AG Mortgage Investment Trust, Inc.

MITT

US0012285013

Specialized REITs

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MORTGAGE INVESTMENT TRUST : MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS (form 10-Q)

August 10, 2020 at 03:54 pm EDT

In this quarterly report on Form 10-Q, or this "report," we refer to AG Mortgage
Investment Trust, Inc. 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 "Angelo
Gordon."

The following discussion 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, 2019, our Quarterly Report on Form 10-Q for the quarter ended March
31, 2020, and in Current Reports on Form 8-K that we may file from time to time.
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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, our views on certain macroeconomic trends, and the impact of the novel
coronavirus ("COVID-19"). When we use the words "believe," "expect,"
"anticipate," "estimate," "plan," "continue," "intend," "should," "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 uncertainty and economic impact of the COVID-19 pandemic and of responsive
measures implemented by various governmental authorities, businesses and other
third parties;
•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;
•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, particularly in light of the current disruption in the financial
markets;
•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;
•conditions in the market for Agency RMBS, Residential Investments, including
Non-Agency RMBS, CRTs, Non-U.S. RMBS, interest only securities, and residential
mortgage loans, Commercial Investments, including CMBS, interest only
securities, and commercial real estate loans, and Excess MSRs;
•legislative and regulatory actions by the U.S. Department of the Treasury, the
Federal Reserve and other agencies and instrumentalities in response to the
economic effects of the COVID-19 pandemic;
•how COVID-19 may affect us, our operations and personnel;
•the forbearance program included in the Coronavirus Aid, Relief, and Economic
Security Act (the "CARES Act");
•our ability to reinstate quarterly dividends on our common and preferred stock
and 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, prior to the expiration of our one year grace
period.

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, 2019 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.

Special Note Regarding COVID-19 Pandemic



As a result of the global COVID-19 pandemic and our disposition of assets to
preserve liquidity, we incurred large realized losses during the six months
ended June 30, 2020 and a sharp decline in book value. Our Net Loss Available to
Common Stockholders during this period was $493.3 million and our book value per
share decreased $14.86 per share from $17.61 as of December 31, 2019 to $2.75 as
of June 30, 2020.

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We recognized net realized losses of $181.4 million on the sale of real estate
securities, loans and related collateral and realized losses of $61.4 million on
the termination of the related derivatives. We also recognized $204.3 million in
net unrealized losses for the period comprised of unrealized losses on
securities and unrealized losses on loans of $154.4 million and $49.9 million,
respectively. These realized and unrealized losses were due directly to the
disruptions of the financial markets caused by the COVID-19 pandemic and the
actions we took to maintain liquidity and preserve capital, including $3.0
billion in asset sales and a significant decrease in asset valuations during the
period. Included in unrealized losses on both securities and loans are net
unrealized gain reversals due to sales during the first and second quarters of
2020 totaling $131.2 million. The remaining unrealized losses of $73.1 million
relate to mark to market losses on securities and loans still held.

In the six month period ended June 30, 2020, we reduced the size of our GAAP
investment portfolio from $4.0 billion to $652.3 million, and at June 30, 2020,
our equity capital allocation was 3% to Agency RMBS and 97% to Credit
Investments. In an effort to prudently manage our portfolio through
unprecedented market volatility and preserve long-term stockholder value, we
completed the sale of our portfolio of 30 year fixed rate Agency securities
during the six months ended June 30, 2020. We believe the resulting capital
allocation will impact our yield, cost of funds and leverage ratio as described
more fully below.We believe the drastic reduction in the size of our investment
portfolio will also materially limit our earnings going forward.

We do not yet know the full extent of the effects of the COVID-19 pandemic on
our business, operations, personnel, or the U.S. economy as a whole. We cannot
predict future developments, including the scope and duration of the pandemic,
the effectiveness of our work from home arrangements, third-party providers'
ability to support our operations, the nature and effect of any actions taken by
governmental authorities and other third parties in response to the pandemic,
and the other factors discussed above and throughout this report as discussed
more fully under "Risk Factors." Future developments with respect to the
COVID-19 pandemic and the actions taken to reduce its spread could continue to
materially and adversely affect our business, operations, operating results,
financial condition, liquidity or capital levels.

Executive Summary



On March 11, 2020, the World Health Organization declared the outbreak of
COVID-19 a pandemic. On March 13, 2020, the U.S. declared a national emergency
concerning the COVID-19 pandemic, and several states and municipalities
subsequently declared public health emergencies. These conditions have caused,
and 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., implemented
social distancing measures, which have substantially prohibited large
gatherings, including at sporting events, religious services and schools.
Further, many regions, including the majority of U.S. states, have implemented
additional measures, such as shelter-in-place and stay-at-home orders. Many
businesses have 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 we invest. Although many of the government restrictions are in
the process of being relaxed, these conditions, or some level thereof, and
others are expected to continue over the near term and may prevail throughout
2020.

Beginning in mid-March, 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 MBS markets. These events, in
turn, resulted in falling prices of our assets and increased margin calls from
our repurchase agreement counterparties. To conserve capital, protect assets and
to pause the escalating negative impacts caused by the market dislocation and
allow the markets for many of our assets to stabilize, on March 20, 2020, we
notified our repurchase agreement counterparties that we did not expect to fund
the existing and anticipated future margin calls under our repurchase agreements
and commenced discussions with our counterparties with regard to entering into
forbearance agreements. We entered into three consecutive forbearance
agreements, pursuant to which the forbearing counterparties agreed not to
exercise any of their rights or remedies under their applicable financing
arrangement with us through June 15, 2020. We terminated the Forbearance
Agreement on June 10, 2020 pursuant to which each Participating Counterparty
agreed to permanently waive all existing and prior events of default under our
financing agreements and reinstate our financing arrangements described in more
detail below under the "Financing arrangements" heading of this Item 2. In an
effort to manage our portfolio through this unprecedented turmoil in the
financial markets, to improve liquidity, and preserve capital, we executed the
following measures during the six months ended June 30, 2020:

•Reduced GAAP investment portfolio by $3.3 billion from $4.0 billion at December
31, 2019 to $652.3 million at June 30, 2020 and investment portfolio on a
non-GAAP basis by $3.4 billion from $4.4 billion at December 31, 2019 to
$1.0 billion at June 30, 2020 through sales, directly or as a result of
financing counterparty seizures.
•Reduced financing arrangement balance on a GAAP basis by $2.9 billion from
$3.2 billion at December 31, 2019 to $251.1 million at June 30, 2020 and
financing arrangements on a non-GAAP basis by $3.0 billion from $3.5 billion at
December 31, 2019 to $469.2 million at June 30, 2020.
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•Reduced the aggregate number of our financing counterparties from 30 as of
December 31, 2019 to 6 as of June 30, 2020.
•Reduced mark-to-market recourse financing by $3.2 billion from $3.5 billion at
December 31, 2019 to $278.7 million at June 30, 2020
•Increased non mark-to-market non-recourse financing by $185.3 million from
$224.3 million at December 31, 2019 to $409.6 million at June 30, 2020
•Reduced our GAAP leverage ratio and Economic Leverage Ratio from 4.1x and 4.1x
at December 31, 2019, respectively, to 1.3x and 0.8x at June 30, 2020,
respectively.
•Unwound entire portfolio of pay-fixed, receive-variable interest rate swaps
held directly and through investments in debt and equity of affiliates,
recording net realized losses of $(65.4) million on a GAAP basis and $(67.9)
million on a non-GAAP basis for the six months ended June 30, 2020.
•Did not declare quarterly dividends on our common or preferred stock and, based
on current conditions for the Company, we do not anticipate paying dividends on
our common or preferred stock for the foreseeable future. Refer to the
"Dividends" section of this Item 2 for more detail on arrearages.

Reconciliations of GAAP and non-GAAP financial measures appear below.



In March 2020, our Manager transitioned to a fully remote work force, to protect
the safety and well-being of our personnel. Our Manager's prior investments in
technology, business continuity planning and cyber-security protocols have
enabled us to continue working with limited operational impact.

Our company



We are a hybrid mortgage REIT that opportunistically invests in a diversified
risk adjusted portfolio of Agency RMBS and Credit Investments. Our Credit
Investments include Residential Investments and Commercial Investments. We are a
Maryland corporation and are externally managed by our Manager, a wholly-owned
subsidiary of Angelo Gordon, pursuant to a management agreement. Our Manager,
pursuant to a delegation agreement dated as of June 29, 2011, has delegated to
Angelo Gordon the overall responsibility of its day-to-day duties and
obligations arising under the management agreement. We conduct our operations to
qualify and be taxed as a real estate investment trust ("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 currently to our
stockholders as long as we maintain our intended qualification as a REIT. We
also operate our business in a manner that permits us to maintain our exemption
from registration under the Investment Company Act of 1940, as amended, or the
Investment Company Act. Our common stock is traded on the New York Stock
Exchange ("NYSE") under the symbol MITT. Our 8.25% Series A Cumulative
Redeemable Preferred Stock, our 8.00% Series B Cumulative Redeemable Preferred
Stock, and our 8.000% Series C Fixed-to-Floating Rate Cumulative Redeemable
Preferred Stock trade on the NYSE under the symbols MITT PrA, MITT PrB, and MITT
PrC, respectively.

Prior to December 31, 2019, we conducted our business through the following
segments; (i) Securities and Loans and (ii) Single-Family Rental Properties. On
November 15, 2019, we sold our portfolio of single-family rental properties and
no longer separate our business into segments. We reclassified the operating
results of our Single-Family Rental Properties segment to discontinued
operations and excluded the income associated with the portfolio from continuing
operations for all periods presented. See Note 14 to the "Notes to Consolidated
Financial Statements (unaudited)" for additional financial information regarding
our discontinued operations.

Compliance with Investment Company Act and REIT Tests



We intend to 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 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).

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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. Accordingly, in order to maintain our exempt status, we monitor our
subsidiaries' compliance with Section 3(c)(5)(C) of the Investment Company Act,
which 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 staff of the Securities and Exchange
Commission, or the SEC, 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). As of December
31, 2019, we determined that our subsidiaries maintained compliance with both
the 55% Test and the 80% Test requirements.

Due to the recent market conditions as a result of the COVID-19 pandemic and the
resultant issues related to our financing arrangements, we sold assets to meet
margin calls on our financing arrangements, and some of our subsidiaries
currently fail to meet the 55% Test, and as a result must rely on Section
3(c)(7) to avoid registration as investment companies. As a result, we no longer
satisfy the 40% Test.

As we cannot rely on our historical exemption from regulation as an investment
company, we now must rely upon Rule 3a-2 of the Investment Company Act, which
provides a safe harbor exemption, not to exceed one year, for companies that
have a bona fide intent to be engaged in an excepted activity but that
temporarily fail to meet the requirements for another exemption from
registration as an investment company. As required by the rule, after we learned
that we would become out of compliance with the exemption, our board of
directors promptly adopted a resolution declaring our bona fide intent to be
engaged in excepted activities and we are currently working to restore our
assets to compliance. The one year grace period ends in March 2021. See Part II.
Item 1A. "Risk Factors" for additional information regarding the risks
associated with the failure to comply with the exemptions under the Investment
Company Act.

We calculate that at least 75% of our assets were real estate assets, cash and
cash items and government securities for the year ended December 31, 2019. We
also calculate that a sufficient portion of our revenue qualifies for the 75%
gross income test and for the 95% gross income test rules for the year ended
December 31, 2019. Overall, we believe that we met the REIT income and asset
tests. We also believe that we met all other REIT requirements, including the
ownership of our stock and the distribution of our taxable income. Therefore,
for the year ended December 31, 2019, we believe that we qualified as a REIT
under the Code. See Part II. Item 1A. "Risk Factors" for additional information
regarding the risks associated with the failure to comply with the REIT rules.

Our target investments



Our investment portfolio has historically been comprised of Agency RMBS,
Residential Investments and Commercial Investments, each of which is described
in more detail below. We intend to continue to focus on our core portfolio
strengths of residential and commercial credit assets. In periods where we have
working capital in excess of our short-term liquidity needs, we may invest the
excess in more liquid assets until such time as we are able to re-invest that
capital in credit assets that meet our underwriting requirements. 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.

Agency RMBS



Prior to the COVID-19 pandemic, our investment portfolio was comprised primarily
of residential mortgage-backed securities ("RMBS"). Certain of the assets that
were in our RMBS portfolio had a guarantee of principal and interest by a U.S.
government agency such as the Government National Mortgage Association, or
Ginnie Mae, or by a government-sponsored entity such as the Federal National
Mortgage Association, or Fannie Mae, or the Federal Home Loan Mortgage
Corporation, or Freddie Mac (each, a "GSE"). We referred to these securities as
Agency RMBS. Our Agency RMBS portfolio has historically included:

•Fixed rate securities (held as mortgage pass-through securities);
•Sequential pay fixed rate collateralized mortgage obligations ("CMOs");
•CMOs are structured debt instruments representing interests in specified pools
of mortgage loans subdivided into multiple classes, or tranches, of securities,
with each tranche having different maturities or risk profiles.
•Inverse Interest Only securities (CMOs where the holder is entitled only to the
interest payments made on the mortgages underlying certain mortgage backed
securities ("MBS") whose coupon has an inverse relationship to its benchmark
rate, such as LIBOR);
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•Interest Only securities (CMOs where the holder is entitled only to the
interest payments made on the mortgages underlying certain MBS "interest-only
strips");
•Certain Agency RMBS for which the underlying collateral is not identified until
shortly (generally two days) before the purchase or sale settlement date
("TBAs"); and
•Excess mortgage servicing rights ("Excess MSRs") whose underlying collateral is
securitized in a trust held by a U.S. government agency or GSE.
•Excess MSRs are interests in an MSR, representing a portion of the interest
payment collected from a pool of mortgage loans, net of a basic servicing fee
paid to the mortgage servicer. An MSR provides a mortgage servicer with the
right to service a mortgage loan or a pool of mortgages in exchange for a
portion of the interest payments made on the mortgage or the underlying
mortgages. An MSR is made up of two components: a basic servicing fee and an
Excess MSR. The basic servicing fee is the compensation received by the mortgage
servicer for the performance of its servicing duties.

As of June 30, 2020, our Agency RMBS portfolio only includes Excess mortgage
servicing rights as we sold out of all other Agency investments during the six
months ended June 30, 2020.

Residential Investments

The Residential Investments that we own include RMBS that are not issued or
guaranteed by Ginnie Mae or a GSE or that are collateralized by non-U.S.
mortgages, which we collectively refer to as our Non-Agency RMBS. The mortgage
loan collateral for residential Non-Agency RMBS consists of residential mortgage
loans that do not generally conform to underwriting guidelines issued by U.S.
government agencies or U.S. government-sponsored entities, or are non-U.S.
mortgages. Our Non-Agency RMBS include investment grade and non-investment grade
fixed and floating-rate securities.

We categorize certain of our Residential Investments by weighted average credit score at origination:

•Prime (weighted average credit score above 700) •Alt-A/Subprime •Alt-A (weighted average credit score between 700 and 620); and •Subprime (weighted average credit score below 620).

The Residential Investments that we do not categorize by weighted average credit score at origination include our:



•CRTs (described below)
•Non-U.S. RMBS
•Non-Agency RMBS which are collateralized by non-U.S. mortgages.
•Interest Only securities (Non-Agency RMBS backed by interest-only strips)
•Excess MSRs whose underlying collateral is securitized in a trust not held by a
U.S. government agency or GSE;
•Excess MSRs are grouped within "Interest Only and Excess MSR" throughout Part
I, Item 2 of this Report and are grouped within Excess mortgage servicing rights
or Excess MSRs in the Notes to the Consolidated Financial Statements (Unaudited)
included in Part I, Item 1 of this Report;
•Re/Non-Performing Loans (described below);
•Non-QM Loans (described below); and
•Land Related Financing (described below).

Credit Risk Transfer securities ("CRTs") include:



•Unguaranteed and unsecured mezzanine, junior mezzanine and first loss
securities issued either by GSEs or issued by other third-party institutions to
transfer their exposure to mortgage default risk to private investors. These
securities reference a specific pool of newly originated single family mortgages
from a specified time period (typically around the time of origination). The
risk of loss on the reference pool of mortgages is transferred to investors who
may experience losses when adverse credit events such as defaults, liquidations
or delinquencies occur in the underlying mortgages. Owners of these securities
generally receive an uncapped floating interest rate equal to a predetermined
spread over one-month LIBOR.

Re/Non-Performing Loans include:

•RPLs or NPLs in securitized form that are issued by an entity in which we own an equity interest and that we hold alongside other private funds under the management of Angelo Gordon. The securitizations typically take the form of


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equity and various classes of notes. These investments are included in the
"RMBS" and "Investments in debt and equity of affiliates" line items on our
consolidated balance sheets.
•RPLs or NPLs that we hold through interests in certain consolidated trusts.
These investments are secured by residential real property, including prime,
Alt-A, and subprime mortgage loans, and are included in the "Residential
mortgage loans, at fair value" line item on our consolidated balance sheets.

Non-QM Loans include:



•Residential mortgage loans that do not qualify for the Consumer Finance
Protection Bureau's (the "CFPB") safe harbor provision for "qualifying
mortgages," or "QM," that we hold alongside other private funds under the
management of Angelo Gordon. These investments are held in one of our
unconsolidated subsidiaries, Mortgage Acquisition Trust I LLC ("MATT") (see the
"Contractual obligations" section of this Item 2 for more detail), and are
included in the "Investments in debt and equity of affiliates" line item on our
consolidated balance sheets.
•Non-QM loans in securitized form that are issued by MATT. The securitizations
typically take the form of various classes of notes. These investments are
included in the "Investments in debt and equity of affiliates" line item on our
consolidated balance sheets.

Land Related Financing includes:



•First mortgage loans we originate to third party land developers and home
builders for the acquisition and horizontal development of land. These loans may
be held through our unconsolidated subsidiaries or in securitized form. These
loans are included either in the "Investments in debt and equity of affiliates"
or in the "RMBS" line items on our consolidated balance sheets.

Commercial Investments

We also invest in Commercial Investments. Our Commercial Investments include:



•Commercial mortgage-backed securities ("CMBS");
•Interest Only securities (CMBS backed by interest-only strips);
•Commercial real estate loans secured by commercial real property, including
first mortgages, mezzanine loans, preferred equity, first or second lien loans,
subordinate interests in first mortgages, bridge loans to be used in the
acquisition, construction or redevelopment of a property and mezzanine financing
secured by interests in commercial real estate; and
•Freddie Mac K-Series (described below).

CMBS include:



•Fixed and floating-rate CMBS, including investment grade and non-investment
grade classes. CMBS are secured by, or evidence ownership interest in, a single
commercial mortgage loan or a pool of commercial mortgage loans.

Freddie Mac K-Series ("K-Series") include:



•CMBS, Interest-Only securities and CMBS principal-only securities which are
regularly-issued by Freddie Mac as structured pass-through securities backed by
multifamily mortgage loans. These K-Series feature a wide range of investor
options which include guaranteed senior and interest-only bonds as well as
unguaranteed senior, mezzanine, subordinate and interest-only bonds. Our
K-Series portfolio includes unguaranteed senior, mezzanine, subordinate and
interest-only bonds. Throughout Item 2, we categorize our Freddie Mac K-Series
interest-only bonds as part of our Interest-Only securities.

Investment classification



Throughout this Report, (1) we use the terms "credit portfolio" and "credit
investments" to refer to our Residential Investments, Commercial Investments,
and, if applicable, ABS, inclusive of investments held within affiliated
entities but exclusive of AG Arc (discussed below); (2) we refer to our
Re/Non-Performing Loans (exclusive of our RPLs or NPLs in securitized form that
we purchase from an affiliate or affiliates of the Manager), Non-QM Loans
(exclusive of those in securitized form), Land Related Financing (exclusive of
loans in securitized form), and commercial real estate loans, collectively, as
our "loans"; (3) we use the term "credit securities" to refer to our credit
portfolio, excluding Excess MSRs and loans; and (4) we use the term "real estate
securities" or "securities" to refer to our Agency RMBS portfolio, exclusive of
Excess MSRs, and our credit securities.
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Our "investment portfolio" refers to our combined Agency RMBS portfolio and credit portfolio and encompasses all of the investments described above.



We also use the term "GAAP investment portfolio" which consists of (i) our
Agency RMBS, exclusive of (x) TBAs and (y) any investments classified as "Other
assets" on our consolidated balance sheets (our "GAAP Agency RMBS portfolio"),
and (ii) our
credit portfolio, exclusive of (x) all investments held within affiliated
entities and (y) any investments classified as "Other assets" on our
consolidated balance sheets (our "GAAP credit portfolio"). See Note 2 to the
"Notes to Consolidated Financial Statements (unaudited)" for a discussion of our
investments held within affiliated entities. For a reconciliation of our
investment portfolio to our GAAP investment portfolio, see the GAAP Investment
Portfolio Reconciliation Table below.

This presentation of our investment portfolio is consistent with how our
management team evaluates our 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.

Arc Home LLC



We, alongside private funds under the management of Angelo Gordon, through AG
Arc LLC, one of our indirect subsidiaries ("AG Arc"), formed Arc Home LLC ("Arc
Home"). Arc Home, through its wholly-owned subsidiary, originates conforming,
Government, Jumbo, Non-QM and other non-conforming residential mortgage loans,
retains the mortgage servicing rights associated with the loans that it
originates, and purchases additional mortgage servicing rights from third-party
sellers.

Discontinued Operations

On November 15, 2019, we sold our portfolio of single-family rental properties
to a third party. We reclassified the operating results of our single-family
rental properties segment to discontinued operations and excluded the income
associated with the portfolio from continuing operations for all periods
presented. See Note 14 to the "Notes to Consolidated Financial Statements
(unaudited)" for additional financial information regarding our discontinued
operations.

Market conditions

During the second quarter of 2020, the financial markets began to recover from
the significant dislocation caused by the COVID-19 outbreak and the resultant
economic shutdown across the majority of the U.S. economy. The uncertain
conditions prevailing at the end of the first quarter and the start of the
second quarter caused significant spread widening, an unprecedented liquidity
void, which along with other factors put significant pressure on the mortgage
REIT industry. This pressure has largely abated as the U.S. Federal Reserve
committed to a broad array of programs designed to support the financial
markets, including unlimited purchases of Agency RMBS and U.S. Treasuries, as
well as purchases in certain segments of the corporate credit market. See
"Recent government activity" below. Furthermore, the large-scale
liquidity-driven selling from a broad array of fixed income investors in March
has reversed as many bond funds experienced inflows during the quarter. The Fed
has also signaled that it intends to maintain low interest rates for the
foreseeable future.

After recording the widest spreads since the Global Financial Crisis ("GFC"),
the mortgage backed sectors rebounded considerably from late March as a result
of increased liquidity and better-than-expected data through the second quarter
along with relatively broad-based risk-on sentiment across the financial
markets. At the end of June, spreads had tightened significantly but nonetheless
remain wide compared to pre-COVID levels, which we believe is due to the ongoing
uncertainty created by regional re-opening plans and the impact of federal
stimulus on employment and hiring.

Following one of the most violent market moves ever in Agency MBS, decisive
action from, and broad-based support by, the Federal Reserve was able to
stabilize both the Agency MBS and funding markets by early May. This allowed for
the generic current coupon MBS spread versus the 10-year Treasury rate to recoup
22 basis points of the 33 basis points of Q1 widening by the end of June.
Specified pools also recovered much of their price declines as demand for
protection from refinancing-driven prepayments surged in the face of
historically low interest rates. Federal Reserve buying, strong bank deposit
growth, broad demand for yield and declining interest rate volatility have all
combined to create a very supportive backdrop for valuations despite elevated
gross issuance.

In the RMBS sectors, including Credit Risk Transfer ("CRT"), the spread recovery
began in April at the top of the capital structure, and by June, spreads for
assets lower in the structure also experienced material tightening. Similarly,
senior tranches were the first to rally, particularly on the heels of the
Federal Reserve's announcement of a GFC-era lending facility (TALF) for some
senior ABS and CMBS positions. By the end of the second quarter, demand was
visible lower in the capital structure as market participants searched for yield
in the ongoing low interest rate environment.

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Tighter secondary spreads brought issuers to market beginning in May across a
range of residential sub-sectors, including: Non-QM, Non-/Re-Performing, Prime
Jumbo, Single-Family Rental and CRT. Non-QM represented the majority of the RMBS
issuance as issuers capitalized on rebounding spreads and investor demand. CRT
issuance included the first benchmark deal from Freddie Mac since March, which
priced on June 30, 2020, and a deal from a mortgage insurer. Both were well
oversubscribed. The quarter's RMBS issuance totaled $8.2 billion, well off first
quarter and year-ago levels around $30 billion.

Renewed primary issuance and tighter spreads are welcome developments, but
spreads for most mortgage sub-sectors remain wide of pre-COVID levels as
uncertainty hangs over the market, reflecting a wide range of potential
outcomes. In the months following COVID, mortgage payment forbearances and
consumer relief have largely been within the market's initial expectations,
helping fuel the spread rally. Home prices have been well supported given strong
demand and limited supply in the marketplace. Government stimulus through the
CARES Act and various payment relief programs have helped maintain a level of
continuity that was critical to the performance of consumer assets in
particular.

The senior parts of the CMBS capital structure that initially led the market
wider in March also led the market tighter during the quarter as fixed income
mutual funds experienced inflows and opportunistic capital was directed to CMBS.
After trading as wide as swaps plus approximately 3.25%, AAA conduit CMBS
spreads ended the quarter at approximately swaps plus 1.10%, only about 0.20%
wide to pre-COVID-19 levels. The tightening in AAA spreads improved economics
for issuers enough to slowly restart the new issue market; however, second
quarter CMBS issuance of $7 billion was the lowest amount in eight years and a
far cry from the $23 billion issued in the first quarter.

After AAA CMBS pricing recovered, AA rated securities were quick to follow.
Eventually, we saw a similar dynamic in single A rated bonds. In June, the rally
began extending into our target assets, such as BBB rated conduit CMBS (and even
some bonds originally rated BB). While prices have moved higher from the
distressed levels of March, fundamentals remain under pressure with the conduit
delinquency rate rising to 10.3% at the end of June, just 2 basis points below
the record high set in July 2012. An additional 4.1% of loans are in their grace
period (not current, but not listed as more than 30 days delinquent).

The heavy selling pressure in Single-Asset/Single-Borrower ("SA/SB") bonds in
March also reversed in April and deals from favored assets classes such as
industrial, multifamily and even office are back to trading within a few points
of their pre-COVID levels with very flat credit curves. Certain hotel and retail
deals have rallied from their lows, but this is much more deal specific with a
high level of focus on sponsorship and much steeper credit curves.

Finally, in the Agency CMBS market, Freddie K B-Pieces were one of the first
sectors to recover in April, likely driven in large part by the assumption that
the multifamily loans that secure these deals are unlikely to default. While
historical performance of these deals has been strong, the asset class in
general may not be immune from credit challenges going forward.

In light of the pervasive uncertainties of the COVID-19 pandemic for the U.S.
and global economy, there can be no assurance tht the trends and conditions
described above will not change in a manner materially adverse to the mortgage
REIT industry.

Recent government activity

The Federal Reserve has taken a number of actions to stabilize markets as a
result of the impact of the COVID-19 pandemic. Since late 2019, the Federal
Reserve has been conducting large scale overnight repo operations to address
disruptions in the U.S. Treasury, Agency debt and Agency RMBS financing markets
and has substantially increased these operations to address funding disruptions
resulting from the economic crisis and market dislocations resulting from the
COVID-19 pandemic. On March 15, 2020, the Federal Reserve announced a $700
billion asset purchase program to provide liquidity to the U.S. Treasury and
Agency RMBS markets. Specifically, the Federal Reserve announced that it would
purchase at least $500 billion of U.S. Treasuries and at least $200 billion of
Agency RMBS. The Federal Reserve also lowered the federal funds rate by 100
basis points to a range of 0.0% - 0.25%, after having already lowered the
federal funds rate by 50 basis points on March 3, 2020.

The markets for U.S. Treasuries, MBS and other mortgage and fixed income markets
experienced severe dislocations in March as a result of the COVID-19 pandemic.
To address these issues in the fixed income and funding markets, on March 23,
2020, the Federal Reserve announced a program to acquire U.S. Treasuries and
Agency RMBS in the amounts needed to support smooth market functioning. Since
that date, the Federal Reserve and the Federal Housing Finance Agency ("FHFA")
have taken various other steps to support certain other fixed income markets, to
support mortgage servicers and to implement various portions of the Coronavirus
Aid, Relief, and Economic Security ("CARES") Act. The FHFA instructed the GSEs
on how to handle servicer advances for loans that back Agency RMBS that enter
into forbearance, which limits prepayments during the forbearance period that
could have resulted otherwise. Further, the FHFA announced a loan payment
deferment plan for Agency multi-family borrowers facing hardship from revenue
losses caused by COVID-19, with the condition that these borrowers suspend all
evictions for renters unable to pay rent due to the impact of COVID-19.

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On March 27, 2020, the CARES Act was signed into law to provide many forms of
direct support to individuals and small businesses in order to stem the steep
decline in economic activity resulting from the COVID-19 pandemic. The over $2
trillion relief bill, among other things, provided for direct payments to each
American making up to $75,000 a year, increased unemployment benefits for up to
four months (on top of state benefits), funding to hospitals and health care
providers, loans and investments to businesses, states and municipalities and
grants to the airline industry. On April 24, 2020, President Trump signed an
additional funding bill into law that provided an additional $484 billion of
funding to individuals, small businesses, hospitals, health care providers and
additional coronavirus testing efforts. In addition, in response to the economic
impact of the COVID-19 pandemic, governors of several states issued executive
orders prohibiting evictions and foreclosures for specified periods of time, and
many courts enacted emergency rules delaying hearings related to evictions or
foreclosures.

One additional provision of the CARES Act provides up to 360 days of forbearance
relief from mortgage loan payments for borrowers with federally backed (e.g.
Fannie Mae or Freddie Mac) mortgages who experience financial hardship related
to the pandemic. Combined with expected widespread unemployment stemming from
the economic slowdown caused by the pandemic, residential mortgage assets came
under extreme spread pressure. The CARES Act also prohibits foreclosures for 60
days and evictions by landlords for 120 days after its enactment. On June 17,
2020, the FHFA announced that Fannie Mae and Freddie Mac will extend their
single-family moratorium on foreclosure and evictions until at least August 31,
2020. These legislative and agency actions have created uncertainty around the
ultimate effects on delinquencies, defaults, prepayment speeds, low interest
rates and home price appreciation.

The scope and nature of any future actions the Federal Reserve and other
governmental authorities will ultimately undertake are unknown and will continue
to evolve, especially in light of the COVID-19 pandemic and the upcoming
presidential and Congressional elections in the United States. We cannot predict
how, in the long term, these and other actions, as well as the negative impacts
from the ongoing COVID-19 pandemic, will affect the efficiency, liquidity and
stability of the financial, credit and mortgage markets, and thus, our business.
Greater uncertainty frequently leads to wider asset spreads or lower prices and
higher hedging costs.

The current regulatory environment may be impacted by future legislative
developments, such as changes to Fannie Mae and Freddie Mac, including their
continued existence and their roles in the market. The impact of such potential
reforms on our operations remains unclear.

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 target assets in the marketplace, among other things, which can be
impacted by unanticipated credit events, such as defaults, liquidations or
delinquencies, experienced by borrowers whose mortgage loans are included in our
investment portfolio and other unanticipated events in our markets. Our primary
source of net income available to common stockholders is our net interest
income, less our cost of hedging, which represents the difference between the
interest earned on our investment portfolio and the costs of financing and
hedging our investment portfolio. Prior to the sale of our 30 year fixed rate
Agency RMBS portfolio in March 2020, our net interest income varied primarily as
a result of changes in market interest rates, prepayment speeds, as measured by
the Constant Prepayment Rate ("CPR") on the Agency RMBS in our investment
portfolio, and our funding and hedging costs. As a result of the global COVID-19
pandemic and our disposition of assets to preserve liquidity, we incurred large
realized losses in 2020 and a sharp decline in book value. Additionally, we
believe the drastic reduction in the size of our investment portfolio will
materially limit our earnings going forward.

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Three Months Ended June 30, 2020 compared to the Three Months Ended June 30, 2019



The table below presents certain information from our consolidated statements of
operations for the three months ended June 30, 2020 and June 30, 2019 (in
thousands):

                                                             Three Months Ended
                                                    June 30, 2020          June 30, 2019          Increase/(Decrease)


Statement of Operations Data:
Net Interest Income
Interest income                                    $      13,369          $      40,901          $          (27,532)
Interest expense                                           8,613                 23,030                     (14,417)
Total Net Interest Income                                  4,756                 17,871                     (13,115)

Other Income/(Loss)
Net realized gain/(loss)                                 (91,609)               (27,510)                    (64,099)
Net interest component of interest rate
swaps                                                          -                  1,800                      (1,800)
Unrealized gain/(loss) on real estate
securities and loans, net                                109,632                 43,165                      66,467
Unrealized gain/(loss) on derivative and
other instruments, net                                    (9,453)               (10,839)                      1,386
Foreign currency gain/(loss), net                           (156)                     -                        (156)
Other income                                                   1                    216                        (215)
Total Other Income/(Loss)                                  8,415                  6,832                       1,583

Expenses
Management fee to affiliate                                1,678                  2,400                        (722)
Other operating expenses                                   4,482                  3,807                         675
Restructuring related expenses                             7,104                      -                       7,104
Equity based compensation to affiliate                        75                     73                           2
Excise tax                                                     -                    186                        (186)
Servicing fees                                               566                    416                         150
Total Expenses                                            13,905                  6,882                       7,023

Income/(loss) before equity in
earnings/(loss) from affiliates                             (734)                17,821                     (18,555)

Equity in earnings/(loss) from affiliates                  3,434                  2,050                       1,384
Net Income/(Loss) from Continuing Operations               2,700                 19,871                     (17,171)
Net Income/(Loss) from Discontinued
Operations                                                   361                 (1,193)                      1,554
Net Income/(Loss)                                          3,061                 18,678                     (15,617)

Dividends on preferred stock                               5,667                  3,367                       2,300

Net Income/(Loss) Available to Common
Stockholders                                       $      (2,606)         $      15,311          $          (17,917)



Interest income

Interest income is calculated using the effective interest method for our GAAP investment portfolio and calculated based on the actual coupon rate and the outstanding principal balance on our U.S. Treasury securities, if any.



Interest income decreased from June 30, 2019 to June 30, 2020 primarily due to
the drastic reduction in the size of our investment portfolio as a result of the
global COVID-19 pandemic. The weighted average cost of our GAAP investment
portfolio and U.S. Treasury securities, if any, of $2.4 billion from $3.4
billion for the three months ended June 30, 2019 to $1.0 billion for the three
months ended June 30, 2020. We expect our interest income going forward to be
materially lower compared
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to comparable prior periods as a result of the changes in our investment portfolio as set forth in the tables of the "Investment activities" section below as a result of the COVID-19 pandemic.

Interest expense

Interest expense is calculated based on the actual financing rate and the outstanding financing balance of our GAAP investment portfolio and U.S. Treasury securities, if any.



Interest expense decreased from June 30, 2019 to June 30, 2020 primarily due to
the drastic reduction in the size of our investment portfolio and related
financing as a result of the global COVID-19 pandemic. The weighted average
financing balance on our GAAP investment portfolio and U.S. Treasury securities,
if any, during the period of $2.5 billion from $3.1 billion for the three months
ended June 30, 2019 to $551.3 million for the three months ended June 30, 2020.
Refer to the "Financing activities" section below for a discussion of the
material changes in our cost of funds. We do not expect our interest expense,
set forth in the consolidated statements of operations table above, to be
indicative of our future interest expense due to the changes in our financing
arrangements described in the "Financing activities" section below.

Net realized gain/(loss)



Net realized gain/(loss) represents the net gain or loss recognized on any (i)
sales and seizures by financing counterparties of real estate securities out of
our GAAP investment portfolio, including any associated deficiencies recognized,
(ii) sales of loans out of our GAAP investment portfolio, transfers of loans
from our GAAP investment portfolio to real estate owned included in Other
assets, and sales of Other assets, (iii) settlement of derivatives and other
instruments, and (iv) prior to the adoption of ASU 2016-13,
other-than-temporary-impairment ("OTTI") charges recorded during the period. See
Note 2, Note 3, Note 4 and Note 5 to the "Notes to Consolidated Financial
Statements (unaudited)" for further discussion on OTTI. The following table
presents a summary of Net realized gain/(loss) for the three months ended June
30, 2020 and June 30, 2019 (in thousands):

Three Months Ended

June 30, 2020            June 30, 2019

Sale/seizures of real estate securities and related collateral

(36,288) $ 3,745 Sale of loans and loans transferred to or sold from Other assets

                                                                   (55,798)                     775
Settlement of derivatives and other instruments                              477                  (21,671)
OTTI                                                                           -                  (10,359)
Total Net realized gain/(loss)                                   $

(91,609) $ (27,510)





Due to the unprecedented market conditions experienced as a result of the global
COVID-19 pandemic and in order to continue to preserve liquidity and meet margin
calls, we sold approximately $0.6 billion of securities and loans during the
three months ended June 30, 2020.

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.



Net interest component of interest rate swaps decreased from June 30, 2019 to
June 30, 2020 as we did not hold any interest rate swaps for the three months
ended June 30, 2020. For the three months ended June 30, 2019, the net interest
component of interest rate swaps was $1.8 million. Refer to the "Hedging
activities" section below for a discussion of material changes in our interest
rate swap portfolio.

Unrealized gain/(loss) on real estate securities and loans, net



During the second quarter of 2020, the Company recognized $109.6 million in net
unrealized gains comprised of unrealized gains on securities and unrealized
gains on loans of $48.9 million and $60.7 million, respectively. Included in
unrealized gains on both securities and loans are net unrealized loss reversals
due to sales during the second quarter of 2020 totaling $88.1 million. The
remaining gains of $21.5 million relate to mark to market gains on securities
and loans still held at June 30, 2020.

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Unrealized gain/(loss) on derivative and other instruments, net

For the three months ended June 30, 2020, the losses of $9.5 million were comprised of unrealized losses on securitized debt, Excess MSRs, and derivatives.

Foreign currency gain/(loss), net



Foreign currency gain/(loss), net pertains to the effects of remeasuring the
monetary assets and liabilities of our foreign investments into U.S. dollars
using foreign currency exchange rates at the end of the reporting period. Refer
to Note 2 of the "Notes to the Consolidated Financial Statements" for details on
what specifically is included in the "Foreign currency gain/(loss), net" line
item. For the three months ended June 30, 2019, we did not hold any positions
denominated in foreign currencies.

Other income



Other income currently includes certain fees we receive on our loans and CMBS
portfolios. Other income decreased from June 30, 2019 to June 30, 2020 due to a
premium received on a credit default swap during the three months ended June 30,
2019 that we did not receive during the three months ended June 30, 2020.

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. Management fees decreased from June 30, 2019 to June 30, 2020 primarily
due to a decrease in our Stockholders' Equity as calculated pursuant to our
Management Agreement.

On April 6, 2020, we executed an amendment to our Management Agreement pursuant to which our Manager agreed to defer our payment of the management fee and reimbursement of expenses beginning with the first quarter of 2020 through September 30, 2020, or such other time as we and the Manager agree.


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Other operating expenses



These amounts are primarily comprised of professional fees, directors' and
officers' ("D&O") insurance and directors' fees, as well as certain expenses
reimbursable to the Manager. We are required to reimburse our Manager or its
affiliates for operating expenses which are 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. Refer to the
"Contractual obligations" section below for more detail on certain expenses
reimbursable to the Manager. The following table presents a summary of expenses
within Other operating expenses broken out between non-investment related
expenses and investment related expenses for the three months ended June 30,
2020 and June 30, 2019 (in thousands):

Three Months Ended


                                                                     June 30, 2020            June 30, 2019
Non Investment Related Expenses
Affiliate expense reimbursement - Operating expenses               $         1,697          $        1,745
Professional fees                                                              648                     469
D&O insurance                                                                  174                     174
Directors' compensation                                                        173                     218

Other                                                                          198                     220
Total Corporate Expenses                                                     2,890                   2,826

Investment Related Expenses
Affiliate expense reimbursement - Deal related expenses                        162                     173

Professional fees                                                               47                      46
Residential mortgage loan related expenses                                     887                     216
Transaction related expenses and deal related performance
fees (1)                                                                       373                     409
Other                                                                          123                     137
Total Investment Expenses                                                    1,592                     981
Total Other operating expenses                                     $

4,482 $ 3,807





(1)For the three months ended June 30, 2020 and June 30, 2019, total transaction
related expenses and deal related performance fees were $0.6 million and $0.4
million, respectively. For the three months ended June 30, 2020, the $0.6
million includes $0.2 million of deferred financing costs that are included
within interest expense. For the three months ended June 30, 2019, the $0.4
million includes $30.5 thousand deferred financing costs that are included
within interest expense.

Restructuring related expenses



Restructuring related expenses relate to legal and consulting fees primarily
incurred in connection with executing the Forbearance Agreement and subsequent
Reinstatement Agreement. Refer to the "Financing activities" section below for
more information regarding the Forbearance Agreement.

Equity based compensation to affiliate



Equity based compensation to affiliate represents the amortization of the fair
value of our restricted stock units granted to our Manager, less the present
value of dividends expected to be paid on the underlying shares through the
requisite period.

For the three months ended June 30, 2020 and June 30, 2019, our equity based compensation to affiliate remained relatively unchanged.

Excise tax



Excise tax represents a four percent tax on the required amount of any ordinary
income and net capital gains not distributed during the year. The quarterly
expense is calculated in accordance with applicable tax regulations. For the
three months ended June 30, 2020, our excise tax decreased primarily due to
losses associated with COVID-19.

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Servicing fees

We incur servicing fee expenses in connection with the servicing of our Residential mortgage loans. As of June 30, 2020 and June 30, 2019, we owned Residential mortgage loans with a fair value of $379.8 million and $200.0 million, respectively. This increase in the fair value of the Residential mortgage loans was a result of net purchases of Residential mortgage loan pools in 2019 and 2020.



For the three months ended June 30, 2020 and June 30, 2019, our servicing fees
increased primarily due to our purchases of residential mortgage loans described
above.

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. A majority of these
investments are comprised of real estate securities, loans and our investment in
AG Arc. The increase from the quarter ended June 30, 2019 to the quarter ended
June 30, 2020 primarily pertains to our share of the unrealized gains on
investments held within affiliated entities.

Discontinued operations



On November 15, 2019, we sold our portfolio of single-family rental properties
to a third party at a price of approximately $137 million. We recognized a gain
of $0.2 million as a result of the transaction. We reclassified the operating
results of the single-family rental properties segment to discontinued
operations and excluded the income from continuing operations for all periods
presented.

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Six Months Ended June 30, 2020 compared to the Six Months Ended June 30, 2019



The table below presents certain information from our consolidated statements of
operations for the six months ended June 30, 2020 and June 30, 2019 (in
thousands):

                                                              Six Months Ended
                                                    June 30, 2020          June 30, 2019          Increase/(Decrease)


Statement of Operations Data:
Net Interest Income
Interest income                                    $      53,637          $      82,391          $          (28,754)
Interest expense                                          28,584                 45,124                     (16,540)
Total Net Interest Income                                 25,053                 37,267                     (12,214)

Other Income/(Loss)
Net realized gain/(loss)                                (242,752)               (48,093)                   (194,659)
Net interest component of interest rate
swaps                                                        923                  3,581                      (2,658)
Unrealized gain/(loss) on real estate
securities and loans, net                               (204,265)                89,918                    (294,183)
Unrealized gain/(loss) on derivative and
other instruments, net                                    (3,767)               (20,925)                     17,158
Foreign currency gain/(loss), net                          1,493                      -                       1,493
Other income                                                   4                    630                        (626)
Total Other Income/(Loss)                               (448,364)                25,111                    (473,475)

Expenses
Management fee to affiliate                                3,827                  4,745                        (918)
Other operating expenses                                   5,324                  7,588                      (2,264)
Restructuring related expenses                             8,604                      -                       8,604
Equity based compensation to affiliate                       163                    199                         (36)
Excise tax                                                  (815)                   278                      (1,093)
Servicing fees                                             1,145                    787                         358
Total Expenses                                            18,248                 13,597                       4,651

Income/(loss) before equity in
earnings/(loss) from affiliates                         (441,559)                48,781                    (490,340)

Equity in earnings/(loss) from affiliates                (40,758)                 1,279                     (42,037)
Net Income/(Loss) from Continuing Operations            (482,317)                50,060                    (532,377)
Net Income/(Loss) from Discontinued
Operations                                                   361                 (2,227)                      2,588
Net Income/(Loss)                                       (481,956)                47,833                    (529,789)

Dividends on preferred stock                              11,334                  6,734                       4,600

Net Income/(Loss) Available to Common
Stockholders                                       $    (493,290)         $      41,099          $         (534,389)



Interest income

Interest income decreased from June 30, 2019 to June 30, 2020 primarily due to
the drastic reduction in the size of our investment portfolio as a result of the
global COVID-19 pandemic. The weighted average cost of our GAAP investment
portfolio and U.S. Treasury securities, if any, of $1.0 billion from $3.3
billion at June 30, 2019 to $2.3 billion at June 30, 2020. We expect our
interest income going forward to be materially lower compared to comparable
prior periods as a result of the changes in our investment portfolio as set
forth in the tables of the "Investment activities" section below as a result of
the COVID-19 pandemic.

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Interest expense



Interest expense decreased from June 30, 2019 to June 30, 2020 primarily due to
the drastic reduction in the size of our investment portfolio and related
financing as a result of the global COVID-19 pandemic. The weighted average
financing balance on our GAAP investment portfolio and U.S. Treasury securities,
if any, during the period of $1.2 billion from $3.0 billion for the six months
ended June 30, 2019 to $1.8 billion for the six months ended June 30, 2020.
Refer to the "Financing activities" section below for a discussion of the
material changes in our cost of funds. We do not expect our interest expense,
set forth in the consolidated statements of operations table above, to be
indicative of our future interest expense due to the changes in our financing
arrangements described in the "Financing activities" section below.

Net realized gain/(loss)

The following table presents a summary of Net realized gain/(loss) for the six months ended June 30, 2020 and June 30, 2019 (in thousands):

Six Months Ended

June 30, 2020            June 30, 2019

Sale/seizures of real estate securities and related collateral

(122,593) $ 5,807 Sale of loans and loans transferred to or sold from Other assets

                                                                   (58,765)                     948
Settlement of derivatives and other instruments                          (61,394)                 (41,447)
OTTI                                                                           -                  (13,401)
Total Net realized gain/(loss)                                   $

(242,752) $ (48,093)





As previously discussed, in order to preserve liquidity and meet margin calls,
we sold approximately $3.5 billion of securities and loans during the six months
ended June 30, 2020, a majority of which were sold due to the unprecedented
market conditions experienced as a result of the global COVID-19 pandemic.

Net interest component of interest rate swaps



Net interest component of interest rate swaps decreased from June 30, 2019 to
June 30, 2020 as we sold out of our interest rate swaps positions in March 2020.
For the six months ended June 30, 2019, the net interest component of interest
rate swaps was $3.6 million. Refer to the "Hedging activities" section below for
a discussion of material changes in our interest rate swap portfolio.

Unrealized gain/(loss) on real estate securities and loans, net



The disruptions of the financial markets due to the COVID-19 pandemic have
caused credit spread widening, a sharp decrease in interest rates and
unprecedented illiquidity in repurchase agreement financing and MBS markets.
These conditions have put significant downward pressure on the fair value of our
assets and resulted in unrealized losses for the six months ended June 30, 2020.

During the six months ended 2020, the Company recognized $204.3 million in net
unrealized losses comprised of unrealized losses on securities and unrealized
losses on loans of $154.4 million and $49.9 million, respectively. These losses
were due directly to the disruptions of the financial markets caused by the
COVID-19 pandemic and the Company's response thereto. Included in unrealized
losses on both securities and loans are net unrealized gain reversals due to
sales during the period totaling $131.2 million. The remaining losses of $73.1
million relate to mark to market losses on securities and loans still held at
June 30, 2020.

Unrealized gain/(loss) on derivative and other instruments, net



For the six months ended June 30, 2020, the losses of $3.8 million was comprised
of unrealized losses on derivatives and excess MSRs offset by unrealized gains
on securitized debt.

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Foreign currency gain/(loss), net

During the six months ended June 30, 2020, the value of GBP relative to USD decreased, resulting in a gain on the liabilities held in foreign currencies. We did not hold any positions denominated in foreign currencies during the six months ended June 30, 2019.

Other income



Other income currently includes certain fees we receive on our loans and CMBS
portfolios. Other income decreased from June 30, 2019 to June 30, 2020 as a
result of origination fees received related to new commercial real estate loans
and a premium received on a credit default swap 2019 that we did not receive in
2020.

Management fee to affiliate

Management fees decreased from June 30, 2019 to June 30, 2020 primarily due to a
decrease in our Stockholders' Equity as calculated pursuant to our Management
Agreement.

Other operating expenses

The following table presents a summary of expenses within Other operating expenses broken out between non-investment related expenses and investment related expenses for the three months ended June 30, 2020 and June 30, 2019 (in thousands):



                                                                               Six Months Ended
                                                                     June 30, 2020           June 30, 2019
Non Investment Related Expenses
Affiliate expense reimbursement - Operating expenses               $        3,576          $        3,490
Professional fees                                                           1,193                     909
D&O insurance                                                                 348                     348
Directors' compensation                                                       391                     439

Other                                                                         427                     454
Total Corporate Expenses                                                    5,935                   5,640

Investment Related Expenses
Affiliate expense reimbursement - Deal related expenses                       324                     367

Affiliate expense reimbursement - Transaction related expenses and deal related performance fees (1)

                                  -                      42
Professional fees                                                              94                      92
Residential mortgage loan related expenses                                  1,579                     398

Transaction related expenses and deal related performance fees (1)

                                                                   (2,846)                    763
Other                                                                         238                     286
Total Investment Expenses                                                    (611)                  1,948
Total Other operating expenses                                     $

5,324 $ 7,588





(1)For the six months ended June 30, 2020 and June 30, 2019, total transaction
related expenses and deal related performance fees were $(2.8) million and $0.8
million, respectively. For the six months ended June 30, 2020, the $(2.8)
million includes a de minimis amount of deferred financing costs that are
included within interest expense. For the six months ended June 30, 2019, the
$0.8 million includes $30.5 thousand of deferred financing costs that are
included within interest expense. The decrease in Transaction related expenses
and deal related performance fees from the six months ended June 30, 2019 to the
six months ended June 30, 2020 is primarily a result of accrued deal related
performance fees being reversed in the current period due to a decline in the
price of the related assets, as well as the seizure of such assets by financing
counterparties.
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Restructuring related expenses



Restructuring related expenses relate to legal and consulting fees primarily
incurred in connection with executing the Forbearance Agreement and subsequent
Reinstatement Agreement. Refer to the "Financing activities" section below for
more information regarding the Forbearance Agreement.

Equity based compensation to affiliate

For the six months ended June 30, 2020 and June 30, 2019, our equity based compensation to affiliate remained relatively unchanged.

Excise tax

For the six months ended June 30, 2020 and June 30, 2019, our excise tax decreased primarily due to losses associated with COVID-19.

Servicing fees



For the six months ended June 30, 2020 and June 30, 2019, our servicing fees
increased primarily due to net purchases of residential mortgage loans described
above.

Equity in earnings/(loss) from affiliates

The decrease from the six months ended June 30, 2019 to the six months ended June 30, 2020 primarily pertains to our share of the unrealized losses on investments held within affiliated entities.

Book value per share

As of June 30, 2020 and December 31, 2019, our book value per common share was $2.75 and $17.61, respectively.



Per share amounts for book value are calculated using all outstanding common
shares in accordance with GAAP, including all vested shares granted to our
Manager, and our independent directors under our equity incentive plans as of
quarter-end. Book value is calculated using stockholders' equity less net
proceeds of our 8.25% Series A Cumulative Redeemable Preferred Stock ($49.9
million), 8.00% Series B Cumulative Redeemable Preferred Stock ($111.3 million),
and 8.000% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock
($111.2 million) as the numerator. The liquidation preference for the Series A,
Series B and Series C Preferred Stock is $52.8 million, $117.3 million and
$117.3 million, respectively. The liquidation preference as of June 30, 2020
includes accumulated and unpaid dividends (whether or not authorized or
declared) in the aggregate amount of $5.7 million. Book value does not include
any accrual of accumulated, unpaid, or undeclared dividends on our Cumulative
Redeemable Preferred Stock. Refer to the "Dividends" section below and Note 9 in
the "Notes to Consolidated Financing Statements (Unaudited)" for more
information on the arrearages related to the preferred stock.

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, where we disclose our
investment portfolio and the related financing arrangements, we have presented
this information inclusive of (i) unconsolidated ownership interests in
affiliates that are accounted for under GAAP using the equity method and (ii)
TBAs, which are accounted for as derivatives under GAAP. 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 2 to the "Notes to Consolidated
Financial Statements (unaudited)" for a discussion of investments in debt and
equity of affiliates and TBAs.

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Net interest margin and leverage ratio



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 or our investment
portfolio, respectively, which both exclude cash held by us and any net TBA
position. The weighted average yield on our Agency RMBS portfolio and our credit
portfolio represents an effective interest rate, 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 fair
value. 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, which is the weighted average of the net pay rate on our interest
rate swaps, the net receive/pay rate on our Treasury long and short positions,
respectively, and the net receivable rate on our IO index derivatives, if any.
Both elements of cost of funds are weighted by the outstanding financing
arrangements on our GAAP investment portfolio or our investment portfolio and
securitized debt at quarter-end, exclusive of repurchase agreements associated
with U.S. Treasury securities, if any.

As our capital allocation shifts, our weighted average yields and weighted
average cost of funds will also shift. Our Agency Investments, given their
liquidity and high credit quality, are eligible for higher levels of leverage,
while our Credit Investments, with less liquidity and/or more exposure to credit
risk and prepayment, utilize lower levels of leverage. As a result, 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 diversification of our counterparties and their available
capacity to finance our assets, and anticipated regulatory developments. Prior
to COVID-19, we generally maintained a leverage ratio range of 4.0 to 5.0 times
to finance our investment portfolio, on a fully deployed capital basis. Our
debt-to-equity ratio is directly correlated to the composition of our portfolio;
specifically, the higher percentage of Agency Investments we hold, the higher
our leverage ratio is, while the higher percentage of Credit Investments we
hold, the lower our leverage ratio is. As previously mentioned, in an effort to
prudently manage our portfolio through unprecedented market volatility and
preserve long-term stockholder value, we completed the sale of our 30 year fixed
rate Agency securities during the first quarter of 2020. We believe the
resulting capital allocation impacts the weighted average yield, weighted
average cost of funds and leverage ratio as illustrated below.

Net interest margin and leverage ratio are metrics that management believes should be considered when evaluating the performance of our investment portfolio. See the "Financing activities" section below for more detail on our leverage ratio.



The chart below sets forth the net interest margin and leverage ratio from our
investment portfolio as of June 30, 2020 and June 30, 2019 and a reconciliation
to our GAAP investment portfolio:

June 30, 2020


                                                                                          Investments in Debt
Weighted Average                       GAAP Investment Portfolio                        and Equity of Affiliates                         Investment Portfolio (a)
Yield                                                      5.55  %                                                8.00  %                                          6.52  %
Cost of Funds (b)                                          3.34  %                                                4.94  %                                          3.86  %
Net Interest Margin                                        2.21  %                                                3.06  %                                          2.66  %
Leverage Ratio (c)                                            1.3x                                                    (d)                                             0.8x
June 30, 2019
                                                                                          Investments in Debt
Weighted Average                       GAAP Investment Portfolio                        and Equity of Affiliates                         Investment Portfolio (a)
Yield                                                      4.91  %                                                5.92  %                                          5.07  %
Cost of Funds (b)                                          2.88  %                                                4.62  %                                          2.92  %
Net Interest Margin                                        2.03  %                                                1.30  %                                          2.15  %
Leverage Ratio (c)                                            4.0x                                                    (d)                                             4.2x


(a)Excludes any net TBA position.
(b)Includes cost of non-recourse financing arrangements.
(c)The leverage ratio on our GAAP investment portfolio represents GAAP leverage.
The leverage ratio on our investment portfolio represents Economic Leverage as
defined below in the "Financing Activities" section.
(d)Refer to the "Financing activities" section below for an aggregate breakout
of leverage.

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Core Earnings



We are not currently disclosing Core Earnings, a non-GAAP financial measure, as
we determined that this measure, as we have historically calculated it, would
not appropriately capture the materially negative economic impact of the
COVID-19 pandemic on our business, liquidity, results of operations, financial
condition, and ability to make distributions to our stockholders. As financial
markets stabilize, we will evaluate whether core earnings or other non-GAAP
financial measures would help both management and investors evaluate our
operating performance for future periods.

Investment activities



Historically, our investment portfolio has been comprised of Agency RMBS,
Residential Investments and Commercial Investments. Our allocation to each of
these investments is set forth in more detail below. 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. The risk-reward profile of our investment opportunities
changes continuously with the market, with labor, housing and economic
fundamentals, and with U.S. monetary policy, among others. As a result, in
reacting to market conditions and taking into account a variety of other
factors, including liquidity, duration, interest rate expectations and hedging,
the mix of our assets changes over time as we opportunistically deploy capital.

As a result of the market turmoil related to the COVID-19 pandemic, we
maintained a defensive posture during the second quarter as it related to new
investments. We prioritized liquidity and capital preservation to acquisition.
During the six months ended June 30, 2020, we reduced the size of our GAAP
investment portfolio from $4.0 billion to $652.3 million, and at June 30, 2020,
our equity capital allocation was 3% to Agency RMBS and 97% to Credit
Investments. We have expertise in Agency RMBS, and may choose to allocate
additional capital in those assets should the opportunity arise; however, in the
near term we expect our capital to be almost entirely allocated to Credit
Investments. Overall, our intention is to allocate capital to investment
opportunities with attractive risk/return profiles in our target asset classes.

We evaluate investments in Agency RMBS using factors including, among others,
expected future prepayment trends, supply of and demand for Agency RMBS, costs
of financing, costs of hedging, liquidity, expected future interest rate
volatility and the overall shape of the U.S. Treasury and interest rate swap
yield curves. Prepayment speeds, as reflected by the CPR, and interest rates
vary according to the type of investment, conditions in financial markets,
competition and other factors, none of which can be predicted with any
certainty. In general, as prepayment speeds on our Agency RMBS portfolio
increase, the related purchase premium amortization increases, thereby reducing
the net yield on such assets.

Our credit investments are subject to risk of loss with regard to principal and
interest payments. We evaluate each investment in our credit portfolio based on
the characteristics of the underlying collateral, the securitization structure,
expected return, geography, collateral type, and the cost and availability of
financing, among others. We maintain a comprehensive portfolio management
process that generally includes day-to-day oversight by the portfolio management
team and a quarterly credit review process for each investment that examines the
need for a potential reduction in accretable yield, missed or late contractual
payments, significant declines in collateral performance, prepayments, projected
defaults, loss severities and other data which may indicate a potential issue in
our ability to recover our capital from the investment. These processes are
designed to enable our Manager to evaluate and proactively manage asset-specific
credit issues and identify credit trends on a portfolio-wide basis.
Nevertheless, we cannot be certain that our review will identify all issues
within our portfolio due to, among other things, adverse economic conditions or
events adversely affecting specific assets. Therefore, potential future losses
may also stem from issues with our investments that are not identified by our
credit reviews.

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The following table presents a detailed break-down of our investment portfolio as of June 30, 2020 and December 31, 2019 and a reconciliation to our GAAP Investment Portfolio ($ in thousands):



                                                                                                                        Percent of Investment
                                                                                                                              Portfolio
                                                               Fair Value                                                     Fair Value                                                                              Leverage Ratio (a)
                                                                                                                                                                         June 30,
                                                June 30, 2020

December 31, 2019 June 30, 2020 December 31, 2019

                        2020            December 31, 2019
                Agency RMBS (b)                $      12,688          $       2,333,626                   1.3  %                  52.8  %                                      -                          7.1x
        Residential Investments                      732,375                  1,493,869                  76.3  %                  33.8  %                                      1.6x                       2.7x
         Commercial Investments                      214,339                    589,709                  22.4  %                  13.4  %                                      1.0x                       2.1x

    Total: Investment Portfolio                $     959,402          $       4,417,204                 100.0  %                 100.0  %                                      0.8x                       4.1x

Investments in Debt and Equity


              of Affiliates (c)                $     307,130          $         373,126                      N/A                      N/A                                       (d)                        (d)

         Total: GAAP Investment
                      Portfolio                $     652,272          $

4,044,078 N/A N/A 1.3x 4.1x

(a)The leverage ratio 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 by its
allocated equity (described in the chart below). Cash posted as collateral has
been allocated pro-rata by each respective asset class' Economic Leverage
amount. The Economic Leverage Ratio excludes any fully non-recourse financing
arrangements. The leverage ratio on our Agency RMBS includes any net receivables
on TBA. The leverage ratio on our GAAP Investment Portfolio represents GAAP
leverage.
(b)As of June 30, 2020, Agency RMBS includes only Excess MSRs.
(c)Certain Re/Non-Performing Loans held in securitized form are presented net of
non-recourse securitized debt.
(d)Refer to the "Financing activities" section below for an aggregate breakout
of leverage.

We allocate our equity by investment using the fair value of our investment
portfolio, less any associated leverage, inclusive of any long TBA position (at
cost). We allocate all non-investment portfolio related assets and liabilities
to our investment portfolio based on the characteristics of such assets and
liabilities in order to sum to stockholders' equity per the consolidated balance
sheets. Our equity allocation method is a non-GAAP methodology and may not be
comparable to the similarly titled measure or concepts of other companies, who
may use different calculations and allocation methodologies.

The following table presents a summary of the allocated equity of our investment portfolio as of June 30, 2020 and December 31, 2019 ($ in thousands):



                                                Allocated Equity                                                        Percent of Equity
                                    June 30, 2020          December 31, 2019           June 30, 2020                 December 31, 2019
                       Agency RMBS $      11,426          $        295,358                        3.1  %                              34.8  %
           Residential Investments       242,320                   359,923                       66.3  %                              42.4  %
            Commercial Investments       111,632                   193,765                       30.6  %                              22.8  %

                             Total $     365,378          $        849,046                      100.0  %                             100.0  %


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The following table presents a reconciliation of our Investment Portfolio to our GAAP Investment Portfolio as of June 30, 2020 ($ in thousands):


                                                                                         Unrealized Mark-                                Weighted Average             Weighted                Weighted Average
             Instrument                     Current Face         Amortized Cost             to-Market             Fair Value (1)            Coupon (2)              Average Yield            Life  (Years) (3)
Agency RMBS:

Excess MSR (4)                             $ 2,441,668          $       18,174          $        (5,486)         $       12,688                       N/A                     4.85  %                       6.38

Total Agency RMBS                            2,441,668                  18,174                   (5,486)                 12,688                       N/A                     4.85  %                       6.38

Credit Investments:
Residential Investments
Prime (5)                                       14,243                   7,995                      624                   8,619                   3.70  %                     7.11  %                      19.77
Alt-A/Subprime (5)                              16,887                   6,902                    2,373                   9,275                   4.25  %                     9.02  %                      14.00
Credit Risk Transfer                            16,294                  16,294                   (4,043)                 12,251                   4.70  %                     4.62  %                      16.52

Non-U.S. RMBS                                    3,213                   4,113                     (469)                  3,644                   6.06  %                     6.00  %                       3.16
Interest Only and Excess MSR (4)(6)            215,176                     249                      179                     428                   0.59  %                          NM                       1.13
Re/Non-Performing Loans                        562,418                 447,075                  (24,879)                422,196                   3.53  %                     6.09  %                       5.88
Non-QM Loans                                 1,330,697                 263,080                  (19,406)                243,674                   1.82  %                     6.67  %                       4.37
Land Related Financing                          32,418                  32,227                       61                  32,288                  12.76  %                    12.91  %                       2.23
Total Residential Investments                2,191,346                 777,935                  (45,560)                732,375                   2.67  %                     6.61  %                       4.67
Commercial Investments
CMBS                                            98,622                  93,305                  (19,282)                 74,023                   4.08  %                     5.25  %                       3.36
Freddie Mac K-Series                            22,572                  10,196                   (1,798)                  8,398                   3.84  %                     8.97  %                      10.83
Interest Only (7)                              687,446                   4,313                      (80)                  4,233                   0.10  %                     7.02  %                       4.37
Commercial Real Estate Loans (8)               141,886                 141,331                  (13,646)                127,685                   6.42  %                     6.74  %                       2.50
Total Commercial Investments                   950,526                 249,145                  (34,806)                214,339                   1.51  %                     6.32  %                       4.14

Total Credit Investments                     3,141,872               1,027,080                  (80,366)                946,714                   2.22  %                     6.55  %                       4.51

Total: Investment Portfolio $ 5,583,540 $ 1,045,255 $ (85,852) $ 959,402

                   2.22  %                     6.52  %                       5.33

Investments in Debt and Equity of

Affiliates $ 1,555,887 $ 325,558 $ (18,428) $ 307,130 2.28 % 8.00 % 4.34

Total: GAAP Investment Portfolio $ 4,027,653 $ 719,696 $ (67,424) $ 652,272 2.18 % 5.55 % 5.74

(1)Refer to "Off-balance sheet arrangements" section below and Note 2 to the
"Notes of the Consolidated Financial Statements" section for more detail on what
is included in our "Investments in debt and equity of affiliates" line item on
our consolidated balance sheet and a discussion of our Investments in debt and
equity of affiliates.
(2)Equity residuals, principal only securities and Excess MSRs with a zero
coupon rate are excluded from this calculation.
(3)Weighted average life is based on projected life. Typically, actual
maturities of investments and loans 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.
(4)Within Agency RMBS, Excess MSRs whose underlying collateral is securitized in
a trust held by a U.S. government agency or GSE. Within Residential Investments,
Excess MSRs whose underlying collateral is securitized in a trust not held by a
U.S. government agency or GSE.
(5)Non-Agency RMBS with credit scores above 700, between 700 and 620 and below
620 at origination are classified as Prime, Alt-A, and Subprime, respectively.
The weighted average credit scores of our Prime and Alt-A/Subprime Non-Agency
RMBS were 744 and 687, respectively.
(6)A majority of the Interest Only and Excess MSR line is made up of two
Residential Interest Only positions. The overall impact of these investments'
yields on the Investment Portfolio is immaterial.
(7)Comprised of Freddie Mac K-Series interest-only bonds.
(8)Yield on Commercial Real Estate Loans includes any exit fees.

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The following table presents a reconciliation of our Investment Portfolio to our GAAP Investment Portfolio as of December 31, 2019 ($ in thousands):


                                                                                        Unrealized Mark-                                Weighted Average             Weighted                Weighted Average
            Instrument                    Current Face          Amortized Cost             to-Market             Fair Value (1)            Coupon (2)              Average Yield            Life  (Years) (3)
Agency RMBS:
30 Year Fixed Rate                       $  2,125,067          $    2,184,190          $        57,108          $    2,241,298                   3.73  %                     3.17  %                       5.85

Inverse Interest Only                         217,031                  37,611                      627                  38,238                   4.37  %                     6.66  %                       4.97
Interest Only                                 259,161                  35,333                      570                  35,903                   3.56  %                     5.02  %                       4.01
Excess MSR (4)                              3,042,841                  20,188                   (2,001)                 18,187                       N/A                     8.33  %                       5.56

Total Agency RMBS                           5,644,100               2,277,322                   56,304               2,333,626                   3.77  %                     3.30  %                       5.57

Credit Investments:
Residential Investments
Prime (5)                                     297,932                 213,056                   28,831                 241,887                   4.92  %                     7.44  %                      11.63
Alt-A/Subprime (5)                            141,464                 110,605                   12,107                 122,712                   4.40  %                     6.89  %                       8.23
Credit Risk Transfer                          270,397                 270,988                    8,967                 279,955                   5.17  %                     5.27  %                       5.66
Non-U.S. RMBS                                  44,867                  54,340                    3,391                  57,731                   3.21  %                     3.58  %                       2.53

Interest Only and Excess MSR (4)              244,115                   1,592                     (376)                  1,216                   0.77  %                     7.73  %                       6.34
Re/Non-Performing Loans                       605,844                 493,734                   16,449                 510,183                   4.14  %                     6.48  %                       6.56
Non-QM Loans                                1,141,131                 250,087                    4,189                 254,276                   1.69  %                     5.35  %                       1.71
Land Related Financing                         25,607                  25,395                      514                  25,909                  12.27  %                    12.40  %                       3.00
Total Residential Investments               2,771,357               1,419,797                   74,072               1,493,869                   3.53  %                     6.24  %                       4.99
Commercial Investments
CMBS                                          277,020                 262,233                      784                 263,017                   4.87  %                     5.57  %                       4.07
Freddie Mac K-Series                          235,810                 100,427                   17,723                 118,150                   5.01  %                    11.34  %                       8.34
Interest Only (6)                           3,650,693                  46,606                    3,250                  49,856                   0.23  %                     6.64  %                       3.02
Commercial Real Estate Loans (7)              158,686                 158,000                      686                 158,686                   6.82  %                     7.17  %                       1.92
Total Commercial Investments                4,322,209                 567,266                   22,443                 589,709                   0.82  %                     7.25  %                       3.33

Total Credit Investments                    7,093,566               1,987,063                   96,515               2,083,578                   1.74  %                     6.53  %                       3.98

Total: Investment Portfolio $ 12,737,666 $ 4,264,385 $ 152,819 $ 4,417,204

                   2.34  %                     4.82  %                       4.69

Investments in Debt and Equity of

Affiliates $ 1,676,838 $ 361,992 $ 11,134 $ 373,126 1.82 % 6.75 % 2.71

Total: GAAP Investment Portfolio $ 11,060,828 $ 3,902,393 $ 141,685 $ 4,044,078 2.41 % 4.57 % 4.94

(1)Refer to "Off-balance sheet arrangements" section below and Note 2 to the
"Notes of the Consolidated Financial Statements" section for more detail on what
is included in our "Investments in debt and equity of affiliates" line item on
our consolidated balance sheet and a discussion of Investments in debt and
equity of affiliates.
(2)Equity residuals, principal only securities and Excess MSRs with a zero
coupon rate are excluded from this calculation.
(3)Weighted average life is based on projected life. Typically, actual
maturities of investments and loans 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.
(4)Within Agency RMBS, Excess MSRs whose underlying collateral is securitized in
a trust held by a U.S. government agency or GSE. Within Residential Investments,
Excess MSRs whose underlying collateral is securitized in a trust not held by a
U.S. government agency or GSE.
(5)Non-Agency RMBS with credit scores above 700, between 700 and 620 and below
620 at origination are classified as Prime, Alt-A, and Subprime, respectively.
The weighted average credit scores of our Prime and Alt-A/Subprime Non-Agency
RMBS were 719 and 674, respectively.
(6)Comprised of Freddie Mac K-Series interest-only bonds.
(7)Yield on Commercial Real Estate Loans includes any exit fees.
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The following table presents the fair value ($ in thousands) and the CPR experienced on our GAAP Agency RMBS portfolio for the periods presented. We did not hold any GAAP Agency RMBS as of June 30, 2020.


                                                    Fair Value                  CPR (1)(2)(3)
                  Agency RMBS                   December 31, 2019             December 31, 2019
          30 Year Fixed Rate (3)               $       2,241,298                          8.1  %

          Inverse Interest Only (3)                       38,238                         11.7  %
          Interest Only (3)                               35,903                         10.3  %
          Total/Weighted Average               $       2,315,439                          8.2  %



(1)Represents the weighted average monthly CPRs published during the year ended
December 31, 2019 for our in-place portfolio during the same period.
(2)Source: Bloomberg.
(3)CPRs are shown only for securities with fair values as of period end.

The following table presents the fair value of the securities and loans in our
credit portfolio, and a reconciliation to our GAAP credit portfolio (in
thousands):

                                                                            Fair Value
                                                             June 30, 2020           December 31, 2019
Non-Agency RMBS (1)                                        $       117,149          $         835,325
CMBS (2)                                                            86,654                    431,023

Total Credit securities                                            203,803                  1,266,348

Residential loans (3)                                              615,226                    658,544
Commercial real estate loans                                       127,685                    158,686
Total loans                                                        742,911                    817,230

Total Credit investments                                   $       946,714          $       2,083,578
Less: Investments in Debt and Equity of Affiliates         $       306,634          $         372,571
Total GAAP Credit Portfolio                                $       640,080          $       1,711,007



(1)Includes investments in Prime, Alt-A/Subprime, Credit Risk Transfer, Non-U.S
RMBS, Interest-Only and Excess MSR, Re/Non-Performing Loans, Non-QM Loans, and
Land Related Financing held in securitized form.
(2)Includes CMBS, Freddie Mac K-Series, and Interest-Only investments.
(3)Includes Re/Non-Performing Loans, Non-QM Loans, and Land Related Financing
not held in securitized form.

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The following table presents certain information grouped by vintage as it relates to our credit securities portfolio as of June 30, 2020 ($ in thousands). We have also presented a reconciliation to GAAP.


                                                                              Unrealized
                                                                               Mark-to-                                  Weighted Average             Weighted               Weighted  Average
Credit Securities:               Current Face         Amortized Cost            Market            Fair Value (1)            Coupon (2)              Average Yield             Life (Years) (3)
                 Pre 2009       $     2,189          $        2,057          $      277          $        2,334                   7.05  %                     7.90  %                       9.14

                     2013             1,168                     759                  91                     850                   3.60  %                     5.09  %                      19.07
                     2014            15,439                  11,974              (2,011)                  9,963                   4.54  %                    14.56  %                       7.39
                     2015           341,896                  16,455               3,734                  20,189                   0.72  %                     8.09  %                       2.06
                     2016           130,379                   2,566                 511                   3,077                   0.17  %                    11.06  %                       4.67
                     2017           197,285                  11,646                (765)                 10,881                   0.34  %                     6.28  %                       3.99
                     2018           187,882                  25,968              (7,362)                 18,606                   0.62  %                     4.61  %                       5.33
                     2019         1,039,621                 121,618             (23,470)                 98,148                   0.98  %                     9.00  %                       4.75
                     2020           338,775                  42,453              (2,698)                 39,755                   1.20  %                    13.69  %                       4.33
 Total: Credit Securities       $ 2,254,634          $      235,496          $  (31,693)         $      203,803                   0.82  %                     9.56  %                       4.29
  Investments in Debt and
     Equity of Affiliates       $ 1,199,099          $       81,257          $   (9,925)         $       71,332                   0.71  %                    14.96  %                       4.35
        Total: GAAP Basis       $ 1,055,535          $      154,239          $  (21,768)         $      132,471                   0.89  %                     6.64  %                       4.22



(1)Certain Re/Non-Performing Loans held in securitized form are presented net of
non-recourse securitized debt.
(2)Equity residual investments and principal only securities are excluded from
this calculation.
(3)Weighted average life is based on projected life. Typically, actual
maturities of mortgage-backed securities are shorter than stated contractual
maturities. Actual maturities are affected by the contractual lives of the
underlying mortgages, periodic payments of principal and prepayments of
principal.

The following table presents certain information grouped by vintage as it relates to our credit securities portfolio as of December 31, 2019 ($ in thousands). We have also presented a reconciliation to GAAP.


                                                                              Unrealized
                                                                               Mark-to-                                  Weighted Average              Weighted                Weighted  Average Life
Credit Securities:               Current Face         Amortized Cost


    Market            Fair Value (1)            Coupon (2)              Average Yield                   (Years) (3)
                 Pre 2009       $   278,125          $      198,225          $   25,099          $      223,324                   5.07  %                      7.12  %                            12.67
                     2010             1,070                     948                  42                     990                   1.97  %                      6.68  %                             2.94
                     2011             4,812                   4,302                  29                   4,331                   4.44  %                      5.73  %                             4.93
                     2012             3,740                   3,062                 510                   3,572                   4.05  %                      7.61  %                             3.42
                     2013            76,869                  17,724               1,367                  19,091                   2.18  %                      7.06  %                             2.58
                     2014           974,525                  38,454               4,320                  42,774                   0.31  %                     10.46  %                             0.56
                     2015           895,235                 108,425              17,520                 125,945                   0.84  %                      9.24  %                             4.22
                     2016         1,139,729                  80,162              11,595                  91,757                   0.60  %                      8.67  %                             4.57
                     2017         1,054,591                 176,767               8,632                 185,399                   0.88  %                      6.43  %                             4.27
                     2018           275,234                 104,090               3,040                 107,130                   2.08  %                      5.48  %                             5.77
                     2019         1,498,432                 449,682              12,353                 462,035                   2.07  %                      6.05  %                             2.73

Total: Credit Securities $ 6,202,362 $ 1,181,841

  $   84,507          $    1,266,348                   1.24  %                      6.92  %                             3.78
  Investments in Debt and
     Equity of Affiliates       $ 1,311,008          $      123,152          $    8,803          $      131,955                   0.78  %                      9.50  %                             2.50
        Total: GAAP Basis       $ 4,891,354          $    1,058,689          $   75,704          $    1,134,393                   1.31  %                      6.62  %                             4.13



(1)Certain Re/Non-Performing Loans held in securitized form are recorded net of
non-recourse securitized debt.
(2)Equity residual investments and principal only securities are excluded from
this calculation.
(3)Weighted average life is based on projected life. Typically, actual
maturities of mortgage-backed securities are shorter than stated contractual
maturities. Actual maturities are affected by the contractual lives of the
underlying mortgages, periodic payments of principal and prepayments of
principal.

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The following table presents the fair value of our credit securities portfolio by credit rating as of June 30, 2020 and December 31, 2019 (in thousands):



Credit Rating - Credit Securities (1)                   June 30, 2020 (2)          December 31, 2019 (2)
AAA                                                    $             631          $              4,975
A                                                                      -                        13,792
BBB                                                                1,445                        65,454
BB                                                                 3,234                       106,311
B                                                                 38,183                       226,083
Below B                                                            9,226                       103,985
Not Rated                                                        151,084                       745,748
                        Total: Credit Securities       $         203,803          $          1,266,348
         Less: Investments in Debt and Equity of
                                      Affiliates       $          71,332          $            131,955
                               Total: GAAP Basis       $         132,471          $          1,134,393


(1)Represents the minimum rating for rated assets of S&P, Moody and Fitch credit
ratings, stated in terms of the S&P equivalent.
(2)Certain Re/Non-Performing Loans held in securitized form are presented net of
non-recourse securitized debt.

The following tables present the geographic concentration of the underlying collateral for our Non-Agency RMBS and CMBS portfolios ($ in thousands). The geographic markets that we invest in have been and continue to be severely impacted by the ongoing COVID-19 pandemic.

June 30, 2020
Non-Agency RMBS                                                                                                                  CMBS (1)
State                      Fair Value (2)              Percentage (2)            State                        Fair Value              Percentage
California                $       30,202                           28.8  %       Florida                    $    13,771                       15.9  %
New York                          14,442                           13.8  %       California                      12,607                       14.5  %
Florida                            8,914                            8.5  %       Texas                            9,296                       10.7  %
Texas                              3,553                            3.4  %       New York                         9,107                       10.5  %
Maryland                           3,420                            3.3  %       New Jersey                       5,740                        6.6  %
Other                             56,618                           42.2  %       Other                           36,133                       41.8  %
              Total       $      117,149                          100.0  %                      Total       $    86,654                      100.0  %


(1)CMBS includes all commercial credit securities, including CMBS, Freddie Mac
K-Series, and Interest-Only investments.
(2)Non-Agency RMBS fair value includes $12.1 million of investments where there
was no data regarding the underlying collateral. These positions were excluded
from the percent calculation.

December 31, 2019
Non-Agency RMBS                                               CMBS (1)
State                 Fair Value (2)       Percentage (2)     State            Fair Value      Percentage
California           $      174,569                24.5  %    California      $  52,647            12.2  %
Florida                      62,796                 8.8  %    New York           46,317            10.7  %
New York                     57,931                 8.1  %    Texas              45,619            10.6  %
Texas                        33,890                 4.8  %    Florida            45,032            10.4  %
New Jersey                   22,736                 3.3  %    New Jersey         31,396             7.3  %
Other                       483,403                50.5  %    Other             210,012            48.8  %
            Total    $      835,325               100.0  %           Total    $ 431,023           100.0  %


(1)CMBS includes all commercial credit securities, including CMBS, Freddie Mac
K-Series, and Interest-Only investments.
(2)Non-Agency RMBS fair value includes $123.0 million of investments where there
was no data regarding the underlying collateral. These positions were excluded
from the percent calculation.
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See Note 4 to the "Notes to Consolidated Financial Statements (unaudited)" for a
breakout of geographic concentration of credit risk within loans we include in
the "Residential mortgage loans, at fair value" line item on our consolidated
balance sheets.

The following tables present certain information regarding credit quality for certain categories within our Non-Agency RMBS and CMBS portfolios ($ in thousands):

June 30, 2020
  Non-Agency RMBS*
                                                  Weighted            Weighted            Weighted
                                              Average 60+ Days       Average Loan      Average Credit
  Category                   Fair Value          Delinquent          Age (Months)        Enhancement
  Prime                     $    8,619                    3.9  %           66.7                  1.9  %
  Alt-A/Subprime                 9,275                    6.7  %          156.0                  0.1  %
  Credit Risk Transfer          12,251                    1.6  %           13.9                  0.3  %
  Non-U.S. RMBS                  3,644                    4.6  %           70.5                  1.0  %



  CMBS*
                                                  Weighted            Weighted            Weighted
                                              Average 60+ Days       Average Loan      Average Credit
  Category                    Fair Value         Delinquent          Age

(Months) Enhancement


  CMBS                       $  74,023                    1.2  %           29.3                 10.4  %
  Freddie Mac K Series           8,398                    0.6  %           19.9                  0.0  %



   December 31, 2019
   Non-Agency RMBS*
                                                  Weighted            Weighted            Weighted
                                              Average 60+ Days       Average Loan      Average Credit
   Category                   Fair Value         Delinquent          Age (Months)        Enhancement
   Prime                     $ 241,887                   10.6  %          136.7                  9.8  %
   Alt-A/Subprime              122,712                   12.8  %          162.3                 17.7  %
   Credit Risk Transfer        279,955                    0.4  %           24.5                  1.8  %
   Non-U.S. RMBS                57,731                    7.3  %          147.8                 15.8  %



  CMBS*
                                                  Weighted            Weighted            Weighted
                                              Average 60+ Days       Average Loan      Average Credit
  Category                    Fair Value         Delinquent          Age

(Months) Enhancement


  CMBS                       $ 263,017                    0.2  %           22.1                  9.3  %
  Freddie Mac K Series         118,150                    0.6  %           45.3                  0.4  %



*Sources: Intex, Trepp

In our Re/Non-Performing Loan portfolio, 22% of the overall population has
requested COVID related assistance as of June 30, 2020; approximately 40% of the
population requesting assistance is being reported as contractually current as
of quarter end.

At the end of the initial forbearance period, those borrowers who can make their
regular monthly scheduled payment will do so and the payment terms of the
forbearance amounts will be negotiated (reinstatement, repayment or deferral).
For those borrowers who cannot make their scheduled payment, the servicer will
initiate phone contact with such borrowers to determine income status and
ability to make future mortgage payments. The servicer will collect documents
(where allowed by state laws) to initiate further forbearance or loss mitigation
strategies for those borrowers who cannot make their regularly scheduled
mortgage payments at the end of the initial forbearance period.

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Prior to COVID, the three month average monthly default rate, or rate at which a
borrower moved from current to 30 days delinquent, was 6.4%. The default rate
for June was 4.5%. COVID related delinquencies made up approximately 56% of
those defaults in June.

Our Re/Non-Performing Loan valuation process in Q1 and Q2 2020 has incorporated a more conservative view of defaults, liquidation timelines and discount rates.



In our Non-QM Loan portfolio, 30% of the overall population has requested COVID
related assistance as of June 30, 2020; approximately 31% of the population
requesting assistance is being reported as contractually current as of quarter
end.

At the end of the forbearance period, the servicer will complete the same steps as described above with regards to Re/Non-Performing Loans.

Prior to COVID, the three month average monthly default rate was 1.3%. The default rate for June was 2.5%. COVID related delinquencies made up approximately 69% of those defaults in June.

As it relates to our Non-QM Loans, our valuation no longer reflects a call assumption, given the greater uncertainty around future performance and market conditions at the time of call.

The following table presents detail on our commercial real estate loan portfolio on June 30, 2020 ($ in thousands).


                                                                                                                                                                    Weighted Average
                                                                                                   Gross                                                                                           Life                                                Extended
     Loan                                       Premium                                          Unrealized                                         Coupon                                        (Years)              Initial Stated                 Maturity
     (1)(2)             Current Face          (Discount)          Amortized Cost                   Losses            Fair Value (3)                  (4)                    Yield (5)               (6)                Maturity Date                   Date (7)                  Location             Collateral Type
Loan G (8)(9)          $     56,710          $        -          $       56,710                $    (4,225)         $       52,485                         5.27  %               5.27  %                1.55       July 9, 2020                 July 9, 2022                 CA                     Condo, Retail,
                                                                                                                                                                                                                                                                                                    Hotel

Loan I (10)                  15,212                (211)                 15,001                       (789)                 14,212                        11.50  %              12.26  %                1.80       February 9, 2021             February 9, 2023             MN                     Office, Retail
Loan J (8)                    6,291                   -                   6,291                     (4,051)                  2,240                         5.65  %               5.65  %                2.12       January 1, 2023              January 1, 2024              NY                     Hotel, Retail
Loan K (11)                  12,673                   -                  12,673                     (1,100)                 11,573                        10.00  %              11.22  %                1.27       May 22, 2021                 February 22, 2024            NY                     Hotel,

Retail


Loan L (11)                  51,000                (344)                 50,656                     (3,481)                 47,175                         5.40  %               5.66  %                4.12       July 22, 2022                July 22, 2024                IL                     Hotel, Retail
                       $    141,886          $     (555)         $      141,331                $   (13,646)         $      127,685                         6.42  %               6.74  %                2.50



(1)We have the contractual right to receive a balloon payment for each loan.
(2)See our "Off-balance sheet arrangements" section below for details on our
commitments on commercial real estate loans as of June 30, 2020.
(3)Pricing is reflective of marks on unfunded commitments.
(4)Each commercial real estate loan investment has a variable coupon rate.
(5)Yield includes any exit fees.
(6)Actual maturities of commercial real estate loans may be shorter or longer
than stated contractual maturities. Maturities are affected by prepayments of
principal.
(7)Represents the maturity date of the last possible extension option.
(8)Loan G and Loan J are first mortgage loans.
(9)Loan G matured on July 9, 2020. Discussions are ongoing between the borrower
and the lenders related to the extension and restructuring of the loan. However,
there can be no guaranty that an agreement will be reached with respect to any
such discussions.
(10)Loan I is a mezzanine loan.
(11)Loan K and Loan L are comprised of first mortgage and mezzanine loans.

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The following table presents detail on our commercial real estate loan portfolio on December 31, 2019 ($ in thousands).


                                                                                                                                                                      Weighted Average
                                                                                                                                                                                                      Life                                               Extended
                                                    Premium                                  Gross Unrealized                                         Coupon                                         (Years)              Initial Stated                 Maturity
      Loan (1)              Current Face          (Discount)          Amortized Cost               Gains                    Fair Value                 (2)                    Yield (3)                (4)                Maturity Date                  Date (5)                  Location              Collateral Type
Loan G (6)                 $     45,856          $        -          $       45,856          $         -                   $  45,856                         6.46  %                6.46  %                0.53       July 9, 2020                 July 9, 2022                CA                      Condo, Retail,
                                                                                                                                                                                                                                                                                                       Hotel
Loan H (6)                       36,000                   -                  36,000                    -                      36,000                         5.49  %                5.49  %                0.19       March 9, 2019                June 9, 2020                AZ                      Office
Loan I (7)                       11,992                (184)                 11,808                  184                      11,992                        12.21  %               14.51  %                1.04       February 9, 2021             February 9, 2023            MN                      Office, Retail
Loan J (6)                        4,674                   -                   4,674                    -                       4,674                         6.36  %                6.36  %                2.12       January 1, 2023              January 1, 2024             NY                      Hotel, Retail
Loan K (8)                        9,164                   -                   9,164                    -                       9,164                        10.71  %               11.86  %                1.72       May 22, 2021                 February 22, 2024           NY                      Hotel,

Retail


Loan L (8)                       51,000                (502)                 50,498                  502                      51,000                         6.16  %                6.50  %                4.63       July 22, 2022                July 22, 2024               IL                      Hotel, Retail
                           $    158,686          $     (686)         $      158,000          $       686                   $ 158,686                         6.82  %                7.17  %                1.92



(1)We have the contractual right to receive a balloon payment for each loan.
(2)Each commercial real estate loan investment has a variable coupon rate.
(3)Yield includes any exit fees.
(4)Actual maturities of commercial real estate loans may be shorter or longer
than stated contractual maturities. Weighted average maturities are affected by
prepayments of principal.
(5)Represents the maturity date of the last possible extension option.
(6)Loan G, Loan H, and Loan J are first mortgage loans.
(7)Loan I is a mezzanine loan.
(8)Loan K and Loan L are comprised of first mortgage and mezzanine loans.

Financing activities



Prior to the recent turmoil in the financial markets, we sought to achieve a
balanced and diverse funding mix to finance our assets and operations, which
included a combination of short-term borrowings, such as repurchase agreements
with terms typically of 30-90 days, longer term repurchase agreement borrowings,
and longer term financings, such as securitizations and revolving facilities,
with terms longer than one year. We have explored and will continue in the near
term to explore additional financing arrangements to further strengthen our
balance sheet and position ourselves for future investment opportunities,
including, without limitation, issuances of equity or debt securities and
longer-termed financing arrangements; however, no assurance can be given that we
will be able to access any such financing or the size, timing or terms thereof.

In 2020, in response to the unprecedented illiquidity and drop in demand for MBS
due to the COVID-19 pandemic, which resulted in a significant decline in the
value of our assets, which, in turn, resulted in an unusually high number of
margin calls from our financing counterparties, we reduced our overall exposure
to our financing counterparties by selling a significant portion of our
investment portfolio and reducing the amount of our financing arrangements from
$3.2 billion to $251.1 million on a GAAP basis and from $3.5 billion to
$469.2 million on a Non-GAAP basis, including a reduction in our repurchase
agreement balance from $3.2 billion to $208.0 million. Additionally, the Federal
Reserve cut the federal funds rate by a total of 150 basis points during the
first quarter of 2020. As previously described, we sold our entire portfolio of
30 year fixed rate Agency RMBS in March of 2020. As a result, our investment
portfolio was primarily comprised of Credit Investments as of June 30, 2020.
This reallocation resulted in an increase in our financing costs from 2.51% at
December 31, 2019 to 3.86% at June 30, 2020 due to the increased expense
associated with financing Credit Investments as compared to Agency RMBS.

On March 20, 2020, we notified our financing counterparties that we did not
expect to be in a position to fund the anticipated volume of future margin calls
under our financing arrangements in the near term as a result of market
disruptions created by the COVID-19 pandemic. Since March 23, 2020, we have
received notifications of alleged events of default and deficiency notices from
several of our financing counterparties. Subject to the terms of the applicable
financing arrangement, if we fail to deliver additional collateral or otherwise
meet margin calls when due, the financing counterparties may be able to demand
immediate payment by us of the aggregate outstanding financing obligations owed
to such counterparties, and if such financing obligations are not paid, may be
permitted to sell the financed assets and apply the proceeds to our financing
obligations and/or take ownership of the assets securing our financing
obligations. During this period of market upheaval, we engaged in discussions
with our financing counterparties with regard to entering into forbearance
agreements pursuant to which each counterparty would agree to forbear from
exercising its rights and remedies with respect to an event of default under the
applicable financing arrangement for an agreed-upon period. On April 10, 2020,
we entered into a forbearance agreement for an initial 15 day
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period, a second forbearance agreement on April 27, 2020, for an extended period
ending on June 1, 2020, and a third forbearance agreement on June 1, 2020 for an
additional period ending June 15, 2020 (collectively, the "Forbearance
Agreement") with certain of our financing counterparties (the "Participating
Counterparties"). Pursuant to the terms of the Forbearance Agreement, the
Participating Counterparties agreed to forbear from exercising any of their
right and remedies in respect of events of default and any and all other
defaults under the applicable financing arrangement with us for the duration of
the forbearance period specified in the Forbearance Agreement (the "Forbearance
Period").

On June 10, 2020, we entered into a Reinstatement Agreement with the
Participating Counterparties, pursuant to which the parties agreed to terminate
the Forbearance Agreement and each Participating Counterparty agreed to
permanently waive all existing and prior events of default under our financing
agreements (each, a "Bilateral Agreement") and to reinstate each Bilateral
Agreement, as it may be amended by agreement between the Participating
Counterparty and the Company. As a result of the termination of the Forbearance
Agreement and entry into the Reinstatement Agreement, default interest on the
our outstanding borrowings under each Bilateral Agreement has ceased to accrue
as of June 10, 2020 and the interest rate was the non-default rate of interest
or pricing rate, as set forth in the applicable Bilateral Agreements, all cash
margin has been applied to outstanding balances we owe, and the DTC repo tracker
coding for each Bilateral Agreement has been reinstated, thereby allowing
principal and interest payments on the underlying collateral to flow to and be
used by us, just as it was before the prior forbearance agreements were put in
place. In addition, pursuant to the terms of the Reinstatement Agreement, the
security interests granted to Participating Counterparties as additional
collateral under the various forbearance agreements have been terminated and
released. We also agreed to pay the reasonable fees and out-of-pocket expenses
of counsel and other professional advisors for the Participating Counterparties
and the collateral agent. Additionally, the Reinstatement Agreement provides a
set of financial covenants that override and replace the financial covenants in
each Bilateral Agreement and sets forth various reporting requirements from the
Company to the Participating Counterparties, releases, certain netting
obligations and cross-default provisions. In connection with the negotiation and
execution of the Reinstatement Agreement, we entered into certain amendments to
the Bilateral Agreements with certain of the Participating Counterparties to
reflect current market terms. In general, the amendments reflect increased
haircuts and higher coupons.

On June 10, 2020, we also entered a separate reinstatement agreement with
JPMorgan Chase Bank (the "JPM Reinstatement Agreement") on substantially the
same terms as those set forth in the Reinstatement Agreement. The Reinstatement
Agreement and the JPM Reinstatement Agreement collectively cover all of our
existing financing arrangements as of the date of this Report.

Refer to Note 13 in the "Notes to Consolidated Financial Statements (Unaudited)" for more information on outstanding deficiencies.



We use leverage to finance the purchase of our target assets. In 2020 and 2019,
our leverage has primarily been in the form of repurchase agreements,
facilities, and securitized debt. 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. We experienced fluctuations in our
haircuts that caused us to alter our business and financing strategies for the
three and six months ended June 30, 2020. As previously described, this resulted
in us raising liquidity and de-risking our portfolio. Through asset sales and
related debt pay-offs, we have reduced the aggregate number of our financing
counterparties, bringing the counterparties we have debt outstanding with down
from 30 as of December 31, 2019 to 6 as of June 30, 2020.

Our repurchase agreements are accounted for as financings and require the
repurchase of the transferred securities or loans or repayment of the advance at
the end of each agreement's term, typically 30 to 90 days. If we maintain the
beneficial interest in the specific assets pledged during the term of the
borrowing, we receive the related principal and interest payments. If we do not
maintain the beneficial interest in the specific assets pledged during the term
of the borrowing, we will have the related principal and interest payments
remitted to us by the lender. Interest rates on borrowings are fixed based on
prevailing rates corresponding to the terms of the borrowings, and interest is
paid at the termination of the borrowing at which time we may enter into a new
borrowing arrangement at prevailing market rates with the same counterparty or
repay that counterparty and negotiate financing with a different counterparty.

We have also entered into revolving facilities to purchase certain loans in our
investment portfolio. These facilities typically have longer stated maturities
than repurchase agreements. Interest rates on these facilities are based on
prevailing rates corresponding to the terms of the borrowings, and interest is
paid on a monthly basis. Additionally, these facilities contain representations,
warranties, covenants, including financial covenants, events of default and
indemnities that are customary for agreements of these types.
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In response to declines in fair value of pledged assets due to changes in market
conditions or the publishing of monthly security paydown factors, lenders
typically require us to post additional assets as collateral, pay down
borrowings or establish cash margin accounts with the counterparties in order to
re-establish the agreed-upon collateral requirements, referred to as margin
calls.

The following table presents the quarter-end balance, average quarterly balance
and maximum balance at any month-end for our (i) financing arrangements on our
investment portfolio and U.S Treasury securities ("Non-GAAP Basis" below), and
(ii) financing arrangements through affiliated entities, excluding any financing
utilized in our investment in AG Arc, with a reconciliation of all quarterly
figures to GAAP ("GAAP Basis" below) (in thousands). Refer to the "Hedging
Activities" section below for more information on repurchase agreements secured
by U.S. Treasury securities.
                                                                                  Average              Maximum
                                                           Quarter-End           Quarterly            Balance at
Quarter Ended                                                Balance               Balance           Any Month-End
                                      June 30, 2020
                                     Non-GAAP Basis       $   469,153          $   642,182          $    939,056
 Less: Investments in Debt and Equity of Affiliates           218,055              255,764               276,149
                                         GAAP Basis       $   251,098          $   386,418          $    662,907
                                     March 31, 2020
                                     Non-GAAP Basis       $ 1,231,231          $ 2,878,844          $  3,904,578
 Less: Investments in Debt and Equity of Affiliates           261,374              260,737               280,196
                                         GAAP Basis       $   969,857          $ 2,618,107          $  3,624,383
                                  December 31, 2019
                                     Non-GAAP Basis       $ 3,490,884          $ 3,703,921          $  3,929,708
 Less: Investments in Debt and Equity of Affiliates           257,416              240,602               257,830
                                         GAAP Basis       $ 3,233,468          $ 3,463,319          $  3,671,878
                                 September 30, 2019
                                     Non-GAAP Basis       $ 3,720,937          $ 3,301,725          $  3,720,937
 Less: Investments in Debt and Equity of Affiliates           195,949              238,144               279,478
                                         GAAP Basis       $ 3,524,988          $ 3,063,581          $  3,441,459
                                      June 30, 2019
                                     Non-GAAP Basis       $ 3,074,536          $ 3,166,610          $  3,263,481
 Less: Investments in Debt and Equity of Affiliates           183,286              216,024               238,045
                                         GAAP Basis       $ 2,891,250          $ 2,950,586          $  3,025,436
                                     March 31, 2019
                                     Non-GAAP Basis       $ 3,290,383          $ 3,069,958          $  3,290,383
 Less: Investments in Debt and Equity of Affiliates           177,548              174,672               179,524
                                         GAAP Basis       $ 3,112,835          $ 2,895,286          $  3,110,859
                                  December 31, 2018
                                     Non-GAAP Basis       $ 2,860,227          $ 2,851,744          $  2,866,872
 Less: Investments in Debt and Equity of Affiliates           139,739              125,851               139,739
                                         GAAP Basis       $ 2,720,488          $ 2,725,893          $  2,727,133
                                 September 30, 2018
                                     Non-GAAP Basis       $ 2,913,543          $ 2,862,935          $  2,913,543
 Less: Investments in Debt and Equity of Affiliates           102,149               92,833               102,149
                                         GAAP Basis       $ 2,811,394          $ 2,770,102          $  2,811,394
                                      June 30, 2018
                                     Non-GAAP Basis       $ 2,719,376          $ 2,792,123          $  2,932,186
 Less: Investments in Debt and Equity of Affiliates            85,194              170,006               213,489
                                         GAAP Basis       $ 2,634,182          $ 2,622,117          $  2,718,697
                                     March 31, 2018
                                     Non-GAAP Basis       $ 3,035,398          $ 2,954,404          $  3,043,392


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Less: Investments in Debt and Equity of


                                       Affiliates           208,819               77,309              208,819
                                       GAAP Basis       $ 2,826,579          $ 2,877,095          $ 2,834,573
                                December 31, 2017
                                   Non-GAAP Basis       $ 3,011,591          $ 2,882,548          $ 3,011,591

Less: Investments in Debt and Equity of


                                       Affiliates             7,184                8,849                9,807
                                       GAAP Basis       $ 3,004,407          $ 2,873,699          $ 3,001,784
                               September 30, 2017
                                   Non-GAAP Basis       $ 2,703,069          $ 2,596,533          $ 2,746,151

Less: Investments in Debt and Equity of


                                       Affiliates             8,517                8,697                8,869
                                       GAAP Basis       $ 2,694,552          $ 2,587,836          $ 2,737,282
                                    June 30, 2017
                                   Non-GAAP Basis       $ 2,265,227          $ 2,209,991          $ 2,339,133

Less: Investments in Debt and Equity of


                                       Affiliates             8,485                8,806                9,116
                                       GAAP Basis       $ 2,256,742          $ 2,201,185          $ 2,330,017



The balance on our financing arrangements can reasonably be expected to (i)
increase as the size of our investment portfolio increases primarily through
equity capital raises and as we increase our investment allocation to Agency
RMBS and (ii) decrease as the size of our portfolio decreases through asset
sales, principal paydowns, and as we increase our investment allocation to
credit investments. Credit investments, due to their risk profile, have lower
leverage ratios than Agency RMBS, which restricts our financing counterparties
from providing as much financing to us and lowers the balance of our total
financing.

Recourse and non-recourse financing



We utilize both recourse and non-recourse debt to finance our portfolio.
Non-recourse financing includes securitized debt and other non-recourse
financing. Recourse financing includes the secured debt from our Manager and
other recourse financing. The below table provides detail on the breakout
between recourse and non-recourse financing as of June 30, 2020 and December 31,
2019 ($ in thousands):


                                                            June 30, 2020           December 31, 2019
Recourse financing                                       $        278,723          $       3,490,884
Non-recourse financing (1)                                        409,549                    224,348
Total (2)                                                $        688,272          $       3,715,232

Recourse financing - Investments in Debt and
Equity of Affiliates                                                7,480                    257,416
Non-recourse financing - Investments in Debt and
Equity of Affiliates                                              210,575                          -
Total Investments in Debt and Equity of Affiliates                218,055                    257,416

Total: GAAP Basis                                        $        470,217          $       3,457,816



(1)Not mark-to-market with respect to margin calls.
(2)As of June 30, 2020, total financing includes $469.2 million of financing
arrangements, $199.0 million of securitized debt and $20.1 million of secured
debt. As of December 31, 2019, total financing includes $3.5 billion of
financing arrangements and $224.3 million of securitized debt.

Financing arrangements on our investment portfolio

As of March 31, 2020, we had received notifications from several of our financing counterparties of alleged events of default under their financing agreements, and of those counterparties' intentions to accelerate our performance obligations under the relevant agreements as a result of our inability to meet certain margin calls as a result of market disruptions created by the COVID-19 pandemic. As discussed above, until a formal agreement was reached, we negotiated with our financing


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counterparties regarding the lenders' forbearance from exercising their rights
and remedies under their applicable financing arrangements. While as of March
31, 2020 certain lenders had accelerated our obligations under their applicable
financing arrangements, once subject to the Reinstatement Agreement, the
Participating Counterparties agreed to extend the maturity dates of each of
their respective repurchase agreements as determined by their respective
Bilateral Agreements.

We continue to take steps to manage and de-lever our portfolio. Through asset
sales and related debt pay-offs, we have reduced our exposure to various
counterparties, bringing the counterparties with debt outstanding down from 30
as of December 31, 2019 to 6 as of June 30, 2020. See Note 7 to the "Notes to
Consolidated Financial Statements (unaudited)" for a description of our material
financing arrangements as of June 30, 2020.

Our financing arrangements generally include customary representations,
warranties, and covenants, but may also contain more restrictive supplemental
terms and conditions. Although specific to each repurchase agreement, typical
supplemental terms include requirements of minimum equity, leverage ratios,
performance triggers or other financial ratios.

The following table presents a summary of the financing arrangements on our
investment portfolio as of June 30, 2020 and December 31, 2019 (in thousands).

                                                     June 30, 2020       December 31, 2019
 Repurchase agreements                              $     208,032       $       3,194,409
 Revolving facilities (1)                                 261,121                 296,475
 Total: Non-GAAP Basis                              $     469,153       $       3,490,884
 Investments in Debt and Equity of Affiliates             218,055                 257,416
 Total: GAAP Basis                                  $     251,098       $       3,233,468

(1)Increasing our borrowing capacity under a majority of our revolving facilities requires consent of the lenders.

The following table presents a summary of the financing arrangements on our Investment Portfolio as of June 30, 2020 ($ in thousands):



                                                                                       Credit
                                                                                            Weighted Average Funding
Financing Arrangements Maturing Within: (1)                           Balance                         Cost

30 days or less                                                $           55,658                              3.43  %

61-90 days                                                                 14,429                              4.67  %
91-180 days                                                                 1,253                              2.20  %
Greater than 180 days                                                     397,813                              4.35  %
                       Total: Non-GAAP Basis                   $          469,153                              4.25  %
Investments in Debt and Equity of Affiliates                   $          218,055                              4.94  %
                           Total: GAAP Basis                   $          251,098                              3.64  %



(1)As of June 30, 2020, our weighted average days to maturity is 457 days and
our weighted average original days to maturity is 749 days on a GAAP Basis. As
of June 30, 2020, our weighted average days to maturity is 360 days and our
weighted average original days to maturity is 878 days on a Non-GAAP Basis.

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The following table presents a summary of the financing arrangements by maturity on our Investment Portfolio as of December 31, 2019 ($ in thousands):



                                                 Agency                                                         Credit                                                              Total
                                                          Weighted                                        Weighted                                           Weighted
 Financing Arrangements                                    Average                                         Average                                            Average
  Maturing Within: (1)             Balance               Funding Cost              Balance              Funding Cost                 Balance               Funding Cost

30 days or less                 $ 1,011,185                       2.05  %       $   587,325                      2.92  %          $ 1,598,510                        2.37  %
31-60 days                        1,098,093                       1.96  %           470,568                      3.29  %            1,568,661                        2.36  %
61-90 days                                -                          -               71,753                      2.99  %               71,753                        2.99  %
91-180 days                               -                          -               20,384                      3.79  %               20,384                        3.79  %
Greater than 180 days                     -                          -              231,576                      3.90  %              231,576                        3.90  %
    Total: Non-GAAP Basis       $ 2,109,278                       2.01  %       $ 1,381,606                      3.23  %          $ 3,490,884                        2.49  %
  Investments in Debt and
     Equity of Affiliates       $         -                          -          $   257,416                      3.94  %          $   257,416                        3.94  %
        Total: GAAP Basis       $ 2,109,278                       2.01  %       $ 1,124,190                      3.07  %          $ 3,233,468                        2.38  %



(1)As of December 31, 2019, our weighted average days to maturity is 94 days and
our weighted average original days to maturity is 164 days on a GAAP Basis. As
of December 31, 2019, our weighted average days to maturity is 92 days and our
weighted average original days to maturity is 196 days on a Non-GAAP Basis.

Repurchase agreements



The following table presents, as of June 30, 2020, a summary of the repurchase
agreements on our real estate securities ($ in thousands). It also reconciles
these items to GAAP:

                                                               Weighted                                                 Weighted                  Weighted
Repurchase Agreements Maturing                                  Average                Weighted Average               Average Days                 Average
Within:                                    Balance               Rate                    Funding Cost                  to Maturity                 Haircut

30 days or less                          $ 55,658                    3.43  %                        3.43  %                       12                    46.9  %

61-90 days                                  5,037                    4.71  %                        4.71  %                       70                    43.3  %

Greater than 180 days                      16,413                    5.00  %                        5.00  %                      458                    42.5  %
             Total: Non-GAAP Basis       $ 77,108                    3.85  %                        3.85  %                      111

45.7 %

Investments in Debt and Equity of


                        Affiliates       $ 19,746                    4.97  %                        4.97  %                      393                    43.3  %
                 Total: GAAP Basis       $ 57,362                    3.46  %                        3.46  %                       14                    46.5  %

The following table presents, as of December 31, 2019, a summary of the repurchase agreements by maturity on our real estate securities ($ in thousands). It also reconciles these items to GAAP:



                                                                  Weighted                 Weighted                    Weighted

Weighted


Repurchase Agreements Maturing                                     Average                  Average                  Average Days                 Average
Within:                                     Balance                 Rate                  Funding Cost                to Maturity                 Haircut

30 days or less                          $ 1,598,510                    2.37  %                    2.37  %                       14                     9.8  %
31-60 days                                 1,366,178                    2.13  %                    2.13  %                       46                     7.0  %
61-90 days                                    71,753                    2.99  %                    2.99  %                       67                    23.5  %
91-180 days                                   20,384                    3.79  %                    3.79  %                      176                    21.1  %
Greater than 180 days                          2,973                    3.79  %                    3.79  %                      283                    23.7  %
             Total: Non-GAAP Basis       $ 3,059,798                    2.29  %                    2.29  %                       31

9.0 %

Investments in Debt and Equity of


                        Affiliates       $    72,443                    3.76  %                    3.76  %                       67                    29.8  %
                 Total: GAAP Basis       $ 2,987,355                    2.25  %                    2.25  %                       30                     8.5  %



The decrease in the balance of our repurchase agreements from December 31, 2019
to June 30, 2020 is due primarily to selling collateral in order to meet margin
calls.

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The following table presents, as of June 30, 2020, a summary of our repurchase agreements on our Re/Non-performing loans ($ in thousands).


                                                               Weighted                  Weighted                    Weighted                  Weighted
Repurchase Agreements Maturing                                  Average                   Average                  Average Days                 Average
Within:                                   Balance                Rate                  Funding Cost                 to Maturity                 Haircut

61-90 days                              $   9,392                    4.65  %                     4.65  %                       70                     61.2  %
Greater than 180 days                     118,072                    3.68  %                     4.10  %                      329                     19.4  %
                Total: GAAP Basis       $ 127,464                    3.76  %                     4.14  %                      310                     22.4  %

The following table presents, as of December 31, 2019, a summary of repurchase agreements on our Re/Non-performing loans ($ in thousands).



                                                                Weighted                 Weighted                    Weighted                  Weighted
Repurchase Agreements Maturing                                   Average                  Average                  Average Days                 Average
Within:                                    Balance                Rate                  Funding Cost                to Maturity                 Haircut
31-60 days                               $  24,584                    3.14  %                    3.14  %                       56                    33.7  %
Greater than 180 days                      107,010                    3.61  %                    3.80  %                      727                    19.3  %
                 Total: GAAP Basis       $ 131,594                    3.53  %                    3.68  %                      602                    22.0  %

The following table presents, as of June 30, 2020, a summary of repurchase agreements on our commercial real estate loans ($ in thousands).



                                                              Weighted                  Weighted                    Weighted                  Weighted
Repurchase Agreements Maturing                                 Average                   Average                  Average Days                 Average
Within:                                   Balance                Rate                  Funding Cost                to Maturity                 Haircut
Greater than 180 days                    $ 3,460                     4.75  %                    6.00  %                      915                    36.4  %

The following table presents, as of December 31, 2019, a summary of repurchase agreements on our commercial real estate loans ($ in thousands).



                                                              Weighted                 Weighted                    Weighted                  Weighted
Repurchase Agreements Maturing                                 Average                  Average                  Average Days                 Average
Within:                                   Balance               Rate                  Funding Cost                to Maturity                 Haircut
Greater than 180 days                    $ 3,017                    4.46  %                    5.89  %                    1,097                    35.4  %



Financing facilities

The following table presents information regarding revolving facilities as of
June 30, 2020 and December 31, 2019 ($ in thousands). It also reconciles these
items to GAAP.
                                                                                                                          June 30, 2020                                                                                                     December 31, 2019
                                                                                                              Funding Cost                           Maximum Aggregate                           Funding Cost
Facility                               Investment                   Maturity Date              Rate                (1)              Balance          Borrowing Capacity           Rate                (1)              Balance

Revolving facility B
(2)(3)                         Re/Non-performing loans           June 28, 2021                     -  %                -  %       $       -          $          -                  3.80  %             3.80  %       $  21,546
Revolving facility C
(2)(3)                         Commercial loans                  August 10, 2023                2.33  %             2.68  %          62,812               100,000                  3.85  %             4.01  %          89,956
Revolving facility D
(2)(3)(4)                      Non-QM loans                      October 1, 2021                5.00  %             5.00  %         194,162               194,162                  3.61  %             4.02  %         177,899
Revolving facility E (2)       Re/Non-performing loans           November 25, 2020              2.20  %             2.20  %           1,253                 1,253                  3.73  %             3.73  %           1,808
Revolving facility F (2)       Re/Non-performing loans           July 25, 2021                  1.94  %             1.94  %           2,894                14,120                  3.55  %             3.55  %           5,266

   Total: Non-GAAP Basis                                                                                                          $ 261,121          $    309,535                                                    $ 296,475
 Investments in Debt and
    Equity of Affiliates                                                                                                          $ 198,309          $    209,535                                                    $ 184,973
       Total: GAAP Basis                                                                                                          $  62,812          $    100,000                                                    $ 111,502

(1)Funding costs represent the stated rate inclusive of any deferred financing costs.


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(2)Under the terms of our financing agreements, the counterparties may, in
certain cases, sell or re-hypothecate the pledged collateral.
(3)Increasing our borrowing capacity under this facility requires consent of the
lender.
(4)Refer to the "MATT Financing Arrangement Restructuring" Section below for
additional information.

Other financing transactions

In 2014, we entered into a resecuritization transaction, pursuant to which we
created a special purpose entity ("SPE") to facilitate the transaction. We
determined that the SPE was a variable interest entity ("VIE") and that the VIE
should be consolidated by us under ASC 810-10. The transferred assets were
recorded as a secured borrowing (the "Consolidated December 2014 VIE"). See Note
2 to the "Notes to Consolidated Financial Statements (unaudited)" for more
detail on Consolidated December 2014 VIE. As of June 30, 2020, we did not hold
any interest in the December 2014 VIE.

The following table details certain information related to the Consolidated December 2014 VIE as of December 31, 2019 ($ in thousands):


                                                                                                                 Weighted Average
                                         Current Face          Fair Value                  Coupon                       Yield                Life (Years) (1)
Consolidated tranche (2)                $      7,204          $    7,230

3.46 % 4.11 % 1.96
Retained tranche 7,851 6,608 5.37 % 18.14 % 7.64
Total resecuritized asset (3) $ 15,055 $ 13,838 4.46 % 10.81 % 4.92

(1)This is based on projected life. Typically, actual maturities of investments
and loans 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.
(2)As of December 31, 2019, we have recorded secured financing of $7.2 million
on our consolidated balance sheets in the "Securitized debt, at fair value" line
item. We recorded the proceeds from the issuance of the secured financing in the
"Cash Flows from Financing Activities" section of the consolidated statement of
cash flows at the time of securitization.
(3)As of December 31, 2019, the fair market value of the total resecuritized
asset is included on our consolidated balance sheets as "Non-Agency RMBS."

In August 2019, we entered into a securitization transaction of certain of our
residential mortgage loans, pursuant to which we created an SPE to facilitate
the transaction. We determined that the SPE was a VIE and that the VIE should be
consolidated by us under ASC 810-10. The transferred assets were recorded as a
secured borrowing (the "Consolidated August 2019 VIE"). See Note 2 to the "Notes
to Consolidated Financial Statements (unaudited)" for more detail on the
Consolidated August 2019 VIE.

The following table details certain information related to the Consolidated August 2019 VIE as of June 30, 2020 and December 31, 2019 ($ in thousands):


                                                                                                                                    Weighted Average
                                                             Current Unpaid
As of:                                                     Principal Balance           Fair Value                Coupon                    Yield             Life (Years) (1)
                              Residential mortgage loans
June 30, 2020                 (2)                        $        254,936             $ 223,119                          3.51  %             4.81  %                        6.85
                              Securitized debt (3)                213,233               198,974                          2.95  %             2.95  %                        5.19
                              Residential mortgage loans
December 31, 2019             (2)                                 263,956               255,171                          3.96  %             5.11  %                        7.66
                              Securitized debt (3)                217,455               217,118                          2.92  %             2.86  %                        5.00



(1)Weighted average life is based on projected life. Typically, actual
maturities of investments and loans 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.
(2)This represents all loans contributed to the Consolidated August 2019 VIE.
(3)As of June 30, 2020 and December 31, 2019, we have recorded secured financing
of $199.0 million and $217.1 million, respectively, on the consolidated balance
sheets in the "Securitized debt, at fair value" line item. We recorded the
proceeds from the issuance of the secured financing in the "Cash Flows from
Financing Activities" section of the consolidated statement of cash flows at the
time of securitization.

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Leverage



We define GAAP leverage as the sum of (1) our GAAP financing arrangements net of
any restricted cash posted on such financing arrangements, (2) the amount
payable on purchases that have not yet settled less the financing remaining on
sales that have not yet settled, and (3) securitized debt, at fair value.  We
define Economic Leverage, a non-GAAP metric, as the sum of: (i) our GAAP
leverage, exclusive of any fully non-recourse financing arrangements, (ii)
financing arrangements held through affiliated entities, net of any restricted
cash posted on such financing arrangements, exclusive of any financing utilized
through AG Arc, any adjustment related to unsettled trades as described in (2)
in the previous sentence, and any fully non-recourse financing arrangements and
(iii) our net TBA position (at cost). Our calculations of GAAP leverage and
Economic Leverage exclude financing arrangements and net receivables/payables on
unsettled trades pertaining to U.S. Treasury securities due to the highly liquid
and temporary nature of these investments.

Historically, we reported non-GAAP "At-Risk" leverage, which included
non-recourse financing arrangements, but we believe that the adjustments made to
our GAAP leverage in order to compute Economic Leverage, including the exclusion
of non-recourse financing arrangements, allow investors the ability to identify
and track the leverage metric that management uses to evaluate and operate the
business. Our obligation to repay our non-recourse financing arrangements is
limited to the value of the pledged collateral thereunder and does not create a
general claim against us as an entity.

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

June 30, 2020                                        Leverage          Stockholders' Equity           Leverage Ratio
GAAP Leverage                                      $ 470,169          $          365,378                           1.3x
Financing arrangements through affiliated
entities                                             218,055
Non-recourse financing arrangements                 (409,549)

Economic Leverage                                  $ 278,675          $          365,378                           0.8x



December 31, 2019                                      Leverage           Stockholders' Equity           Leverage Ratio
GAAP Leverage                                       $ 3,441,451          $          849,046                           4.1x
Financing arrangements through affiliated
entities                                                257,416
Non-recourse financing arrangements                    (224,348)

Economic Leverage                                   $ 3,474,519          $          849,046                           4.1x



The amount of leverage, or debt, we may deploy for particular assets depends
upon our Manager's assessment of the credit and other risks of those assets, and
also depends on any limitations placed upon us through covenants contained in
our financing arrangements. We generate income principally from the yields
earned on our investments and, to the extent that leverage is deployed, on the
difference between the yields earned on our investments and our cost of
borrowing and the cost of any hedging activities. Subject to maintaining both
our qualification as a REIT for U.S. federal income tax purposes and our
Investment Company Act exemption, to the extent leverage is deployed, we may use
a number of sources to finance our investments.

As previously described, due to market volatility caused by the COVID-19
pandemic, we executed on various asset sales in an effort to create additional
liquidity and de-risk our portfolio. As a result of these asset sales and
related debt pay-offs, we have reduced the number of financing counterparties we
have, bringing the overall number of counterparties with debt outstanding down
from 30 as of December 31, 2019 to 6 as of June 30, 2020 with debt outstanding
of $469.2 million, inclusive of financing arrangements through affiliated
entities. These agreements generally include customary representations,
warranties, and covenants, but may also contain more restrictive supplemental
terms and conditions. Although specific to each lending agreement, typical
supplemental terms include requirements of minimum equity, leverage ratios,
performance triggers or other financial ratios.

Under our financing arrangements, we may be required to pledge additional assets
to our lenders in the event the estimated fair value of the existing pledged
collateral under such agreements declines and such lenders demand additional
collateral, which may take the form of additional securities or cash. Certain
securities that are pledged as collateral under our financing arrangements are
in unrealized loss positions.

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See "Financing arrangements on our investment portfolio" section above for information on the contractual maturity of our financing arrangements at June 30, 2020 and December 31, 2019.



As described above in the "Other financing transactions" section, we entered
into a resecuritization transaction in 2014 and a securitization transaction of
certain of our residential mortgage loans in August 2019 that resulted in the
consolidation of those VIEs created with the SPEs. We recorded the proceeds from
the issuance of the secured financing in the "Cash Flows from Financing
Activities" section of the consolidated statement of cash flows. See Note 3 and
4 to the "Notes to Consolidated Financial Statements (unaudited)" for more
detail.

During the quarter, we entered into the Forbearance Agreement pursuant to which
the consent of the Participating Counterparties was required in order for us to
increase our leverage. As described above, upon entering in to the Reinstatement
Agreement, we are no longer subject to the restrictive covenants set forth in
the Forbearance Agreement, though the Reinstatement Agreement limits our
Recourse Indebtedness to Stockholder's Equity (both as defined therein) leverage
ratio to no greater than 3:1.

The following table presents information at June 30, 2020 with respect to each
counterparty that provides us with financing for which we had greater than 5% of
our stockholders' equity at risk ($ in thousands).

                                               Stockholders' Equity             Weighted Average                      Percentage of
             Counterparty                            at Risk                    Maturity (days)                    Stockholders' Equity

Credit Suisse AG, Cayman Islands Branch
- Non-GAAP                                    $            79,134                                 129                                  21.6  %
Non-GAAP Adjustments (a)                                  (28,378)                              (105)                                  (7.8) %
Credit Suisse AG, Cayman Islands Branch
- GAAP                                        $            50,756                                  24                                  13.9  %

Barclays Bank PLC                             $            28,966                                 329                                   7.9  %

(a)Represents stockholders' equity at risk, weighted average maturity and percentage of stockholders' equity from financing arrangements held in investments in debt and equity of affiliates.

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. We may utilize interest rate swaps, swaption
agreements, and other financial instruments such as short positions in U.S.
Treasury securities. In addition, we may utilize Eurodollar Futures, U.S.
Treasury Futures, British Pound Futures and Euro Futures (collectively,
"Futures"). 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. In
utilizing leverage 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 GAAP.
Refer to the tables below for a summary of our derivative instruments.

On March 23, 2020, in an effort to prudently manage our portfolio through unprecedented market volatility resulting from the COVID-19 pandemic and preserve long-term stockholder value, we sold our 30 Year Fixed Rate Agency securities, our most interest rate sensitive assets, and as a result, removed all of our interest rate swap positions, a decrease of $1.9 billion swap notional amount.

The following table summarizes certain information on our non-hedge derivatives and other instruments (in thousands) as of the dates indicated.



                                                                                   June 30, 2020                                                December 31, 2019
Notional amount of non-hedge                                                                  Weighted Average                                Weighted

Average


derivatives and other instruments:          Notional Currency          Notional Amount          Life (Years)          Notional Amount           Life (Years)
Pay Fix/Receive Float Interest Rate
Swap Agreements (1)(2)                             USD                $          -                        -          $     1,943,281                   4.25
Payer Swaptions                                    USD                     350,000                     0.18                  650,000                   0.42

Short positions on British Pound
Futures (3)                                        GBP                       3,250                        0.21                 6,563

0.21


Short positions on Euro Futures (4)                EUR                           -                        -                    1,500                   0.21


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(1)As of December 31, 2019, there were $94.5 million notional amount of pay
fix/receive float interest rate swap agreements held through investments in debt
and equity of affiliates.
(2)As of December 31, 2019, the weighted average life of interest rate swaps on
a GAAP basis was 4.32 years and the weighted average life of interest rate swaps
held through investments in debt and equity of affiliates was 2.83 years.
(3)Each British Pound Future contract embodies £62,500 of notional value.
(4)Each Euro Future contract embodies €125,000 of notional value.

Interest rate swaps



To help mitigate exposure to increases in interest rates, we may use
currently-paying and forward-starting, one- or three-month LIBOR-indexed,
pay-fixed, receive-variable, interest rate swap agreements. This arrangement
helps hedge our exposure to higher interest rates because the variable-rate
payments received on the swap agreements help to offset additional interest
accruing on the related borrowings due to the higher interest rate, leaving the
fixed-rate payments to be paid on the swap agreements as our effective borrowing
rate, subject to certain adjustments including changes in spreads between
variable rates on the swap agreements and actual borrowing rates.

During the quarter ended March 31, 2020, we sold our interest rate sensitive
assets. As a result, we did not hold any interest rate swap positions as of June
30, 2020.

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. In
addition, prior to the time we have fully deployed the net proceeds of our
follow-on offerings to acquire assets in our target asset classes we may fund
our quarterly distributions out of such net proceeds.

As described above, our distribution requirements are based on taxable income
rather than GAAP net income. The primary 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) methods of depreciation.
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 September of
the following year. We estimate that we do not have any undistributed taxable
income as of June 30, 2020. Refer to the "Results of operations" section above
for more detail.

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On March 27, 2020, we announced that our Board of Directors approved a
suspension of our quarterly dividends on our common stock, 8.25% Series A
Cumulative Redeemable Preferred Stock, 8.00% Series B Cumulative Redeemable
Preferred Stock, and 8.000% Series C Fixed-to-Floating Rate Cumulative
Redeemable Preferred Stock, beginning with the common dividends that normally
would have been declared in March 2020 and the preferred dividend that would
have been declared in May 2020, in order to conserve capital and preserve
liquidity. Based on current conditions for the Company, we do not anticipate
paying dividends on our common or preferred stock for the foreseeable future. If
the Company's Board of Directors does not declare a dividend in a given period,
an accrual is not recorded on the balance sheet. However, undeclared preferred
stock dividends are reflected in earnings per share as discussed in ASC
260-10-45-11. As a result, we did not declare or accrue quarterly dividends on
our Common or Preferred Stock during the three months ended June 30, 2020.
Pursuant to the terms of our Preferred Stock, all unpaid dividends on our
preferred stock accrue without interest and, if dividends on our preferred stock
are in arrears, we cannot pay cash dividends on our common stock. Refer to Note
12 in the "Notes to Consolidated Financing Statements (Unaudited)" for more
information on our preferred stock. Refer to the "Book value per share" section
above for a discussion of the treatment of accumulated, unpaid, or undeclared
preferred dividends on our book value.

The following table details the aggregate and per-share amounts of arrearages in
cumulative, unpaid, and undeclared preferred dividends as of June 30, 2020 (in
thousands, except per share data):

                                           Dividend Per Preferred Share in

Amount of Preferred Dividend in


          Class of Stock                               Arrears                                  Arrears
8.25% Series A                            $                   0.51563             $                      1,067
8.00% Series B                                                   0.50                                    2,300
8.000% Series C                                                  0.50                                    2,300
                              Total                                               $                      5,667



Preferred stock dividends that are not declared accumulate and are added to the
liquidation preference as of the scheduled payment date for the respective
series of the preferred stock. We expect cumulative preferred dividends to
continue to accrue for the foreseeable future, thereby increasing the aggregate
liquidation preference of the preferred stock. Subject to market conditions, our
liquidity, applicable contractual restrictions, the terms of the preferred stock
and applicable law, we may from time to time seek to manage this liability by
acquiring shares of our preferred stock in public offers, privately negotiated
transactions, open market purchases or other transactions.

No common stock dividends were declared during the three months or the six months ended June 30, 2020. The following tables detail our common stock dividends during the six months ended June 30, 2019:



           2019
            Declaration Date      Record Date      Payment Date      Dividend Per Share
                    3/15/2019        3/29/2019         4/30/2019    $           0.50
                    6/14/2019        6/28/2019         7/31/2019                0.50

                        Total                                       $           1.00



The following table details our preferred stock dividends on our 8.25% Series A,
8.00% Series B, and 8.000% Series C Preferred Stock during the six months ended
June 30, 2020 and June 30, 2019.

                                                                                                                         Cash Dividend Per Share
           Declaration Date                   Record Date                  Payment Date              8.25% Series A          8.00% Series B          8.000% Series C
                        2/14/2020                     2/28/2020                     3/17/2020       $      0.51563          $        0.50           $         0.50

                        2/15/2019                     2/28/2019                     3/18/2019              0.51563                   0.50                        -
                        5/17/2019                     5/31/2019                     6/17/2019              0.51563                   0.50                        -

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 as of June 30, 2020 consisted of proceeds from sales of assets in an
effort to prudently manage our portfolio through unprecedented market volatility
resulting from the global pandemic of the COVID-19 virus, borrowings under
financing arrangements, principal and
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interest payments we receive on our investment portfolio, cash generated from
our operating results, and proceeds from capital market transactions. We
typically use cash to repay principal and interest on our financing
arrangements, to purchase real estate securities, loans and other real estate
related assets, to make dividend payments on our capital stock, and to fund our
operations. At June 30, 2020, we had $68.1 million of cash available to support
our liquidity needs. Refer to the "Contractual obligations" section of this Item
2 for additional obligations that could impact our liquidity.

As previously discussed, on June 1, 2020, we entered into a third forbearance
agreement with the Participating Counterparties, providing for a forbearance
period ending on June 15, 2020. We exited forbrearance on June 10, 2020.
Pursuant to the terms of the Forbearance Agreement, we were obligated to comply
with a set of restrictive covenants set forth in the Forbearance Agreement,
including restrictions on the use of our cash, restrictions on our incurrence of
additional debt, and restrictions on the sale of our assets. We also granted to
the Participating Counterparties a lien and security interest in all of our
unencumbered assets. Upon entering into the Reinstatement Agreement with the
Participating Counterparties, we are no longer subject to the restrictive
covenants set forth in the Forbearance Agreement and the lien and security
interest granted to the Participating Counterparties on all of our unencumbered
assets were terminated and released.

Margin requirements



The fair value of our real estate securities and loans 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 trades 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 seeking to manage effectively the margin
requirements established by our lenders, we maintain a position of cash and,
when owned, unpledged Agency RMBS. We refer to this position as our "liquidity."
The level of liquidity we have available to meet margin calls is directly
affected by our leverage levels, our haircuts and the price changes on our
securities. Typically, if interest rates increase or if credit spreads widen,
then the prices of our collateral (and our unpledged assets that constitute 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 increase, our liquidity will proportionately decrease. In addition, if
we increase our borrowings, our liquidity will decrease by the amount of
additional haircut on the increased level of indebtedness. We intend to maintain
a level of liquidity in relation to our assets that enables us to meet
reasonably anticipated margin calls but that also allows us to be substantially
invested in our target assets. 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. Further, an unexpected rise in
interest rates and a corresponding fall in the fair value of our securities may
also force us to liquidate assets under difficult market conditions, thereby
harming our results of operations and financial condition, in an effort to
maintain sufficient liquidity to meet increased margin calls.

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 values
decline. 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 securities, 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.

On March 20, 2020, we notified our financing counterparties that we did not
expect to be in a position to fund the anticipated volume of future margin calls
under our financing arrangements in the near term as a result of market
disruptions created by the COVID-19 pandemic. Since March 23, 2020, we have
received notifications of alleged events of default and deficiency notices from
several of our financing counterparties. Subject to the terms of the applicable
financing arrangement, if we fail to deliver additional collateral or otherwise
meet margin calls when due, the financing counterparties may be able to demand
immediate payment by us of the aggregate outstanding financing obligations owed
to such counterparties, and if such financing obligations are not paid, may be
permitted to sell the financed assets and apply the proceeds to our financing
obligations and/or take ownership of the assets securing our financing
obligations. During this period of market upheaval, we engaged in discussions
with our financing counterparties and entered into the Forbearance Agreement.
During the Forbearance Period, we did not have any obligation to make any margin
payments as it related to the Participating Counterparties. As described above,
on June 10, we entered into a Reinstatement Agreement with the Participating
Counterparties and the JPM Reinstatement Agreement which
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reinstates each Bilateral Agreement. As a result, we will be responsible for
making any future margin payments with respect to any financing arrangements
relating to these agreements.

As of June 30, 2020, we have met all margin calls. Refer to Note 13 in the "Notes to Consolidated Financial Statements (Unaudited)" for more information on outstanding deficiencies.



Cash Flows

As of June 30, 2020, our cash, cash equivalents, and restricted cash totaled
$69.2 million representing a net decrease of $56.2 million from $125.4 million
at December 31, 2019. Cash provided by continuing operating activities of $0.8
million was primarily attributable to net interest income less operating
expenses. Cash provided by continuing investing activities of $2,628.4 million
was primarily attributable to sales of investments and principal repayments of
investments less purchases of investments. Cash used in continuing financing
activities of $(2,685.2) million was primarily attributable to repayments of
financing arrangements and dividend payments offset by borrowings under
financing arrangements.

Equity distribution agreement



On May 5, 2017, we entered into an equity distribution agreement with each of
Credit Suisse Securities (USA) LLC and JMP Securities LLC (collectively, the
"Sales Agents"), which we refer to as the "Equity Distribution Agreements,"
pursuant to which we may sell up to $100.0 million aggregate offering price of
shares of our common stock from time to time through the Sales Agents, under the
Securities Act of 1933. The Equity Distribution Agreements were amended on May
2, 2018 in conjunction with the filing of our shelf registration statement
registering up to $750.0 million of its securities, including capital stock (the
"2018 Registration Statement"). For the three and six months ended June 30,
2020, we sold 1.0 million shares of common stock under the Equity Distribution
Agreements for net proceeds of approximately $3.5 million. For the three and six
months ended June 30, 2019, we sold 0.5 million shares of common stock under the
Equity Distribution Agreements for net proceeds of approximately $8.6 million.
As of June 30, 2020, we have sold approximately 2.5 million shares of common
stock under the Equity Distribution Agreements for gross proceeds of $31.1
million, with $68.9 million available to be issued.

Common stock offering



On February 14, 2019, we completed a public offering of 3,000,000 shares of our
common stock and subsequently issued an additional 450,000 shares pursuant to
the underwriters' exercise of their over-allotment option at a price of $16.70
per share. Net proceeds to us from the offering were approximately $57.4
million, after deducting estimated offering expenses.

Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock issuance



On September 17, 2019, we completed a public offering of 4,000,000 shares of
8.000% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock
with a liquidation preference of $25.00 per share (the "Series C Preferred
Stock") and subsequently issued 600,000 shares of Series C Preferred Stock
pursuant to the underwriters' exercise of their over-allotment option. We
received total gross proceeds of $115.0 million and net proceeds of
approximately $111.2 million, net of underwriting discounts, commissions and
expenses. The Series C Preferred Stock has no stated maturity and is not subject
to any sinking fund or mandatory redemption. Under certain circumstances upon a
change of control, the Series C Preferred Stock is convertible to shares of our
common stock. Holders of Series C Preferred Stock have no voting rights, except
under limited conditions, and holders are entitled to receive cumulative cash
dividends before holders of our common stock are entitled to receive any
dividends. 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,
is equal to 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 will
accumulate at a percentage of the $25.00 liquidation preference equal to an
annual floating rate of the three-month LIBOR plus a spread of 6.476% per annum.
Shares of our Series C Preferred Stock are redeemable at $25.00 per share plus
accumulated and unpaid dividends (whether or not declared) exclusively at our
option commencing on September 17, 2024, or earlier under certain circumstances
intended to preserve our qualification as a REIT for Federal income tax
purposes. Dividends are payable quarterly in arrears on the 17th day of each
March, June, September and December. Based on current conditions for the
Company, we do not anticipate paying dividends on our common or preferred stock
for the foreseeable future. Refer to the "Dividends" section above for more
detail on arrearages.

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Contractual obligations

Management agreement



On June 29, 2011, we entered into an agreement with our Manager pursuant to
which our Manager is entitled to receive a management fee and the reimbursement
of certain expenses. 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. For the three and six
months ended June 30, 2020, we incurred management fees of approximately $1.7
million and $3.8 million, respectively. For the three and six months ended June
30, 2019, we incurred management fees of approximately $2.4 million and $4.7
million, respectively.

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 reimburse our Manager or its affiliates for operating expenses which
are 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, the reimbursement is 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. Of the $4.5 million and
$5.3 million of Other operating expenses for the three and six months ended June
30, 2020, respectively, we have accrued $1.9 million and $3.9 million,
respectively, representing a reimbursement of expenses. Of the $3.8 million and
$7.6 million of Other operating expenses for the three and six months ended June
30, 2019, respectively, we have accrued $1.9 million and $3.9 million,
respectively, representing a reimbursement of expenses.

On April 6, 2020, we executed an amendment to the management agreement pursuant
to which the Manager agreed to defer our payment of the management fee and
reimbursement of expenses as detailed above through September 30, 2020, or such
other time as we and the Manager agree.

Secured debt



On April 10, 2020, in connection with the first Forbearance Agreement, we issued
a secured promissory note (the "Note") to the Manager evidencing a $10 million
loan made by the Manager to us. Additionally, on April 27, 2020, in connection
with the second Forbearance Agreement, we entered into an amendment to the Note
to reflect an additional $10 million loan by the Manager to us. The $10 million
loan made by the Manager on April 10, 2020 is payable on March 31, 2021, and the
$10 million loan made on April 27, 2020 was repaid in full with interest when it
matured on July 27, 2020. The unpaid balance of the Note accrues interest at a
rate of 6.0% per annum. Interest on the Note is payable monthly in kind through
the addition of such accrued monthly interest to the outstanding principal
balance of the Note.

The Manager agreed to subordinate our obligations with respect to the Note and
liens held by the Manager for the security of the performance of our obligations
under the Note to our obligations to the Participating Counterparties and to the
secured promissory note payable to Royal Bank of Canada. Our obligations to the
Participating Counterparties and to the secured promissory note payable to Royal
Bank of Canada were satisfied or released as of June 30, 2020.

Share-based compensation



Effective on April 15, 2020 upon the approval of our stockholders at our Annual
Meeting, the 2020 Equity Incentive Plan provides for 2,000,000 shares of common
stock to be issued. The maximum number of shares of common stock granted during
a single fiscal year to any non-employee director, taken together with any cash
fees paid to such non-employee director during any fiscal year, shall not exceed
$300,000 in total value (calculating the value of any such awards based on the
grant date fair value). As of June 30, 2020, 1,925,209 shares of common stock
were available to be awarded under the Equity Incentive Plan.
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Since our IPO, we have granted an aggregate of 180,585 and 40,250 shares of
restricted common stock to our independent directors and Manager, respectively,
and 120,000 restricted stock units to our Manager under our equity incentive
plans. As of June 30, 2020, all the shares of restricted common stock granted to
our Manager and independent directors have vested and 99,991 restricted stock
units granted to our Manager have vested. The 20,009 restricted stock units that
have not vested as of June 30, 2020 were granted to the Manager on July 1, 2017,
and represent the right to receive an equivalent number of shares of our common
stock when the units vest on July 1, 2020. The units do not entitle the
recipient the rights of a holder of our common stock, such as dividend and
voting rights, until shares are issued in settlement of the vested units. The
vesting of such units is subject to the continuation of the management
agreement. If the management agreement terminates, all unvested units then held
by the Manager or the Manager's transferee shall be immediately cancelled and
forfeited without consideration.

Unfunded commitments



See our "Off-balance sheet arrangements" section below and Note 13 of the "Notes
to Consolidated Financial Statements" for detail on our unfunded commitments as
of June 30, 2020.

MATT Financing Arrangement Restructuring



On April 3, 2020, we, alongside private funds under the management of Angelo
Gordon, restructured our financing arrangements in MATT ("Restructured Financing
Arrangement"). The Restructured Financing Arrangement requires all principal and
interest on the underlying assets in MATT be used to pay down principal and
interest on the outstanding financing arrangement. As of April 3, 2020, The
Restructured Financing Arrangement is not a mark-to-market facility and is
non-recourse to us. The Restructured Financing Arrangement provides for a
termination date of October 1, 2021. At the earlier of the termination date or
the securitization or sale by us of the remaining assets subject to the
Restructured Financing Arrangement, the financing counterparty will be entitled
to 35% of the remaining equity in the assets. We evaluated this restructuring
and concluded it was an extinguishment of debt. MATT has chosen to make a fair
value election on the new financing arrangement, and we will treat this
arrangement consistently with this election.

Other



As of June 30, 2020 and December 31, 2019, we are obligated to pay accrued
interest on our financing arrangements in the amount of $0.7 million and $10.8
million, respectively, inclusive of accrued interest accounted for through
investments in debt and equity of affiliates, and exclusive of accrued interest
on any financing utilized through AG Arc. The change in accrued interest on our
financing arrangements was due primarily to the repayment of financing
arrangements in conjunction with the sales of various assets by us and the
seizures of various assets by financing counterparties in 2020.

Off-balance sheet arrangements



We may enter into long TBA positions to facilitate the future purchase or sale
of Agency RMBS. We may also enter into short TBA positions to hedge Agency RMBS.
We record TBA purchases/shorts and sales/covers on the trade date and present
the amount net of the corresponding payable or receivable until the settlement
date of the transaction. As of June 30, 2020, we did not hold any TBA positions.

Our investments in debt and equity of affiliates are primarily comprised of real
estate securities, Excess MSRs, loans, our interest in AG Arc, and certain
derivatives. Investments in debt and equity of affiliates are accounted for
using the equity method of accounting. See Note 2 to the "Notes to Consolidated
Financial Statements (unaudited)" for a discussion of investments in debt and
equity of affiliates. The below table details our investments in debt and equity
of affiliates as of June 30, 2020 and December 31, 2019 (in thousands):

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                                                            June 30, 2020                                                                     December 31, 2019
                                          Assets (1)         Liabilities           Equity           Assets (1)         Liabilities           Equity
Agency Excess MSR                        $     496          $        -          $     496          $     555          $        -          $      555
Total Agency RMBS                              496                   -                496                555                   -                 555

Re/Non-Performing Loans                     39,170              (7,281)            31,889             87,216             (56,811)             30,405
Non-QM Loans                               243,674            (210,575)            33,099            254,276            (200,257)             54,019
Land Related Financing                      23,790                   -             23,790             16,979                   -              16,979
Total Residential Investments              306,634            (217,856)            88,778            358,471            (257,068)            101,403

Freddie Mac K-Series                             -                   -                  -             12,237                   -              12,237
CMBS Interest Only                               -                   -                  -              1,863                   -               1,863
Total Commercial                                 -                   -                  -             14,100                   -              14,100
Total Credit Investments                   306,634            (217,856)            88,778            372,571            (257,068)            115,503
Total Investments excluding AG Arc         307,130            (217,856)            89,274            373,126            (257,068)            116,058

AG Arc, at fair value                       28,030                   -             28,030             28,546                   -              28,546

Cash and Other
assets/(liabilities) (2)                     9,276              (3,651)             5,625             12,953              (1,246)             11,707

Investments in debt and equity of
affiliates                               $ 344,436          $ (221,507)

$ 122,929 $ 414,625 $ (258,314) $ 156,311




(1)Certain Re/Non-Performing Loans held in securitized form are presented net of
non-recourse securitized debt.
(2)Includes financing arrangements on real estate owned as of June 30, 2020 and
December 31, 2019 of $(0.2) million and $(0.3) million, respectively.

The table below details our additional commitments as of June 30, 2020 (in
thousands):

                                                                                                                                   Remaining
Commitment Type                                 Date of Commitment            Total Commitment         Funded Commitment           Commitment

Commercial loan G (a)(b)                     July 26, 2018                   $        84,515          $         56,710          $      27,805
Commercial loan I (a)                        January 23, 2019                         20,000                    15,212                  4,788
Commercial loan J (a)(c)                     February 11, 2019                        30,000                     6,291                 23,709
Commercial loan K (a)                        February 22, 2019                        20,000                    12,673                  7,327
LOTS (d)                                     Various                                  40,819                    22,999                 17,820

Total                                                                        $       195,334          $        113,885          $      81,449



(a)We entered into commitments on commercial loans relating to construction
projects. See "Investment activities" section above for further details.
(b)We expect to receive financing of approximately $18.1 million on our
remaining commitment, which would cause our remaining equity commitment to be
approximately $9.7 million. This financing is not committed and actual financing
could vary significantly from our expectations.
(c)We expect to receive financing of approximately $13.0 million on our
remaining commitment, which would cause our remaining equity commitment to be
approximately $10.7 million. This financing is not committed and actual
financing could vary significantly from our expectations.
(d)Refer to "Contractual obligations" section above for more information
regarding LOTS.

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Certain related person transactions



Our Board of Directors has adopted a policy regarding the approval of any
"related person transaction," which is any transaction or series of transactions
in which (i) we or any of our subsidiaries is or are to be a participant, (ii)
the amount involved exceeds $120,000, and (iii) a "related person" (as defined
under SEC rules) has a direct or indirect material interest. Under the policy, a
related person would need to promptly disclose to our Secretary or Assistant
Secretary any related person transaction and all material facts about the
transaction. Our Secretary or Assistant Secretary, in consultation with outside
counsel, to the extent appropriate, would then assess and promptly communicate
that information to the audit committee of our Board of Directors. Based on its
consideration of all of the relevant facts and circumstances, the audit
committee will review, approve or ratify such transactions as appropriate. The
audit committee will not approve or ratify a related person transaction unless
it shall have determined that such transaction is in, or is not inconsistent
with, our best interests and does not create a conflict of interest. If we
become aware of an existing related person transaction that has not been
approved under this policy, the transaction will be referred to the audit
committee which will evaluate all options available, including ratification,
revision or termination of such transaction. Our policy requires any director
who may be interested in a related person transaction to recuse himself or
herself from any consideration of such related person transaction.

Grants of restricted common stock

See "Share-based compensation" section above for detail on our grants of restricted common stock.

Red Creek



In connection with our investments in Re/Non-Performing Loans and non-QM loans,
we may engage asset managers to provide advisory, consultation, asset management
and other services. Beginning in November 2015, we also engaged Red Creek Asset
Management LLC ("Asset Manager"), an affiliate of the Manager and direct
subsidiary of Angelo Gordon, as the asset manager for certain of our
Re/Non-Performing Loans. Beginning in September 2019, we engaged the Asset
Manager as the asset manager for our non-QM loans. We pay the Asset Manager
separate arm's-length asset management fees as assessed and confirmed
periodically by a third party valuation firm for our Re/Non-Performing Loans and
non-QM loans. In the third quarter of 2019, the third party assessment of asset
management fees resulted in our updating the fee amount for our
Re/Non-Performing Loans. We also utilized the third party valuation firm to
establish the fee level for non-QM loans in the third quarter of 2019. For the
six months ended June 30, 2020, the fees paid by us to the Asset Manager totaled
$0.3 million. For the three and six months ended June 30, 2019, the fees paid by
us to the Asset Manager totaled $0.1 million and $0.3 million, respectively. For
the three and six months ended June 30, 2020, we deferred $0.3 million and $0.4
million, respectively, of fees owed to the Asset Manager and plan to continue to
defer fees through September 30, 2020 or such other time as we and the Manager
agree.

Arc Home

On December 9, 2015, we, alongside private funds under the management of Angelo
Gordon, through AG Arc, formed Arc Home, a Delaware limited liability company.
Arc Home originates conforming, Government, Jumbo, Non-QM and other
non-conforming residential mortgage loans, retains the mortgage servicing rights
associated with the loans it originates, and purchases additional mortgage
servicing rights from third-party sellers.

Our investment in Arc Home, which is conducted through AG Arc, one of our
indirect subsidiaries, is reflected on the "Investments in debt and equity of
affiliates" line item on our consolidated balance sheets. See "Off-balance sheet
arrangements" section above for the fair value as Arc Home of June 30, 2020 and
December 31, 2019.

Arc Home may sell loans to us or to affiliates of our Manager. Arc Home may also
enter into agreements with us, third parties, or affiliates of our Manager to
sell Excess MSRs on the mortgage loans that it either purchases from third
parties or originates. We, directly or through our subsidiaries, have entered
into agreements with Arc Home to purchase rights to receive the excess servicing
spread related to certain of its MSRs and as of June 30, 2020 and December 31,
2019, these Excess MSRs had fair values of approximately $12.7 million and $18.2
million, respectively.

In connection with our investments in Excess MSRs purchased through Arc Home, we
pay an administrative fee to Arc Home. For the three and six months ended June
30, 2020, the administrative fees paid by us to Arc Home totaled $0.1 million
and $0.2 million, respectively. For the three and six months ended June 30,
2019, the administrative fees paid by us to Arc Home totaled $0.1 million and
$0.2 million, respectively.

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Mortgage Acquisition Trust I LLC

See our "MATT Financing Arrangement Restructuring" sections above.

LOT SP I LLC and LOT SP II LLC

See our "Off-balance sheet arrangements" section above.

Management agreement



On June 29, 2011 we entered into a management agreement with our Manager, which
governs the relationship between us and our Manager and describes the services
to be provided by our Manager and its compensation for those services. The terms
of our management agreement, including the fees payable by us to Angelo Gordon,
were not negotiated at arm's length, and its terms may not be as favorable to us
as if they had been negotiated with an unaffiliated party. Our Manager, pursuant
to the delegation agreement dated as of June 29, 2011, has delegated to Angelo
Gordon the overall responsibility of its day-to-day duties and obligations
arising under our management agreement. For further detail on the Management
Agreement, see the "Contractual obligations-Management agreement" section of
this Item 2.

Secured debt

See our "Contractual obligations-Secured debt" section above.

Other transactions with affiliates



Our Board of Directors has adopted a policy regarding the approval of any
"affiliated transaction," which is any transaction or series of transactions in
which Angelo Gordon arranges for the purchase and sale of a security or other
investment between or among us, on the one hand, and an entity or entities under
Angelo Gordon's management, on the other hand (an "Affiliated Transaction"). In
order for us to enter into an Affiliated Transaction, the Affiliated Transaction
must be approved by our Chief Risk Officer and the Chief Compliance Officer of
Angelo Gordon. For most instruments, if market bids are available, the trading
desk will request external bids from the market while simultaneously submitting
an internal bid to Compliance and/or Risk. If the highest bid is an external
bid, the security or other instrument will be sold to the external bidder and no
affiliated transaction will take place. If the highest bid is the internal bid,
the price will be the midpoint between the internal bid and the highest external
bid. If market bids are not available or prove to be impracticable in Angelo
Gordon's reasonable judgment, appropriate pricing will generally be based on a
valuation analysis prepared by an independent third party. Our Affiliated
Transactions are reviewed by our Audit Committee on a quarterly basis to confirm
compliance with the policy.

In March 2019, in accordance with our Affiliated Transactions Policy, we
executed one trade whereby we acquired a real estate security from an affiliate
of the Manager (the "March 2019 Selling Affiliate"). As of the date of the
trade, the security acquired from the March 2019 Selling Affiliate had a total
fair value of $0.9 million. The March 2019 Selling Affiliate sold the real
estate security through a BWIC. Prior to the submission of the BWIC by the March
2019 Selling Affiliate, we submitted our bid for the real estate security to the
March 2019 Selling Affiliate. The pre-submission of our bid allowed us to
confirm third-party market pricing and best execution.

In June 2019, we, alongside private funds under the management of Angelo Gordon,
participated through our unconsolidated ownership interest in MATT in a rated
non-QM loan securitization, in which non-QM loans with a fair value of $408.0
million were securitized. Certain senior tranches in the securitization were
sold to third parties with us and private funds under the management of Angelo
Gordon retaining the subordinate tranches, which had a fair value of $42.9
million as of June 30, 2019. We have a 44.6% interest in the retained
subordinate tranches.

In July 2019, in accordance with our Affiliated Transactions Policy, we acquired
certain real estate securities from an affiliate of the Manager (the "July 2019
Selling Affiliate"). As of the date of the trade, the real estate securities
acquired from the July 2019 Selling Affiliate had a total fair value of $2.0
million. As procuring market bids for the real estate securities was determined
to be impracticable in the Manager's reasonable judgment, appropriate pricing
was based on a valuation prepared by independent third-party pricing vendors.
The third-party pricing vendors allowed us to confirm third-party market pricing
and best execution.

In September 2019, we, alongside private funds managed by Angelo Gordon,
participated through our unconsolidated ownership interest in MATT in a rated
non-QM loan securitization, in which non-QM loans with a fair value of $415.1
million were securitized. Certain senior tranches in the securitization were
sold to third parties with us and private funds under the
                                      103
--------------------------------------------------------------------------------

management of Angelo Gordon retaining the subordinate tranches, which had a fair
value of $28.7 million as of September 30, 2019. We have a 44.6% interest in the
retained subordinate tranches.

In October 2019, in accordance with our Affiliated Transactions Policy, we
acquired certain real estate securities from an affiliate of the Manager (the
"October 2019 Selling Affiliate"). As of the date of the trade, the real estate
securities acquired from the October 2019 Selling Affiliate had a total fair
value of $2.2 million. The October 2019 Selling Affiliate sold the real estate
securities through a BWIC. Prior to the submission of the BWIC by the October
2019 Selling Affiliate, we submitted its bid for the real estate securities to
the October 2019 Selling Affiliate. The pre-submission of our bid allowed us to
confirm third-party market pricing and best execution.

In November 2019, we, alongside private funds managed by Angelo Gordon,
participated through our unconsolidated ownership interest in MATT in a rated
non-QM loan securitization, in which non-QM loans with a fair value of $322.1
million were securitized. Certain senior tranches in the securitization were
sold to third parties with us and private funds under the management of Angelo
Gordon retaining the subordinate tranches, which had a fair value of $21.4
million as of December 31, 2019. We have a 44.6% interest in the retained
subordinate tranches.

In February 2020, we, alongside private funds managed by Angelo Gordon,
participated through our unconsolidated ownership interest in MATT in a rated
non-QM loan securitization, in which non-QM loans with a fair value of
$348.2 million were securitized. Certain senior tranches in the securitization
were sold to third parties with us and private funds under the management of
Angelo Gordon retaining the subordinate tranches, which had a fair value of
$26.6 million as of March 31, 2020. We have a 44.6% interest in the retained
subordinate tranches.

Critical accounting policies



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 reported amounts of revenues 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 June 30, 2020
and how we expect them to change in the future, it is reasonably possible that
actual conditions could be different than anticipated in those estimates, which
could materially affect reported amounts of assets, liabilities and accumulated
other comprehensive income at the date of the consolidated financial statements
and the reported amounts of income, expenses and other comprehensive income
during the periods presented. Moreover, the uncertainty over the ultimate impact
that that the COVID-19 pandemic will have on the global economy generally, and
on our business in particular, makes any estimates and assumptions inherently
less certain than they would be absent the current and potential impacts of the
COVID-19 pandemic.

Accounting policies and estimates related to specific components of our
consolidated financial statements are disclosed in the notes to our consolidated
financial statements. A discussion of the critical accounting policies and the
possible effects of changes in estimates on our consolidated financial
statements is included in Item 8 of our Annual Report on Form 10-K for the year
ended December 31, 2019 and in Note 2 to the "Notes to Consolidated Financial
Statements (unaudited)." Some of the critical accounting policies described
therein include but are not limited to: Valuation of financial instruments,
Accounting for real estate securities, Accounting for residential and commercial
mortgage loans, Interest income recognition and Financing arrangements.

Additionally, we rely upon the independent pricing of our assets at each quarter
end to arrive at what we believe to be reasonable estimates of fair value,
whenever available. For more information on our fair value measurements, see
Note 6 to the "Notes to Consolidated Financial Statements (unaudited).

Inflation


Virtually all of our assets and liabilities are interest rate sensitive in
nature. As a result, interest rates and other factors influence our performance
far more than inflation. Changes in interest rates do not necessarily correlate
with inflation rates or changes in inflation rates.
                                      104

--------------------------------------------------------------------------------

Latest news about AG Mortgage Investment Trust, Inc.

AG Mortgage Investment Trust Files $1 Billion Mixed Shelf; Shares Rise Pre-Bell	Mar. 27	MT
AG Mortgage Investment Trust Keeps Quarterly Dividend at $0.18 per Share, Payable April 30 to Holders of Record March 29	Mar. 15	MT
AG Mortgage Investment Trust, Inc. Announces First Quarter 2024 Common Dividend, Payable on April 30, 2024	Mar. 15	CI
FTSE 100 Closes Down 0.2% Dragged by Reckitt Fall	Mar. 15	DJ
FTSE 100 underperforms despite mining, oil boost	Mar. 15	AN
Stock markets show cautious trading amid central bank rate decisions	Mar. 15
Scottish Mortgage Investment Trust sets GBP1 billion buyback	Mar. 15	AN
Scottish Mortgage Investment Board Plans GBP1 Billion Share Buybacks	Mar. 15	MT
Vodafone, Scottish Mortgage Investment plan buybacks	Mar. 15	AN
Scottish Mortgage announces 1 bln stg buyback over next two years	Mar. 15	RE
AG Mortgage Investment Trust Insider Bought Shares Worth $306,155, According to a Recent SEC Filing	Feb. 26	MT
Transcript : AG Mortgage Investment Trust, Inc., Q4 2023 Earnings Call, Feb 22, 2024	Feb. 22
AG Mortgage Investment Trust, Inc. Reports Earnings Results for the Full Year Ended December 31, 2023	Feb. 22	CI
AG Mortgage Investment Trust, Inc. Reports Earnings Results for the Fourth Quarter Ended December 31, 2023	Feb. 22	CI
PennyMac Mortgage Investment Trust Reports Q4 Profit, Reversing Year-Ago Loss; Revenue Increases	Feb. 01	MT
Earnings Flash (PMT) PENNYMAC MORTGAGE INVESTMENT TRUST Posts Q4 EPS $0.44, vs. Street Est of $0.31	Feb. 01	MT
AG Mortgage Investment Trust Prices $30 Million Notes	Jan. 23	MT
End of year rally cools as FTSE 100 edges lower	Dec. 28	AN
AG Mortgage Investment Trust Sets Last Portion of Q4 Dividend at $0.05 per Share, Payable Jan. 31 to Holders of Record Dec. 29	Dec. 15	MT
AG Mortgage Investment Trust, Inc. Announces Dividend for the Fourth Quarter 2023, Payable on January 31, 2024	Dec. 15	CI
AG Mortgage Investment Trust, Inc. Announces Board Changes	Dec. 06	CI
UBS Initiates Coverage on AG Mortgage Investment Trust With Buy Rating, $7 Price Target	Dec. 06	MT
AG Mortgage Investment Trust, Inc. completed the acquisition of Western Asset Mortgage Capital Corporation from shareholders.	Dec. 05	CI
AG Mortgage Investment Trust Declares 2nd Interim Q4 Dividend of $0.05 a Share, Payable Jan. 2, to Shareholders of Record Nov. 30	Nov. 20	MT
Ag Mortgage Investment Trust, Inc. Declares Second Interim Fourth Quarter Dividend, Payable on January 2, 2024	Nov. 20	CI

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Company Profile

AG Mortgage Investment Trust, Inc. is a residential mortgage real estate investment trust (REIT) with a focus on investing in a diversified risk-adjusted portfolio of residential mortgage-related assets in the United States mortgage market. The Company focuses its investment activities primarily on acquiring and securitizing newly-originated residential mortgage loans within the non-agency segment of the housing market. The Company obtains its assets through Arc Home, LLC, its residential mortgage loan originator, and through other third-party origination partners. Its investment portfolio (which excludes its ownership in Arc Home) includes residential investments and agency residential mortgage-backed securities (RMBS). Its residential investments consist of newly originated non-agency loans and agency-eligible loans. Its agency RMBS represent interests in pools of residential mortgage loans guaranteed by a government-sponsored enterprise (GSE). Its manager is AG REIT Management, LLC.

Sector

Specialized REITs

Calendar

2024-05-01 - Annual General Meeting

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Income Statement Evolution

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Ratings for AG Mortgage Investment Trust, Inc.

Trading Rating

Investor Rating

ESG Refinitiv

D+

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Analysts' Consensus

Sell

Buy

Mean consensus

OUTPERFORM

Number of Analysts

Last Close Price

5.5 USD

Average target price

18.38 USD

Spread / Average Target

+234.09%

Consensus

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Estimates Revisions

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Mortgage REITs

AG Mortgage Investment Trust, Inc.

Equities

MITT

US0012285013

Specialized REITs

MORTGAGE INVESTMENT TRUST : MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS (form 10-Q)

EPS Revisions