Arlington Asset Investment Corp
Arlington Asset Investment — Q4 2022 Earnings Presentation
20 slides from Arlington Asset Investment's earnings presentation, Mar 31, 2023
Slide 1: Investor Presentation Fourth Quarter 2022
Investor Presentation Fourth Quarter 2022 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: Q4 2022 Financial Highlights
Q4 2022 Financial Highlights $6.59 book value per common share as of December 31, 2022 Increase of 2.2% from September 30, 2022 Increase of 7.0% from December 31, 2021 $6.48 book value per common share as of February 28, 2023(1) $0.13 GAAP net income available to common shareholders per diluted comm
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: Consistent Top Tier Economic Returns since Investment Transition
Consistent Top Tier Economic Returns since Investment Transition Economic Return Compared to FTSE NAREIT Mortgage Home Financing Index (3)(4) Diversified investment portfolio with focus on book value preservation and low book value volatility Leading economic return relative to residential mortgage
Slide 6: Outsized Economic Return Compared to Peer Average
Outsized Economic Return Compared to Peer Average Strong investment portfolio results generated recent strong economic return performance during period of severe market volatility(1) Economic Return Compared to FTSE NAREIT Mortgage Home Financing Index (2)(3) Economic return measured as change in bo
Slide 7: Investment Portfolio Allocation
Investment Portfolio Allocation as of December 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 and financing embedd
Slide 8: Exceptional Returns From Mortgage Servicing Right Investments
Exceptional Returns From Mortgage Servicing Right Investments Established propriety channel for investing in MSRs Inception to date annualized total return of 38%(1) High current double digit net interest yields at current rate levels Low leverage of less than 0.1x(2) as of December 31, 2022 Grown i
Slide 9: Strong Returns in Opportunistic Credit Investments
Strong Returns in Opportunistic Credit Investments Constructed a diversified credit investment portfolio with attractive risk return profiles Focus on high grade liquid investments with 59% of credit assets in AAA rated senior bonds as of December 31, 2022(1) Produced strong total returns in challen
Slide 10: Significant Return of Capital to Shareholders
Significant Return of 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. Shareholder Accretion From Stock Repurchases (1)
Slide 11: MSR Related Assets
MSR Related Assets Allocated Investable Capital (1) as of Quarter End $180.4 million Invested Capital Allocation % 63% Leverage Ratio as of Quarter End (2) Less than 0.1x Q4 Weighted Average GAAP Asset Yield 14.98% MSR Related Assets as of December 31, 2022 (Dollars in thousands) AAIC has a strategi
Slide 12: 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 13: Agency MBS Investments
Agency MBS Investments Agency MBS Investment Portfolio as of December 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 finan
Slide 14: Substantial Return from Single-Family Residential
Substantial Return from Single-Family Residential Gain on Sale (dollars in thousands): Third Quarter 2022 Sale of 371 Properties Fourth Quarter 2022 Sale of 250 Properties Gain on Sale (dollars in thousands): 28% Total Annualized Return Fourth Quarter Sale Transaction Stock sale of McLean SFR Invest
Slide 15: 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 16: Publicly Traded Capital
Publicly Traded Capital Class A Common Stock Ticker: AAIC Exchange: NYSE Market Capitalization: $76 million (1) Senior Notes Due 2026 Ticker: AAIN Exchange: NYSE Per Annum Interest Rate: 6.00% Current Strip Yield per Annum: 9.37%(1)(2) Maturity Date: August 1, 2026 Series B Cumulative Perpetual Rede
Slide 17: 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 831 as of December 31, 2022. Does not include performance-based units that are conve
Slide 18: Statement of Comprehensive Income
Statement of Comprehensive Income
Slide 19: 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 20: Interest Rate Sensitivity 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
Arlington Asset Investment — Q4 2022 Earnings Presentation on 6ix