Arlington Asset Investment Corp. (AI) SEC Filing 10-K Annual report for the fiscal year ending Tuesday, December 31, 2019

Exhibit 99.1

Contacts:

Media: 703.373.0200 or ir@arlingtonasset.com 

Investors: Rich Konzmann at 703.373.0200 or ir@arlingtonasset.com

Arlington Asset Investment Corp. Reports Fourth Quarter and Full Year 2019 Financial Results

McLean, VA, February 18, 2020

Fourth Quarter 2019 Financial Highlights

Full Year 2019 Financial Highlights

“During the fourth quarter, a strong outperformance of agency mortgage-backed securities (“MBS”) relative to interest rate hedges helped the Company deliver a 10% total economic return for the quarter and a positive return for the year.  The Company’s net spread earnings during the fourth quarter were relatively unchanged from the prior quarter as the improved funding backdrop from Federal Reserve rate cuts were generally offset by lower asset yields,” said J. Rock Tonkel, Jr., the Company's President and Chief Executive Officer.  “Although the Company believes that current investment opportunities in agency MBS are attractive, the Company actively began to expand its investment strategy during the fourth quarter to incorporate tailored mortgage credit investments, including through co-investing with select sourcing partners, with the objective of enhancing investment returns, diversifying risks, reducing overall leverage and, over time, improving the Company’s cost of capital.  As of year-end, the Company’s capital allocation to specialty mortgage credit investments totaled 14% of investable capital, and the Company will continue to evaluate new mortgage credit investment opportunities that it believes will deliver higher risk-adjusted returns to its shareholders over time.”

Other Fourth Quarter Highlights

As of December 31, 2019, the Company’s mortgage investment portfolio totaled $3,847 million in fair value, consisting of $3,768 million of agency MBS and $79 million of mortgage credit investments.  Based on investable capital, the Company has allocated 86% and 14% of its capital to its agency MBS and mortgage credit investment strategies, respectively, as of December 31, 2019.  

The Company’s agency MBS consist of residential mortgage pass-through certificates for which the principal and interest payments are guaranteed by either a U.S. government sponsored enterprise (“GSE”), such as the Federal National Mortgage Association (“Fannie Mae”) and the Federal Home Loan Mortgage Corporation (“Freddie Mac”), or by a U.S. government agency, such as the Government