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

FORM 10-Q
__________________________________________________ 
(Mark One)
QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
For the quarterly period ended March 31, 2021
OR
TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
For the transition period from                          to                         
Commission file number 001-35151
_____________________________________________________________________ 

AG MORTGAGE INVESTMENT TRUST, INC.
_____________________________________________________________________ 
Maryland27-5254382
(State or Other Jurisdiction of
Incorporation or Organization)
(I.R.S. Employer
Identification No.)
245 Park Avenue, 26th Floor
New York, New York
10167
(Address of Principal Executive Offices)(Zip Code)
(212) 692-2000
(Registrant’s Telephone Number, Including Area Code)
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
Securities registered pursuant to Section 12(b) of the Act:
Title of each class:Trading Symbols:Name of each exchange on which registered:
Common Stock, $0.01 par value per shareMITT
New York Stock Exchange (NYSE)
8.25% Series A Cumulative Redeemable Preferred StockMITT PrA
New York Stock Exchange (NYSE)
8.00% Series B Cumulative Redeemable Preferred StockMITT PrB
New York Stock Exchange (NYSE)
8.000% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred StockMITT PrC
New York Stock Exchange (NYSE)

As of May 4, 2021, there were 46,522,759 outstanding shares of common stock of AG Mortgage Investment Trust, Inc.



AG MORTGAGE INVESTMENT TRUST, INC.
TABLE OF CONTENTS
 Page
   
 
   
 
 
 
 
 
   
 
   
   
   
   
   
   
   
   
   
   
   




PART I
 
ITEM 1. FINANCIAL STATEMENTS
 
AG Mortgage Investment Trust, Inc. and Subsidiaries
Consolidated Balance Sheets (Unaudited)
(in thousands, except per share data)
March 31, 2021December 31, 2020
Assets
Real estate securities, at fair value:
Agency - $915,423 and $460,949 pledged as collateral, respectively
$915,423 $518,352 
Non-Agency - $14,751 and $28,653 pledged as collateral, respectively
16,371 38,406 
CMBS - $29,439 and $42,669 pledged as collateral, respectively
45,838 56,788 
Residential mortgage loans, at fair value - $257,844 and $46,571 pledged as collateral, respectively (1)
642,959 435,441 
Commercial loans, at fair value58,209 111,549 
Commercial loans held for sale, at fair value 13,959 
Investments in debt and equity of affiliates160,323 150,667 
Excess mortgage servicing rights, at fair value3,000 3,158 
Cash and cash equivalents51,637 47,926 
Restricted cash39,918 14,392 
Other assets 8,922 9,407 
Total Assets$1,942,600 $1,400,045 
Liabilities
Financing arrangements$1,132,200 $564,047 
Securitized debt, at fair value (1)344,429 355,159 
Payable on unsettled trades 51,136 
Dividend payable2,791 1,243 
Other liabilities7,875 18,755 
Total Liabilities1,487,295 990,340 
Commitments and Contingencies (Note 12)
Stockholders’ Equity
Preferred stock - $0.01 par value; 50,000 shares authorized:
8.25% Series A Cumulative Redeemable Preferred Stock; 1,663 and 1,817 shares issued and outstanding at March 31, 2021 and December 31, 2020, respectively ($41,580 and $45,413 aggregate liquidation preference, respectively)
40,110 43,808 
8.00% Series B Cumulative Redeemable Preferred Stock; 3,814 and 4,165 shares issued and outstanding at March 31, 2021 and December 31, 2020, respectively ($95,353 and $104,118 aggregate liquidation preference, respectively)
92,279 100,762 
8.000% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, 3,883 shares issued and outstanding at March 31, 2021 and December 31, 2020 ($97,079 aggregate liquidation preference)
93,908 93,908 
Common stock, par value $0.01 per share; 450,000 shares of common stock authorized and 46,503 and 41,434 shares issued and outstanding at March 31, 2021 and December 31, 2020, respectively
465 414 
Additional paid-in capital710,746 688,871 
Retained earnings/(deficit)(482,203)(518,058)
Total Stockholders’ Equity455,305 409,705 
Total Liabilities & Stockholders’ Equity$1,942,600 $1,400,045 
The accompanying notes are an integral part of these unaudited consolidated financial statements.
(1)See Note 4 for details related to variable interest entities.
3


AG Mortgage Investment Trust, Inc. and Subsidiaries
Consolidated Statements of Operations (Unaudited)
(in thousands, except per share data)
Three Months Ended
March 31, 2021March 31, 2020
Net Interest Income
Interest income$12,119 $40,268 
Interest expense4,061 19,971 
Total Net Interest Income8,058 20,297 
Other Income/(Loss)
Net realized gain/(loss)(4,038)(151,143)
Net interest component of interest rate swaps(741)923 
Unrealized gain/(loss) on real estate securities and loans, net(6,658)(313,897)
Unrealized gain/(loss) on derivative and other instruments, net26,507 5,686 
Foreign currency gain/(loss), net14 1,649 
Other income23 3 
Total Other Income/(Loss)15,107 (456,779)
Expenses
Management fee to affiliate1,654 2,149 
Other operating expenses3,983 930 
Restructuring related expenses 1,500 
Excise tax (815)
Servicing fees615 579 
Total Expenses6,252 4,343 
Income/(loss) before equity in earnings/(loss) from affiliates16,913 (440,825)
Equity in earnings/(loss) from affiliates26,336 (44,192)
Net Income/(Loss)43,249 (485,017)
Gain on Exchange Offers, net (Note 11)358  
Dividends on preferred stock(4,924)(5,667)
Net Income/(Loss) Available to Common Stockholders$38,683 $(490,684)
Earnings/(Loss) Per Share - Basic
Total Earnings/(Loss) Per Share of Common Stock$0.91 $(14.98)
Earnings/(Loss) Per Share - Diluted
Total Earnings/(Loss) Per Share of Common Stock$0.91 $(14.98)
Weighted Average Number of Shares of Common Stock Outstanding
Basic42,348 32,749 
Diluted42,348 32,749 
The accompanying notes are an integral part of these unaudited consolidated financial statements.

4


AG Mortgage Investment Trust, Inc. and Subsidiaries
Consolidated Statements of Stockholders’ Equity (Unaudited)
(in thousands)
For the Three Months Ended March 31, 2021 and March 31, 2020
Common Stock
8.25% Series A
Cumulative
Redeemable
Preferred Stock
8.00% Series B
Cumulative
Redeemable
Preferred Stock
8.000% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock
Additional
Paid-in Capital
Retained
Earnings/(Deficit)
SharesAmountTotal
Balance at January 1, 202141,434 $414 $43,808 $100,762 $93,908 $688,871 $(518,058)$409,705 
Net proceeds from issuance of common stock2,235 22 — — — 10,011 — 10,033 
Grant of restricted stock22 — — — — 80 — 80 
Common dividends declared— — — — — — (2,791)(2,791)
Preferred Series A dividends declared— — — — — — (937)(937)
Preferred Series B dividends declared— — — — — — (2,082)(2,082)
Preferred Series C dividends declared— — — — — — (1,942)(1,942)
Exchange Offers (Note 11)2,812 29 (3,698)(8,483)— 11,784 358 (10)
Net Income/(Loss)— — — — — — 43,249 43,249 
Balance at March 31, 202146,503 $465 $40,110 $92,279 $93,908 $710,746 $(482,203)$455,305 

Common Stock8.25% Series A
Cumulative
Redeemable
Preferred Stock
8.00% Series B
Cumulative
Redeemable
Preferred Stock
8.000% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred StockAdditional
Paid-in Capital
Retained
Earnings/(Deficit)
SharesAmountTotal
Balance at January 1, 202032,742 $327 $49,921 $111,293 $111,243 $662,183 $(85,921)$849,046 
Grant of restricted stock and amortization of equity based compensation7 — — — — 303 — 303 
Preferred Series A dividends declared— — — — — — (1,067)(1,067)
Preferred Series B dividends declared— — — — — — (2,300)(2,300)
Preferred Series C dividends declared— — — — — — (2,300)(2,300)
Net Income/(Loss)— — — — — — (485,017)(485,017)
Balance at March 31, 202032,749 $327 $49,921 $111,293 $111,243 $662,486 $(576,605)$358,665 
 
The accompanying notes are an integral part of these unaudited consolidated financial statements.
5


AG Mortgage Investment Trust, Inc. and Subsidiaries
Consolidated Statements of Cash Flows (Unaudited)
(in thousands)
Three Months Ended
March 31, 2021March 31, 2020
Cash Flows from Operating Activities
Net income/(loss)$43,249 $(485,017)
Adjustments to reconcile net income/(loss) to net cash provided by (used in) operating activities:
Net amortization of premium/(discount)(802)(2,951)
Net realized (gain)/loss4,038 151,143 
Unrealized (gain)/loss on real estate securities and loans, net6,658 313,897 
Unrealized (gain)/loss on derivative and other instruments, net(26,507)(5,686)
Foreign currency (gain)/loss, net(14)(1,649)
Equity based compensation to affiliate 88 
Equity based compensation expense80 215 
(Income)/Loss from investments in debt and equity of affiliates in excess of distributions received(20,403)45,459 
Change in operating assets/liabilities:
Other assets321 3,489 
Other liabilities(143)(10,831)
Net cash provided by (used in) continuing operating activities6,477 8,157 
Net cash provided by (used in) discontinued operating activities (726)
Net cash provided by (used in) operating activities6,477 7,431 
Cash Flows from Investing Activities
Purchase of real estate securities(566,731)(29,599)
Purchase of residential mortgage loans(208,927)(481,470)
Origination of commercial loans(1,881)(4,663)
Purchase of commercial loans(1,788)(6,778)
Investments in debt and equity of affiliates(1,122)(28,180)
Proceeds from sales of real estate securities111,954 2,449,103 
Proceeds from sales of residential mortgage loans 8,679 
Proceeds from sales of commercial loans74,579  
Principal repayments on real estate securities14,337 97,694 
Principal repayments on excess MSRs223 1,065 
Principal repayments on commercial loans195  
Principal repayments on residential mortgage loans12,294 22,674 
Distributions received in excess of income from investments in debt and equity of affiliates12,325 19,509 
Net settlement of interest rate swaps and other instruments27,469 (73,338)
Net settlement of TBAs 4,218 
Cash flows provided by (used in) other investing activities619 (2,638)
Net cash provided by (used in) investing activities(526,454)1,976,276 
Cash Flows from Financing Activities
Net proceeds from issuance of common stock10,033  
Borrowings under financing arrangements2,852,955 11,470,090 
Repayments of financing arrangements(2,284,802)(13,391,832)
Repayments of secured debt(10,000) 
Principal repayments on securitized debt (12,777)(5,707)
Net collateral received from (paid to) repurchase counterparty (27,444)
Dividends paid on common stock(1,243)(14,734)
Dividends paid on preferred stock(4,961)(5,667)
Net cash provided by continuing financing activities549,205 (1,975,294)
6


Three Months Ended
March 31, 2021March 31, 2020
Net change in cash and cash equivalents and restricted cash29,228 8,413 
Cash and cash equivalents and restricted cash, Beginning of Period62,318 125,369 
Effect of exchange rate changes on cash9 (83)
Cash and cash equivalents and restricted cash, End of Period$91,555 $133,699 
Supplemental disclosure of cash flow information:
Cash paid for interest on financing arrangements$3,979 $27,253 
Cash paid for excise and income taxes$ $1,010 
Supplemental disclosure of non-cash financing and investing activities:
Receivable on unsettled trades$ $12,007 
Common stock dividends declared but not paid$2,791 $ 
Exchange Offer (Note 11)$12,181 $ 
Transfer of real estate securities in satisfaction of repurchase agreements $ $340,267 
Change in repurchase agreements from transfer of real estate securities $ $339,898 
Decrease in securitized debt$ $1,193 
Transfer from residential mortgage loans to other assets$571 $206 
Transfer from investments in debt and equity of affiliates to CMBS$ $320 

The following table provides a reconciliation of cash and cash equivalents and restricted cash reported within the consolidated balance sheets that sum to the total of the same such amounts shown in the consolidated statements of cash flows:
 
March 31, 2021March 31, 2020
Cash and cash equivalents$51,637 $92,299 
Restricted cash39,918 41,400 
Total cash and cash equivalents and restricted cash shown in the consolidated statements of cash flows$91,555 $133,699 
 
The accompanying notes are an integral part of these unaudited consolidated financial statements.

7


AG Mortgage Investment Trust Inc. and Subsidiaries
Notes to Consolidated Financial Statements (Unaudited)
March 31, 2021
 
1. Organization

AG Mortgage Investment Trust, Inc. (the "Company") was incorporated in the state of Maryland on March 1, 2011. The Company is a hybrid mortgage REIT that opportunistically invests in a diversified risk adjusted portfolio of credit investments and agency investments, which contains the asset classes further described below.

The Company's investment groups are primarily comprised of the following:
Investment GroupsDescription
Credit - Residential
Residential mortgage loans
Non-QM Loans are residential mortgage loans that are not deemed "qualified mortgage," or "QM," loans under the rules of the Consumer Finance Protection Bureau.
Performing, re-performing, and non-performing loans are residential mortgage loans collateralized by a first lien mortgage on residential mortgaged property.
Non-Agency Residential Mortgage-Backed Securities ("RMBS")
Non-Agency RMBS represent fixed- and floating-rate RMBS issued by entities other than U.S. government-sponsored entity ("GSE") or agency of the U.S. government. The mortgage loan collateral for Non-Agency RMBS consists of residential mortgage loans that do not generally conform to underwriting guidelines issued by a GSE or agency of the U.S. government.
Credit - Commercial
Commercial Mortgage-Backed Securities ("CMBS")
CMBS represent investments of fixed- and floating-rate CMBS secured by, or evidencing an ownership interest in, a single commercial mortgage loan or a pool of commercial mortgage loans. Single-Asset/Single-Borrower securities are CMBS which securitize a single loan that is backed by a single asset (usually a large commercial property) or by a pool of cross collateralized mortgage obligations to a single borrower or related borrowers. Conduit CMBS are CMBS that are collateralized by commercial mortgage loans to multiple borrowers.
Commercial Loans
Commercial loans are collateralized by an interest in commercial real estate and represent a contractual right to receive money on demand or on fixed or determinable dates.
Agency RMBS
Agency RMBS represent interests in pools of residential mortgage loans guaranteed by a GSE such as Fannie Mae or Freddie Mac, or any agency of the U.S. Government such as Ginnie Mae.
Excess MSRs
Excess MSRs represent the excess servicing spread related to mortgage servicing rights, whose underlying collateral is securitized in a trust held by a GSE or agency of the U.S. government ("Agency Excess MSR").

The Company refers to its residential and commercial mortgage loans as "mortgage loans" or "loans."

The Company refers to Agency RMBS, Non-Agency RMBS, and CMBS asset types as "real estate securities" or "securities."

Credit investments include loans, Non-Agency RMBS, and CMBS and agency investments include Agency RMBS and Agency Excess MSRs.

The Company conducts its business through one reportable segment, Securities and Loans, which reflects how the Company manages its business and analyzes and reports its results of operations. On November 15, 2019, the Company sold its portfolio of single-family rental properties ("SFR portfolio") to a third party, which was previously reported as a separate operating segment. The sale of the Company's SFR portfolio met the criteria for discontinued operations.

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. ("Angelo Gordon"), a privately-held, SEC-registered investment adviser, pursuant to a management agreement. The Manager has delegated to Angelo Gordon the overall responsibility of its day-to-day duties and obligations arising under the management agreement.
 
8

AG Mortgage Investment Trust Inc. and Subsidiaries
Notes to Consolidated Financial Statements (Unaudited)
March 31, 2021
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 consolidated financial statements include the accounts of the Company and its wholly-owned subsidiaries. All intercompany balances and transactions have been eliminated in consolidation.

COVID-19 Impact

The novel coronavirus ("COVID-19") pandemic has caused, and will continue to cause, a significant disruption in the U.S. and world economies. To slow the spread of COVID-19, many countries, including the U.S., have implemented social distancing measures, which have substantially prohibited larger gatherings, including at sporting events, religious services and schools. Further, many regions, including the majority of U.S. states, implemented additional measures, such as shelter-in-place and stay-at-home orders. Many businesses moved to a remote working environment, temporarily suspended operations, laid off a significant percentage of their workforce and/or shut down completely. Moreover, the COVID-19 pandemic and certain of the actions taken to reduce its spread have resulted in lost business revenue, rapid and significant increases in unemployment, changes in consumer behavior and significant reductions in liquidity and the fair value of many assets, including those in which the Company invests. Although many of the government restrictions were relaxed over the summer and early fall of 2020, these conditions, or some level thereof, are expected to continue over the near term and may continue throughout the remainder of 2021, depending on state and local outbreaks and the pace and effectiveness of COVID-19 vaccinations.

Beginning in mid-March 2020, the global pandemic associated with COVID-19 and related economic conditions caused financial and mortgage-related asset markets to come under extreme duress, resulting in credit spread widening, a sharp decrease in interest rates and unprecedented illiquidity in repurchase agreement financing and mortgage-backed securities ("MBS") markets. The illiquidity was exacerbated by inadequate demand for MBS among primary dealers due to balance sheet constraints. Refer to Note 2 "Financing arrangements" for further details related to the impact to the Company as a result of these economic conditions.

The full impact of COVID-19 on the mortgage REIT industry, the credit markets and consequently on the Company’s financial condition and results of operations for future periods is uncertain and cannot be predicted at the current time as it depends on several factors beyond the control of the Company including, but not limited to (i) the uncertainty around the severity, duration and spread of the outbreak, (ii) the effectiveness of the United States and global public health response, (iii) the pandemic’s impact on the U.S. and global economies, (iv) the timing, scope and effectiveness of additional governmental responses to the pandemic, including the availability of a treatment or the administration of vaccines, (v) the impact of government interventions, and (vi) the negative impact on the Company's borrowers, asset values and cost of capital.

2. Summary of significant accounting policies
 
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. In the opinion of management, all adjustments considered necessary for a fair presentation 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.
 
Cash and cash equivalents

Cash is comprised of cash on deposit with financial institutions. The Company classifies highly liquid investments with original maturities of three months or less from the date of purchase as cash equivalents. Cash equivalents includes cash invested in money market funds. Cash and cash equivalents are carried at cost, which approximates fair value. The Company places its cash with high credit quality institutions to minimize credit risk exposure. Cash pledged to the Company as collateral is unrestricted in use and, accordingly, is included as a component of "Cash and cash equivalents" on the consolidated balance sheets. Any cash held by the Company as collateral is included in the "Other liabilities" line item on the consolidated balance sheets and in cash flows from financing activities on the consolidated statement of cash flows. Any cash due to the Company in the form of principal payments is included in the "Other assets" line item on the consolidated balance sheets and in cash flows from operating activities on the consolidated statement of cash flows.
 
9

AG Mortgage Investment Trust Inc. and Subsidiaries
Notes to Consolidated Financial Statements (Unaudited)
March 31, 2021
Restricted cash
 
Restricted cash includes cash pledged as collateral for clearing and executing trades, derivatives, and financing arrangements, as well as restricted cash deposited into accounts held at certain consolidated trusts. Restricted cash is not available to the Company for general corporate purposes. Restricted cash may be returned to the Company when the related collateral requirements are exceeded or at the maturity of the derivative or financing arrangement. Restricted cash is carried at cost, which approximates fair value.
 
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.
 
Earnings/(Loss) per share
 
In accordance with the provisions of Accounting Standards Codification ("ASC") 260, "Earnings per Share," the Company calculates basic income/(loss) per share by dividing net income/(loss) available to common stockholders for the period by weighted average shares of the Company’s common stock outstanding for that period. Diluted income per share takes into account the effect of dilutive instruments, such as stock options, warrants, unvested restricted stock and unvested restricted stock units but uses the average share price for the period in determining the number of incremental shares that are to be added to the weighted average number of shares outstanding. In periods in which the Company records a loss, potentially dilutive securities are excluded from the diluted loss per share calculation, as their effect on loss per share is anti-dilutive.
 
Valuation of financial instruments
 
The fair value of the financial instruments that the Company records at fair value is determined by the Manager, subject to oversight of the Company’s Board of Directors, and in accordance with 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 giving the highest priority to readily available unadjusted quoted prices in active markets for identical assets (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements) when market prices are not readily available or reliable.
 
The three levels of the hierarchy under ASC 820 are described below: 
Level 1 – Quoted prices in active markets for identical assets or liabilities.
Level 2 – Prices determined using other significant observable inputs. These may include quoted prices for similar securities, interest rates, prepayment speeds, credit risk and others.
Level 3 – Prices determined using 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. Unobservable inputs 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.

Transfers between levels are assumed to occur at the beginning of the reporting period.

At the beginning of the first quarter of 2020, the Manager completed a data collection and analysis effort, which supported an update to its Leveling policy under ASC 820. Among the data collected and analyzed were: (i) reports from TRACE, FINRA’s Trade Reporting and Compliance Engine, that reports over-the-counter secondary market transactions in eligible fixed income securities, (ii) information from pricing vendors regarding valuation approaches and observability of market color, (iii) data points collected from discussions with industry sources, including peer firms and audit firms, and (iv) its own data from back testing vendor pricing against its own trades. After analyzing this data, the Manager concluded that there was sufficient observability of market inputs used by its third-party pricing services for certain RMBS and CMBS positions previously categorized as Level 3 to meet the criteria for a Level 2 classification.

Accounting for loans
 
Investments in loans are recorded in accordance with ASC 310-10, "Receivables." The Company has chosen to make a fair
10

AG Mortgage Investment Trust Inc. and Subsidiaries
Notes to Consolidated Financial Statements (Unaudited)
March 31, 2021
value election pursuant to ASC 825 for its loan portfolio. 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 loan activities will be recorded in a similar manner. As such, loans are recorded at fair value on the consolidated balance sheets and any periodic change in fair value is recorded in current period earnings on the consolidated statement of operations as a component of "Unrealized gain/(loss) on real estate securities and loans, net." The Company recognizes certain upfront costs and fees relating to loans for which the fair value option has been elected in current period earnings as incurred and does not defer those costs, which is in accordance with ASC 825-10-25. Purchases and sales of loans are recorded on the settlement date, concurrent with the completion of due diligence and the removal of any contingencies. Prior to the settlement date, the Company will include commitments to purchase loans within the Commitments and Contingencies footnote to the financial statements.

The Company amortizes or accretes any premium or discount over the life of the loans utilizing the effective interest method. On at least a quarterly basis, the Company evaluates the collectability of both interest and principal on its loans to determine whether they are impaired. A loan or pool of loans is impaired when, based on current information and events, it is probable that the Company will be unable to collect all amounts due according to the existing contractual terms. Income recognition is suspended for loans at the earlier of the date at which payments become 90-days past due or when, in the opinion of the Manager, a full recovery of income and principal becomes doubtful. When the ultimate collectability of the principal of an impaired loan or pool of loans is in doubt, all payments are applied to principal under the cost recovery method. When the ultimate collectability of the principal of an impaired loan is not in doubt, contractual interest is recorded as interest income when received, under the cash basis method until an accrual is resumed when the loan becomes contractually current and performance is demonstrated to be resumed. A loan is written off when it is no longer realizable and/or legally discharged.

Residential Mortgage Loans

At purchase, the Company may aggregate its residential mortgage loans into pools based on common risk characteristics. Once a pool of loans is assembled, its composition is maintained. When the Company purchases mortgage loans with evidence of credit deterioration since origination and it determines that it is probable it will not collect all contractual cash flows on those loans, it will apply the guidance found in ASC 310-30. Mortgage loans that are delinquent 60 or more days are considered non-performing.
 
The Company updates its estimate of the cash flows expected to be collected on at least a quarterly basis for loans accounted for under ASC 310-30. In estimating these cash flows, there are a number of assumptions that will be subject to uncertainties and contingencies including both the rate and timing of principal and interest receipts, and assumptions of prepayments, repurchases, defaults and liquidations. If based on the most current information and events it is probable that there is a significant increase in cash flows previously expected to be collected or if actual cash flows are significantly greater than cash flows previously expected, the Company will recognize these changes prospectively through an adjustment of the loan’s yield over its remaining life. The Company will adjust the amount of accretable yield by reclassification from the nonaccretable difference. The adjustment is accounted for as a change in estimate in conformity with ASC 250, "Accounting Changes and Error Corrections" with the amount of periodic accretion adjusted over the remaining life of the loan.

Commercial Loans

Commercial loans are classified as held for sale upon the Company determining that it intends to sell or liquidate the loan in the short-term and certain criteria have been met. Commercial loans meeting all criteria for reclassification are presented separately on the consolidated balance sheets in the "Commercial Loans Held for Sale" line item. Estimated costs incurred to sell a loan are included within the fair value of the loan.

Accounting for real estate securities
 
Investments in real estate securities are recorded in accordance with ASC 320-10, "Investments – Debt and Equity Securities," ASC 325-40, "Beneficial Interests in Securitized Financial Assets," or ASC 310-30, "Loans and Debt Securities Acquired with Deteriorated Credit Quality." The Company has chosen to make a fair value election pursuant to ASC 825, "Financial Instruments" for its real estate securities portfolio. Real estate securities are recorded at fair value on the consolidated balance sheets and the periodic change in fair value is recorded in current period earnings on the consolidated statement of operations as a component of "Unrealized gain/(loss) on real estate securities and loans, net." Purchases and sales of real estate securities are recorded on the trade date.
 
11

AG Mortgage Investment Trust Inc. and Subsidiaries
Notes to Consolidated Financial Statements (Unaudited)
March 31, 2021
These investments meet the requirements to be classified as available for sale under ASC 320-10-25 which requires the securities to be carried at fair value on the consolidated balance sheets with changes in fair value recorded to other comprehensive income, a component of stockholders’ equity. 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 securities activities will be recorded in a similar manner.
 
When the Company purchases securities with evidence of credit deterioration since origination, it will analyze the securities to determine if the guidance found in ASC 310-30 is applicable.
 
In June 2016, FASB issued ASU 2016-13, "Financial Instruments – Credit Losses" ("ASU 2016-13"). This guidance significantly changed how entities measure credit losses for most financial assets, including loans, that are not measured at fair value with changes in fair value recognized through net income. The Company adopted the guidance as of January 1, 2020. The guidance specifically excludes available-for-sale securities and loans measured at fair value, with changes in fair value recognized through net income. Accordingly, the impact of the guidance on accounting for the Company's debt securities and loans is limited to recognition of effective yield which was historically impacted by other than temporary impairment recorded under previous standards. As the guidance eliminates the accounting for other than temporary impairment, this guidance has impacted the Company's unrealized and realized gain/(loss) amounts. As the Company measures its debt securities and loans at fair value with any changes recognized through net income and updates its estimate of the cash flows expected to be collected on these asset classes on at least a quarterly basis recognizing changes in cash flows in interest income prospectively through an adjustment of an asset’s yield over its remaining life, the adoption of the standard did not have a material impact to the Company’s consolidated financial statements.
 
Realized gains or losses on sales of securities, loans and derivatives are included in the "Net realized gain/(loss)" line item on the consolidated statement of operations. The cost of positions sold is calculated using a first in, first out ("FIFO") basis. Realized gains and losses are recorded in earnings at the time of disposition.

Investments in debt and equity of affiliates

The Company’s unconsolidated ownership interests in affiliates are accounted for using the equity method. A majority of the Company’s investments held through affiliated entities are comprised of real estate securities, loans and its interest in AG Arc LLC. These types of investments may also be held directly by the Company. Certain entities have chosen to make a fair value election on their financial instruments and certain financing arrangements pursuant to ASC 825; as such, the Company will treat these financial instruments and financing arrangements consistently with this election.
 
Arc Home

On December 9, 2015, the Company, alongside private funds managed by Angelo Gordon, through AG Arc LLC, one of the Company’s indirect subsidiaries ("AG Arc"), formed Arc Home LLC ("Arc Home"). Arc Home originates conforming, Government, Jumbo, Non-QM, and other non-conforming residential mortgage loans and retains the mortgage servicing rights associated with the loans it originates. Arc Home is led by an external management team. The Company has chosen to make a fair value election with respect to its investment in AG Arc pursuant to ASC 825. The Company elected to treat its investment in AG Arc as a taxable REIT subsidiary. As a result, income or losses recognized by the Company from its investment in AG Arc are recorded in "Equity in earnings/(loss) from affiliates" line item on the Company's consolidated statement of operations net of income taxes.

From time to time, the Company acquires newly originated Non-QM Loans from Arc Home with the intent to securitize the assets and obtain non-recourse financing. In connection with the sale of loans from Arc Home to the Company, gains or losses recorded by Arc Home are consolidated into AG Arc. In accordance with ASC 323-10, for loans acquired from Arc Home that remain on the Company's consolidated balance sheet at period end, the Company eliminates any 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 accordingly. For the three months ended March 31, 2021, the Company eliminated $0.5 million of intra-entity profits recognized by Arc Home and also decreased the cost basis of the underlying loans by the same amount in connection with loan sales to the Company.
 
MATH

On August 29, 2017, the Company, alongside private funds managed by Angelo Gordon, formed Mortgage Acquisition Holding I LLC ("MATH") to conduct a residential mortgage investment strategy. MATH in turn sponsored the formation of an
12

AG Mortgage Investment Trust Inc. and Subsidiaries
Notes to Consolidated Financial Statements (Unaudited)
March 31, 2021
entity called Mortgage Acquisition Trust I LLC ("MATT") to purchase predominantly Non-QM Loans. Non-QM Loans are not eligible for delivery to Fannie Mae, Freddie Mac, or Ginnie Mae. MATT made an election to be treated as a real estate investment trust beginning with the 2018 tax year.

LOTS

On May 15, 2019 and November 14, 2019, the Company, alongside private funds managed by Angelo Gordon, formed LOT SP I LLC and LOT SP II LLC, respectively, (collectively, "LOTS"). LOTS were formed to originate first mortgage loans to third-party land developers and home builders for the acquisition and horizontal development of land ("Land Related Financing").

Investments in debt and equity of affiliates
The below tables reconcile the fair value of investments to the "Investments in debt and equity of affiliates" line item on the Company's consolidated balance sheets (in thousands).
March 31, 2021December 31, 2020
AssetsLiabilitiesEquityAssetsLiabilitiesEquity
Non-QM Loans (1)$149,039 $(100,762)$48,277 $153,200 $(111,135)$42,065 
Land Related Financing22,718  22,718 22,824  22,824 
Other (2)46,001 (13,236)32,765 41,940 (5,588)36,352 
Real Estate Securities and Loans, at fair value$217,758 $(113,998)$103,760 $217,964 $(116,723)$101,241 
AG Arc, at fair value52,138  52,138 45,341  45,341 
Cash and Other assets/(liabilities)8,260 (3,835)4,425 5,279 (1,194)4,085 
Investments in debt and equity of affiliates$278,156 $(117,833)$160,323 $268,584 $(117,917)$150,667 
(1)As of March 31, 2021 and December 31, 2020, Non-QM Loans excluded loans with an unpaid principal balance of $14.2 million and $17.3 million, respectively, whereby an affiliate of MATT has the right, but not the obligation, to repurchase loans from a trust that are 90 days or more delinquent at its discretion. These loans, which are eligible to be repurchased, would be recorded on the balance sheet of MATT, an unconsolidated equity method investee of the Company, with a corresponding and offsetting liability.
(2)Certain loans held in securitized form are presented net of non-recourse securitized debt.

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 (in thousands).
Three Months Ended
March 31, 2021March 31, 2020