Arlington Asset Investment Corp
Arlington Asset Investment — Q1 2023 Earnings Presentation
16 slides from Arlington Asset Investment's earnings presentation, May 15, 2023
Slide 1: Investor Presentation First Quarter 2023
Investor Presentation First Quarter 2023 Exhibit 99.2
Slide 2: Information Related to Forward-Looking Statements
Information Related to Forward-Looking Statements 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
Slide 3: Q1 2023 Financial Highlights
Q1 2023 Financial Highlights $6.47 book value per common share as of March 31, 2023 $0.10 GAAP net loss attributable to common shareholders per diluted common share $0.05 non-GAAP earnings available for distribution(1) per diluted common share 0.4 to 1 “at risk” leverage ratio(2) as of March 31, 202
Slide 4: Arlington's Transition to a Differentiated Investment Strategy
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”) Select credit investments Improves level and reliability of returns over time Substantial share re
Slide 5: Outsized Economic Return Compared to Peer Average
Outsized Economic Return Compared to Peer Average Leading economic return relative to residential mortgage REIT peers(1) Produced among the lowest volatility of economic returns over last twelve months Economic Return Compared to FTSE NAREIT Mortgage Home Financing Index (2)(3) Economic return measu
Slide 6: Investment Portfolio Allocation
Investment Portfolio Allocation as of March 31, 2023 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 and financing embedded
Slide 7: Strong Returns From Mortgage Servicing Right Investments
Strong Returns From Mortgage Servicing Right Investments Established propriety channel for investing in MSRs Inception to date annualized total return of 33%(1) Current double digit net interest yields at current rate levels Recent reductions in net interest yields for Q4 ‘22 and Q1 ‘23 are largely
Slide 8: MSR Related Assets
MSR Related Assets Allocated Investable Capital (1) as of Quarter End $183.1 million Invested Capital Allocation % 62% Leverage Ratio as of Quarter End (2) Less than 0.1x Q1 Weighted Average GAAP Asset Yield 13.78% MSR Related Assets as of March 31, 2023 (Dollars in thousands) AAIC has a strategic r
Slide 9: Credit Investments
Credit Investments Investable capital is calculated as the Company’s GAAP shareholders’ equity plus long-term unsecured debt. Leverage ratio is calculated as [short-term secured financing collateralized by credit investments +(-) net payable (receivable) for unsettled securities] divided by the allo
Slide 10: Agency MBS Investments
Agency MBS Investments Agency MBS Investment Portfolio as of March 31, 2023 (Dollars in thousands) Investable capital is calculated as the Company’s GAAP shareholders’ equity plus long-term unsecured debt. Leverage ratio is calculated as [repurchase agreement financing collateralized by agency MBS +
Slide 11: Book Value Per Share Rollforward
Book Value Per Share Rollforward Net of income tax provision (benefit) for TRS investment gain (loss), net. Net of accrued incentive fees to the Company’s third-party investment manager. Excludes TBA dollar roll income (expense) which is included in non-GAAP earnings available for distribution. Excl
Slide 12: Publicly Traded Capital
Publicly Traded Capital Class A Common Stock Ticker: AAIC Exchange: NYSE Market Capitalization: $73 million (1) Senior Notes Due 2026 Ticker: AAIN Exchange: NYSE Per Annum Interest Rate: 6.00% Current Strip Yield per Annum: 8.93%(1)(2) Maturity Date: August 1, 2026 Series B Cumulative Perpetual Rede
Slide 13: Balance Sheet
Balance Sheet Represents common shares outstanding plus vested restricted stock units convertible into common stock less shares of unvested restricted common stock. The amount of unvested restricted common stock was 828 as of March 31, 2023. Does not include performance-based units that are converti
Slide 14: Statement of Comprehensive Income
Statement of Comprehensive Income
Slide 15: Non-GAAP Earnings Available for Distribution
Non-GAAP Earnings Available for Distribution(1) Earnings available for distribution (formerly referred to as core operating income) is a non-GAAP financial measures used by management to evaluate the financial performance of the Company’s long-term investment strategy and core business activities ov
Slide 16: Interest rate sensitivity and duration notes
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 as
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