Arlington Asset Investment(AAIC) - 2021 Q4 - Annual Report

Financial Performance and Strategy - The company had estimated net operating loss (NOL) carryforwards of $165.0 million as of December 31, 2021, which can offset future taxable ordinary income[40]. - The company intends to distribute 100$483,927, with a projected decrease to $470,976 under a 50 basis point increase in interest rates and an increase to$494,278 under a 50 basis point decrease[269]. - MSR financing receivables were valued at $125,018, projected to increase to$134,736 with a 50 basis point increase in interest rates and decrease to $112,155 with a 50 basis point decrease[269]. - The book value per common share was$6.16, with a projected decrease to $6.15 under a 50 basis point increase in interest rates and a decrease to$6.00 under a 50 basis point decrease[269]. - The company is exposed to spread risk, which is the risk of an increase in the spread between market participants' required rate of return and prevailing benchmark interest rates[271]. - The estimated change in fair value for agency MBS under a 10 basis point increase in agency spreads is projected to decrease to $480,974, while a decrease in spreads would increase the value to$486,880[272]. - Under a 25 basis point increase in agency spreads, the value of agency MBS is projected to decrease to $476,546, while a decrease in spreads would increase the value to$491,308[273]. - The effective durations for the agency MBS and TBA commitments are derived from The Yield Book, indicating sensitivity to interest rate changes[270]. - The analysis of interest rate sensitivity assumes a static portfolio and does not account for future management actions in response to market conditions[270]. Workforce - The company has a total of 11 employees as of December 31, 2021, and focuses on maintaining a discrimination-free workplace[44].