Market Overview

AG Mortgage Investment Trust, Inc. Reports Third Quarter 2020 Results

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AG Mortgage Investment Trust, Inc. ("MITT," "we," the "Company" or "our") (NYSE:MITT) today reported financial results for the quarter-ended September 30, 2020. AG Mortgage Investment Trust, Inc. is a hybrid mortgage REIT that opportunistically invests in and manages a diversified risk-adjusted portfolio of Agency RMBS and Credit Investments. Our Credit Investments include Residential Investments and Commercial Investments.

THIRD QUARTER 2020 FINANCIAL SNAPSHOT

  • $0.44 of Net Income per diluted common share(1)
    • Record high quarterly profitability at Arc Home driven by strong origination volumes and gain on sale margins
  • $3.34 Book Value per share(1) as of September 30, 2020, compared to $2.75 as of June 30, 2020
    • Book Value per share(1) would be $0.31 and $0.17 lower after deduction of the accumulated and unpaid preferred dividends outstanding as of September 30, 2020 and June 30, 2020, respectively
  • $1.1 billion Investment Portfolio and 0.9x Economic Leverage Ratio as of September 30, 2020 as compared to $1.0 billion and 0.8x, respectively, as of June 30, 2020(2)(3)(4)
  • $242.8 million of MTM recourse financing and $476.0 million of non-MTM non-recourse financing as of September 30, 2020 as compared to $278.7 million of MTM recourse financing and $409.6 million of non-MTM non-recourse financing as of June 30, 2020(a)
    • At September 30, 2020, had total liquidity of $82.4 million inclusive of $44.6 million of cash and $37.8 million of unencumbered agency fixed rate securities as compared to total liquidity of $68.2 million as of June 30, 2020
  • Capital Activity
    • Exchanged 516,300 shares of common stock for 103,260 shares of preferred stock in the public Exchange Offer
    • Utilized ATM program to issue approximately 0.4 million shares of common stock for net proceeds of approximately $1.2 million
    • Issued 1.4 million shares of common stock to the Manager in satisfaction of deferred base management fees of approximately $4.3 million
      • Shares issued to the Manager were valued at $3.15 per share based on estimated book value per share as of August 31, 2020

(a) As of September 30, 2020, total financing of $718.8 million includes financing arrangements of $349.5 million, a secured loan from the Manager of $10.3 million and securitized debt of $359.0 million. As of June 30, 2020, total financing of $688.3 million includes financing arrangements of $469.2 million, secured loans from the Manager of $20.1 million and securitized debt of $199.0 million.(3)

MANAGEMENT REMARKS

"We are pleased with our Company's progression during the third quarter as we continue to focus on creating earnings power while maintaining adequate liquidity and increasing book value for our shareholders," said Chief Executive Officer, David Roberts. "During the quarter, we increased our book value per share from $2.75 at June 30, 2020 to $3.34 at September 30, 2020. We generated $0.44 of net income per diluted common share driven by strong performance from Arc Home."

"During the quarter, we were active in the market acquiring Agency whole pools and residential loans as well as completing two securitizations, inclusive of our second rated Non-QM deal in 2020, further transitioning our financing to non-MTM non-recourse from MTM recourse and lowering our cost of funds. We also continued to maintain a low Economic Leverage Ratio of 0.9x, compared to 0.8x at the end of the second quarter," noted Chief Investment Officer, T.J. Durkin.

Mr. Durkin added, "Arc Home continued to experience strong performance during the quarter, with another new record quarter in Agency volumes and gross production margins, expanding on its trend from the second quarter. This resulted in Arc Home achieving record profitability of $29.5 million, up from $16.9 million in the second quarter. As noted in the prior quarter, Arc Home was also one of the first originators to re-enter the Non-QM business and we are seeing the pipeline for that product continue to grow at a healthy pace."

THIRD QUARTER 2020 ACTIVITY AND FINANCING UPDATE

  • Asset Activity
    • Alongside other Angelo Gordon funds, sold our Ginnie Mae Excess MSR portfolio generating proceeds of approximately $8.5 million, representing our ~45% ownership in the portfolio
    • Opportunistically sold one commercial loan for proceeds of $2.7 million, releasing unfunded commitments of approximately $22.6 million
    • Executed the sale of certain CMBS for proceeds of $36.5 million
    • Acquired an RPL/NPL residential mortgage loan portfolio for $60.2 million, which was simultaneously incorporated into the RPL/NPL securitization described below
    • Purchased $250.1 million of 30 Year Fixed Rate agency securities
  • Financing Activity
    • Participated in a rated Non-QM securitization alongside other Angelo Gordon funds, which termed out repo financing into lower cost, fixed rate, long-term financing related to Non-QM loans with a fair value of $226.0 million
      • Maintained exposure to the securitization through an interest in the subordinated tranches
    • Securitized RPL/NPL residential mortgage loans with a fair value of $199.6 million, entering into new lower cost, fixed rate long-term financing, returning $3.3 million of equity to MITT
      • Maintained exposure to the securitization through an interest in the subordinated tranches
    • Resolved and settled all deficiency claims with lenders as of August 10th

ARC HOME UPDATE

  • MITT, alongside other Angelo Gordon funds, owns Arc Home(6), a fully licensed mortgage originator
  • Record profitability in the third quarter of $29.5 million, up from $16.9 million in second quarter
    • Resulted in income of $13.4 million for MITT
  • Continued to experience record Agency Mortgage Loan Lock and Funding volumes in the third quarter of 2020

($ in millions)

2019 FY

 

2020 Q1

 

2020 Q2

 

2020 Q3

Lock Dollars

$2,213

 

$911

 

$1,399

 

$1,677

Funding Dollars

1,573

 

415

 

854

 

1,253

  • Gross production margins remained at historic highs during the quarter contributing to strong operating performance
    • Began to experience some normalization of margins as the industry continues to build capacity to meet demand
  • Re-entered the Non-QM market during the third quarter
    • Expect modest near-term production volumes of Non-QM loans
    • Securitization market for Non-QM loans has returned to pre-COVID levels
  • Opportunistically sold its GNMA MSR portfolio

KEY STATISTICS

($ in millions, except per share data)

 

September 30, 2020

Investment portfolio(2) (3)

 

$1,121.3

Financing arrangements(3)

 

349.5

Total Economic Leverage(4)

 

347.7

Stockholders' equity

 

390.5

GAAP Leverage Ratio

 

1.8x

Economic Leverage Ratio(4)

 

0.9x

Book value, per share(1)

 

$3.34

Duration gap(5)

 

1.39

INVESTMENT PORTFOLIO

The following summarizes the Company's investment portfolio as of September 30, 2020(2)(3):

($ in millions)

 

Fair Value

 

Percent of Fair

Value

 

Allocated

Equity(7)

 

Percent of Equity

Agency RMBS(a)

 

$254.0

 

22.7%

 

$59.5

 

15.2%

Residential Investments(a)

 

690.2

 

61.6%

 

236.9

 

60.7%

Commercial Investments

 

177.1

 

15.7%

 

94.1

 

24.1%

Total

 

$1,121.3

 

100.0%

 

$390.5

 

100.0%

(a) As of September 30, 2020, the table above includes fair value of $0.4 million of Agency RMBS and $217.2 million of Residential Investments that are included in the "Investments in debt and equity of affiliates" line item on our consolidated balance sheet.

DIVIDEND

The Company announced today that its Board of Directors (the "Board") has approved, and the Company has declared and set apart for payment on December 17, 2020, the next regular payment date, all accrued and unpaid cash dividends on its 8.25% Series A Cumulative Redeemable Preferred Stock (the "Series A Preferred Stock"), 8.00% Series B Cumulative Redeemable Preferred Stock (the "Series B Preferred Stock"), and 8.000% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock (the "Series C Preferred Stock") that were in arrears as well as the full dividends payable on the preferred stock for the fourth quarter of 2020.

In accordance with the terms of its Series A Preferred Stock, the Board approved and the Company declared a cash dividend of $1.54689 per share on its Series A Preferred Stock.

In accordance with the terms of its Series B Preferred Stock, the Board approved and the Company declared a cash dividend of $1.50 per share on its Series B Preferred Stock.

In accordance with the terms of its Series C Preferred Stock, the Board approved and the Company declared a cash dividend of $1.50 per share on its Series C Preferred Stock.

Dividends for the Series A Preferred Stock, the Series B Preferred Stock, and the Series C Preferred Stock are payable on December 17, 2020 to preferred shareholders of record on November 30, 2020.

As of September 30, 2020, the Company's book value does not include any accrual of accumulated, unpaid, or undeclared dividends on its Cumulative Redeemable Preferred Stock. As such, the Company's book value as of September 30, 2020 will decrease by the amount of the dividends declared during the fourth quarter. The Company's book value per share as of September 30, 2020 would be $0.31 lower after deducting the accumulated and unpaid preferred dividends outstanding as of September 30, 2020.

STOCKHOLDER CALL

The Company invites stockholders, prospective stockholders and analysts to participate in MITT's third quarter earnings conference call on November 6, 2020 at 8:30 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 9327650.

A presentation will accompany the conference call and will be available on the Company's website at www.agmit.com. Select the Q3 2020 Earnings Presentation link to download the presentation in advance of the stockholder call.

For those unable to listen to the live call, an audio replay will be available promptly following the conclusion of the call on November 6, 2020, through December 6, 2020. To access the replay, please go to https://onlinexperiences.com/Launch/QReg/ShowUUID=518CCB8D-400C-4FC5-AF9B-FF42E683B028&LangLocaleID=1033. The replay passcode is 50008110.

For further information or questions, please e-mail ir@agmit.com.

ABOUT AG MORTGAGE INVESTMENT TRUST, INC.

AG Mortgage Investment Trust, Inc. is a hybrid mortgage REIT that opportunistically invests in and manages a diversified risk-adjusted portfolio of Agency RMBS and Credit Investments. Its Credit Investments include Residential Investments and Commercial Investments. 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

Angelo, Gordon & Co., L.P. is a privately held limited partnership founded in November 1988. The firm manages approximately $41 billion as of September 30, 2020 with a primary focus on credit and real estate strategies. Angelo Gordon has over 550 employees, including more than 200 investment professionals, and is headquartered in New York, with offices in the U.S., Europe and Asia. For more information, visit www.angelogordon.com.

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 dividends, book value, our investments, our business and investment strategy, investment returns, return on equity, liquidity, financing, taxes, our assets, our interest rate sensitivity, and our views on certain macroeconomic trends and conditions, among others. 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, 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 and Commercial Investments; 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 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. Additional information concerning these and other risk factors are contained in the Company's filings with the Securities and Exchange Commission ("SEC"), including its most recent Annual Report on Form 10-K and subsequent filings, including its quarterly report on Form 10-Q for the three months ended September 30, 2020 and its Current Reports on Form 8-K. Copies are available free of charge on the SEC's website, http://www.sec.gov/. All information in this press release is as of November 6, 2020. The Company undertakes no duty to update 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.

NON-GAAP FINANCIAL INFORMATION

In addition to the results presented in accordance with GAAP, this press release includes certain non-GAAP financial results and financial metrics derived therefrom, including investment portfolio, financing arrangements, and economic leverage ratio, which are calculated by including or excluding depreciation and amortization, unconsolidated investments in affiliates, TBAs, and U.S. Treasuries, or, with respect to our equity allocation calculation, by allocating all non-investment portfolio related assets and liabilities to our investment portfolio categories based on the characteristics of such assets and liabilities, as described in the footnotes to this press release. Our management team believes that this non-GAAP financial information, when considered with our GAAP financials, provides supplemental information useful for investors as it enables them to evaluate our current core performance using the same metrics that management uses to operate the business. Our presentation of non-GAAP financial information may not be comparable to similarly-titled measures of other companies, who may use different calculations. This non-GAAP financial information 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.

 

AG Mortgage Investment Trust, Inc. and Subsidiaries

Consolidated Balance Sheets (Unaudited)

(in thousands, except per share data)

 

 

September 30, 2020

 

December 31, 2019

Assets

 

 

 

 

Real estate securities, at fair value:

 

 

 

 

Agency - $107,252 and $2,234,921 pledged as collateral, respectively

 

$

250,123

 

$

2,315,439

 

Non-Agency - $26,711 and $682,828 pledged as collateral, respectively

 

43,271

 

717,470

 

CMBS - $40,486 and $413,922 pledged as collateral, respectively

 

54,228

 

416,923

 

Residential mortgage loans, at fair value - $45,019 and $171,224 pledged as collateral,

respectively

 

429,648

 

417,785

 

Commercial loans, at fair value - $0 and $4,674 pledged as collateral, respectively

 

122,880

 

158,686

 

Investments in debt and equity of affiliates

 

138,689

 

156,311

 

Excess mortgage servicing rights, at fair value

 

3,526

 

17,775

 

Cash and cash equivalents

 

44,592

 

81,692

 

Restricted cash

 

5,108

 

43,677

 

Other assets

 

9,159

 

21,905

 

Assets held for sale - Single-family rental properties, net

 

 

154

 

Total Assets

 

$

1,101,224

 

$

4,347,817

 

 

 

 

 

 

Liabilities

 

 

 

 

Financing arrangements

 

$

225,504

 

$

3,233,468

 

Securitized debt, at fair value

 

358,986

 

224,348

 

Payable on unsettled trades

 

105,016

 

 

Dividend payable

 

 

14,734

 

Other liabilities

 

20,944

 

24,675

 

Liabilities held for sale - Single-family rental properties, net

 

305

 

1,546

 

Total Liabilities

 

710,755

 

3,498,771

 

Commitments and Contingencies

 

 

 

 

Stockholders' Equity

 

 

 

 

Preferred stock - $0.01 par value; 50,000 shares authorized:

 

 

 

 

8.25% Series A Cumulative Redeemable Preferred Stock; 2,027 and 2,070 shares issued and outstanding at September 30, 2020 and December 31, 2019, respectively ($52,770 and $51,750 aggregate liquidation preference, respectively)

 

48,888

 

49,921

 

8.00% Series B Cumulative Redeemable Preferred Stock; 4,569 and 4,600 shares issued and outstanding at September 30, 2020 and December 31, 2019, respectively ($118,792 and $115,000 aggregate liquidation preference, respectively)

 

110,541

 

111,293

 

8.000% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock, 4,571 and 4,600 shares issued and outstanding at September 30, 2020 and December 31, 2019, respectively ($118,837 and $115,000 aggregate liquidation preference, respectively)

 

110,533

 

111,243

 

Common stock, par value $0.01 per share; 450,000 shares of common stock authorized and 36,121 and 32,742 shares issued and outstanding at September 30, 2020 and December 31, 2019, respectively

 

361

 

327

 

Additional paid-in capital

 

673,105

 

662,183

 

Retained earnings/(deficit)

 

(552,959)

 

(85,921)

 

Total Stockholders' Equity

 

390,469

 

849,046

 

 

 

 

 

 

Total Liabilities & Stockholders' Equity

 

$

1,101,224

 

$

4,347,817

 

 

AG Mortgage Investment Trust, Inc. and Subsidiaries

Consolidated Statements of Operations (Unaudited)

(in thousands, except per share data)

 

Three Months Ended

 

September 30, 2020

 

September 30, 2019

Net Interest Income

 

 

 

Interest income

$

9,717

 

 

$

40,735

 

Interest expense

4,357

 

 

21,887

 

Total Net Interest Income

5,360

 

 

18,848

 

 

 

 

 

Other Income/(Loss)

 

 

 

Net realized gain/(loss)

(14,431)

 

 

(16,132)

 

Net interest component of interest rate swaps

(13)

 

 

2,179

 

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

19,495

 

 

11,726

 

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

1,970

 

 

3,258

 

Foreign currency gain/(loss), net

(10)

 

 

667

 

Other income

 

 

210

 

Total Other Income/(Loss)

7,011

 

 

1,908

 

 

 

 

 

Expenses

 

 

 

Management fee to affiliate

1,698

 

 

2,346

 

Other operating expenses

5,929

 

 

6,062

 

Restructuring related expenses

1,345

 

 

 

Equity based compensation to affiliate

 

 

76

 

Excise tax

 

 

186

 

Servicing fees

540

 

 

416

 

Total Expenses

9,512

 

 

9,086

 

 

 

 

 

Income/(loss) before equity in earnings/(loss) from affiliates

2,859

 

 

11,670

 

 

 

 

 

Equity in earnings/(loss) from affiliates

17,187

 

 

(564)

 

Net Income/(Loss) from Continuing Operations

20,046

 

 

11,106

 

Net Income/(Loss) from Discontinued Operations

 

 

(1,057)

 

Net Income/(Loss)

20,046

 

 

10,049

 

 

 

 

 

Gain on Exchange Offer, net

539

 

 

 

Dividends on preferred stock (1)

(5,563)

 

 

(3,720)

 

 

 

 

 

Net Income/(Loss) Available to Common Stockholders

$

15,022

 

 

$

6,329

 

 

 

 

 

Earnings/(Loss) Per Share - Basic

 

 

 

Continuing Operations

$

0.44

 

 

$

0.22

 

Discontinued Operations

 

 

(0.03)

 

Total Earnings/(Loss) Per Share of Common Stock

$

0.44

 

 

$

0.19

 

 

 

 

 

Earnings/(Loss) Per Share - Diluted

 

 

 

Continuing Operations

$

0.44

 

 

$

0.22

 

Discontinued Operations

 

 

(0.03)

 

Total Earnings/(Loss) Per Share of Common Stock

$

0.44

 

 

$

0.19

 

 

 

 

 

Weighted Average Number of Shares of Common Stock Outstanding

 

 

 

Basic

34,422

 

 

32,736

 

Diluted

34,422

 

 

32,748

 

(1) The three months ended September 30, 2020 includes cumulative and undeclared dividends of $5.6 million on the Company's Preferred Stock as of September 30, 2020. The three months ended September 30, 2019 includes cumulative and undeclared dividends of $0.4 million on the Company's 8.000% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock as of September 30, 2019.

Footnotes

(1) Diluted per share figures are calculated using weighted average outstanding shares in accordance with GAAP. Accumulated and unpaid preferred stock dividends of $11.2 million are reflected in earnings per share. Per share figures are calculated using a denominator of all outstanding common shares including 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 ($48.9 million), 8.00% Series B Cumulative Redeemable Preferred Stock ($110.5 million), and 8.000% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock ($110.5 million) as the numerator. As of September 30, 2020, the liquidation preference for the Series A, Series B and Series C Preferred Stock is $52.8 million, $118.8 million and $118.8 million, respectively. The aggregate liquidation preference of the three series as of September 30, 2020 includes accumulated and unpaid dividends (whether or not authorized or declared) in the amount of $11.2 million. Book value does not include any accrual of undeclared dividends on our Cumulative Redeemable Preferred Stock.

(2) The investment portfolio at period end is calculated by summing the net carrying value of our Agency RMBS, Residential Investments, Commercial Investments, and where applicable, any long positions in TBAs, and ABS Investments, including securities and mortgage loans owned through investments in affiliates, exclusive of AG Arc LLC. Our Agency RMBS, Residential Investments, Commercial Investments, and where applicable, ABS Investments, are held at fair value. Our Credit Investments refer to our Residential Investments and Commercial Investments. Refer to footnote 4 for more information on the GAAP accounting for certain items included in our investment portfolio. The percentage of fair value includes any net TBA positions and securities and mortgage loans owned through investments in affiliates and is exclusive of AG Arc LLC. As of September 30, 2020, the $1.1 billion Investment Portfolio includes $0.4 million of Agency RMBS and $217.2 million of Residential Investments recorded within "Investments in debt and equity of affiliates" on the Company's consolidated balance sheet. As of September 30, 2020, Agency RMBS includes $0.4 million of Agency Excess MSRs recorded within "Investments in debt and equity of affiliates" on the Company's consolidated balance sheet. As of September 30, 2020, Residential Investments include $39.3 million of Re/Non-Performing Loans, $152.5 million of Non-QM Loans, and $25.4 million of Land Related Financing. As of June 30, 2020, our $1.0 billion Investment Portfolio included $307.1 million of Agency RMBS and Residential Investments recorded within "Investments in debt and equity of affiliates" on the Company's consolidated balance sheet. The above items, inclusive of our investment in AG Arc LLC and other items and less any financing in investments in debt and equity of affiliates, net to $138.7 million and $122.9 million which is included in the "Investments in debt and equity of affiliates" line item on our GAAP consolidated balance sheet at September 30, 2020 and June 30, 2020, respectively. See footnote (6) for further details on AG Arc LLC.

(3) Generally, when we purchase an investment and finance it, the investment is included in our assets and the financing is reflected in our liabilities on our consolidated balance sheet as either "Financing arrangements" or "Securitized debt, at fair value." Throughout this press release where we disclose our investment portfolio and the related financing, we have presented this information inclusive of (i) securities and mortgage loans owned through investments in affiliates that are accounted for under GAAP using the equity method and, where applicable, (ii) long positions in TBAs, which are accounted for as derivatives under GAAP. The related financing includes financing of $124.0 million and $218.1 million recorded within "Investments in debt and equity of affiliates" on the Company's consolidated balance sheet as of September 30, 2020 and June 30, 2020, respectively. This press release excludes investments through AG Arc LLC unless otherwise noted. This presentation of our investment portfolio is consistent with how our management 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.

(4) The Economic Leverage Ratio is calculated by dividing total Economic Leverage, including any net TBA position, by our GAAP stockholders' equity at quarter-end. Total Economic Leverage at quarter-end includes recourse financing arrangements recorded within "Investments in debt and equity of affiliates" exclusive of any financing utilized through AG Arc LLC, plus the payable on all unsettled buys less the financing on all unsettled sells and any net TBA position (at cost). Total Economic Leverage excludes any fully non-recourse financing arrangements, and any financing arrangements and unsettled trades on U.S. Treasuries. Non-recourse financing arrangements include securitized debt of $359.0 million and $199.0 million as of September 30, 2020 and June 30, 2020, respectively, as well as financing on our Non-QM loans of $117.0 million and $210.6 million as of September 30, 2020 and June 30, 2020, respectively. 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.

(5) The Company estimates duration based on third-party models. Different models and methodologies can produce different effective duration estimates for the same securities. Duration does not include our equity interest in AG Arc LLC.

(6) The Company invests in Arc Home LLC through AG Arc LLC, one of its indirect subsidiaries. The Company's investment is AG Arc LLC is $41.4 million, representing a 44.6% ownership interest.

(7) The Company allocates its equity by investment using the fair value of its investment portfolio, less any associated leverage, inclusive of any long TBA position (at cost). The Company allocates all non-investment portfolio related assets and liabilities to its investment portfolio categories based on the characteristics of such assets and liabilities in order to sum to stockholders' equity per the consolidated balance sheets. The Company's 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.

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