AG Mortgage Investment Trust, Inc. Reports Fourth Quarter Earnings

  AG Mortgage Investment Trust, Inc. Reports Fourth Quarter Earnings

Business Wire

NEW YORK -- March 5, 2013

AG Mortgage Investment Trust, Inc. (“MITT” or the “Company”) (NYSE: MITT)
today reported core earnings of $19.8 million and net income available to
common stockholders of $14.6 million for the quarter ended December 31, 2012.
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, CMBS, commercial loans and other real estate
related assets. 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 available to common stockholders of $0.62 per share (6) for the
    quarter and $7.18 per share for the year
  *Core Earnings of $0.85 per share for the quarter and $3.48 per share for
    the year
  *Net realized gains of $0.66 per share for the quarter and $1.62 per share
    for the year
  *$0.80 per share common dividend declared for the quarter and $2.97 per
    share for the year

  *$2.15 per share of undistributed taxable income (1)

       *Increase of $0.96 per share from September 30, 2012

  *$23.47 net book value per share as of December 31, 2012 (1), net of the
    fourth quarter dividend

       *$2.95 per share increase from $20.52 as of December 31, 2011

  *31.4% return on stock in 2012
  *Raised approximately $91.2 million of gross proceeds through a common
    stock offering during the quarter
  *49% of warrants outstanding exercised as of December 31, 2012

INVESTMENT HIGHLIGHTS

  *$4.9 billion investment portfolio value as of December 31, 2012 (2) (4)

       *77.8% Agency RMBS investment portfolio
       *22.2% credit investment portfolio, comprised of Non-Agency RMBS, ABS,
         CMBS, and commercial loan assets

  *2.15% net interest margin as of December 31, 2012 (3)
  *5.26x leverage as of December 31, 2012 (2) (7)
  *7.8% constant prepayment rate (“CPR”) for the fourth quarter on the Agency
    RMBS investment portfolio (5)

       *6.4% CPR for the year

  *Increased interest rate swap notional by $325.0 million

       *65% hedge ratio as of quarter end, increased from 53% as of September
         30, 2012

  *New investment in securitized pool of legacy whole loans

“A highlight since our last call was MITT’s investment in two proprietary
transactions sourced through the Angelo, Gordon platform, one a commercial
real estate loan that closed in January 2013 and the other a portfolio of
residential whole loans,” said David Roberts, Chief Executive Officer. “Our
ability to source, negotiate, and analyze these purchases demonstrates the
depth of the resources provided to MITT by the Angelo, Gordon platform. We
believe this platform is a long term distinguishing advantage for MITT and its
shareholders.”

“Over the course of the fourth quarter we accomplished several key investment
goals that we believe position MITT to continue to deliver strong future
results for its shareholders,” said Jonathan Lieberman, Chief Investment
Officer. “First, we continued to grow our allocation to credit securities with
attractive risk-adjusted returns. Second, we increased our interest rate hedge
ratio based upon an expectation that interest rates were likely to rise over
the short-term, a view that has in fact played out. Third, we also executed
upon our plan to lengthen the original tenor of our repo maturities. Finally,
we were very pleased to have announced subsequent to year-end, that Angelo,
Gordon & Co., the parent of the Company’s external manager, appointed Jason
Biegel as Managing Director and the head of its Residential Whole Loan
platform. In this role at Angelo, Gordon, he will have primary responsibility
for building out a residential whole loan platform that will enable the
Company to expand its investments in residential whole loans, mortgage
servicing rights and other similar assets. We believe this expansion will
allow us to further drive shareholder value.”

KEY STATISTICS (2)

                                                     
                                                          
                                                         Weighted Average for

                                  Weighted Average at     the Quarter Ended

                                  December 31, 2012       December 31, 2012
Investment portfolio              $   4,866,118,403       $    4,858,921,440
Repurchase agreements             $   4,193,763,272       $    4,237,068,507
Stockholders' equity              $   794,621,781         $    703,649,284
                                                          
Leverage ratio (7)                5.26x                   6.02x
Swap ratio (8)                        65%                      59%
                                                          
Yield on investment portfolio         3.38%                    3.37%
(9)
Cost of funds (10)                    1.23%                    1.11%
Net interest margin (3)               2.15%                    2.26%
Management fees (11)                  1.26%                    1.43%
Other operating expenses (12)         1.12%                    1.26%
                                                          
Book value, per share (1)         $   23.47
Dividend, per share               $   0.80
                                                          

INVESTMENT PORTFOLIO

The following summarizes the Company’s investment portfolio as of December 31,
2012 (2):

                                                                                                      
                                                                                                       Weighted Average
                                    Premium                                                                    
                                                                                                        
                 Current Face        (Discount)                Amortized Cost      Fair Value          Coupon*     Yield
Agency RMBS:
15-Year          $ 1,177,320,487     $ 46,922,089              $ 1,224,242,576     $ 1,248,210,196     2.97  %     2.08 %
Fixed Rate
20-Year            137,858,353         6,696,803                 144,555,156         148,124,694       3.68  %     2.78 %
Fixed Rate
30-Year            1,998,807,425       116,173,790               2,114,981,215       2,143,738,095     3.63  %     2.75 %
Fixed Rate
ARM                36,228,319          1,584,714                 37,813,033          38,175,754        2.96  %     2.34 %
Interest           972,543,812         (763,342,056      )       209,201,756         207,618,412       6.00  %     7.00 %
Only
Credit
Investments:
Non-Agency         970,183,150         (117,684,634      )       852,498,516         866,017,640       4.72  %     5.48 %
RMBS
ABS                33,620,881          (36,289           )       33,584,592          33,937,097        5.34  %     5.44 %
CMBS               110,406,946         (3,150,378        )       107,256,568         110,059,914       5.27  %     6.19 %
Interest           640,867,674         (572,685,926      )       68,181,748          67,736,601        2.13  %     5.50 %
Only
Commercial        2,500,000          -                       2,500,000        2,500,000         9.63  %   9.76 %
Loan
Total            $ 6,080,337,047       $(1,285,521,887)       $ 4,794,815,160     $ 4,866,118,403     3.97  %     3.38 %
                                                                                                                   
* Equity residual investments with a zero coupon rate are excluded from this calculation.


As of December 31, 2012, the weighted average yield on the Company's
investment portfolio was 3.38% and its weighted average cost of funds was
1.23%. This resulted in a net interest margin of 2.15% as of December 31,
2012. (3)

The Company had net realized gains of $15.5 million, or $0.66 per share,
during the quarter ended December 31, 2012. Of this amount, $10.9 million, or
$0.46 per share, was from sales of Agency RMBS and TBAs, $3.8 million, or
$0.16 per share, was from the sales of credit investments and $0.8 million, or
$0.04 per share, was from the transfer of securities previously accounted for
as derivatives through linked transactions. The Company had year-to-date net
realized gains of $29.5 million, or $1.62 per share. Of this amount, $20.3
million, or $1.11 per share, was from sales of Agency RMBS and TBAs, $6.1
million, or $0.34 per share, was from sales of credit investments, $3.4
million, or $0.19 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 7.8% for the fourth
quarter, and 8.4% for the month of December 2012. The 2012 CPR on the Agency
RMBS investment portfolio was 6.4%. (5)

The weighted average cost basis of the Agency RMBS investment portfolio,
excluding interest-only securities, was 105.1% as of December 31, 2012. The
amortization of premiums (net of any accretion of discounts) on these
securities for the fourth quarter of 2012 was $(6.5) million, or $(0.28) per
share. The Company recorded year-to-date premium amortization of $(17.4)
million, or $(0.95) per share. The unamortized net Agency RMBS premium as of
December 31, 2012 was $171.4 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 a zero cent
retrospective adjustment as a result of the 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 5.1% as
of December 31, 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.

We have also entered into “to-be-announced” (“TBA”) positions to facilitate
the future purchase of Agency RMBS. Under the terms of these TBAs, the Company
agrees to purchase, for future delivery, Agency RMBS with certain principal
and interest specifications and certain types of underlying collateral, but
the particular Agency RMBS to be delivered are not identified until shortly
before (generally two days) the TBA settlement date. At December 31, 2012, we
had $40.0 million net notional amount of TBA positions with a net weighted
average purchase price of 104.5%. As of December 31, 2012, our TBA portfolio
had a net weighted average yield at purchase of 2.36% and a net weighted
average settlement date of March 12, 2013. We have recorded derivative
liabilities of $0.1 million reflecting TBA positions.

LEVERAGE AND HEDGING ACTIVITIES

The investment portfolio is financed with repurchase agreements as of December
31, 2012 as summarized below:

                                                          
Repurchase                              Weighted     Weighted     % Repo
Agreements                                                   
                     Balance             Average      Average      Outstanding
Maturing Within:                         Rate         Maturity
30 Days or Less      $ 2,525,200,001     0.83%        15.3         60.2%
31-60 Days             783,969,000       0.52%        44.5         18.7%
61-90 Days             547,416,000       0.57%        70.7         13.1%
Greater than 90       337,178,271       1.30%        125.7        8.0%
Days
Total / Weighted     $ 4,193,763,272     0.78%        36.9         100.0%
Average
                                                                   

The Company has entered into repurchase agreements with 30 counterparties. We
continue to rebalance our exposures to counterparties, add new counterparties
and extend original maturities. We increased our original maturity to 87 days
as of December 31, 2012 from 79 days as September 30, 2012.

We have entered into interest rate swap agreements to hedge our portfolio. The
Company’s swaps as of December 31, 2012 are summarized as follows:

                                                                
Interest Rate Swaps
                                                                     
                                                      Weighted     Weighted

Maturity                                 Weighted      Average      Average
                                          Average       Receive      Years to
                  Notional Amount
                                          Pay Rate      Rate**       Maturity
2014              $   204,500,000         1.000%        0.332%       1.54
2015                  364,025,000         1.078%        0.299%       2.42
2016                  367,500,000         1.077%        0.297%       3.36
2017                  410,000,000         1.018%        0.312%       4.70
2018                  320,000,000     *   1.308%        0.309%       5.56
2019                  450,000,000     *   1.390%        0.315%       6.56
2022                 50,000,000          1.685%        0.311%       9.68
Total/Wtd         $   2,166,025,000       1.172%        0.309%       4.42
Avg
                                                                     
* These figures include forward starting swaps with a total notional of $100.0
million and a weighted

average start date of April 2, 2013. Weighted average rates shown are
inclusive of rates corresponding to

the terms of the swap as if the swap were effective as of December 31, 2012.
** Approximately 5% of our receive float interest rate swap notionals reset
monthly based on one-month

LIBOR and 95% 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 December 31, 2012, the Company had undistributed
taxable income of approximately $2.15 per share, including the effects of
dividends.

DIVIDEND

On December 6, 2012, the Company’s board of directors declared the fourth
quarter dividend of $0.80 per share of common stock that was paid on January
28, 2013 to stockholders of record as of December 18, 2012.

On November 16, 2012, the Company declared a dividend of $0.51563 per share of
Series A preferred stock and a partial quarterly dividend of $0.44 per share
of Series B preferred stock. The partial period for the Series B preferred
stock began on the initial issuance date and ended on December 16, 2012. The
preferred distributions were paid on December 17, 2012 to stockholders of
record as of November 30, 2012.

STOCKHOLDER CALL

The Company invites stockholders, prospective stockholders and analysts to
attend MITT’s fourth quarter earnings conference call on March 6, 2013 at
10:00 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 8846814#.

A presentation will accompany the conference call and will be available on the
Company’s website at www.agmit.com. Select the Q4 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 March 20, 2013. 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 280 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
                                                             
                                                            
                                       December 31, 2012     December 31, 2011
Assets
Real estate securities, at fair
value:
Agency - $3,536,876,135 and
$1,186,149,842 pledged as              $  3,785,867,151      $  1,263,214,099
collateral, respectively
Non-Agency - $529,455,020 and
$47,227,005 pledged as collateral,        568,858,645           58,787,051
respectively
ABS - $33,937,097 and $4,526,620
pledged as collateral,                    33,937,097            4,526,620
respectively
CMBS - $148,307,262 and $2,747,080
pledged as collateral,                    148,365,887           13,537,851
respectively
Commercial loans receivable, at           2,500,000             -
fair value
Linked transactions, net, at              44,246,169            8,787,180
fair value
Cash and cash equivalents                 149,594,782           35,851,249
Restricted cash                           9,130,000             3,037,055
Interest receivable                       15,417,877            4,219,640
Receivable on unsettled trades            96,310,999            -
Derivative assets, at fair                -                     1,428,595
value
Other assets                              454,069               370,126
Due from broker                           884,605               341,491
Due from affiliates                      -                    104,994
Total Assets                           $  4,855,567,281      $  1,394,205,951
                                                             
Liabilities
Repurchase agreements                  $  3,911,419,818      $  1,150,149,407
Payable on unsettled trades               84,658,035            18,759,200
Interest payable                          3,502,974             613,803
Derivative liabilities, at fair           36,375,947            9,569,643
value
Dividend payable                          18,540,667            7,011,171
Due to affiliates                         3,910,065             770,341
Accrued expenses                          2,537,994             668,552
Due to broker                            -                    379,914
Total Liabilities                         4,060,945,500         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                    49,920,772            -
($51,750,000 and $0 aggregate
liquidation preference) at

December 31, 2012 and December 31,
2011, respectively
8.00% Series B Cumulative
Redeemable Preferred Stock,
4,600,000 and 0

shares issued and outstanding             111,293,233           -
($115,000,000 and $0 aggregate
liquidation preference) at

December 31, 2012 and December 31,
2011, respectively
Common stock, par value $0.01 per
share; 450,000,000 shares of
common stock

authorized and 26,961,936 and             269,620               100,100
10,009,958 shares issued and
outstanding at

December 31, 2012 and December 31,
2011, respectively
Additional paid-in capital                552,067,681           198,228,694
Retained earnings                        81,070,475           7,955,126
                                          794,621,781           206,283,920
                                                            
Total Liabilities & Equity             $  4,855,567,281      $  1,394,205,951
                                                             

                                                               
AG Mortgage Investment Trust, Inc. and Subsidiaries
Consolidated Statements of Operations
                                                                     
                                                                     Period from
                   Three Months     Three Months    Year Ended       March 7, 2011
                   Ended            Ended                            to
                   December 31,     December 31,    December 31,     December 31,
                   2012             2011            2012             2011
Net Interest       (Unaudited)      (Unaudited)
Income
Interest           $ 36,211,940     $ 10,022,275    $ 96,376,692     $ 18,748,669
income
Interest            6,504,403       1,106,097      15,010,444      1,696,344
expense
                    29,707,537      8,916,178      81,366,248      17,052,325
                                                                     
Other Income
Net realized         15,450,117       (589,747)       29,537,240       3,701,392
gain/(loss)
Gain/(loss)
on linked            6,522,386        (1,013,291)     20,014,654       (808,564)
transactions,
net
Realized loss
on periodic
interest             (3,900,171)      (1,175,788)     (9,962,125)      (2,162,290)
settlements of
interest rate
swaps, net
Unrealized
gain/(loss)
on derivative        2,706,607        70,663          (24,086,526)     (6,491,430)
instruments,
net
Unrealized
gain/(loss)
on real             (26,683,774)    1,346,237      52,071,455      11,040,692
estate
securities,
net
                    (5,904,835)     (1,361,926)    67,574,698      5,279,800
                                                                     
Expenses
Management
fee to               2,510,065        770,341         6,413,443        1,512,898
affiliate
Other
operating            2,215,273        811,372         5,443,059        1,566,642
expenses
Equity based
compensation         87,488           97,343          400,200          176,165
to affiliate
Excise tax          1,142,554       105,724        1,748,327       105,724
                    5,955,380       1,784,780      14,005,029      3,361,429
                                                                  
Net Income          17,847,322      5,769,472      134,935,917     18,970,696
                                                                     
Dividends on
preferred            3,346,910        -               4,137,010        -
stock
                                                                  
Net Income
Available to       $ 14,500,412     $ 5,769,472     $ 130,798,907    $ 18,970,696
Common
Stockholders
                                                                     
Earnings Per
Share of
Common Stock
Basic              $ 0.62           $ 0.58          $ 7.20           $ 3.20
Diluted            $ 0.62           $ 0.58          $ 7.18           $ 3.20
                                                                     
Weighted Average Number of Shares
of Common Stock Outstanding
Basic                23,314,040       10,009,958      18,167,227       5,933,839
Diluted              23,433,041       10,010,799      18,227,060       5,933,930
                                                                     
Dividends
Declared per       $ 0.80           $ 0.70          $ 2.97           $ 1.10
Share of
Common Stock
                                                                     

NON-GAAP FINANCIAL MEASURE

This press release contains Core Earnings, a non-GAAP financial measure. AG
Mortgage Investment Trust, Inc.’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 months and
year ended December 31, 2012, the three months ended December 31, 2011 and for
the period from March 7, 2011 to December 31, 2011 is set forth below:

                                                                    
                                                                             Period from
                  Three Months        Three Months       Year Ended          March 7, 2011
                  Ended               Ended                                  to
                  December 31,        December 31,       December 31,        December 31,
                  2012                2011               2012                2011
                                                                             
Net Income
available to      $ 14,500,412        $ 5,769,472        $ 130,798,907       $ 18,970,696
common
stockholders
Add (Deduct):
Net realized        (15,450,117 )       589,747            (29,537,240 )       (3,701,392  )
gain/(loss)
Gain/(loss)
on linked           (6,522,386  )       1,013,291          (20,014,654 )       808,564
transactions,
net
Net interest
income on           3,303,415           554,729            10,164,849          900,638
linked
transactions
Unrealized
gain/(loss)
on derivative       (2,706,607  )       (70,663    )       24,086,526          6,491,430
instruments,
net
Unrealized
gain/(loss)
on real            26,683,774      (1,346,237 )    (52,071,455 )    (11,040,692 )
estate
securities,
net
Core Earnings     $ 19,808,491        $ 6,510,339        $ 63,426,933        $ 12,429,244
                                                                             
Core
Earnings, per     $ 0.85              $ 0.65             $ 3.48              $ 2.09
Diluted Share
                                                                             

Footnotes

(1) Per share figures are calculated using a denominator of all outstanding
common 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) 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.

(3) 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.

(4) The total investment portfolio is calculated by summing the fair market
value of our Agency RMBS, Non-Agency RMBS, ABS, CMBS and commercial loan
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.

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

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

(7) 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.

(8) The swap ratio during the quarter was calculated by dividing our daily
weighted average swap notionals, including receive fixed swap notionals as
negative values, as applicable, for the period by our daily weighted average
repurchase agreements secured by Agency RMBS. 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 Agency trades.

(9) 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.

(10) 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.

(11) The management fee percentage during the quarter was calculated by
annualizing the management fees recorded 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
recorded during the quarter and dividing by quarter end stockholders’ equity.

(12) The other operating expenses percentage during the quarter was calculated
by annualizing the other operating expenses recorded 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, 212-692-2282
Head of Investor Relations
lyahr@angelogordon.com