ai-ex991_6.htm

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.

“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

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.”

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

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:

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.

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.

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

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%.

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:

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.

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 $264.1 million of repurchase agreements outstanding with a weighted average rate of 0.36% and remaining weighted average maturity of 13 days secured by an aggregate of $279.9 million of agency MBS 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:

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.

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.

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.

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.

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.

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.

	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

	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

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, a non-GAAP financial measure, is comprised of the following:

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, 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:

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.

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.”

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

time as 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.

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

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

	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	%

			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

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