Investment Strategy - Arlington Asset Investment Corp. focuses primarily on investing in mortgage-related assets, with capital allocated between agency MBS, mortgage credit investments, and MSR-related assets[164]. - The company is internally managed and does not have an external investment advisor, allowing for direct control over investment strategies[165]. - Arlington Asset's investment strategy includes hedging transactions to mitigate interest rate sensitivity of borrowing costs and the value of fixed-rate mortgage investments[165]. - The company anticipates potential investment opportunities arising from the current economic environment due to increased liquidity[183]. - The company has committed to invest a minimum of $25 million in MSR financing transactions, fully funded as of March 31, 2021[262]. Economic Environment - Housing prices reported an 11.2% annual gain in January 2021, the highest recorded in nearly 15 years, driven by low mortgage rates and low supply of homes[169]. - The impacts of the COVID-19 pandemic and changes in interest rates are significant factors affecting the company's financial condition and results of operations[166]. - The Federal Open Market Committee plans to maintain a target range for the federal funds rate at 0% to 0.25% and continue asset purchases of at least $80 billion per month in Treasury securities and $40 billion in agency MBS[168]. - The transition from LIBOR to SOFR is expected to be gradual and complicated, with significant differences between the two rates potentially affecting borrowing costs[171]. Financial Performance - GAAP net interest income decreased by $5.3 million, or 58.2%, from $9.1 million for the three months ended March 31, 2020, to $3.8 million for the three months ended March 31, 2021[206]. - Net loss attributable to common stock was $6.763 million, compared to a net loss of $94.944 million in the previous year[205]. - Diluted loss per common share was $(0.20), a significant improvement from $(2.59) in the prior year[205]. - Economic net interest income for the three months ended March 31, 2021, was $3.884 million, down from $9.838 million in the same period last year[212]. - The company reported a GAAP net loss of $6.040 million for Q1 2021, a significant improvement compared to a net loss of $94.170 million in Q1 2020[232]. Asset Management - Liquid assets totaled $181.6 million as of March 31, 2021, consisting of cash and cash equivalents of $48.2 million and unencumbered agency MBS of $133.4 million at fair value[183]. - The total mortgage investment portfolio at fair value as of March 31, 2021, was $724.1 million, with a capital allocation of $312.6 million[184]. - The company has a mortgage loan investment with a principal balance of $44.9 million, bearing interest at one-month LIBOR plus a spread of 4.25% and a LIBOR floor of 2.00%[174]. - The company had $36 million of MSR financing receivable investments at fair value[194]. - The company reported net interest income primarily from agency MBS, mortgage credit investments, and MSR financing receivables, net of interest expenses[199]. Debt and Leverage - As of March 31, 2021, the company's debt-to-equity leverage ratio was 2.7 to 1, indicating a significant reliance on debt financing[237]. - The company reduced its "at risk" leverage ratio to 1.4 to 1 as of March 31, 2021, by selling mortgage investments and reducing repo borrowings[183]. - The company had $73.1 million of total long-term unsecured debt as of March 31, 2021, with senior notes accruing interest at rates of 6.625% and 6.75%[244]. - As of March 31, 2021, outstanding repurchase agreements totaled $505.6 million, with a weighted-average rate of 0.33% and a weighted-average term to maturity of 27.1 days[252]. Risk Management - The company is exposed to interest rate risk, particularly in its agency MBS portfolio, which is financed with short-term borrowing facilities[277]. - The company utilizes interest rate hedging instruments to manage its exposure to changes in benchmark interest rates[278]. - Credit risk is present in mortgage credit investments, which do not carry a credit guarantee, exposing the company to potential credit losses[287]. - The company manages credit risk through prudent asset selection and ongoing performance monitoring, but there are no guarantees of success[291]. Shareholder Returns - The company intends to distribute 100% of its taxable income to shareholders, complying with REIT distribution requirements[274]. - The company did not declare a dividend on common stock during the first quarter of 2021 to preserve liquidity[183]. - The Series C Preferred Stock has a liquidation preference of $27.9 million and pays a fixed dividend of 8.250% per annum until March 30, 2024[269]. - The Series B Preferred Stock has a liquidation preference of $8.4 million and pays a cumulative cash dividend of 7.00% per annum[269].

UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM 10-Q (Mark One) ☒ QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 For the quarterly period ended September 30, 2020 OR ☐ TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 For the transition period from to | --- | --- | --- | |----------------------------------------------------------------------------|----------------------------------------|------------ ...

UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM 10-Q (Mark One) ☒ QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 For the quarterly period ended June 30, 2020 OR ☐ TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 For the transition period from to | --- | --- | --- | |----------------------------------------------------------------------------|----------------------------------------|----------------- ...

UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM 10-Q (Mark One) ☒ QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 For the quarterly period ended March 31, 2020 OR ☐ TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 For the transition period from to | --- | --- | |---------------------------------------------------------------------------------------|---------------------------------------------------- ...

UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM 10-K (Mark One) ☒ ANNUAL REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 For the fiscal year ended December 31, 2019 OR ☐ TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 For the transition period from to Commission File Number: 001-34374 | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | |--------------------------------------- ...

UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM 10-Q (Mark One) ☒ QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 For the quarterly period ended September 30, 2019 OR ☐ TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 For the transition period from to | --- | --- | --- | |---------------------------------------------------------------------------------------|------------------------------------------ ...

UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM 10-Q (Mark One) ☒ QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 For the quarterly period ended June 30, 2019 OR ☐ TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 For the transition period from to Commission File Number: 001-34374 | --- | --- | |---------------------------------------------------------------------------------------|------------------- ...

UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM 10-Q (Mark One) ☒ QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 For the quarterly period ended March 31, 2019 OR ☐ TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 For the transition period from to Commission File Number: 001-34374 | --- | --- | |----------------------------------------------------------------------|----------------------------------- ...

UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM 10-K (Mark One) ☒ ANNUAL REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 For the fiscal year ended December 31, 2018 OR ☐ TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 For the transition period from to Commission File Number: 001-34374 | --- | --- | --- | --- | --- | --- | |--------------------------------------------------------------------------------------- ...