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Form 8-K - Current report - Item 2.02 Item 7.01 Item 9.01

Arlington Asset Investment Corp - Class A

Announcement: AAIC 8-K Special Filing

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Form 10-Q - Quarterly report [Sections 13 or 15(d)]

Announcement: AAIC 10-Q Quarterly Report

Form 10-K/A - Annual report [Section 13 and 15(d), not S-K Item 405]: [Amend]

Announcement: AAIC 10-K/A Special Filing Amendment

Part 1: Analysis of the Company’s Performance During the Period

Arlington Asset Investment Corp.’s performance during the period was largely impacted by the prevailing market conditions in the US. More specifically, the increase in the 10-year US Treasury rate, rise in inflation, and the negative spread between the 2-year and 10-year US Treasury were some of the key factors that affected its financial performance during the period.

The increase in the 10-year US Treasury rate led to an increase in residential mortgage rates, which, in turn, resulted in decreasing prepayment speeds in the fixed-rate residential mortgage market. As a result, the pay-up premiums on agency Mortgage-Backed Securities (MBS) decreased, leading to a decline in valuation. However, the valuation multiples of mortgage servicing rights (MSRs) increased, primarily due to declining prepayment speed expectations. The spread between the market yield on agency MBS and benchmark interest rates widened during the period, resulting in agency MBS underperforming relative to interest rate hedges.

In the context of the prevailing inflationary pressures, the US Federal Reserve adopted a strategy to contain inflation by significantly raising interest rates. The rate hikes had a negative impact on the performance of the MBS market in which Arlington Asset Investment Corp. operates. Furthermore, housing prices continued to remain historically high, although they have started decelerating since November 2022, partly due to the rate-tightening move by the Federal Reserve, which made mortgage financing more expensive.

Part 2: Forward Looking Analysis

Looking forward, the company's management expects to face significant challenges with the persistently high inflationary pressures and the unpredictable impacts of the ongoing COVID-19 pandemic. Although the US Federal Reserve has adopted a strategy to control inflation through successive interest rate hikes, the company's performance is likely to remain under pressure given the continued macroeconomic uncertainties.

The company’s competitive position may worsen further amidst the ongoing macroeconomic uncertainties, declining housing price gains, and more expensive mortgage financing. However, the company’s reliance on MSR related assets, which are expected to benefit from a declining prepayment schedule, may offer some relative protection against the prevailing negative headwinds.

To sum up, while Arlington Asset Investment Corp is facing negative headwinds due to the macroeconomic uncertainties and the US Federal Reserve’s interest rate hike, the company's resilience and its strategic focus on the MSR asset pool offers some protection to its operations. Despite the challenging environment, the company’s internal management structure and investment strategy provide investors with a degree of comfort, and the company remains well positioned to weather the market challenges over the long term.

Form 10-K - Annual report [Section 13 and 15(d), not S-K Item 405]

Announcement: AAIC 8-K Special Filing

Announcement: AAIC 8-K Special Filing

Announcement: AAIC 10-Q Quarterly Report

Announcement: AAIC 10-Q Quarterly Report

Announcement: AAIC 10-K/A Special Filing Amendment

Announcement: AAIC 10-K/A Special Filing Amendment

Arlington Asset Investment: The Impact of Market Conditions on Q4 Performance.

Arlington Asset Investment: The Impact of Market Conditions on Q4 Performance.

Announcement: AAIC 8-K Special Filing

Announcement: AAIC 8-K Special Filing

Announcement: AAIC 10-Q Quarterly Report

Announcement: AAIC 10-Q Quarterly Report