of (i) our termination of the management agreement without cause or (ii) the Manager’s termination of the management agreement upon a breach by the Company of any material term of the management agreement, the Manager will be entitled to a termination fee equal to three times the average annual management fee during the 24-month period prior to such termination, calculated as of the end of the most recently completed fiscal quarter. As of September 30, 2025 and December 31, 2024, no event of termination of the management agreement had occurred.

Expense reimbursement

Our Manager uses the proceeds from its management fee in part to pay compensation to its officers and personnel, who, notwithstanding that certain of them also are our officers, receive no compensation directly from us. We are required to

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

The below table details the expense reimbursement incurred during the three and nine months ended September 30, 2025 and 2024 (in thousands).

						Three Months Ended												Nine Months Ended
Consolidated statements of operations line item:						September 30, 2025						September 30, 2024						September 30, 2025						September 30, 2024
Non-investment related expenses (1)						$	1,544					$	1,636					$	4,687					$	4,936
Investment related expenses						256						194						551						395
Transaction related expenses						174						22						543						396
Expense reimbursements to Manager or its affiliates						$	1,974					$	1,852					$	5,781					$	5,727

(1)For the three and nine months ended September 30, 2024, the Manager agreed to waive its right to receive expense reimbursements of $0.3 million and $0.9 million, respectively, pursuant to the MITT Management Agreement Amendment executed in connection with the WMC acquisition.

As of September 30, 2025 and December 31, 2024, we recorded a reimbursement payable to our Manager or its affiliates of $2.5 million and $1.7 million, respectively The reimbursement payable to the Manager or its affiliates is included within the "Due to affiliates" line item within the "Other liabilities" line item on the consolidated balance sheets.

Equity Incentive Plans

On May 5, 2025, following approval by stockholders at our annual stockholders meeting, our 2025 Equity Incentive Plan (the “2025 Equity Incentive Plan”) became effective. The maximum number of shares of our common stock that may be issued under the 2025 Equity Incentive Plan is 800,000 shares of common stock, plus 220,781 shares of common stock (which reflects the number of shares that remained available for issuance under the equity incentive plan approved in 2020 (the “2020 Equity Incentive Plan”) as of May 4, 2025), plus 130,000 shares of common stock that remain subject to outstanding awards under the 2020 Equity Incentive Plan but only to the extent that such shares become forfeited or otherwise lapse. As a result of the adoption of the 2025 Equity Incentive Plan, no additional awards will be granted under the 2020 Equity Incentive Plan (although awards previously made under the 2020 Equity Incentive Plan will remain in effect subject to the terms of the 2020 Equity Incentive Plan and the applicable award agreement).

Since inception of the 2025 Equity Incentive Plan and through September 30, 2025, we have granted an aggregate 13,383 shares of restricted common stock and 411 dividend equivalent units to its independent directors, all of which have vested. As of September 30, 2025, there were 1,006,987 remaining shares available to be issued under the 2025 Equity Incentive Plan.

As of September 30, 2025, we have 12,981 restricted stock units and 2,460 associated dividend equivalent units outstanding, all of which are fully vested and held by one of our independent directors. These units will be settled on a one-for-one basis in shares of our common stock upon the director's separation from service with us.

Unfunded commitments

See Note 12 of the "Notes to Consolidated Financial Statements (unaudited)" for detail on our commitments as of September 30, 2025.

Off-balance sheet arrangements

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

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We record TBA purchases and sales on the trade date and present the purchase or receipt net of the corresponding payable or receivable until the settlement date of the transaction. Refer to Note 7 to the "Notes to Consolidated Financial Statements (unaudited)" for additional detail on TBAs as of September 30, 2025, if applicable.

For additional information on our commitments as of September 30, 2025, refer to Note 12 of the "Notes to Consolidated Financial Statements (unaudited)." We do not expect these commitments, taken as a whole, to be significant to, or to have a material impact on, our overall liquidity or capital resources or our operations.

Critical accounting policies and estimates

 

We prepare our consolidated financial statements in conformity with GAAP, which requires the use of estimates and assumptions that affect reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the amounts of income and expenses during the reporting period. These estimates are based, in part, on our judgment and assumptions regarding various economic conditions that we believe are reasonable based on facts and circumstances existing at the time of reporting. We believe that the estimates, judgments and assumptions utilized in the preparation of our consolidated financial statements are prudent and reasonable. Although our estimates contemplate conditions as of September 30, 2025 and how we expect them to change in the future, it is reasonably possible that actual conditions could be different than anticipated in arriving at those estimates, which could materially affect reported amounts of assets and liabilities at the date of the consolidated financial statements and the reported amounts of income and expenses during the periods presented.

Our most critical accounting policies include (i) Valuation of financial instruments, (ii) Accounting for loans, (iii) Accounting for real estate securities, (iv) Interest income recognition, (v) Financing arrangements, (vi) Investment consolidation, and (vii) Accounting for business combinations. Our critical accounting estimates are those which require assumptions to be made about matters that are highly uncertain and include (i), (iv), and (vi) above. A discussion of critical accounting policies and estimates is included in our Form 10-K. Our critical accounting policies and estimates have not materially changed since December 31, 2024.

REIT Qualification

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

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

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

Investment Company Act Exemption

 

We conduct our business so as to maintain our exempt status under, and not to become regulated as an investment company for purposes of, the Investment Company Act. Under Section 3(a)(1)(A) of the Investment Company Act, a company is an investment company if it is, or holds itself out as being, engaged primarily, or proposes to engage primarily, in the business of investing, reinvesting or trading in securities. Under Section 3(a)(1)(C) of the Investment Company Act, a company is deemed to be an investment company if it is engaged, or proposes to engage, in the business of investing, reinvesting, owning, holding or trading in securities and owns or proposes to acquire "investment securities" having a value exceeding 40% of the value of its total assets (exclusive of U.S. government securities and cash items) on an unconsolidated basis (the "40% Test"). "Investment

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securities" do not include, among other things, U.S. government securities, and securities issued by majority-owned subsidiaries that (i) are not investment companies and (ii) are not relying on the exceptions from the definition of investment company provided by Section 3(c)(1) or 3(c)(7) of the Investment Company Act (the so called "private investment company" exemptions).

We conduct our operations such that we will not be considered an investment company under Section 3(a)(1) of the Investment Company Act by complying with the 40% Test and not engaging primarily (or holding ourselves out as being engaged primarily) in the business of investing, reinvesting, or trading in securities. Rather, through wholly-owned or majority-owned subsidiaries, we are primarily engaged in the non-investment company businesses of these subsidiaries, namely the real estate finance business of purchasing or otherwise acquiring mortgage loans and other interests in real estate.

We currently have several subsidiaries that rely on the exclusion provided by Section 3(c)(7) of the Investment Company Act, each a "3(c)(7) subsidiary." In addition, we currently have several subsidiaries that rely on the exclusion provided by Section 3(c)(5)(C) of the Investment Company Act, each a "3(c)(5)(C) subsidiary."

While investments in 3(c)(7) subsidiaries are considered investment securities for the purposes of the 40% Test, investments in 3(c)(5)(C) subsidiaries are not considered investment securities for the purposes of the 40% Test, nor are investments in subsidiaries that rely on the exclusion provided by Section 3(a)(1)(C). Therefore, our investments in 3(c)(7) subsidiaries and other investment securities cannot exceed 40% of the value of our total assets (excluding U.S. government securities and cash) on an unconsolidated basis.

Section 3(c)(5)(C) of the Investment Company Act exempts from the definition of "investment company" entities primarily engaged in the business of purchasing or otherwise acquiring mortgages and other liens on and interests in real estate. The SEC staff generally requires an entity relying on Section 3(c)(5)(C) to invest at least 55% of its portfolio in "qualifying assets" and at least another 25% in additional qualifying assets or in "real estate-related assets" (with no more than 20% comprised of miscellaneous assets). Both the 40% Test and the requirements of the Section 3(c)(5)(C) exclusion limit the types of businesses in which we may engage and the types of assets we may hold, as well as the timing of sales and purchases of assets. For example, these restrictions limit our and our 3(c)(5)(C) subsidiaries’ ability to invest directly in Agency RMBS that represent less than the entire ownership in a pool of mortgage loans or debt and equity tranches of Non-Agency RMBS (in each case to the extent such interest are not retained interest in securitizations consisting of mortgage loans that were owned by us and such securitizations were not sponsored by us in order to obtain financing to acquire additional mortgage loans), certain real estate companies and assets not related to real estate.

 

The determination that we qualify for this exemption from being regulated as an investment company depends on various factual matters and circumstances. We closely monitor our holdings to ensure continuing and ongoing compliance with these tests. If we failed to comply with the 40% Test or another exemption under the Investment Company Act and became regulated as an investment company, our ability to, among other things, use leverage would be substantially reduced and, as a result, we would be unable to conduct our business as described in this report.

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ITEM 3. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK

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

 

Interest rate risk

 

Interest rate risk is highly sensitive to many factors, including governmental monetary, fiscal and tax policies, domestic and international economic and political considerations and other factors beyond our control. We are subject to interest rate risk in connection with both our investments and the financing under our financing arrangements. We generally seek to manage this risk by monitoring the reset index and the interest rate related to our investment portfolio and our financings; by structuring our financing arrangements to have a range of maturity terms, amortizations and interest rate adjustment periods; and by using derivative instruments to adjust interest rate sensitivity of our investment portfolio and borrowings. Our hedging techniques can be highly complex, and the value of our investment portfolio and derivatives may be adversely affected as a result of changing interest rates.

 

Interest rate effects on net interest income

 

Our operating results depend in large part upon differences between the yields earned on our investments and our cost of borrowing and upon the effectiveness of our interest rate hedging activities. The majority of our financing arrangements are short term in nature, exclusive of our residential mortgage loans financed through securitized debt. Repurchase agreements financing our securities portfolio or retained interests from our securitizations typically have an initial term between 30 and 90 days while repurchase agreements financing our residential mortgage loans prior to securitization have an initial term of one year. The financing rate on these agreements will generally be determined at the outset of each transaction by reference to prevailing rates plus a spread. As a result, our borrowing costs will tend to increase during periods of rising interest rates as we renew, or "roll", maturing transactions at the higher prevailing rates. When combined with the fact that the income we earn on our fixed interest rate investments will remain substantially unchanged, this will result in a narrowing of the net interest spread between the related assets and borrowings and may even result in losses.

 

In an attempt to offset the increase in funding costs related to rising interest rates, our Manager may cause us to enter into hedging transactions structured to provide us with positive cash flow in the event interest rates rise. Our Manager accomplishes this through the use of interest rate derivatives. Some hedging strategies involving the use of derivatives are highly complex, may produce volatile returns and may expose us to increased risks relating to counterparty defaults.

 

Interest rate effects on fair value

 

Another component of interest rate risk is the effect that changes in interest rates will have on the fair value of the assets that we acquire.

 

Generally, in a rising interest rate environment, the fair value of our loan and real estate securities portfolios would be expected to decrease, all other factors being held constant. In particular, the portion of our real estate securities and loan portfolios with fixed-rate coupons would be expected to decrease in value more severely than that portion with a floating-rate coupon. This is because fixed-rate coupon assets tend to have significantly more duration, or price sensitivity to changes in interest rates, than floating-rate coupon assets. Fixed-rate assets currently represent a majority of our portfolio.

 

The fair value of our investment portfolio could change at a different rate than the fair value of our liabilities when interest rates change. We measure the sensitivity of our portfolio to changes in interest rates by estimating the duration of our assets and liabilities. Duration is the approximate percentage change in fair value for an instantaneous 100 basis point parallel shift in the yield curve while assuming all other market risk factors remain constant. In general, our assets have higher duration than our liabilities. In order to reduce this exposure, we use hedging instruments to reduce the gap in duration between our assets and liabilities.

Interest rate sensitivity  

The following table quantifies the estimated percent change in GAAP equity, the fair value of our assets, and projected net interest income should interest rates go up or down instantaneously by 25, 50, and 75 basis points, assuming (i) the yield curves

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of the rate shocks will be parallel to each other and the current yield curve and (ii) all other market risk factors remain constant. These estimates were compiled using a combination of third-party services and models, market data and internal models. All changes in equity, assets, and income are measured as percentage changes from the GAAP equity, assets, and projected net interest income from our base interest rate scenario. The base interest rate scenario assumes spot and forward interest rates existing as of September 30, 2025. Actual results could differ materially from these estimates.

 

Agency RMBS and Agency-Eligible Loan assumptions attempt to predict default and prepayment activity at projected interest rate levels. To the extent that these estimates or other assumptions do not hold true, actual results will likely differ materially from projections and could result in percentage changes larger or smaller than the estimates in the table below. Moreover, if different models were employed in the analysis, materially different projections could result. In addition, while the table below reflects the estimated impact of interest rate increases and decreases on a static portfolio as of September 30, 2025, our Manager may from time to time sell any of our investments as a part of the overall management of our investment portfolio.

Change in Interest Rates (basis points) (1)						Change in Fair Value as a Percentage of GAAP Equity (2)(3)						Change in Fair Value as a Percentage of Assets (2)(3)						Percentage Change in Projected Net Interest Income (4)
75						(1.8)		%				(0.1)		%				0.5		%
50						(1.1)		%				(0.1)		%				0.4		%
25						(0.5)		%				—		%				0.2		%
(25)						0.5		%				—		%				(0.7)		%
(50)						0.9		%				0.1		%				(1.2)		%
(75)						1.3		%				0.1		%				(1.7)		%

(1)Includes investments held through affiliated entities that are reported as "Investments in debt and equity of affiliates" on our consolidated balance sheet, but excludes AG Arc.

(2)Does not include cash investments, which typically have overnight maturities and are not expected to change in value as interest rates change.

(3)Changes in fair value as a percentage of GAAP equity and assets are inclusive of forward purchase commitments to acquire Non-Agency Loans and Agency-Eligible Loans as of September 30, 2025.

(4)Interest income includes trades settled as of September 30, 2025.

The information set forth in the interest rate sensitivity table above and all related disclosures constitute forward-looking statements within the meaning of Section 27A of the Securities Act and Section 21E of the Exchange Act. Actual results could differ significantly from those estimated in the foregoing interest rate sensitivity table. See below for additional risks which may impact the fair value of our assets, GAAP equity and net income.

Liquidity risk

Our primary liquidity risk arises from financing long-maturity assets with shorter-term financings primarily in the form of financing arrangements. Our Manager seeks to mitigate our liquidity risks by maintaining a prudent level of leverage, monitoring our liquidity position on a daily basis and maintaining a reasonable cushion of cash and unpledged real estate securities and loans in our portfolio in order to meet future margin calls. In addition, our Manager seeks to further mitigate our liquidity risk by (i) maintaining relationships with a carefully selected group of financing counterparties and (ii) monitoring the ongoing financial stability and future business plans of our financing counterparties.

Liquidity risk – financing arrangements

 

We pledge mortgage loans or real estate securities and cash as collateral to secure our financing arrangements. Should the fair value of our mortgage loans or real estate securities pledged as collateral decrease (as a result of rising interest rates, changes in prepayment speeds, widening of credit spreads or otherwise), we will likely be subject to margin calls for additional collateral from our financing counterparties. Should the fair value of our mortgage loans or real estate securities decrease materially and suddenly, margin calls will likely increase causing an adverse change to our liquidity position which could result in substantial losses. In addition, we cannot be assured that we will always be able to roll our financing arrangements at their scheduled maturities, which could cause material additional harm to our liquidity position and result in substantial losses. Further, should funding conditions tighten as they did in 2007-2008, 2009 and more recently in March 2020, our financing arrangement counterparties may increase our margin requirements on new financings, including repurchase transactions that we roll at maturity with the same counterparty. This would require us to post additional collateral and would reduce our ability to use leverage and could potentially cause us to incur substantial losses.

 

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Liquidity risk – derivatives

 

The terms of our interest rate swaps require us to post collateral in the form of cash or Agency RMBS to our counterparties to satisfy two types of margin requirements: variation margin and initial margin.

 

We and our swap counterparties are both required to post variation margin to each other depending upon the daily moves in prevailing benchmark interest rates. The amount of this variation margin is derived from the mark to market valuation of our swaps. Hence, as our swaps lose value in a falling interest rate environment, we are required to post additional variation margin to our counterparties on a daily basis; conversely, as our swaps gain value in a rising interest rate environment, we are able to recall variation margin from our counterparties. By recalling variation margin from our swaps counterparties, we are able to partially mitigate the liquidity risk created by margin calls on our repurchase transactions during periods of rising interest rates.

 

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

 

Real estate value risk

 

Residential property values are subject to volatility and may be affected adversely by a number of factors outside of our control, including, but not limited to, national, regional and local economic conditions (which may be adversely affected by industry slowdowns and other factors), local real estate conditions (such as an oversupply of housing), natural disasters, the effects of climate change (including flooding, drought, and severe weather) and other natural events, construction quality, age and design, demographic factors, and retroactive changes to building or similar codes. Decreases in property values could cause us to suffer losses and reduce the value of the collateral underlying our investment portfolio as well as the potential sale proceeds available to repay our loans in the event of a default. In addition, substantial decreases in property values can increase the rate of strategic defaults by residential mortgage borrowers which can impact and create significant uncertainty in the recovery of principal and interest on our investments.

Credit risk

We are exposed to the risk of potential credit losses from an unanticipated increase in borrower defaults as well as general credit spread widening on any non-agency assets in our portfolio. We seek to manage this risk through our Manager’s pre-acquisition due diligence process and, if available, through the use of non-recourse financing, which limits our exposure to credit losses to the specific pool of collateral which is the subject of the non-recourse financing. Our Manager’s pre-acquisition due diligence process includes the evaluation of, among other things, relative valuation, supply and demand trends, the shape of various yield curves, prepayment rates, delinquency and default rates, recovery of various sectors and vintage of collateral.

The potential effects of sustained inflation, elevated mortgage rates and the Federal Reserve's monetary policy actions may cause an increase in credit risk of our credit sensitive assets. Any future period of payment deferrals, forbearance, delinquencies, defaults, foreclosures or losses will likely adversely affect our net interest income from residential loans and RMBS investments, the fair value of these assets, our ability to liquidate the collateral that may underlie these investments and obtain additional financing and the future profitability of our investments. Further, in the event of delinquencies, defaults and foreclosure, regulatory changes and policies designed to protect borrowers and renters may slow or prevent us from taking remediation actions.

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Prepayment risk

 

Premiums arise when we acquire real estate assets at a price in excess of the principal balance of the mortgages securing such assets (i.e., par value). Conversely, discounts arise when we acquire assets at a price below the principal balance of the mortgages securing such assets. Premiums paid on our assets are amortized against interest income and accretable purchase discounts on our assets are accreted to interest income. Purchase premiums or discounts on our assets are amortized or accreted over the life of each respective asset using the effective yield method, adjusted for actual prepayment activity. An increase in the prepayment rate, as measured by the CPR, will typically accelerate the amortization of purchase premiums, thereby reducing the yield or interest income earned on such assets. An increase in the prepayment rate will similarly accelerate the accretion of purchase discounts, conversely increasing the yield or interest income earned on such assets. A decrease in the prepayment rate will have a directionally opposite impact on the yield or interest income.

 

Differences between previously estimated cash flows and current actual and anticipated cash flows caused by changes to prepayment or other assumptions are adjusted retrospectively through a "catch up" adjustment for the impact of the cumulative change in the effective yield through the reporting date for securities accounted for under ASC 320-10 (generally, Agency RMBS) or adjusted prospectively through an adjustment of the yield over the remaining life of the investment for investments accounted for under ASC 325-40 (generally, Non-Agency RMBS and interest-only securities) and mortgage loans accounted for under ASC 310-10.

 

In addition, our interest rate hedges are structured in part based upon assumed levels of future prepayments within our mortgage loan or real estate securities portfolio. If prepayments are slower or faster than assumed, the life of the real estate securities or mortgage loans will be longer or shorter than assumed, respectively, which could reduce the effectiveness of our Manager’s hedging strategies and may cause losses on such transactions.

 

Our Manager seeks to mitigate our prepayment risk by investing in real estate assets with a variety of prepayment characteristics.

 

Basis risk

 

Basis risk refers to the possible decline in book value triggered by the risk of incurring losses on the fair value of Agency RMBS as a result of widening market spreads between the yields on Agency RMBS and the yields on comparable duration Treasury securities. The basis risk associated with fluctuations in fair value of Agency RMBS may relate to factors impacting the mortgage and fixed income markets other than changes in benchmark interest rates, such as actual or anticipated monetary policy actions by the Federal Reserve, market liquidity, or changes in required rates of return on different assets. Consequently, while we use interest rate swaps and other hedges to protect against moves in interest rates, such instruments will generally not protect our net book value against basis risk.

Capital Market Risk

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

ITEM 4. CONTROLS AND PROCEDURES

(a) Evaluation of Disclosure Controls and Procedures

Our management is responsible for establishing and maintaining disclosure controls and procedures that are designed to ensure that information the Company is required to disclose in the reports that it files or submits under the Securities Exchange Act of 1934, as amended (the "Exchange Act") is recorded, processed, summarized and reported, within the time periods specified in the SEC’s rules and forms. Disclosure controls and procedures include controls and procedures designed to ensure that the Company’s management, including its principal executive officer and principal financial officer, as appropriate, allow for timely decisions regarding required disclosure.

 

We have evaluated, with the participation of our principal executive officer and principal financial officer, the effectiveness of our disclosure controls and procedures as of September 30, 2025. There are inherent limitations to the effectiveness of any

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system of disclosure controls and procedures, including the possibility of human error and the circumvention or overriding of the controls and procedures. Accordingly, even effective disclosure controls and procedures can only provide reasonable assurance of achieving their control objectives. Based upon our evaluation, our principal executive officer and principal financial officer concluded that our disclosure controls and procedures were effective to provide reasonable assurance that information required to be disclosed by us in the reports that we file or submit under the Exchange Act is recorded, processed, summarized and reported, within the time periods specified in the applicable rules and forms, and that it is accumulated and communicated to our management, including our principal executive officer and principal financial officer, as appropriate to allow for timely decisions regarding required disclosure.

 

(b) Changes in Internal Control over Financial Reporting

No change occurred in our internal control over financial reporting (as defined in Rule 13a-15(f) and 15d-15(f) of the Exchange Act) during the period covered by this quarterly report that has materially affected, or is reasonably likely to materially affect, our internal control over financial reporting.

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PART II — OTHER INFORMATION

 

			ITEM 1.			LEGAL PROCEEDINGS.

We are at times subject to various legal proceedings and claims arising in the ordinary course of our business. In addition, in the ordinary course of business, we can be and are involved in governmental and regulatory examinations, information gathering requests, investigations and proceedings. As of the date of this report, we are not party to any litigation or legal proceedings, or to our knowledge, any threatened litigation or legal proceedings, which we believe, individually or in the aggregate, would have a material adverse effect on our results of operations or financial condition.

			ITEM 1A.			RISK FACTORS.

Refer to the risks identified under the caption "Risk Factors", in our Annual Report on Form 10-K for the year ended December 31, 2024 and our subsequent filings, which are available on the Securities and Exchange Commission’s website at www.sec.gov, and in the "Forward-Looking Statements" and "Management’s Discussion and Analysis of Financial Condition and Results of Operations" sections herein.

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

Acquisition of Additional Interest in AG Arc, LLC (“AG Arc”)

On August 1, 2025, we entered into an exchange agreement to acquire an additional 21.385% interest in AG Arc, from certain private funds (the “Holders”) managed by TPG Angelo Gordon (the “Arc Acquisition”). In connection with the Arc Acquisition, we issued 2,027,676 restricted shares (the “Shares”) of our common stock as consideration to the Holders. The Shares were issued in a private placement agreement pursuant to the exemption from registration under Section 4(a)(2) of the Securities Act of 1933, as amended. Upon closing of the Arc Acquisition on August 1, 2025 and giving effect to our acquisition of the additional 21.385% interest, we have an approximate 66.0% interest in AG Arc.

			ITEM 3.			DEFAULTS UPON SENIOR SECURITIES.

None.

			ITEM 4.			MINE SAFETY DISCLOSURES

None.

			ITEM 5.			OTHER INFORMATION.

None.

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			ITEM 6.			EXHIBITS.

 

Exhibit No.						Description
3.1						Articles of Amendment and Restatement of AG Mortgage Investment Trust, Inc., incorporated by reference to Exhibit 3.1 of Amendment No. 2 to the Company's Registration Statement on Form S-11, filed with the Securities and Exchange Commission on April 18, 2011 ("Pre-Effective Amendment No. 2").
3.2						Articles of Amendment to Articles of Amendment and Restatement of AG Mortgage Investment Trust, Inc., incorporated by reference to Exhibit 3.1 of the Company's Current Report on Form 8-K, filed with the Securities and Exchange Commission on May 8, 2017.
3.3						Amended and Restated Bylaws of AG Mortgage Investment Trust, Inc., incorporated by reference to Exhibit 3.3 of the Company's Quarterly Report on Form 10-Q, filed with the Securities and Exchange Commission on November 8, 2022.
3.4						Articles Supplementary of 8.25% Series A Cumulative Redeemable Preferred Stock, incorporated by reference to Exhibit 3.1 of the Company's Current Report on Form 8-K, filed with the Securities and Exchange Commission on August 2, 2012.
3.5						Articles Supplementary of 8.00% Series B Cumulative Redeemable Preferred Stock, incorporated by reference to Exhibit 3.1 of the Company's Current Report on Form 8-K, filed with the Securities and Exchange Commission on September 24, 2012.
3.6						Articles Supplementary of 8.000% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, incorporated by reference to Exhibit 3.5 of the Company's Registration Statement on Form 8-A12B, filed with the Securities and Exchange Commission on September 16, 2019.
3.7						Articles of Amendment of AG Mortgage Investment Trust, Inc., incorporated by reference to Exhibit 3.1 of the Company's Current Report on Form 8-K, filed with the Securities and Exchange Commission on July 27, 2021.
3.8						Articles of Amendment of AG Mortgage Investment Trust, Inc., incorporated by reference to Exhibit 3.2 of the Company's Current Report on Form 8-K, filed with the Securities and Exchange Commission on July 27, 2021.
4.1						Specimen Common Stock Certificate of AG Mortgage Investment Trust, Inc., incorporated by reference to Exhibit 4.1 on Form 10-Q filed with the Securities and Exchange Commission on May 7, 2021.
4.2						Specimen 8.25% Series A Cumulative Redeemable Preferred Stock Certificate, incorporated by reference to Exhibit 4.1 of the Company's Current Report on Form 8-K, filed with the Securities and Exchange Commission on August 2, 2012.
4.3						Specimen 8.00% Series B Cumulative Redeemable Preferred Stock Certificate, incorporated by reference to Exhibit 4.1 of the Company's Current Report on Form 8-K, filed with the Securities and Exchange Commission on September 24, 2012.
4.4						Specimen 8.000% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock Certificate, incorporated by reference to Exhibit 3.9 of the Company's Registration Statement on Form 8-A12B, filed with the Securities and Exchange Commission on September 16, 2019.

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

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4.7

Second Supplemental Indenture, dated May 15, 2024, between AG Mortgage Investment Trust, Inc. and U.S. Bank Trust Company, National Association, as Trustee, incorporated by reference to Exhibit 4.4 to the Company's Registration Statement on Form 8-A12B, filed with the Securities and Exchange Commission on May 15, 2024.

4.8

Form of 9.500% Senior Notes Due 2029 of AG Mortgage Investment Trust, Inc. (attached as Exhibit A to the First Supplemental Indenture, incorporated by reference to Exhibit 4.3 to the Company's Registration Statement on Form 8-A12B, filed with the Securities and Exchange Commission on January 26, 2024).

4.9

Form of 9.500% Senior Notes Due 2029 of AG Mortgage Investment Trust, Inc. (attached as Exhibit A to the Second Supplemental Indenture, incorporated by reference to Exhibit 4.4 to the Company's Registration Statement on Form 8-A12B, filed with the Securities and Exchange Commission on May 15, 2024).

10.1

Registration Rights Agreement, dated August 1, 2025, by and among AG Mortgage Investment Trust, Inc. and the Holders as defined therein, incorporated by reference to Exhibit 10.1 to the Company’s Quarterly Report on Form 10-Q, filed with the Securities and Exchange Commission on August 5, 2025.

31.1*

Certification of Thomas J. Durkin pursuant to Rule 13a-14(a), as adopted pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.

31.2*

Certification of Anthony W. Rossiello pursuant to Rule 13a-14(a), as adopted pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.

32.1*

Certification of Thomas J. Durkin pursuant to Rule 13a-14(b) and 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.

32.2*

Certification of Anthony W. Rossiello pursuant to Rule 13a-14(b) and 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.

101.INS

XBRL Instance Document

101.SCH

XBRL Taxonomy Extension Schema Document

101.CAL

XBRL Taxonomy Extension Calculation Linkbase Document

101.DEF

XBRL Taxonomy Extension Definition Linkbase Document

101.LAB

XBRL Taxonomy Extension Label Linkbase Document

101.PRE

XBRL Taxonomy Extension Presentation Linkbase Document

104

Cover Page Interactive Data File (formatted as Inline XBRL)

			*			Filed herewith.

 

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SIGNATURES

 

Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized.

 

			AG MORTGAGE INVESTMENT TRUST, INC.
November 7, 2025			By:			/s/ THOMAS J. DURKIN
			Thomas J. Durkin
			Chief Executive Officer and President (principal executive officer)
November 7, 2025			By:			/s/ ANTHONY W. ROSSIELLO
			Anthony W. Rossiello
			Chief Financial Officer (principal financial officer and principal accounting officer)

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