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AG Mortgage Investment Trust, Inc. Reports Third Quarter Earnings

  AG Mortgage Investment Trust, Inc. Reports Third Quarter Earnings

Business Wire

NEW YORK -- November 07, 2012

AG Mortgage Investment Trust, Inc. (“MITT” or the “Company”) (NYSE: MITT)
today reported core earnings of $20.0 million and net income of $61.2 million
for the quarter ended September 30, 2012. A reconciliation of core earnings to
net income appears at the end of this press release.

FINANCIAL HIGHLIGHTS

See footnotes at the end of this press release

  *Net income of $61.2 million, or $3.10 per share (7)
  *Core Earnings of $20.0 million, or $1.03 per share

       *$0.17 per share increase during the quarter
       *includes $0.06 per share of retrospective adjustment

  *Net realized gains of $4.1 million, or $0.21 per share
  *$0.77 per share common dividend for the quarter

       *$0.07 per share increase

  *Approximately $1.19 per share of undistributed taxable income as of
    September 30, 2012 (1)
  *$23.71 net book value per share as of September 30, 2012 (1)

       *$1.93 per share increase during the quarter, net of the $0.77
         dividend declared for the quarter and paid on October 26, 2012

  *40.9% annualized year-to-date return on stock as of September 30, 2012
  *12.8% return on equity during the quarter (2)
  *Raised approximately $327.5 million of gross proceeds through common and
    preferred stock offerings during the quarter

INVESTMENT HIGHLIGHTS

  *$4.9 billion investment portfolio value as of September 30, 2012 (3) (5)
  *2.41% net interest margin as of September 30, 2012 (4)
  *6.06x leverage as of September 30, 2012 (3) (8)
  *80.3% Agency RMBS investment portfolio (5)
  *19.7% credit investment portfolio, comprised of Non-Agency RMBS, ABS and
    CMBS assets (5)
  *6.2% constant prepayment rate (“CPR”) for the third quarter on the Agency
    RMBS investment portfolio (6)

THIRD QUARTER 2012 RESULTS

AG Mortgage Investment Trust, Inc. is an actively managed REIT that
opportunistically invests in a diversified risk-adjusted portfolio of Agency
RMBS, Non-Agency RMBS, ABS and CMBS. For the third quarter 2012, the Company
had net income of $61.2 million, or $3.10 per diluted share (7), and Core
Earnings of $20.0 million, or $1.03 per diluted share. Core Earnings
represents a non-GAAP financial measure and is defined as net income (loss)
excluding (i) net realized gain (loss) on investments and terminations on
derivative contracts and (ii) net unrealized appreciation (depreciation) on
investments and derivative contracts. (See “Non-GAAP Financial Measure” below
for further detail on Core Earnings)

“MITT accomplished a lot this quarter,” said David Roberts, Chief Executive
Officer. “We produced strong core earnings, increased book value per share,
and raised capital efficiently through both common and preferred stock
offerings. We have always said that a key component of MITT’s strategy is to
leverage the expertise and experience of the Angelo, Gordon platform to create
the best portfolio from a diverse opportunity set. Our investment team is
always working hard to capitalize on changes in the Agency and Credit markets
using the resources of the Angelo, Gordon platform to benefit MITT’s
shareholders.”

“Over the quarter we were able to deliver on our goal of deploying an
increasing portion of our capital into attractive investments in Non-Agency
RMBS, ABS and CMBS,” said Jonathan Lieberman, Chief Investment Officer. “The
breadth of our investment team allowed us to more than double our credit
holdings over the three month period ending September 30. We expect to
continue to leverage our expertise across the credit markets and tactically
allocate capital to credit as market conditions permit.”

On September 27, 2012, the Company completed a public offering of 4,000,000
shares of 8.00% Series B Cumulative Redeemable Preferred Stock and issued an
additional 600,000 shares pursuant to the underwriters’ over-allotment option
with a liquidation preference of $25.00 per share. The Company received total
gross proceeds of approximately $115.0 million. Net proceeds to the Company
from the offering were approximately $111.3 million, net of underwriting
discounts, commissions and expenses.

On September6, 2012, the Company entered into an equity distribution
agreement with each of Mitsubishi UFJ Securities (USA), Inc., JMP Securities
LLC and Brinson Patrick Securities Corporation, or the Sales Agents, which the
Company refers to as the Equity Distribution Agreements, pursuant to which the
Company may sell up to 3,000,000shares of common stock from time to time
through the Sales Agents.

On August 15, 2012, the Company completed a public offering of 6,000,000
shares of its common stock and simultaneously issued an additional 900,000
shares pursuant to the underwriters’ over-allotment option at a price of
$23.29 per share. The Company received total gross proceeds of approximately
$160.7 million. Net proceeds to the Company from the offering were
approximately $152.7 million, net of underwriting discounts, commissions and
expenses.

On August 3, 2012, the Company completed a public offering of 1,800,000 shares
of 8.25% Series A Cumulative Redeemable Preferred Stock and subsequently
issued an additional 270,000 shares pursuant to the underwriters’
over-allotment option with a liquidation preference of $25.00 per share. The
Company received total gross proceeds of approximately $51.8 million. Net
proceeds to the Company from the offering were approximately $49.9 million,
net of underwriting discounts, commissions and expenses.

On July 13, 2012, the Company filed ashelfregistration statement on Form S-3
with the SEC, offering up to $1.0 billion of capital stock. The registration
statement was declared effective on July 20. At September30, 2012,
approximately $672.4 million of our capital stock was available for issuance
under the registration statement.

As of September 30, 2012, warrants were exercised by the cashless exercise
option, which resulted in the issuance of 38,307 shares of common stock. No
proceeds were received in connection with the exercise of the cashless option.
As of September 30, 2012, warrants were exercised by the cash exercise option,
which resulted in the issuance of 163,749 shares of common stock for proceeds
to the Company of $3.4 million.

“During the quarter we raised $327.5 million of gross proceeds via a series of
public offerings that allowed us to continue to grow in an accretive fashion,“
said Frank Stadelmaier, Chief Financial Officer.

KEY STATISTICS (3)                                      
                                                         
                                    Weighted Average at   Weighted Average for
                                    September 30, 2012    the Quarter Ended
                                                          September 30, 2012
Investment portfolio                $   4,926,605,381     $    3,722,196,645
Repurchase agreements               $   4,117,521,386     $    3,184,694,199
Stockholders' equity                $   704,478,303       $    471,254,872
                                                          
Leverage ratio (8)                  6.06x                 6.76x
Swap ratio (9)                          53%                    53%
                                                          
Yield on investment portfolio           3.45%                  3.48%
(10)
Cost of funds (11)                      1.04%                  0.98%
Net interest margin (4)                 2.41%                  2.50%
Management fees (12)                    0.94%                  1.41%
Other operating expenses (13)           0.94%                  1.40%
                                                          
Book value, per share (1)           $   23.71
Dividend, per share                 $   0.77

INVESTMENT PORTFOLIO

The following summarizes the Company’s investment portfolio as of September 30, 2012 (3):
                                                                                  
                                                                                       Weighted
                                                                                       Average
             Current Face     Premium            Amortized Cost   Fair Value       Coupon Yield
                               (Discount)
Agency RMBS:
15-Year      $ 1,310,198,668   $ 53,128,093        $ 1,363,326,761   $ 1,394,757,196   3.01%  2.17%
Fixed Rate
20-Year        278,054,304       11,359,858          289,414,162       299,020,184     3.59%  2.84%
Fixed Rate
30-Year        1,814,505,818     107,102,858         1,921,608,676     1,960,439,746   3.73%  2.86%
Fixed Rate
ARM            38,556,987        1,621,311           40,178,298        41,033,271      2.96%  2.34%
Interest       1,198,052,615     (944,550,288)       253,502,327       258,402,119     6.06%  7.68%
Only
Credit
Investments:
Non-Agency     827,153,363       (84,989,448)        742,163,915       749,425,071     4.95%  5.53%
RMBS
ABS            31,375,000        (50,387)            31,324,613        31,336,101      5.40%  5.52%
CMBS           121,916,342       (2,250,817)         119,665,525       121,122,513     4.97%  5.90%
Interest      650,756,644      (580,091,344)      70,665,300       71,069,180      2.31%  5.67%
Only
Total        $ 6,270,569,741   $ (1,438,720,164)   $ 4,831,849,577   $ 4,926,605,381   4.06%  3.45%

As of September 30, 2012, the weighted average yield on the Company's
investment portfolio was 3.45% and its weighted average cost of funds was
1.04%. This resulted in a net interest margin of 2.41% as of September 30,
2012. (4)

The Company had net realized gains of $4.1 million during the quarter ended
September 30, 2012. Of this amount, $1.6 million, or $0.08 per share, was from
sales of Agency RMBS and TBAs, $2.6 million, or $0.13 per share, was from the
transfer of securities previously accounted for as derivatives through linked
transactions and $(0.1) million, or $(0.00) per share, was from the net
settlement of interest rate swaps. The Company had year-to-date net realized
gains of $14.1 million. Of this amount, $9.4 million, or $0.57 per share, was
from sales of Agency RMBS and TBAs, $2.4 million, or $0.15 per share, was from
sales of credit investments, $2.6 million, or $0.16 per share was from the
transfer of securities previously accounted for as derivatives through linked
transactions and $(0.3) million, or $(0.02) per share, was from the net
settlement of interest rate swaps.

The CPR for the Agency RMBS investment portfolio was 6.2% for the third
quarter and 6.8% for the month of September 2012. The 2012 year-to-date CPR on
the Agency RMBS investment portfolio was 5.5%. (6)

The weighted average cost basis of the Agency RMBS investment portfolio,
excluding interest-only securities, was 105.0% as of September 30, 2012. The
amortization of premiums (net of any accretion of discounts) on these
securities for the third quarter was $(4.2) million, or $(0.21) per share. The
Company recorded year-to-date premium amortization of $(10.9) million, or
$(0.66) per share. The unamortized net Agency RMBS premium as of September 30,
2012 was $173.2 million.

Premiums and discounts associated with purchases of the Company's securities
are amortized or accreted into interest income over the estimated life of such
securities, using the effective yield method. The Company recorded $1.2
million, or $0.06 per share, of retrospective adjustment due to the change in
projected cash flows on its bonds. Since the cost basis of the Company's
Agency RMBS securities, excluding interest-only securities, exceeds the
underlying principal balance by 5.0% as of September 30, 2012, slower actual
and projected prepayments can have a meaningful positive impact, while faster
actual or projected prepayments can have a meaningful negative impact on the
Company's asset yields.

LEVERAGE AND HEDGING ACTIVITIES

The investment portfolio is financed with repurchase agreements as of
September 30, 2012 as summarized below:
                                                                 
Repurchase Agreements                                 Weighted        Weighted
Maturing Within:                Balance               Average Rate    Average
                                                                      Maturity
30 Days or Less                 $   2,656,350,000     0.74%           15.4
31-60 Days                          582,068,000       0.48%           44.9
61-90 Days                          297,628,000       0.52%           70.7
Greater than 90 Days               581,475,386       0.70%           170.2
Total / Weighted Average        $   4,117,521,386     0.68%           45.4

The Company has entered into repurchase agreements with 26 counterparties. We
continue to rebalance our exposures to counterparties and add new
counterparties.

We have entered into interest rate swap agreements to hedge our portfolio. The
Company’s swaps as of September 30, 2012 are summarized as follows:

Interest Rate Swaps
                                                               
                                    Weighted       Weighted       Weighted
Maturity       Notional Amount    Average        Average        Average
                                    Pay Rate       Receive        Years to
                                                   Rate**         Maturity
2014            $ 204,500,000       1.000%         0.440%         1.79
2015            334,025,000         1.131%         0.406%         2.63
2016            307,500,000         1.157%         0.389%         3.52
2017            385,000,000     *   1.027%         0.390%         4.94
2018            270,000,000     *   1.379%         0.388%         5.87
2019            290,000,000         1.472%         0.419%         6.78
2022            50,000,000          1.685%         0.415%         9.93
Total/Wtd Avg   $ 1,841,025,000     1.204%         0.403%         4.50

* These figures include forward starting swaps with a total notional of $300.0
million and a weighted average start date of November 14, 2012. Weighted
average rates shown are inclusive of rates corresponding to the terms of the
swap as if the swap were effective as of September 30, 2012.

** Approximately 6% of our receive float interest rate swap notionals reset
monthly based on one-month LIBOR and 94% of our receive float interest rate
swap notionals reset quarterly based on three-month LIBOR.

TAXABLE 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 net premiums paid on investments, (iii)
the timing and amount of deductions related to stock-based compensation, and
(iv) excise taxes. As of September 30, 2012, the Company had undistributed
taxable income of approximately $1.19 per share, including the effects of
dividends.

DIVIDEND

On September 6, 2012, the Company’s board of directors declared the third
quarter dividend of $0.77 per share of common stock that was paid on October
26, 2012 to stockholders of record as of September 18, 2012.

On August 17, 2012, the Company’s board of directors declared a distribution
to the holders of the 8.25% SeriesA Preferred Stock of $0.2521 per share for
the partial quarterly period that began on the initial issuance date of the
SeriesA Preferred Stock and ended on September16, 2012. The distribution was
paid on September17, 2012 to stockholders of record as of August31, 2012.

STOCKHOLDER CALL

The Company invites stockholders, prospective stockholders and analysts to
attend MITT’s third quarter earnings conference call on November 8, 2012 at
9:30 am Eastern Time. The stockholder call can be accessed by dialing (888)
424-8151 (U.S. domestic) or (847) 585-4422 (international). Please enter code
number 8732511#.

A presentation will accompany the conference call and will be available
shortly on the Company’s website at www.agmit.com. Select the Q3 2012 Earnings
Presentation link to download and print the presentation in advance of the
stockholder call.

An audio replay of the stockholder call combined with the presentation will be
made available on our website after the call. The replay will be available
until midnight on November 22, 2012. If you are interested in hearing the
replay, please dial (888) 843-7419 (U.S. domestic) or (630) 652-3042
(international). The conference ID number is 8732511#.

For further information or questions, please contact Lisa Yahr, the Company’s
Head of Investor Relations, at (212) 692-2282 or lyahr@angelogordon.com.

ABOUT AG MORTGAGE INVESTMENT TRUST, INC.

AG Mortgage Investment Trust, Inc. is a real estate investment trust that
invests in, acquires and manages a diversified portfolio of residential
mortgage assets, other real estate-related securities and financial assets. AG
Mortgage Investment Trust, Inc. is externally managed and advised by AG REIT
Management, LLC, a subsidiary of Angelo, Gordon & Co., L.P., an SEC-registered
investment adviser that specializes in alternative investment activities.

Additional information can be found on the Company's website at www.agmit.com.

ABOUT ANGELO, GORDON & CO.

Angelo, Gordon & Co. was founded in 1988 and has approximately $25 billion
under management. Currently, the firm's investment disciplines encompass five
principal areas: (i) distressed debt and leveraged loans, (ii) real estate,
(iii) mortgage-backed securities and other structured credit, (iv) private
equity and special situations and (v) a number of hedge fund strategies.
Angelo, Gordon & Co. employs over 270 employees, including more than 100
investment professionals, and is headquartered in New York, with associated
offices in Amsterdam, Chicago, Los Angeles, London, Hong Kong, Seoul,
Shanghai, Sydney and Tokyo.

FORWARD LOOKING STATEMENTS

This press release includes "forward-looking statements" within the meaning of
the safe harbor provisions of the United States Private Securities Litigation
Reform Act of 1995 related to future dividends, the credit component of our
portfolio book valve, deploying capital, the preferred stock offering and
repurchase agreements. Forward-looking statements are based on estimates,
projections, beliefs and assumptions of management of the Company at the time
of such statements and are not guarantees of future performance.
Forward-looking statements involve risks and uncertainties in predicting
future results and conditions. Actual results could differ materially from
those projected in these forward-looking statements due to a variety of
factors, including, without limitation, changes in interest rates, changes in
the yield curve, changes in prepayment rates, the availability and terms of
financing, changes in the market value of our assets, general economic
conditions, market conditions, conditions in the market for Agency RMBS,
Non-Agency RMBS, ABS and CMBS securities, and legislative and regulatory
changes that could adversely affect the business of the Company. Additional
information concerning these and other risk factors are contained in the
Company's filings with the Securities and Exchange Commission ("SEC"). Copies
are available free of charge on the SEC's website, http://www.sec.gov/. The
Company does not undertake or accept any obligation or undertaking to release
publicly any updates or revisions to any forward-looking statements to reflect
any change in its expectations or any change in events, conditions or
circumstances on which any such statement is based.

AG Mortgage Investment Trust, Inc. and Subsidiaries
Consolidated Balance Sheets
(Unaudited)
                                                          
                                        September 30, 2012   December 31, 2011
Assets
Real estate securities, at fair
value:
Agency - $3,718,533,776 and
$1,186,149,842 pledged as collateral,   $   3,953,652,516    $  1,263,214,099
respectively
Non-Agency - $373,124,776 and
$47,227,005 pledged as collateral,          396,794,077         58,787,051
respectively
ABS - $31,336,101 and $4,526,620            31,336,101          4,526,620
pledged as collateral, respectively
CMBS - $126,046,875 and $2,747,080          172,963,674         13,537,851
pledged as collateral, respectively
Linked transactions, net, at fair           97,566,244          8,787,180
value
Cash and cash equivalents                   80,496,926          35,851,249
Restricted cash                             5,130,047           3,037,055
Interest receivable                         15,864,560          4,219,640
Receivable on unsettled trades              11,147,587          -
Derivative assets, at fair value            2,936,328           1,428,595
Other assets                                706,130             711,617
Due from broker                             744,876             -
Due from affiliates                        -                  104,994
Total Assets                            $   4,769,339,066    $  1,394,205,951
                                                             
Liabilities
Repurchase agreements                   $   3,843,228,617    $  1,150,149,407
Payable on unsettled trades                 159,830,920         18,759,200
Interest payable                            2,115,798           613,803
Derivative liabilities, at fair value       38,305,994          9,569,643
Dividend payable                            17,584,168          7,011,171
Due to affiliates                           2,482,701           770,341
Accrued expenses                            1,312,565           668,552
Due to broker                              -                  379,914
Total Liabilities                           4,064,860,763       1,187,922,031
                                                             
Stockholders' Equity
Preferred stock - $0.01 par value;
50,000,000 shares authorized:
8.25% Series A Cumulative Redeemable
Preferred Stock, 2,070,000 and 0
shares
issued and outstanding ($51,750,000         49,919,633          -
and $0 aggregate liquidation
preference) at
September 30, 2012 and December 31,
2011, respectively
8.00% Series B Cumulative Redeemable
Preferred Stock, 4,600,000 and 0
shares
issued and outstanding ($115,000,000        111,302,268         -
and $0 aggregate liquidation
preference)
at September 30, 2012 and December
31, 2011, respectively
Common stock, par value $0.01 per
share; 450,000,000 shares of common
stock
authorized and 22,883,480 and               228,835             100,100
10,009,958 shares issued and
outstanding at
September 30, 2012 and December 31,
2011, respectively
Additional paid-in capital                  458,172,393         198,228,694
Retained earnings                          84,855,174         7,955,126
                                            704,478,303         206,283,920
                                                            
Total Liabilities & Equity              $   4,769,339,066    $  1,394,205,951

AG Mortgage Investment Trust, Inc. and Subsidiaries
Consolidated Statements of Operations
(Unaudited)
                                                                 Period from
                Three Months      Three Months     Nine Months       March 7, 2011
                Ended             Ended            Ended             to
                September 30,     September 30,    September 30,     September 30,
                2012              2011             2012              2011
Net Interest
Income
Interest        $ 28,285,116      $ 8,726,394      $ 60,164,752      $ 8,726,394
income
Interest         4,228,610       590,247        8,506,041       590,247    
expense
                 24,056,506      8,136,147      51,658,711      8,136,147  
                                                                     
Other Income
Net realized      4,105,323         4,291,139        14,087,123        4,291,139
gain
Gain on
linked            6,688,111         204,727          13,492,268        204,727
transactions,
net
Realized loss
on periodic
interest
settlements       (2,471,590  )     (986,502   )     (6,061,954  )     (986,502   )
of interest
rate swaps,
net
Unrealized
loss on
derivative        (13,371,486 )     (6,562,093 )     (26,793,133 )     (6,562,093 )
instruments,
net
Unrealized
gain on real
estate           45,917,570      9,694,455      78,755,229      9,694,455  
securities,
net
                 40,867,928      6,641,726      73,479,533      6,641,726  
                                                                     
Expenses
Management
fee to            1,657,701         742,557          3,903,378         742,557
affiliate
Other
operating         1,653,547         739,452          3,227,786         755,270
expenses
Equity based
compensation      120,612           78,822           312,712           78,822
to affiliate
Excise tax       272,195         -              605,773         -          
                 3,704,055       1,560,831      8,049,649       1,576,649  
                                                                  
Net Income       61,220,379      13,217,042     117,088,595     13,201,224 
                                                                     
Dividends on
preferred         790,100           -                790,100           -
stock
                                                                  
Net Income
Available to    $ 60,430,279     $ 13,217,042    $ 116,298,495    $ 13,201,224 
Common
Stockholders
                                                                     
Earnings Per
Share of
Common Stock
Basic           $ 3.13            $ 1.42           $ 7.07            $ 3.20
Diluted         $ 3.10            $ 1.41           $ 7.07            $ 3.18
                                                                     
Weighted
Average
Number of
Shares of
Common Stock
Outstanding
Basic             19,336,154        9,339,516        16,439,100        4,130,940
Diluted           19,462,984        9,383,253        16,449,450        4,150,285
                                                                     
Dividends
Declared per    $ 0.77            $ 0.40           $ 2.17            $ 0.40
Share of
Common Stock

NON-GAAP FINANCIAL MEASURE

This press release contains Core Earnings, a non-GAAP financial measure. AG
Mortgage Investment Trust’s management believes that this non-GAAP measure,
when considered with GAAP, provides supplemental information useful in
evaluating the results of the Company’s operations. This non-GAAP measure
should not be considered a substitute for, or superior to, the financial
measures calculated in accordance with GAAP. Our GAAP financial results and
the reconciliations from these results should be carefully evaluated.

Core Earnings are defined by the Company as net income excluding both realized
and unrealized gains (losses) on the sale or termination of securities,
including underlying linked transactions and derivatives. As defined, Core
Earnings include the net interest earned on these transactions, including
credit derivatives, linked transactions, inverse Agency securities, interest
rate derivatives or any other investment activity that may earn net interest.
One of the objectives of the Company is to generate net income from net
interest margin on the portfolio and management uses Core Earnings to measure
this objective.

A reconciliation of GAAP net income to Core Earnings for the three and nine
months ended September 30, 2012, and for three months ended September 20, 2011
and the period from March 7, 2011 to September 30, 2011 is set forth below:

                                                                 Period from
                Three Months      Three Months     Nine Months       March 7, 2011
                Ended             Ended            Ended             to
                September 30,     September 30,    September 30,     September 30,
                2012              2011             2012              2011
                                                                     
Net Income
available to    $ 60,430,279      $ 13,217,042     $ 116,298,495     $ 13,201,224
common
stockholders
Add (Deduct):
Net realized      (4,105,323  )     (4,291,139 )     (14,087,123 )     (4,291,139 )
gain
Gain on
linked            (6,688,111  )     (204,727   )     (13,492,268 )     (204,727   )
transactions,
net
Net interest
income on         2,917,262         345,909          6,861,434         345,909
linked
transactions
Unrealized
loss on
derivative        13,371,486        6,562,093        26,793,133        6,562,093
instruments,
net
Unrealized
gain on real     (45,917,570 )   (9,694,455 )   (78,755,229 )   (9,694,455 )
estate
securities
Core Earnings   $ 20,008,023      $ 5,934,723      $ 43,618,442      $ 5,918,905
                                                                     
Core
Earnings, per   $ 1.03            $ 0.63           $ 2.65            $ 1.43
Diluted Share

Footnotes

(1) Per share figures are calculated using a denominator of all outstanding
shares including all shares granted to our Manager and our independent
directors under our equity incentive plans as of quarter end. Net book value
uses stockholders’ equity less net proceeds of the Company’s 8.25% Series A
and 8.00% Series B Cumulative Redeemable Preferred Stock as the numerator.

(2) Return on equity is calculated by dividing net income at quarter end by
the weighted average stockholders’ equity during the quarter.

(3) Generally when we purchase a security and finance it with a repurchase
agreement, the security is included in our assets and the repurchase agreement
is separately reflected in our liabilities on our balance sheet. For
securities with certain characteristics (including those which are not readily
obtainable in the market place) that are purchased and then simultaneously
sold back to the seller under a repurchase agreement, US GAAP requires these
transactions be netted together and recorded as a forward purchase commitment.
Throughout this press release where we disclose our investment portfolio and
the repurchase agreements that finance it, including our leverage metrics, we
have un-linked the transaction and used the gross presentation as used for all
other securities. This presentation is consistent with how the Company’s
management evaluates the business, and believes provides the most accurate
depiction of the Company’s investment portfolio and financial condition.

(4) Net interest margin is calculated by subtracting the weighted average cost
of funds from the weighted average yield for the Company’s investment
portfolio, which excludes cash held by the Company. See footnotes (10) and
(11) for further detail.

(5) The total investment portfolio is calculated by summing the fair market
value of our Agency RMBS, Non-Agency RMBS, ABS and CMBS assets, including
linked transactions. The percentage of Agency RMBS and credit investments are
calculated by dividing the respective fair market value of each, including
linked transactions, by the total investment portfolio.

(6) This represents the weighted average monthly CPRs published during the
quarter for our in-place portfolio during the same period.

(7) Diluted per share figures are calculated using weighted average
outstanding shares in accordance with GAAP.

(8) The leverage ratio during the quarter was calculated by dividing our daily
weighted average repurchase agreements, including those included in linked
transactions, for the quarter by the weighted average stockholders’ equity for
the quarter. The leverage ratio at quarter end was calculated by dividing
total repurchase agreements, including repurchase agreements accounted for as
linked transactions, plus or minus the net payable or receivable, as
applicable, on unsettled trades on our GAAP balance sheet by our GAAP
stockholders’ equity at quarter end.

(9) The swap ratio during the quarter was calculated by dividing our daily
weighted average swap notionals, including receive fixed swap notionals as
negative values, for the period by our daily weighted average repurchase
agreements secured by Agency RMBS. When calculated using the weighted average
total repurchase agreements, including those included in linked transactions,
the ratio during the quarter is 45%. The swap ratio at quarter end was
calculated by dividing the notional value of our interest rate swaps by total
repurchase agreements secured by Agency RMBS, plus the net payable/receivable
on unsettled trades. When calculating using the total repurchase agreements
including those included in linked transactions, the ratio at quarter-end is
43%.

(10) The yield on our investment 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 yield on our
investment portfolio during the quarter was calculated by annualizing interest
income for the quarter and dividing by our daily weighted average securities
held. This calculation excludes cash held by the Company.

(11) The cost of funds during the quarter was calculated by annualizing the
sum of our interest expense and our net pay rate of our interest rate swaps,
and dividing by our daily weighted average repurchase agreements for the
period. The cost of funds at quarter end was calculated as the sum of the
weighted average rate on the repurchase agreements outstanding at quarter end
and the weighted average net pay rate on our interest rate swaps. Both
elements of the cost of funds at quarter end were weighted by the repurchase
agreements outstanding at quarter end.

(12) The management fee percentage during the quarter was calculated by
annualizing the management fees incurred during the quarter and dividing by
the weighted average stockholders’ equity for the quarter. The management fee
percentage at quarter end was calculated by annualizing management fees
incurred during the quarter and dividing by quarter end stockholders’ equity.

(13) The other operating expenses percentage during the quarter was calculated
by annualizing the other operating expenses incurred during the quarter and
dividing by our weighted average stockholders’ equity for the quarter. The
other operating expenses percentage at quarter end was calculated by
annualizing other operating expenses recorded during the quarter and dividing
by quarter end stockholders’ equity.

Contact:

AG Mortgage Investment Trust, Inc.
Lisa Yahr
Head of Investor Relations
212-692-2282
lyahr@angelogordon.com
 
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