8-K

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 8-K

CURRENT REPORT

Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934

Date of Report (date of earliest event reported): May 13, 2022 (May 12, 2022)

ARLINGTON ASSET INVESTMENT CORP.

(Exact name of Registrant as Specified in Its Charter)

Virginia	001-34374	54-1873198
(State or Other Jurisdiction of Incorporation or Organization)	(Commission File Number)	(I.R.S. Employer Identification No.)

6862 Elm Street, Suite 320

McLean, VA 22101

(Address of principal executive offices) (Zip code)

(703) 373-0200

(Registrant’s telephone number including area code)

N/A

(Former name or former address, if changed from last report)

Check the appropriate box below if the Form 8-K filing is intended to simultaneously satisfy the filing obligation of the registrant under any of the following provisions:

☐	Written communications pursuant to Rule 425 under the Securities Act (17 CFR 230.425)
☐	Soliciting material pursuant to Rule 14a-12 under the Exchange Act (17 CFR 240.14a-12)
☐	Pre-commencement communications pursuant to Rule 14d-2(b) under the Exchange Act (17 CFR 240.14d-2(b))
☐	Pre-commencement communications pursuant to Rule 13e-4(c) under the Exchange Act (17 CFR 240.13e-4(c))

Securities registered pursuant to Section 12(b) of the Act:

Title of each class	Trading Symbol(s)	Name of each exchange on which registered
Class A Common Stock	AAIC	NYSE
7.00% Series B Cumulative Perpetual Redeemable Preferred Stock	AAIC PrB	NYSE
8.250% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock	AAIC PrC	NYSE
6.000% Senior Notes due 2026	AAIN	NYSE
6.75% Senior Notes due 2025	AIC	NYSE

Indicate by check mark whether the registrant is an emerging growth company as defined in Rule 405 of the Securities Act of 1933 (§ 230.405 of this chapter) or Rule 12b-2 of the Securities Exchange Act of 1934 (§ 240.12b-2 of this chapter).

Emerging growth company ☐

If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act. ☐

Item 2.02. Results of Operations and Financial Condition.

Arlington Asset Investment Corp. (the “Company”) issued a press release on May 12, 2022 announcing its financial results for the quarter ended March 31, 2022. A copy of the press release is attached hereto as Exhibit 99.1.

The information in Item 2.02 of this Current Report on Form 8-K, including Exhibit 99.1 furnished pursuant to Item 9.01, shall not be deemed “filed” for the purposes of Section 18 of the Securities Exchange Act of 1934 or otherwise subject to the liabilities under that Section. Furthermore, the information in Item 2.02 of this Current Report on Form 8-K, including Exhibit 99.1 furnished pursuant to Item 9.01, shall not be incorporated by reference into any registration statement or other document pursuant to the Securities Act of 1933, as amended.

Item 7.01 Regulation FD Disclosure.

The Company has posted an updated investor presentation to its website, www.arlingtonasset.com.  A copy of the slide presentation is attached as Exhibit 99.2 hereto and incorporated herein by reference.  The information in Item 7.01 of this Current Report on Form 8-K, including Exhibit 99.2 furnished pursuant to Item 9.01, shall not be deemed “filed” for the purposes of Section 18 of the Securities Exchange Act of 1934 or otherwise subject to the liabilities under that Section.  Furthermore, the information in Item 7.01 of this Current Report on Form 8-K, including Exhibit 99.2 furnished pursuant to Item 9.01, shall not be incorporated by reference into any registration statement or other document pursuant to the Securities Act of 1933, as amended.

Item 9.01. Financial Statements and Exhibits.

(d) Exhibits.

99.1	Arlington Asset Investment Corp. Press Release dated May 12, 2022.
99.2	First Quarter 2022 Investor Presentation.
104	Cover Page Interactive Data File (embedded within the Inline XBRL document).

SIGNATURE

Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this Report to be signed on its behalf by the undersigned hereunto duly authorized.

		ARLINGTON ASSET INVESTMENT CORP.
Date:  May 13, 2022
	By:		/s/ Richard E. Konzmann
	Name:		Richard E. Konzmann
	Title:		Executive Vice President, Chief Financial Officer and Treasurer

EX-99.1

Exhibit 99.1

Contacts:

Media: 703.373.0200 or ir@arlingtonasset.com 

Investors: Rich Konzmann at 703.373.0200 or ir@arlingtonasset.com

Arlington Asset Investment Corp. Reports First Quarter 2022 Financial Results

McLean, VA, May 12, 2022 – Arlington Asset Investment Corp. (NYSE: AAIC) (the “Company” or “Arlington”) today reported financial results for the quarter ended March 31, 2022.  

First Quarter 2022 Financial Highlights

• $6.19 per common share of book value

o 0.5% increase from December 31, 2021

• $0.12 per diluted common share of GAAP net loss

• $0.05 per diluted common share of non-GAAP core operating income¹

o $0.03 per diluted common share increase from fourth quarter of 2021

• $0.09 per common share of book value accretion from the repurchase of 3.3% of the outstanding shares of common stock

o Purchased an additional 2.0% of the outstanding shares of common stock through May 11, 2022

o 11.4 million share remaining authorization as of May 11, 2022

• 1.3 to 1 “at risk” leverage ratio

“Over the last 24 months, we have thoroughly repositioned Arlington from a primarily levered agency MBS strategy to one focused on establishing multiple high return, non-commodity investment channels in mortgage servicing rights (“MSRs”), single-family residential (“SFR”) rental properties and select credit investments.

“The execution of this strategy has enabled the Company to produce outsized recent returns relative to other residential mortgage REITs, evidenced by the Company generating an economic return that was among the top 10% of its peers over the last six months,” said J. Rock Tonkel, Jr., the Company's President and Chief Executive Officer.  

“The actions taken by the Company allowed us to grow book value during a time when traditional mortgage REITs have been battling an exceptionally volatile market environment.  Today, the Company has a flexible investment platform across multiple residential asset classes that has created high returns while operating with low leverage and high liquidity.  

“As you see from our recent results, the Company’s differentiated strategy is well suited to perform in various market conditions.  Having grown to 50% of investment capital, our MSR portfolio produced strong results again during the first quarter and has generated a 53% annualized return since its initial formation in late 2020.  Our SFR portfolio has reached $177 million as of today with a strong net unlevered yield of 4.9% and anticipated total returns in the double digits.  

“Today we also announced the signing of an agreement to sell a portion of our SFR portfolio at an expected significant gain driven primarily by a bulk premium for a portfolio of leased homes in attractive markets.  Once consummated, we expect the sale to add approximately $0.45 per share or 7% to our first quarter ended book value.  Following the expected completion of that sale near the end of the second quarter, we expect to continue the growth of our SFR platform to its fully ramped scale of approximately $200 million of homes, subject to market conditions, utilizing our attractive five-year fixed cost financing facility alongside our $55 million capital allocation.  Looking forward, we are encouraged by the potential upside to future earnings from the full ramp of our SFR portfolio.  

“We continue to believe there is greater value in Arlington’s business than the public markets recognize.  Until we believe the stock price more accurately reflects the intrinsic value of Arlington’s business, the Company and its insiders expect to continue to purchase shares of the Company’s stock.  Since reinstituting our current common stock repurchase program in 2020, the Company has

¹  A reconciliation of non-GAAP core operating income to GAAP net income appears at the end of this press release.

aggressively returned capital to shareholders by purchasing over 23% of its outstanding shares, delivering $0.68 per share of accretion to shareholders.  

“We remain optimistic that our strategy can continue to drive economic returns which we believe the market will reward shareholders over time.”

First Quarter Investment Portfolio

As of March 31, 2022, the Company’s investment portfolio capital allocation was as follows:

	Assets		Invested Capital Allocation (1)		Invested Capital Allocation (%)			Leverage (2)
MSR financing receivables	$	139,225	$	139,225		50	%		0.3
Credit investments (3)		83,096		62,485		22	%		0.3
Single-family residential properties		121,962		48,036		17	%		1.6
Agency MBS		292,318		31,900		11	%		8.3
Total invested capital	$	636,601		281,646		100	%
Cash and other corporate capital				23,557
Total investable capital			$	305,203				1.3

(1) Our investable capital is calculated as the sum of our shareholders’ equity capital plus accumulated depreciation of our single-family residential properties and long-term unsecured debt.  

(2) Our leverage is measured as the ratio of the sum of our repurchase agreement financing, long-term debt secured by single-family residential properties, net payable or receivable for unsettled securities, net contractual forward purchase price of our TBA commitments and leverage within our MSR financing receivables less our cash and cash equivalents compared to our investable capital.

(3) Includes our net investment of $28,144 in two variable interest entities with gross assets and liabilities of $272,802 and $244,658, respectively, that are consolidated for GAAP financial reporting purposes.

MSR Related Investments

The Company is party to agreements with a licensed, U.S. government sponsored enterprise (“GSE”) approved residential mortgage loan servicer that enable the Company to garner the economic return of an investment in an MSR purchased by the mortgage servicing counterparty.  The arrangement allows the Company to participate in the economic benefits of investing in an MSR without holding the requisite licenses to purchase or hold MSRs directly.  Under the terms of the arrangement, the Company provides capital to the mortgage servicing counterparty to purchase MSRs directly and the Company, in turn, receives all the economic benefits of the MSRs less a fee payable to the counterparty. At the Company’s option, the mortgage servicing counterparty could utilize leverage on the MSRs to which the Company’s MSR financing receivables are referenced to finance the purchase of additional MSRs to increase potential returns to the Company.  The transactions are accounted for as a financing receivable on the Company’s consolidated financial statements.  

The Company’s MSR financing receivable investments as of March 31, 2022 are summarized below:

Amortized Cost Basis (1)		Unrealized Gain		Fair Value
$	102,284	$	36,941	$	139,225

(1) Represents capital investments plus accretion of interest income net of cash distributions.

MSR Financing Receivable Underlying Reference Amounts:
MSRs		Financing			Advances Receivable		Cash and Other Net Receivables		Counterparty Incentive Fee Accrual			MSR Financing Receivables		Implicit Leverage
$	179,987	$	(43,948	)	$	2,587	$	9,822	$	(9,223	)	$	139,225		0.32

Underlying Reference MSRs:
Holder of Loans	Unpaid Principal Balance		Weighted-Average Note Rate			Weighted-Average Servicing Fee			Weighted-Average Loan Age	Price			Multiple (1)		Fair Value
Fannie Mae	$	13,450,698		2.94	%		0.25	%	13 months		1.31	%		5.21	$	176,026
Freddie Mac		298,226		3.06	%		0.25	%	9 months		1.33	%		5.31		3,961
Total/weighted-average	$	13,748,924		2.94	%		0.25	%	13 months		1.31	%		5.21	$	179,987

(1) Calculated as the underlying MSR price divided by the weighted-average servicing fee.

As of March 31, 2022, the mortgage servicing counterparty has drawn $43.9 million of financing under its credit facility collateralized by the MSRs to which the Company’s MSR financing receivables are referenced, resulting in an implicit leverage ratio of 0.32 to 1. The weighted average yield on the Company’s MSR financing receivables was 12.49% for the first quarter of 2022 compared to 9.63% for the fourth quarter of 2021.

Single-family Residential Investments

As of March 31, 2022, the Company had acquired 405 single family residential (“SFR”) properties for a total cost of $122 million and had commitments to acquire an additional 49 SFR properties for an aggregate purchase price of $15 million.  The timing of the earnings benefit to the Company from investing in SFR rental properties will be dictated by the pace of home purchases, the level of any property level refurbishments required after purchase and the length of the lease marketing period.  The Company expects the time period between the date of settlement of the home purchase to the date the house is occupied by a tenant to average between 30 to 60 days.  During the period prior to a lease commencement, the Company is incurring costs to hold the property including real estate taxes, insurance, homeowner association fees and interest costs.

As of March 31, 2022, the Company’s SFR portfolio is summarized below:

Market	Number of Properties		Gross Book Value		Average Gross Book Value		Average Square Feet		Average Year Built
Tulsa, OK		78	$	19,780	$	254		1,735		2016
Dallas, TX		57		19,592		344		1,969		2014
Atlanta, GA		61		19,449		319		2,284		2010
Huntsville, AL		47		15,105		321		2,356		2013
Memphis, TN		45		13,209		294		1,910		2007
Charlotte, NC		34		11,905		350		1,921		2011
Kansas City, MO		40		11,738		293		1,947		2006
Birmingham, AL		43		11,184		260		1,691		2018
Total/weighted average		405	$	121,962	$	301		1,974		2012

Status of Property	Number of Properties		Gross Book Value
In rehabilitation		47	$	14,517
In marketing		69		21,124
Leased not yet occupied		20		6,291
Leased and occupied		269		80,030
Total		405	$	121,962

As of March 31, 2022, the Company has drawn $78.1 million under its $150 million credit facility.  Advances may be drawn up to 74% of the fair value of eligible SFR properties with an advance period that expires in March 2023 with outstanding principal balance due in October 2026.  Advances under the facility bear interest at a fixed rate of 2.76%.

Credit Investments

The Company’s credit investments generally include mortgage loans secured by residential or commercial real property or MBS collateralized by residential or commercial mortgage loans or residential solar panel loans (“non-agency” MBS or ABS).  As of March 31, 2022, the Company’s $83.1 million credit investment portfolio at fair value was comprised of the following:

	Fair Value (1)		Market Price		Leverage		Cumulative Total Return on Capital (2)
Commercial mortgage loan	$	29,592	$	100.00		2.3		11.15	%
Residential MBS - interest-only (3)		20,910		8.20		—		124.14	%
Residential MBS (3)		1,281		79.13		—		(54.26	)%
Business purpose residential MBS (4)		17,002		94.42		—		9.27	%
Residential solar panel loan ABS		14,311		78.19		—		(4.55	)%
Total/weighted-average	$	83,096				0.3		11.53	%

(1) For credit investments in securities, includes contractual accrued interest receivable.

(2) Calculated as an annualized internal rate of return based upon our initial investment, cash received from the investment, cash paid for secured financing costs (if any) and assumes liquidation at quarter-end at an amount equal to estimated fair value plus accrued interest and the payoff of any secured financing (if any) and accrued interest thereon.

(3) Residential MBS – interest-only and residential MBS, in combination, reflect our net investment at fair value of $22,191 in a VIE that is consolidated for GAAP financial reporting purposes.

(4) Includes our net investment at fair value of $5,953 in a VIE that is consolidated for GAAP financial reporting purposes.

As of March 31, 2022, the Company had a $20.7 million repurchase agreement outstanding with a rate of 2.86% and remaining maturity of 351 days secured by a $29.6 million commercial mortgage loan at fair value.  As of March 31, 2022, the Company did not have any repurchase agreements outstanding secured by non-agency MBS or ABS.

During the first quarter of 2022, the Company purchased the first loss piece and excess interest only strip in a recently issued securitization of performing non-qualified residential mortgage loans for $20.6 million.  As a result of an option to purchase delinquent loans from the trust, the Company consolidates for financial reporting purposes the underlying mortgage loan collateral and term notes issued by the trust.  The term notes issued by the trust have recourse solely to the assets of the trust with no recourse to the Company.  

Agency MBS

The Company’s agency MBS consist of residential mortgage pass-through certificates for which the principal and interest payments are guaranteed by a U.S. government sponsored enterprise (“GSE”), such as the Federal National Mortgage Association (“Fannie Mae”) or the Federal Home Loan Mortgage Corporation (“Freddie Mac”).  As of March 31, 2022, the Company’s agency MBS investment portfolio totaled $292 million at fair value consisting entirely of specified agency MBS comprised of the following:

	Unpaid Principal Balance		Net Unamortized Purchase Premiums		Amortized Cost Basis		Net Unrealized Gain (Loss)			Fair Value		Market Price		Coupon			Weighted Average Expected Remaining Life
30-year fixed rate:
2.0%	$	98,035	$	2,264	$	100,299	$	(8,867	)	$	91,432	$	93.26		2.00	%		9.0
2.5%		129,057		6,750		135,807		(11,896	)		123,911		96.01		2.50	%		7.9
3.0%		45,092		450		45,542		(1,183	)		44,359		98.37		3.00	%		8.2
3.5%		32,474		855		33,329		(721	)		32,608		100.41		3.50	%		7.8
5.5%		8		—		8		—			8		109.57		5.50	%		5.4
Total/weighted-average	$	304,666	$	10,319	$	314,985	$	(22,667	)	$	292,318	$	95.95		2.52	%		8.3

The Company’s weighted average yield on its agency MBS was 1.52% for the first quarter of 2022 compared to 1.53% for the fourth quarter of 2021, and the actual weighted-average constant prepayment rate (“CPR”) for the Company’s agency MBS was 9.01% for the first quarter of 2022 compared to 7.43% for the fourth quarter of 2021.  

As of March 31, 2022, the Company had $264.1million of repurchase agreements outstanding with a weighted average rate of 0.36% and remaining weighted average maturity of 13 dayssecured by an aggregate of $279.9 million of agencyMBS at fair value.The Company’s weighted average cost of repurchase agreement funding secured by agency MBS was 0.17% during the first quarter of 2022 compared to 0.12% during the fourth quarter of 2021.

The Company enters into various hedging transactions to mitigate the interest rate sensitivity of its cost borrowing and the value of its fixed-rate agency MBS.  Under the terms of the Company’s interest rate swap agreements, the Company pays semiannual interest payments based on a fixed rate and receives variable interest payments based upon either the prevailing three-month London Interbank Offered Rate (“LIBOR”) or Secured Overnight Financing Rate (“SOFR”). As of March 31, 2022, the Company’s interest swap agreements were comprised of the following:

			Weighted-average:
	Notional Amount		Fixed Pay Rate			Variable Receive Rate			Net Receive (Pay) Rate			Remaining Life (Years)
Years to maturity:
Less than 3 years	$	100,000		0.90	%		0.27	%		(0.63	)%		1.7
3 to less than 10 years		75,000		1.33	%		0.45	%		(0.88	)%		5.8
Total/weighted-average	$	175,000		1.08	%		0.35	%		(0.73	)%		3.5

The Company’s weighted average net pay rate of its interest rate swap agreements was 0.68% during the first quarter of 2022 compared to 0.69% during the fourth quarter of 2021.  Under GAAP, the Company has not designated these transactions as hedging instruments for financial reporting purposes and, therefore, all gains and losses on its hedging instruments are recorded as net investment gains and losses in the Company’s financial statements.  

Other First Quarter 2022 Financial Highlights

The Company’s book value was $6.19 per common share as of March 31, 2022 compared to $6.16 per common share as of December 31, 2021.  Book value per common share is calculated as total equity plus accumulated depreciation of SFR properties less the preferred stock liquidation preference divided by common shares outstanding plus vested restricted stock units convertible into common stock less unvested restricted common stock.

The Company’s “at risk” leverage ratio was 1.3 to 1 as of March 31, 2022 compared to 1.5 to 1 as of December 31, 2021.  The Company’s “at risk” leverage ratio is calculated as the sum of the Company’s repurchase agreement financing, long-term debt secured by single-family properties, net payable or receivable for unsettled securities, net contractual price of TBA commitments and financing embedded in its MSR financing receivables less cash and cash equivalents compared to the Company’s investable capital measured as the sum of the Company’s shareholders’ equity and long-term unsecured debt.  

During the first quarter of 2022, the Company repurchased 1.0 million shares of its common stock at an average price of $3.44 per share for a total purchase cost of $3.5 million, representing 3.3% of common stock outstanding as of December 31, 2021. Subsequent to March 31, 2022, the Company repurchased an additional 0.6 million shares of its common stock at an average price of $3.39 per share for a total purchase cost of $2.0 million, representing 2.0% of common stock outstanding as of March 31, 2022.  Currently, the Company has remaining authorization from its Board of Directors to repurchase up to 11.4 million shares of its common stock.

Pending Partial Sale of Single-Family Residential Properties

On May 10, 2022, the Company entered into a purchase and sale agreement to sell 378 SFR properties for $132.75 million, excluding any transaction costs and fees.  The 378 properties have an estimated all-in-cost of $115 million, which includes the purchase price of the properties, closing costs and initial rehabilitation costs.  Pursuant to the agreement, the buyer may, for any reason or no reason at all, and in its sole and absolute discretion, terminate the agreement during a due diligence period that ends May 30, 2022.  Prior to settlement, the buyer can remove up to 5% of the SFR properties from the sale transaction.  If ultimately consummated, the sale is expected to settle late in the second quarter.

Conference Call

The Company will hold a conference call for investors at 10:00 A.M. Eastern Time on Thursday, May 13, 2022 to discuss the Company’s first quarter 2022 results.

Investors may listen to the earnings call via the internet at: http://www.arlingtonasset.com/index.php?s=19.Replays of the earnings call will be available for 60 days via webcast at the Internet address provided above, beginning two hours after the call ends.

Additional Information

The Company will make available additional quarterly information for the benefit of its shareholders through a supplemental presentation that will be available at the Company's website, www.arlingtonasset.com.  The presentation will be available on the Webcasts and Presentations section located under the Updates & Events tab of the Company's website.

About the Company

Arlington Asset Investment Corp. (NYSE: AAIC) currently invests primarily in mortgage related and residential real estate and has elected to be taxed as a REIT.  The Company is headquartered in the Washington, D.C. metropolitan area.  For more information, please visit www.arlingtonasset.com.

Statements concerning interest rates, portfolio allocation, financing costs, portfolio hedging, prepayments, dividends, book value, utilization of loss carryforwards, any change in long-term tax structures (including any REIT election), use of equity raise proceeds and any other guidance on present or future periods constitute forward-looking statements that are subject to a number of factors, risks and uncertainties that might cause actual results to differ materially from stated expectations or current circumstances.  These factors include, but are not limited to, the uncertainty and economic impact of the ongoing coronavirus (COVID-19) pandemic and the measures taken by the government to address it, including the impact on our business, financial condition, liquidity and results of operations due to a significant decrease in economic activity and disruptions in our financing operations, among other factors, changes in interest rates, increased costs of borrowing, decreased interest spreads, credit risks underlying the Company’s assets, especially related to the Company’s mortgage credit investments, our ability to close on the sale of single-family residential homes described herein, and to realize the expected benefits from such sale, changes in political and monetary policies, changes in default rates, changes in prepayment rates and other assumptions underlying our estimates related to our projections of future core earnings, changes in the Company’s returns, changes in the use of the Company’s tax benefits, the Company’s ability to qualify and maintain qualification as a REIT, changes in the agency MBS asset yield, changes in the Company’s monetization of net operating loss carryforwards, changes in the Company’s investment strategy, changes in the Company’s ability to generate cash earnings and dividends, preservation and utilization of the Company’s net operating loss and net capital loss carryforwards, impacts of changes to and changes by Fannie Mae and Freddie Mac, actions taken by the U.S. Federal Reserve, the Federal Housing Finance Agency and the U.S. Treasury, availability of opportunities that meet or exceed the Company’s risk adjusted return expectations, ability and willingness to make future dividends, ability to generate sufficient cash through retained earnings to satisfy capital needs, and general economic, political, regulatory and market conditions.  These and other material risks are described in the Company's most recent Annual Report on Form 10-K and any other documents filed by the Company with the SEC from time to time, which are available from the Company and from the SEC, and you should read and understand these risks when evaluating any forward-looking statement. All forward-looking statements speak only as of the date on which they are made. New risks and uncertainties arise over time, and it is not possible to predict those events or how they may affect the Company.  Except as required by law, the Company is not obligated to, and does not intend to, update or revise any forward-looking statements, whether as a result of new information, future events or otherwise.

Financial data to follow

ARLINGTON ASSET INVESTMENT CORP.

CONSOLIDATED BALANCE SHEETS

(Dollars in thousands, except per share amounts)

(Unaudited)

	March 31, 2022			December 31, 2021
ASSETS
Cash and cash equivalents (includes $73 and $2,118, respectively,   from consolidated VIEs)	$	21,715		$	20,543
Restricted cash		851			1,132
Restricted cash of consolidated VIEs		9,292			111
Sold securities receivable		—			28,219
Agency mortgage-backed securities, at fair value		292,318			483,927
MSR financing receivables, at fair value		139,225			125,018
Credit investments, at fair value		54,952			55,919
Mortgage loans of consolidated VIEs, at fair value		261,976			7,442
Single-family residential real estate (net of $1,010 and $299, respectively, of   accumulated depreciation)		120,952			60,889
Deposits		4,607			4,549
Other assets (includes $1,461 and $547, respectively, from consolidated VIEs)		14,995			15,287
Total assets	$	920,883		$	803,036
LIABILITIES AND EQUITY
Liabilities:
Repurchase agreements	$	284,862		$	446,624
Secured debt of consolidated VIEs, at fair value		244,365			508
Long-term unsecured debt		86,096			85,994
Long-term debt secured by single-family properties		77,824			39,178
Other liabilities (includes $293 and $2, respectively, from consolidated VIEs)		9,639			6,605
Total liabilities		702,786			578,909
Equity:
Preferred stock (liquidation preference of $37,418 and $37,266, respectively)		36,357			36,208
Common stock		301			307
Additional paid-in capital		2,027,585			2,030,315
Accumulated deficit		(1,846,146	)		(1,842,703	)
Total equity		218,097			224,127
Total liabilities and equity	$	920,883		$	803,036
Book value per common share (1)	$	6.19		$	6.16
Common shares outstanding (in thousands) (2)		29,345			30,334
(1) Book value per common share is calculated as total equity plus accumulated depreciation of single-family residential real estate less the preferred stock liquidation preference divided by common shares outstanding.
(2) Represents common shares outstanding plus vested restricted stock units convertible into common stock less unvested restricted common stock.
	March 31, 2022			December 31, 2021
Assets and liabilities of consolidated VIEs:
Cash and restricted cash	$	9,365		$	2,229
Mortgage loans, at fair value		261,976			7,442
Other assets		1,461			547
Secured debt, at fair value		(244,365	)		(508	)
Other liabilities		(293	)		(2	)
Net investment in consolidated VIEs	$	28,144		$	9,708

ARLINGTON ASSET INVESTMENT CORP.

CONSOLIDATED STATEMENTS OF OPERATIONS

(Dollars in thousands, except per share data)

(Unaudited)

	Three Months Ended
	March 31, 2022			December 31, 2021			September 30, 2021			June 30, 2021
Interest income
MSR financing receivables	$	3,382		$	2,589		$	1,945		$	1,390
Agency mortgage-backed securities		1,492			2,206			2,660			2,984
Credit securities and loans		853			772			1,247			1,770
Mortgage loans of consolidated VIEs		1,354			144			301			776
Other		325			169			193			125
Total interest and other income		7,406			5,880			6,346			7,045
Rent revenues from single-family properties		1,064			259			—			—
Interest expense
Repurchase agreements		276			286			306			403
Long-term debt secured by single-family properties		408			151			—			—
Long-term unsecured debt		1,370			1,376			1,435			1,150
Secured debt of consolidated VIEs		1,188			20			173			405
Total interest expense		3,242			1,833			1,914			1,958
Single-family property operating expenses		1,531			593			36			—
Net operating income		3,697			3,713			4,396			5,087
Investment and derivative (loss) gain, net		(827	)		3,909			(1,313	)		(9,032	)
General and administrative expenses
Compensation and benefits		2,065			1,855			1,888			1,841
Other general and administrative expenses		1,219			1,125			1,009			1,349
Total general and administrative expenses		3,284			2,980			2,897			3,190
(Loss) income before income taxes		(414	)		4,642			186			(7,135	)
Income tax provision (benefit)		2,287			808			436			(76	)
Net (loss) income		(2,701	)		3,834			(250	)		(7,059	)
Dividend on preferred stock		(742	)		(739	)		(731	)		(723	)
Net (loss) income (attributable) available to    common stock	$	(3,443	)	$	3,095		$	(981	)	$	(7,782	)
Basic (loss) earnings per common share	$	(0.12	)	$	0.10		$	(0.03	)	$	(0.24	)
Diluted (loss) earnings per common share	$	(0.12	)	$	0.10		$	(0.03	)	$	(0.24	)
Weighted average common shares outstanding (in    thousands)
Basic		29,832			31,100			31,927			33,066
Diluted		29,832			31,421			31,927			33,066

Non-GAAP Core Operating Income

In addition to the Company’s results of operations determined in accordance with generally accepted accounting principles as consistently applied in the United States (“GAAP”), the Company also reports “non-GAAP core operating income.”  The Company defines core operating income as “economic net interest income from financial assets” and “net operating income from SFR properties, excluding depreciation,” less “core general and administrative expenses,” long-term unsecured debt interest expense, preferred stock dividends and an “income tax provision for taxable REIT subsidiary (“TRS”) core operating income.”

Economic Net Interest Income from Financial Assets

Economic net interest income from financial assets, a non-GAAP financial measure, is comprised of the following:

• total interest and other income from our investments in interest-bearing securities, loans and other financial assets;

• TBA dollar roll income, which represents the implied net interest income earned from the agency MBS which underlie, and are implicitly financed through, our TBA dollar roll transactions.  TBA dollar income is calculated as the price discount of a forward-settling purchase of a TBA agency MBS relative to the “spot” sale of the same security, earned ratably over the period beginning on the settlement date of the sale and ending on the settlement date of the forward-settling purchase; net of

• interest expense incurred from repurchase agreements or other financing arrangements secured by our investments in interest-bearing financial assets; and

• net interest income earned or expense incurred from interest rate swap agreements.

In the Company’s consolidated statements of comprehensive income prepared in accordance with GAAP, TBA dollar roll income and the net interest income earned or expense incurred from interest rate swap agreements are reported as a component of the overall periodic change in the fair value of derivative instruments within the line item “investment and derivative gain (loss), net.” We believe that economic net interest income from financial assets assists investors in understanding and evaluating the financial performance of the Company’s long-term-focused, net interest spread-based investment strategy, prior to the deduction of core general and administrative expenses and the costs of corporate financing.  

Net Operating Income (Loss) from SFR Properties, Excluding Depreciation

Net operating income (loss) from SFR properties, excluding depreciation, represents the operating income (loss) of the Company’s SFR properties determined in accordance with GAAP plus the depreciation and amortization of the SFR properties.  Net operating income (loss) from SFR properties, excluding depreciation is comprised of the following:

• rent revenues from single-family properties; net of

• single-family property operating expenses; and

• interest expense incurred from long-term debt secured by single-family properties.

Core General and Administrative Expenses

Core general and administrative expenses are non-interest expenses reported within the line item “total general and administrative expenses” of the consolidated statements of comprehensive income less stock-based compensation expense.

Income Tax Provision for TRS Core Operating Income

Our TRSs are subject to U.S. federal and state corporate income taxes.  Our computation of core operating income includes a provision for income taxes on the core operating income of our TRSs.  The core operating income of our TRSs is comprised of net interest income generated by our TRSs net of our TRSs’ general and administrative expenses.  In our consolidated statements of comprehensive income prepared in accordance with GAAP, the “income tax provision (benefit)” includes (i) the income tax provision for TRS core operating income and (ii) an income tax provision for (or benefit from) periodic increases (or decreases) in the fair value of the investments of our TRSs, which are recognized in net income as a component of “investment and derivative gain (loss) net.”

Non-GAAP Core Operating Income Results

The following table presents the Company’s computation of economic net interest income and core operating income for the last four fiscal quarters (unaudited, amounts in thousands, except per share amounts):

	Three Months Ended
	March 31, 2022			December 31, 2021			September 30, 2021			June 30, 2021
Investments in financial assets
Interest and other income	$	7,406		$	5,880		$	6,346		$	7,045
TBA dollar roll income		823			465			1,064			1,778
Interest expense		(1,464	)		(306	)		(479	)		(808	)
Interest rate swap net interest expense		(291	)		(653	)		(379	)		(1,187	)
Economic net interest income from financial   assets		6,474			5,386			6,552			6,828
Investments in SFR properties
Rent revenues		1,064			259			—			—
Property operating expenses, excluding depreciation		(816	)		(306	)		(24	)		—
Interest expense		(408	)		(151	)		—			—
Net operating loss from SFR properties,   excluding depreciation		(160	)		(198	)		(24	)		—
Core general and administrative expenses		(2,523	)		(2,457	)		(2,377	)		(2,653	)
Long-term unsecured debt interest expense		(1,370	)		(1,376	)		(1,435	)		(1,150	)
Preferred stock dividend		(742	)		(739	)		(731	)		(723	)
Income tax provision for TRS core operating income		(229	)		(129	)		(85	)		(61	)
Non-GAAP core operating income	$	1,450		$	487		$	1,900		$	2,241
Non-GAAP core operating income per    diluted common share	$	0.05		$	0.02		$	0.06		$	0.07
Weighted average diluted common    shares outstanding		30,315			31,421			32,243			33,424

The following table provides a reconciliation of GAAP net income (loss) to non-GAAP core operating income for the last four fiscal quarters (unaudited, amounts in thousands):

	Three Months Ended
	March 31, 2022			December 31, 2021			September 30, 2021			June 30, 2021
Net (loss) income (attributable) available to common   stock	$	(3,443	)	$	3,095		$	(981	)	$	(7,782	)
Add (less):
Investment and derivative loss (gain), net		827			(3,909	)		1,313			9,032
Stock-based compensation expense		761			523			520			537
Income tax provision (benefit) for TRS investment   gain (loss)		2,058			679			351			(137	)
Depreciation of single-family residential properties		715			287			12			—
Add back:
TBA dollar roll income		823			465			1,064			1,778
Interest rate swap net interest expense		(291	)		(653	)		(379	)		(1,187	)
Non-GAAP core operating income	$	1,450		$	487		$	1,900		$	2,241

Non-GAAP core operating income is used by management to evaluate the financial performance of the Company’s long-term investment strategy and core business activities over periods of time as well as assist with the determination of the appropriate level of periodic dividends to common stockholders.  The Company believes that non-GAAP core operating income assists investors in understanding and evaluating the financial performance of the Company’s long-term investment strategy and core business activities over periods of

timeas well as its earnings capacity.  A limitation of utilizing this non-GAAP financial measure is that the effect of accounting for “non-core” events or transactions in accordance with GAAP does, in fact, reflect the financial results of our business and these effects should not be ignored when evaluating and analyzing our financial results.  In addition, the Company’s calculation of non-GAAP core operating income may not be comparable to other similarly titled measures of other companies.  Therefore, the Company believes that net income determined in accordance with GAAP should be considered in conjunction with non-GAAP core operating income.  Furthermore, there may be differences between non-GAAP core operating income and taxable income determined in accordance with the Internal Revenue Code.  As a REIT, the Company will be required to distribute at least 90% of its REIT taxable income (subject to certain adjustments) to qualify as a REIT and all of its taxable income in order to not be subject to any U.S. Federal or state corporate income taxes.  Accordingly, non-GAAP core operating income may not equal the Company’s distribution requirements as a REIT.

EX-99.2

Investor Presentation First Quarter 2022 Exhibit 99.2

Information Related to Forward-Looking Statements Forward-looking statements are based on our beliefs, assumptions and expectations of our future performance, taking into account information currently in our possession. These beliefs, assumptions and expectations may change as a result of many possible events or factors, not all of which are known to us or are within our control. If a change occurs, the performance of our portfolio and our business, financial condition, liquidity and results of operations may vary materially from those expressed, anticipated or contemplated in our forward-looking statements. You should carefully consider these risks, along with the following factors that could cause actual results to vary from our forward-looking statements, before making an investment in our securities: the overall environment for interest rates, changes in interest rates, interest rate spreads, the yield curve and prepayment rates, including the timing of changes in the Federal Funds rate by the U.S. Federal Reserve; the effect of any changes to the London Interbank Offered Rate (“LIBOR”) and the Secured Overnight Financing Rate (“SOFR”) and establishment of alternative reference rates; current conditions and further adverse developments in the residential mortgage market and the overall economy; potential risk attributable to our mortgage-related portfolios, including changes in fair value; our use of leverage and our dependence on repurchase agreements and other short-term borrowings to finance our mortgage-related holdings; the availability of certain short-term liquidity sources; competition for investment opportunities; U.S. Federal Reserve monetary policy; the federal conservatorship of the Federal National Mortgage Association (“Fannie Mae”) and the Federal Home Loan Mortgage Corporation (“Freddie Mac”) and related efforts, along with any changes in laws and regulations affecting the relationship between Fannie Mae and Freddie Mac and the federal government; mortgage loan prepayment activity, modification programs and future legislative action; changes in, and success of, our acquisition, hedging and leverage strategies, changes in our asset allocation and changes in our operational policies, all of which may be changed by us without shareholder approval; failure of sovereign or municipal entities to meet their debt obligations of such debt obligations; fluctuations of the value of our hedge instruments; fluctuating quarterly operating results; changes in laws and regulations and industry practices that may adversely affect our business; volatility of the securities markets and activity in the secondary securities markets in the United States and elsewhere; our ability to qualify and maintain our qualification as a REIT for federal income tax purposes; our ability to successfully expand our business into areas other than investing in MBS and our expectations of the returns of expanding into any such areas; our ability to close on the sale of single-family residential homes described herein, and to realize the expected benefits from such sale; and the other important factors identified in this Annual Report on Form 10-K under the caption “Item 1A - Risk Factors.” These and other risks, uncertainties and factors, including those described elsewhere in our Annual Report on Form 10-K, could cause our actual results to differ materially from those projected in any forward-looking statements we make. All forward-looking statements speak only as of the date on which they are made. New risks and uncertainties arise over time and it is not possible to predict those events or how they may affect us. Except as required by law, we are not obligated to, and do not intend to, update or revise any forward-looking statements, whether as a result of new information, future events or otherwise.

Contents

Company Overview

Arlington’s Transition to a Differentiated Investment Strategy Return Capital To Shareholders 3 Focus on high return differentiated investments with barriers to entry Mortgage servicing rights (“MSRs”) Single-family residential (“SFR”) rental properties Select credit investments Improve level and reliability of returns over time Substantial and consistent share repurchases Active repurchases every quarter starting 2Q 20 Highly accretive to book value per share Deliver high dividend equivalent yield to shareholders Transitioning Into Diversified Investment Strategies (1) Protect Shareholder Capital Diversify Investment Channels 2 Current portfolio constructed to mitigate risks of: High inflation Rising interest rates Fed balance sheet normalization Spread widening Maintain low leverage and use term financing structures where available 1 8.7x Leverage (2) 2.4x Leverage (2) 1.3x Leverage (2) Capital is calculated as the Company’s GAAP shareholders’ equity plus long-term unsecured debt and accumulated depreciation on SFR properties recognized pursuant to GAAP. Calculated the ratio of the sum of repurchase agreement financing, net payable or receivable for unsettled securities, net contractual forward price of TBA commitments, debt secured by single-family properties and financing embedded in MSR financing receivables less cash and cash equivalents compared to investable capital.

Top Tier Economic Returns from Investment Transition Economic Return Compared to FTSE NAREIT Mortgage Home Financing Index(3)(4) Leading economic return relative to residential mortgage REIT peers(1) Diversified investment portfolio with focus on book value preservation and low book value volatility Top 15%(2) among peers in producing the lowest volatility of economic returns over last twelve months Economic return measured as change in book value per share plus dividends declared Measured as the standard deviation of quarterly economic return over last four quarters ending Q1 2022. Includes all constituents of the FTSE NAREIT Mortgage Home Financing Index that were included in the index in respective periods. Source: SEC filings.

Top 10% Economic Return Compared to Peers Strong investment portfolio results generated recent strong economic return performance(1) Economic Return Compared to FTSE NAREIT Mortgage Home Financing Index (2)(3) Economic return measured as change in book value per share plus dividends declared Includes all 24 constituents of the FTSE NAREIT Mortgage Home Financing Index Source: SEC filings.

Exceptional Returns From Mortgage Servicing Right Investments Inception to date annualized total return of 53%(1) Established propriety channel for investing in MSRs Grown investable capital allocation to 50% as of March 31, 2022 High current double digit net interest yields at current rate levels Low leverage of 0.3x(2) as of March 31, 2022 Total inception to date IRR based on total cash on cash return assuming remaining investment is sold at fair value on March 31, 2022. Reflects secured financing obtained by mortgage servicing counterparty within Company’s MSR financing receivable as of March 31, 2022. Represents total GAAP income comprised of net income and net unrealized and realized gains and losses. Income from MSRs(3) Net Interest Yield

Scaling Investments in Single Family Residential Rentals This illustrative model is not intended to predict outcomes. This model is only intended to illustrate how different assumptions will impact the results. All returns and expenses are based on a fully stabilized portfolio of SFR and there are many risks that may cause Arlington to not meet these objectives. There can be no assurances that Arlington will stabilize its portfolio and achieve these illustrated returns. Illustrative model is not intended to predict outcomes and intended to illustrate how different assumptions will impact the results. All returns and expenses are based on a fully stabilized portfolio of SFR and there are many risks that may cause Arlington to not meet these objectives. There can be no assurances that Arlington will stabilize its portfolio and achieve these illustrated returns. Net rental yield is lease revenue less property level operating expenses (excluding fixed asset depreciation) as a percentage of the home investment. Based on Company’s five-year financing facility with a fixed rate of 2.76%. Includes other direct G&A expenses and estimated partner fees including potential incentive fees. Illustrative SFR Economic Returns (1) Scaling SFR Investment Portfolio Goal of acquiring ≈$200 million of homes Have reached 566 homes today for a total of $177 million Agreement to sell 378 homes by end of second quarter (see slide 9) Intend to reinvest potential sale proceeds to scale back to goal of ≈$200 million of homes Strong net rental yields of 4.90% with ability to realize potential home price appreciation Scaling in eight growth markets Attractive $150 million five-year funding facility with below market fixed rate of 2.76%

Strong Returns in Single Family Residential Rentals Signed an agreement on May 10 to sell 378 houses for $132.75 million (1) Sale expected to increase book value by approximately $0.45 per share Driven primarily by bulk purchase premium for a portfolio of leased homes in attractive markets Subject to normal closing conditions, including right of buyer to terminate the sale for any reason during diligence period that ends May 30 Anticipate closing around end of second quarter Opportunity to Capture a Strong Gain on Sale Prior to settlement, buyer can remove up to 5% of the properties from the sale transaction. SFR Portfolio as of May 10, 2022 $115 $62 $177 Expect to continue to reinvest proceeds in SFR properties to ramp up to goal of ≈$200 million of homes, market conditions pending

Powerful Returns in Opportunistic Credit Investments Constructed a diversified credit investment portfolio with attractive risk return profiles Produced high teen total returns in challenging market environment Investable capital allocation of 22% as of March 31, 2022 Primarily employ non-recourse structured leverage Low total recourse leverage of 0.3x(1) as of March 31, 2022 Calculated as repurchase agreement financing to investable capital allocated to credit investments. Investable capital is calculated as GAAP shareholders’ equity (plus accumulated depreciation of SFR) plus long-term unsecured debt. Total annualized IRR based on cash on cash return assuming purchased at Company’s reported fair value at beginning of the period and sold at fair value on March 31, 2022. Reflected as a percentage of total capital invested in credit investments as of March 31, 2022. Annualized Total Investment Return(2) Diversified Credit Investment Portfolio(3)

Consistently and Aggressively Returning Capital to Shareholders Accretion per share common share includes accretion from repurchases of the Company’s preferred stock and unsecured long-term debt. FY 2020 includes three quarters of stock repurchases from Q2 20 to Q4 20. Through May 11, 2022. Calculated as annualized quarterly shareholder accretion from stock repurchases divided by average quarterly stock price. Shareholder Accretion From Stock Repurchases (1) Aggressively Repurchasing Shares of Common Stock Since Q1 2020(3) Equivalent Dividend Yield From Stock Repurchases(4) $0.68 per share returned to shareholders Over 23% of common shares repurchased 8.5 million shares repurchased for over $28 million at purchase price to book value of 56% Repurchased on average 1 million common shares per quarter over last nine quarters 11.4 million remaining share authorization as of May 11, 2022 Tax efficient return of capital to shareholders

Substantial Tax Benefits Provide Additional Shareholder Value Substantial tax loss carryforwards(1) $165 million of estimated net operating loss (NOL) carryforwards as of March 31, 2022(2) $146 million of estimated net capital loss (NCL) carryforwards as of March 31, 2022(3) Tax loss carryforwards provide corporate flexibility that benefits shareholders As a REIT, ability to retain earnings to reinvest into new opportunities or to repurchase shares of common stock at a discount to book value As a C-corporation, ability to reduce corporate income tax liability that increases capital available to reinvestment into new opportunities, repurchase shares of common stock at a discount to book value or pay a dividend NOL carryforwards would represent approximately $1.45 per share of gross deferred tax assets prior to consideration of any valuation allowance NOL and NCL carryforwards are subject to potential adjustment up the time of the filing of the Company’s income tax returns. NOL carryforwards of $14 million expire in 2028 and $151 million have no expiration period. NCL carryforwards expire between the 2022 and 2027 years.

Extensive Alignment Insider ownership of 7% of outstanding shares Internally managed Highly performance-based compensation structure Responsive and highly-experienced Board of Directors Significant expense reductions over time Substantial return of capital to shareholders Transparent and best-in-class Corporate Governance

Q1 2022 Financial Review

Financial Highlights $6.19 book value per common share as of March 31, 2022 (1) Increase of 0.5% from December 31, 2021 $0.12 GAAP net loss per diluted common share $0.05 non-GAAP core operating income (2) per diluted common share Increase of $0.03 per share from fourth quarter 2021 $0.09 per common share of book value accretion from the repurchase of 1.0 million shares of common stock representing 3.3% of outstanding shares Repurchased additional 0.6 million shares of common stock, or 2.0% of outstanding shares, through May 11, 2022 1.3 to 1 “at risk” leverage ratio (3) as of March 31, 2022 Excludes accumulated depreciation on SFR properties recognized in accordance with GAAP. A reconciliation of non-GAAP core operating income to GAAP net income (loss) available (attributable) to common stock is provided on slide 29. Calculated the ratio of the sum of repurchase agreement financing, net payable or receivable for unsettled securities, net contractual forward price of TBA commitments, debt secured by single-family properties and financing embedded in MSR financing receivables less cash and cash equivalents compared to investable capital. Investable capital is calculated as the sum of stockholders’ equity, long-term unsecured debt and accumulated depreciation of SFR properties recognized in accordance with GAAP.

Investment Portfolio Highlights Current investment portfolio positioning Favorable performance versus rising interest rates Defensive posture versus expected Federal Reserve tightening Favorable performance versus inflation MSR: Capital allocation increased to 50% as of March 31, 2022 47% annualized total return for Q1 2022 Valuation multiples of underlying MSRs have increased as expected with the increase in rates 4.20x valuation multiple and 10-year U.S. Treasury rate of 1.49% as of September 30, 2021 4.38x valuation multiple and 10-year U.S. Treasury rate of 1.51% as of December 31, 2021 5.21x valuation multiple and 10-year U.S. Treasury rate of 2.33% as of March 31, 2022 5.40x valuation multiple and 10-year U.S. Treasury rate of 2.93% as of April 30, 2022 SFR: Purchased or committed to purchase $137 million as of March 31, 2022 Capital allocation increased to 17% as of March 31, 2022 Better than expected underwritten net yields of 4.9% Attractive $150 million five-year financing facility with fixed rate of 2.76%

Diversified and Complimentary Return Profile Agency MBS Mortgage Servicing Rights Single-Family Residential Rental Properties Credit Principal and interest guaranteed by Fannie Mae or Freddie Mac Funded with short-term repurchase agreements Hedged with interest rate swaps, Treasury futures and MSRs Performs well in low volatility and steepening yield curve environment 10.0% to 12.5% 6.0x to 9.0x Asset Class Targeted Return and Leverage (1) Recently originated pools of Fannie Mae and Freddie Mac loans Partnering with licensed, GSE approved servicer Ability to prudently leverage through access to funding facility Expected strong returns in a rising rate environment Complimentary to agency MBS 7.5% to 11.0%(2) 0.0x to 0.5x Current return 8.0% to 11.75% Total return(3) 8.0% to 21.75%(2) 2.0x to 3.0x 10.0% to 16.0% 0.0x to 10.0x Acquiring, operating and leasing SFR rental properties Partnering with leading asset manager to leverage partner’s scale Funded with fixed-rate long-term non-recourse financing Strong yields plus ability to realize appreciation over time Expected strong returns in an inflationary environment Loans or ABS collateralized by loans Residential mortgage loans Residential business purpose mortgage loans Commercial mortgage loans Residential solar panel loans Funded with non-recourse term securitization where available Targeted return and leverage are for illustrative purposes only. Any assumptions and estimates used may not be accurate and cannot be relied upon. Actual returns for any given period may differ materially from these examples. Net of direct expenses and estimated partner fees including potential incentive fees. Total return includes potential annual home price appreciation of 1% to 4% and is net of direct expenses and partner fees.

Investment Portfolio Allocation as of March 31, 2022 Investment Asset Allocation Invested Capital Allocation Calculated the ratio of the sum of repurchase agreement financing, net payable or receivable for unsettled securities, net contractual forward price of TBA commitments, debt secured by single-family properties and financing embedded in MSR financing receivables less cash and cash equivalents compared to investable capital. Leverage ratio for MSR related assets reflects $43,948 of secured financing obtained by the mortgage servicer counterparty to our MSR financing receivables at our direction. Reflects the Company’s net investments of $28,144 in variable interest entities with gross assets and liabilities of $272,802 and $244,658, respectively, that are consolidated for GAAP financial reporting purposes. Excludes accumulated depreciation of SFR properties recognized pursuant to GAAP. Investable capital is calculated as the Company’s GAAP shareholders’ equity plus long-term unsecured debt and SFR accumulated depreciation.

MSR Related Assets MSR Related Assets as of March 31, 2022 (Dollars in thousands) AAIC has a strategic relationship with a licensed, GSE approved mortgage servicer that enables us to garner the economic return of an investment in an MSR purchased by the servicer For an MSR purchased by our partner, AAIC: purchases the excess servicing spread entitling the Company to servicing fees in excess of 12.5 basis points; and funds the balance of the MSR in exchange for an unsecured right to payment equal to the underlying base servicing fee of 12.5 basis points less the costs of servicing and any proceeds from the sale of the underlying MSR, less a monthly oversight fee and an annual incentive fee, if earned At our option, we can direct our partner to leverage our capital Investable capital is calculated as the Company’s GAAP shareholders’ equity plus long-term unsecured debt and SFR accumulated depreciation. Reflects $43,948 of secured financing obtained by the mortgage servicer counterparty to our MSR financing receivables at our direction.

Single-Family Residential Properties Investable capital is calculated as the Company’s GAAP shareholders’ equity plus long-term unsecured debt and SFR accumulated depreciation. SFR Investment Portfolio as of March 31, 2022 (Dollars in thousands) Committed to invest at least $55 million of capital to acquire approximately $200 million of SFR properties Partnering with a leading, experienced asset manager that will enable us to leverage our partner’s scale, intellectual capital and access to investment opportunities As of March 31, 2022, we had acquired 405 SFR properties for $122 million and had committed to acquire an additional 49 properties for $15 million To finance the purchase of SFR properties, we have entered into a $150 million five-year secured term debt facility under which we had drawn $78.1 million as of March 31, 2022. Key financing terms are as follows: 18-month original (12-month remaining) draw period 74% advance rate 2.76% fixed cost of funds limited recourse to AAIC

Credit Investments Investable capital is calculated as the Company’s GAAP shareholders’ equity plus long-term unsecured debt and SFR accumulated depreciation. Leverage ratio is calculated as [short-term secured financing collateralized by credit investments +(-) net payable (receivable) for unsettled securities] divided by the allocated investable capital. Reflects the Company’s net investment in consolidated VIEs on a net basis. Levered net interest income (“NII”) return is calculated as the sum of GAAP net interest income attributable to credit investments divided by the weighted average amortized cost basis of credit investments net of the weighted average balance of credit investment secured financing for the period, annualized. Residential MBS – interest-only and residential MBS, in combination, reflect our net investment at fair value of $22,191 in a variable interest entity with gross assets and liabilities of $266,535 and $244,344, respectively, that is consolidated for GAAP financial reporting purposes. Reflects the Company’s net investment of $5,953 in a variable interest entity with gross assets and liabilities of $6,267 and $314, respectively, that is consolidated for GAAP financial reporting purposes on a net basis. For investments in credit securities, includes contractual accrued interest receivable. Credit Investment Portfolio as of March 31, 2022 (Dollars in thousands)

Agency MBS Investments Agency MBS Investment Portfolio as of March 31, 2022 (Dollars in thousands) Investable capital is calculated as the Company’s GAAP shareholders’ equity plus long-term unsecured debt and SFR accumulated depreciation Leverage ratio is calculated as [repurchase agreement financing collateralized by agency MBS +(-) net payable (receivable) for unsettled securities] divided by the allocated investable capital. Levered net interest income (“NII”) return is calculated as the sum of GAAP net interest income attributable to agency MBS, TBA dollar roll income, and interest rate swap net income (expense) divided by the weighted average amortized cost basis of agency MBS net of the weighted average balance of agency MBS repurchase agreement financing for the period, annualized.

Non-GAAP Core Operating Income (1) Core operating income and economic net interest income are non-GAAP financial measures. These non-GAAP measures are used by management to evaluate the financial performance of the Company’s long-term investment strategy and core business activities over periods of time as well as assist with the determination of the appropriate level of periodic dividends to stockholders. The Company believes that non-GAAP core operating income and economic net interest income assist investors in understanding and evaluating the financial performance of the Company’s long-term investment strategy and core business activities over periods of time as well as its earnings capacity. A limitation of utilizing these non-GAAP financial measures is that the effect of accounting for “non-core” events or transactions in accordance with GAAP does, in fact, reflect the financial results of our business and these effects should not be ignored when evaluating and analyzing our financial results. The Company believes that net income and comprehensive income determined in accordance with GAAP should be considered in conjunction with non-GAAP core operating income and economic net interest income. A reconciliation of non-GAAP core operating income to GAAP net income (loss) available (attributable) to common stock is provided on slide 29. Excludes GAAP depreciation of SFR properties. Non-GAAP Core Operating Income Per Diluted Share Rollforward – Q1 2022 vs. Q4 2021

Book Value Per Share Rollforward Net of income tax provision (benefit) for TRS investment gain (loss), net. Excludes TBA dollar roll income which is included in non-GAAP core operating income. Excludes net interest income earned or expense incurred from interest rate swap agreements which is included in non-GAAP core operating income. Excludes $1,010 of accumulated depreciation of SFR properties recognized pursuant to GAAP.

Additional Financial Information

Publicly Traded Capital Class A Common Stock Ticker: AAIC Exchange: NYSE Market Capitalization: $87 million (1) Senior Notes Due 2026 Ticker: AAIN Exchange: NYSE Per Annum Interest Rate: 6.00% Current Strip Yield per Annum: 7.41%(1)(2) Maturity Date: August 1, 2026 Series B Cumulative Perpetual Redeemable Preferred Stock Ticker: AAIC PrB Exchange: NYSE Per Annum Dividend Rate: 7.00% Payable Quarterly Current Strip Yield per Annum: 8.24%(1)(2) As of May 11, 2022. Source: Bloomberg Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock Ticker: AAIC PrC Exchange: NYSE Per Annum Dividend Rate: 8.25% Payable Quarterly Current Strip Yield per Annum: 8.97%(1)(2) Senior Notes Due 2025 Ticker: AIC Exchange: NYSE Per Annum Interest Rate: 6.75% Current Strip Yield per Annum: 7.18%(1)(2) Maturity Date: March 15, 2025

Balance Sheet Represents shares of common stock outstanding plus vested restricted stock units convertible into common stock less unvested restricted common stock. Book value per common share is calculated as total equity plus accumulated depreciation on SFR properties less the preferred stock liquidation preference divided by common shares outstanding. Calculated the ratio of the sum of repurchase agreement financing, net payable or receivable for unsettled securities, net contractual forward price of TBA commitments, debt secured by single-family properties and financing embedded in MSR financing receivables less cash and cash equivalents compared to investable capital. Investable capital is calculated as the sum of stockholders’ equity and long-term unsecured debt.

Statement of Comprehensive Income

Non-GAAP Core Operating Income Reconciliation (1) Core operating income and economic net interest income are non-GAAP financial measures. These non-GAAP measures are used by management to evaluate the financial performance of the Company’s long-term investment strategy and core business activities over periods of time as well as assist with the determination of the appropriate level of periodic dividends to stockholders. The Company believes that non-GAAP core operating income and economic net interest income assist investors in understanding and evaluating the financial performance of the Company’s long-term investment strategy and core business activities over periods of time as well as its earnings capacity. A limitation of utilizing these non-GAAP financial measures is that the effect of accounting for “non-core” events or transactions in accordance with GAAP does, in fact, reflect the financial results of our business and these effects should not be ignored when evaluating and analyzing our financial results. The Company believes that net income and comprehensive income determined in accordance with GAAP should be considered in conjunction with non-GAAP core operating income and economic net interest income. Reconciliation of GAAP Net Income to Non-GAAP Core Operating Income

Interest rate sensitivity of MBS and TBA commitments is derived from The Yield Book, a third-party model. Interest rate sensitivity of MSR financing receivables is derived from an internal model. Actual results could differ significantly from these estimates. Interest rate sensitivity is based on assumptions resulting in certain limitations, including (i) an instantaneous shift in rates with no changes to the slope of the yield curve, (ii) the effect of negative interest rates, (iii) no changes in MBS spreads, and (iv) no changes to the investment or hedge portfolio. Excludes changes in values to mortgage credit investments and single-family residential properties. Duration for agency MBS is derived from the Citi’s “The Yield Book,” a third-party model. Duration for MSR financing receivables is derived from an internal model. Duration is a measure of how much the price of an asset or liability is expected to change if interest rates move in a parallel manner and is dependent upon several subjective inputs and assumptions. Actual results could differ materially from these estimates. In addition, different models could generate materially different estimates using similar inputs and assumptions. Total liability and hedge duration is expressed in asset units. Excludes unsecured debt. Agency MBS spread sensitivity is derived from The Yield Book, a third-party model. Actual results could differ significantly from these estimates. The estimated change in book value reflects an assumed spread weighted average duration of 6.2 years, which is a model-based assumption that is dependent upon the size and composition of our portfolio as well as economic conditions present as of March 31, 2022. The agency MBS spread sensitivity is based on assumptions resulting in certain limitations, including (i) no changes in interest rates, and (ii) no changes to the investment or hedge portfolio. Interest Rate Sensitivity as of March 31, 2022 (1) Book Value Sensitivity to Interest Rates and Spreads Agency MBS Spread Sensitivity as of March 31, 2022 (4) Agency MBS and MSR Portfolio Net Duration Gap as of March 31, 2022

Consistent and Strong Focus on Corporate Responsibility Corporate Governance We are committed to continuing to build healthy principals into our corporate culture and are actively focused on the management and improvement of the Company’s governance efforts We established strong Corporate Governance Guidelines and code of ethics policies We do not have a classified or staggered Board and directors are elected by majority, not plurality, with a resignation policy for directors who do not receive a majority vote We conduct a regular Board refreshment process and currently 83% of our directors are independent with one of our five independent directors being female (20%) Adding diversity to our Board through our regular refreshment process is a top priority We do not have the same person occupying the offices of the Chairman of the Board and Chief Executive Officer and our Chairman of the Board is independent Each of the Board’s Committees are comprised entirely of independent directors Responsible Investing We support affordable housing in communities across the U.S. and have invested in opportunities that support the renewable energy sector Through our SFR Program we are able to offer quality homes in attractive neighborhoods that we believe give families the opportunity to reside in a home located in a community that may not have otherwise been attainable We have been able to expand our investments into areas that support the environmental benefits of renewable energy and continue to seek other responsible investments Operational Impact We are able to minimize our overall environmental impact through having a small office with easy access to public transportation, available electric vehicle charging stations, use of green products, streamlined recycling, reusable kitchen supplies, and energy efficient copiers and printers We offer employees the ability to work in a hybrid work environment between the corporate office and remotely to further reduce our environmental impact We provide our highly skilled employees an engaging, rewarding, supportive and inclusive environment that allows them to grow personally and professionally

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Document and Entity Information	May 12, 2022
Document Information [Line Items]
Document Type	8-K
Amendment Flag	false
Document Period End Date	May 12, 2022
Entity Registrant Name	ARLINGTON ASSET INVESTMENT CORP.
Entity Central Index Key	0001209028
Entity Incorporation State Country Code	VA
Entity File Number	001-34374
Entity Tax Identification Number	54-1873198
Entity Address Address Line One	6862 Elm Street
Entity Address, Address Line Two	Suite 320
Entity Address City Or Town	McLean
Entity Address State Or Province	VA
Entity Address Postal Zip Code	22101
City Area Code	703
Local Phone Number	373-0200
Written Communications	false
Soliciting Material	false
Pre Commencement Tender Offer	false
Pre Commencement Issuer Tender Offer	false
Entity Emerging Growth Company	false
Class A Common Stock
Document Information [Line Items]
Title of 12(b) Security	Class A Common Stock
Trading Symbol	AAIC
Security Exchange Name	NYSE
7.00% Series B Cumulative Perpetual Redeemable Preferred Stock
Document Information [Line Items]
Title of 12(b) Security	7.00% Series B Cumulative Perpetual Redeemable Preferred Stock
Trading Symbol	AAIC PrB
Security Exchange Name	NYSE
8.250% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock
Document Information [Line Items]
Title of 12(b) Security	8.250% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock
Trading Symbol	AAIC PrC
Security Exchange Name	NYSE
6.000% Senior Notes due 2026
Document Information [Line Items]
Title of 12(b) Security	6.000% Senior Notes due 2026
Trading Symbol	AAIN
Security Exchange Name	NYSE
6.75% Senior Notes due 2025
Document Information [Line Items]
Title of 12(b) Security	6.75% Senior Notes due 2025
Trading Symbol	AIC
Security Exchange Name	NYSE