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 Second Quarter 2019 Financial Results

ARLINGTON, VA, August 6, 2019 – Arlington Asset Investment Corp. (NYSE: AI) (the “Company” or “Arlington”) today reported net loss attributable to common shareholders of $24.3 million, or $0.67 per diluted common share, and non-GAAP core operating income of $8.4 million, or $0.23 per diluted common share, for the quarter ended June 30, 2019.  A reconciliation of non-GAAP core operating income to GAAP net income (loss) before income taxes appears at the end of this press release.

Second Quarter 2019 Financial Highlights

“During the second quarter, increased prepayment speed expectations and a continued flat interest rate curve reduced returns on levered agency mortgage-backed security (“MBS”) investments,” said J. Rock Tonkel, Jr., the Company's President and Chief Executive Officer.  “Given that environment, the Company improved its risk profile by lowering its recourse financing to investable capital leverage to 9.1x as of June 30, 2019.  The Company also shifted more of its agency MBS investment portfolio exposure towards lower coupon securities that carry lower premiums as well as reduced prepayment risk, and the Company has continued that process in the third quarter.  In that context, the Company lowered its quarterly dividend to approximate its core operating income per common share.  To the extent that current market expectations of Federal Reserve interest rate cuts materialize, future investment returns on levered agency MBS may improve, benefitting the Company’s earnings profile.  Finally, while agency MBS spreads have widened somewhat in early August, spread tightening during July increased the Company’s book value to approximately $8.10 per common share as of July 31, 2019.”

Other Second Quarter Highlights

As of June 30, 2019, the Company’s agency MBS investment portfolio totaled $3,966 million in fair value, consisting of $3,415 million of specified agency MBS and $551 million of net long to-be-announced (“TBA”) agency MBS.  As of June 30, 2019, the Company’s $3,966 million agency MBS investment portfolio was comprised of the following:

Subsequent to June 30, 2019, the Company increased its investment allocation towards lower coupon agency MBS while also decreasing its concentration in TBA agency MBS.  As of July 31, 2019, the Company’s agency MBS investment portfolio totaled $3,966 million in fair value, consisting of $3,668 million of specified agency MBS and $298 million of net long to-be-announced (“TBA”) agency MBS.  As of July 31, 2019, the Company’s $3,966 million agency MBS investment portfolio was comprised of the following:

As of June 30, 2019, the Company’s $3,415 million specified agency MBS portfolio had a weighted average amortized cost basis of $104.28 and a weighted average market price of $105.49.  The Company’s fixed-rate agency MBS are comprised of securities backed by specified pools of mortgage loans selected for their lower propensity for prepayment.  Weighted average pay-up premiums on the Company’s agency MBS portfolio, which represent the estimated price premium of agency MBS backed by specified pools over a generic TBA agency MBS, were approximately 2 percentage points as of June 30, 2019, compared to 1.2 percentage points as of March 31, 2019.  

As of June 30, 2019, the Company had $3,532 million of repurchase agreements outstanding with a weighted average rate of 2.61% and remaining weighted average maturity of 36 days secured by an aggregate of $3,726 million of agency MBS at fair value, which includes $511 million at sale price of unsettled agency MBS sale commitments which is included in the line item “sold securities receivable” in the Company’s financial statements.  The Company’s “at risk” short-term recourse financing to investable capital ratio was 9.1 to 1 as of June 30, 2019 compared to 11.0 to 1 as of March 31, 2019.  The Company’s “at risk” short-term recourse financing to investable capital is measured as the ratio of the sum of the Company’s repurchase agreement financing, net payable or receivable for unsettled securities and net contractual price of TBA commitments less cash and cash equivalents compared to the Company’s investable capital measured as the sum of the Company’s shareholders’ equity and long-term unsecured debt.

GAAP net interest income was $6.6 million for the second quarter of 2019 compared to $7.9 million for the first quarter of 2019, including the amortization of the Company’s net premium on its agency MBS of $7.2 million for the second quarter of 2019 compared to $5.9 million for the first quarter of 2019.  The Company’s weighted average yield on its agency MBS was 3.21% for the second quarter of 2019 compared to 3.36% for the first quarter of 2019, and the actual weighted-average constant prepayment rate (“CPR”) for the Company’s agency MBS was 10.16% for the second quarter of 2019 compared to 7.55% for the first quarter of 2019.  The Company’s weighted average cost of repurchase agreement funding was 2.64% during the second quarter of 2019 compared to 2.68% during the first quarter of 2019.

The Company enters into various hedging transactions to mitigate the interest rate sensitivity of its cost of borrowing and the value of its agency MBS portfolio including interest rate swap agreements, U.S. Treasury note futures, put and call options on 10-year U.S. Treasury note futures, and options on agency MBS.  Under GAAP, the Company has not designated these transactions as hedging instruments for financial reporting purposes and therefore all gains and losses on its hedging instruments are recorded as net investment gains and losses in the Company’s financial statements.  

Under the terms of the Company’s interest rate swap agreements, the Company pays semiannual interest payments based on a fixed rate and receives quarterly variable interest payments based upon the prevailing three-month London Interbank Offered Rate (“LIBOR”) on the date of reset. As of June 30, 2019, the Company had $2,600 million in notional amount of interest rate swap agreements with a weighted average pay fixed rate of 1.85% and a remaining weighted average maturity of 3.9 years.  The Company’s weighted average net receive rate of its interest rate swap agreements was 0.50% during the second quarter of 2019 compared to 0.59% during the first quarter of 2019. As of July 31, 2019, the Company had $2,850 million in notional amount of interest rate swap agreements with a weighted average pay fixed rate of 1.85% and a remaining weighted average maturity of 3.6 years.

In addition to interest rate swap agreements, the Company held $155 million in equivalent notional amount of short positions in 10-year U.S. Treasury note futures as of June 30, 2019 that were purchased during the second quarter of 2019 when the 10-year U.S. Treasury rate was 2.01%.  As of June 30, 2019, the total notional amount of the Company’s interest rate hedges consisting of interest rate swaps and U.S. Treasury note futures was 68% of the Company’s outstanding repurchase agreement funding and net TBA purchase commitments with a net duration gap of negative 0.2 years.  As of July 31, 2019, the total notional amount of the Company’s interest rate hedges consisting of interest rate swaps and U.S. Treasury note futures was 77% of the Company’s outstanding repurchase agreement funding and net TBA purchase commitments.

The Company reported TBA dollar roll income of $2.0 million for the second quarter of 2019 compared to $1.4 million for the first quarter of 2019.  The implied weighted-average net interest spread of the Company’s TBA dollar rolls was 0.84% for the second quarter of 2019 compared to 1.05% for the first quarter of 2019.  TBA dollar roll income is considered the economic equivalent of investing in agency MBS financed with a repurchase agreement and is calculated as the price discount of a forward-settling purchase of a TBA agency MBS relative to the “spot” sale of the same security.  Under GAAP, the Company accounts for its TBA commitments as derivative instruments and recognizes income from TBA dollar rolls as a component of net investment gains and losses in the Company’s financial statements.  

Economic net interest income was $ 12.3 million for the second quarter of 201 9 compared to $ 1 4.1 million for the f irst quarter of 201 9 .  Economic net interest income is comprised of net interest income determined in accordance with GAAP, TBA dollar roll income and net interest income or expense from interest rate swaps.  Economic net interest income is a non-GAAP financial measure that is described later in this press release.  

Excluding TBA dollar roll income, the Company had net investment gains on its investment portfolio of $49.6 million for the second quarter of 2019. On its related interest rate hedging instruments, the Company had net investment losses of $82.1 million, excluding interest rate swap net interest income. This results in a net investment loss on the Company’s hedged investment portfolio of $32.5 million, or $0.89 per diluted common share, for the second quarter of 2019.  

Distributions to Shareholders

The Company’s Board of Directors approved a distribution to common shareholders of $0.225 per share for the second quarter of 2019.  The distribution was paid on July 31, 2019 to shareholders of record as of July 5, 2019.  The Company’s Board of Directors also approved distributions to its Series B and Series C preferred shareholders of $0.4375 per share and $0.61875 per share, respectively, for the second quarter of 2019.  The distributions were paid on July 1, 2019 to shareholders of record as of May 31, 2019.

The tax characterization of the Company’s distributions to shareholders is determined and reported to shareholders on Form 1099-DIV after the end of the calendar year.  

Commencing with its taxable year ending December 31, 2019, the Company intends to elect and operate in a manner that will allow it to qualify as a REIT for U.S. federal income tax purposes.  As a REIT, distributions to shareholders will generally be taxable as ordinary income that are not eligible to be taxed as qualified dividends.  However, a portion of such distributions may be designated as long-term capital gain dividends to the extent that such portion is attributable to the Company’s sale of capital assets held for more than one year.  Non-corporate taxpayers may deduct up to 20% of dividends received from a REIT that are not designated as capital gain dividends or qualified dividend income, subject to certain limitations.  Distributions in excess of the Company’s current and accumulated earnings and profits will be treated as a tax-free return of capital to the extent of each shareholder’s tax basis in the Company’s stock and as capital gain thereafter.

Conference Call

The Company will hold a conference call for investors at 9:00 A.M. Eastern Time on Wednesday, August 7, 2019 to discuss the Company’s second quarter 2019 results.

Investors may listen to the earnings call via the internet at:   http://www.arlingtonasset.com/index.php?s=19 .   Replays of the earnings call will be available for 60 days via webcast at the Internet address provided above, beginning two hours after the call ends.

Additional Information

The Company will make available additional quarterly information for the benefit of its shareholders through a supplemental presentation that will be available at the Company's website, www.arlingtonasset.com .  The presentation will be available on the Webcasts and Presentations section located under the Updates & Events tab of the Company's website.

About the Company

Arlington Asset Investment Corp. (NYSE: AI) currently invests primarily in mortgage-related and other assets and intends to qualify to be taxed as a REIT commencing with its taxable year ending December 31, 2019.  The Company is headquartered in the Washington, D.C. metropolitan area.  For more information, please visit www.arlingtonasset.com .

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 raise proceeds and any other guidance on present or future periods constitute forward-looking statements that are subject to a number of factors, risks and uncertainties that might cause actual results to differ materially from stated expectations or current circumstances.  These factors include, but are not limited to, changes in interest rates, increased costs of borrowing, decreased interest spreads, changes in political and monetary policies, changes in default rates, changes in prepayment rates and other assumptions underlying our estimates related to our projections of future core earnings, changes in the Company’s returns, changes in the use of the Company’s tax benefits, the Company’s ability to qualify and maintain qualification as a REIT, changes in the agency MBS asset yield, changes in the Company’s monetization of net operating loss carryforwards, changes in the Company’s ability to generate cash earnings and dividends, preservation and

utilization of the Company’s net operating loss and net capital loss carryforwards, impacts of changes to and changes by Fannie Mae and Freddie Mac, actions taken by the U.S. Federal Reserve, the Federal Housing Finance Agency and the U.S. Treasury, availability of opportunities that meet or exceed the Company’s risk adjusted return expectations, ability and willingness to make future dividends, ability to generate sufficient cash through retained earnings to satisfy capital needs, and general economic, political, regulatory and market conditions.  These and other material risks are described in the Company's most recent Annual Report on Form 10-K and any other documents filed by the Company with the SEC from time to time, which are available from the Company and from the SEC, and you should read and understand these risks when evaluating any forward-looking statement. All forward-looking statements speak only as of the date on which they are made. New risks and uncertainties arise over time, and it is not possible to predict those events or how they may affect the Company.  Except as required by law, the Company is not obligated to, and does not intend to, update or revise any forward-looking statements, whether as a result of new information, future events or otherwise.

Financial data to follow

Investor Presentation Second Quarter 2019 Exhibit 99.2

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) and any other guidance on present or future periods constitute forward-looking statements that are subject to a number of factors, risks and uncertainties that might cause actual results to differ materially from stated expectations or current circumstances. These factors include, but are not limited to, changes in interest rates, increased costs of borrowing, decreased interest spreads, changes in political and monetary policies, changes in default rates, changes in prepayment rates and other assumptions underlying our estimates related to our projections of future core earnings, changes in the Company’s returns, changes in the use of the Company’s tax benefits, changes in the agency MBS asset yield, changes in the Company’s monetization of net operating loss carryforwards, changes in the Company’s ability to generate cash earnings and dividends, preservation and utilization of the Company’s net operating loss and net capital loss carryforwards, impacts of changes to and changes by Fannie Mae and Freddie Mac, actions taken by the U.S. Federal Reserve, the Federal Housing Finance Agency and the U.S. Treasury, availability of opportunities that meet or exceed the Company’s risk adjusted return expectations, ability and willingness to make future dividends, ability to generate sufficient cash through retained earnings to satisfy capital needs, and general economic, political, regulatory and market conditions. These and other material risks are described in the Company's most recent Annual Report on Form 10-K and any other documents filed by the Company with the SEC from time to time, which are available from the Company and from the SEC, and you should read and understand these risks when evaluating any forward-looking statement. All forward-looking statements speak only as of the date on which they are made. New risks and uncertainties arise over time, and it is not possible to predict those events or how they may affect the Company. Except as required by law, the Company is not obligated to, and does not intend to, update or revise any forward-looking statements, whether as a result of new information, future events or otherwise.

Contents Second Quarter of 2019 Financial Results and Portfolio Update………………...Slide 3 Appendix – Additional Financial Data…………………………………………………Slide 18

Second Quarter of 2019 Financial Results and Portfolio Update

Publicly Traded Capital Class A Common Stock Ticker: AI Exchange: NYSE Market Capitalization: $241 million (1) Annual Dividend Yield: 13.7% (1) Senior Notes Due 2023 Ticker: AIW Exchange: NYSE Per Annum Interest Rate: 6.625% Current Strip Yield per Annum: 7.33%(1)(2) Maturity Date: May 1, 2023 Senior Notes Due 2025 Ticker: AIC Exchange: NYSE Per Annum Interest Rate: 6.75% Current Strip Yield per Annum: 7.22%(1)(2) Maturity Date: March 15, 2025 Series B Cumulative Perpetual Redeemable Preferred Stock Ticker: AI PrB Exchange: NYSE Per Annum Dividend Rate: 7.00% Payable Quarterly Current Strip Yield per Annum: 8.16%(1)(2) As of July 31, 2019. Source: Bloomberg Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock Ticker: AI PrC Exchange: NYSE Per Annum Dividend Rate: 8.25% Payable Quarterly Current Strip Yield per Annum: 9.00%(1)(2)

Company Snapshot Real estate investment trust (“REIT”) focused on securitized residential mortgage assets Currently invest primarily in agency MBS issued by Fannie Mae and Freddie Mac May invest opportunistically in other asset classes High quality liquid assets with substantial interest rate hedges to protect long-term capital that produce predictable cash flows to support consistent dividends to shareholders Internally-managed NYSE Ticker AI Share Price (7/31/19) $6.58 Book Value Per Common Share (6/30/19) $7.80 Estimated BV Per Common Share (7/31/19) $8.10 GAAP Net Loss per Diluted Share (Q2 ‘19) $0.67 Non-GAAP Core Operating Income per Diluted Share (Q2 ‘19) (1) $0.23 Dividend per Common Share (Q2 ‘19) $0.225 Dividend Yield (7/31/19) 13.7% Common Equity Market Cap (7/31/19) $241 million Total Investment Portfolio (6/30/19) $4.0 billion (1) A reconciliation of non-GAAP core operating income to GAAP pre-tax income is provided on slide 22.

Second Quarter of 2019 Financial Highlights $0.67 GAAP net loss per diluted common share $0.23 non-GAAP core operating income (1) per diluted common share 11.19% annualized core operating income return on average common equity (2) $7.80 book value per common share as of June 30, 2019 $8.10 estimated book value per common share as of July 31, 2019 $0.225 per common share dividend Economic return of -7.8% measured as the change in book value per common share plus dividends declared during the quarter Economic net interest income of $12.3 million compared to $14.1 million in the first quarter of 2019 Comprised of $6.6 million of GAAP net interest income, $2.0 million of net TBA dollar roll income, and $3.8 million of interest rate swap net interest income Quarter-over-quarter reduction driven primarily by: a reduction in agency MBS asset yields (3.21% versus 3.36%) due primarily to an increase in prepayment rates (10.16% vs. 7.55%, annualized) a reduction in TBA dollar roll implied net interest spreads an increase in economic funding costs due to a 10 bps decline in weighted average interest rate swap receive rates (based on three-month LIBOR) which outpaced a 4 bps decline in weighted average repo funding costs (generally one-month rates) A reconciliation of non-GAAP core operating income to GAAP pre-tax income is provided on slide 22. See slide 15 for further information.

As of June 30, 2019 $3.97 Billion Fair Value As of March 31, 2019 $5.12 Billion Fair Value Agency MBS Investment Portfolio Allocation Specified Pool vs. TBA Allocation (1) Includes the fair value of the agency MBS underlying forward-settling “to-be-announced (“TBA”) purchase or sale commitments that are accounted for as derivative instruments in accordance with GAAP. The difference between the contractual forward price of the Company’s TBA commitments and the fair value of the underlying MBS is reflected on the Company’s consolidated balance sheets as a component of “derivative assets, at fair value” or “derivative liabilities, at fair value.” By Fixed Coupon Rate (1) As of March 31, 2019 As of June 30, 2019

Specified Agency MBS Historical Quarterly Prepayments (2) and GAAP Asset Yield Performance: Q2 2019 GAAP Prepayments and Asset Yield Performance (dollars in thousands): Unpaid principal balance. CPR of equivalent TBA eligible calculated as the average of the outstanding population of all Fannie Mae TBA eligible MBS weighted based on the contractual maturity and coupon composition of AI’s monthly investment portfolio.

To-be-Announced (“TBA”) Agency MBS TBA dollar roll transactions involve delaying, or “rolling,” the settlement of a forward-settling purchase of a TBA agency MBS by entering into an offsetting “spot” sale prior to the settlement date, net settling the “paired-off” positions in cash, and contemporaneously entering another forward-settling purchase of a TBA agency MBS of the same essential characteristics for a later settlement date at a price discount relative to the “spot” sale. Cost basis is based upon the contractual price of the initial TBA purchase trade of each individual series of dollar roll transactions. Asset yield calculated based upon future cash flow estimates obtain from Citi’s the Yield Book, a third-party model, for an illustrative 3.5% coupon specified pool purchased on July 15, 2019. For comparative purposes, assumes agency MBS is 100% financed with a one-month repurchase agreement. TBA dollar roll net interest spread based upon the “price drop” between the August and September settlement of a 3.5% coupon TBA as of July 15, 2019. Source: Bloomberg Q2 2019 Dollar Roll (1) Income (dollars in thousands): Recent Relative TBA Dollar Roll Performance and Historical Monthly Price Drop:

Financing Summary 15 counterparties with access to 18 total counterparties Less than 10% of equity at risk with any one counterparty 6.4% of equity at risk with largest counterparty 26.3% of equity at risk with five largest counterparties Diversified Funding Sources As of June 30, 2019 (dollars in thousands): The Company’s repo agreements generally have one-month terms while the Company receives three-month LIBOR on its interest rate swaps Increases in the spread between three- and one-month LIBOR generally positively impact the Company’s economic funding costs (and vice versa) Includes $511,225 at sale price of unsettled agency MBS sale commitments which is included in the line item “sold securities receivable” on the Company’s consolidated balance sheets. Repo Rate vs. One-Month LIBOR One-Month vs. Three-Month LIBOR The spread of repo financing rates over one-month LIBOR have increased in recent quarters

Hedging Summary Interest Rate Swaps as of June 30, 2019 (dollars in thousands): Duration is calculated based upon each interest rate swap’s “DV01” (a valuation metric illustrating the dollar value of a one basis point increase in interest rates) as reported by the Chicago Mercantile Exchange, the clearinghouse through which those instruments were centrally cleared. Duration is a measure of how much the price of an asset or liability is expected to change if interest rates move in a parallel manner. U.S. Treasury Note Futures as of June 30, 2019 (dollars in thousands):

Interest Rate Swap Book Well Matched to Repo Funding Balance for the Life of the Portfolio Hedged agency MBS portfolio exhibits durable net interest spread in a wide range of interest rate environments over its life Excludes the Company’s TBA dollar roll position. Illustrative repurchase agreement balances in future periods are based upon outstanding balances as of June 30, 2019 reflecting paydown of agency MBS collateral based on projected agency MBS balances based upon cash flow and prepayment estimates derived from Citi’s “The Yield Book,” a third-party model. Illustrative interest rate swap notional amounts in future periods are based upon the contractual maturity dates of the Company’s interest rate swap agreements in place as of June 30, 2019. Illustrative agency MBS asset yields in future periods are based upon cash flow and prepayment estimates derived from Citi’s “The Yield Book,” a third-party model. Illustrative repurchase agreement and interest rate swap receive rates are assumed to be equal to 1.50%, 2.50% and 3.50%, respectively, in all future periods of the illustration. Illustrative Asset Yields, Funding Costs and Balances (Without Reinvestment)

Well Matched Hedging Can Protect Profitability Though Various Rate Environments Mortgage investment spreads fluctuate based on economic and U.S. Federal Reserve cycles The Company utilizes interest rate swaps to lock into an investment spread for defined period Principal mortgage paydowns are reinvested at current investment spreads Mortgage investment spreads have historically never been negative even in periods of inverted U.S. Treasury yield curves Historical Current Coupon Agency MBS vs. Three-Month LIBOR / 10-Year Swap Blend (50% / 50% Weighted) 151 bps 62 bps on 7/22/2019

Non-GAAP Core Operating Income (1) Core operating income and economic net interest income are non-GAAP financial measures. These non-GAAP measures are used by management to evaluate the financial performance of the Company’s long-term investment strategy and core business activities over periods of time as well as assist with the determination of the appropriate level of periodic dividends to stockholders. The Company believes that non-GAAP core operating income and economic net interest income assist investors in understanding and evaluating the financial performance of the Company’s long-term investment strategy and core business activities over periods of time as well as its earnings capacity. A limitation of utilizing these non-GAAP financial measures is that the effect of accounting for “non-core” events or transactions in accordance with GAAP does, in fact, reflect the financial results of our business and these effects should not be ignored when evaluating and analyzing our financial results. The Company believes that net income and comprehensive income determined in accordance with GAAP should be considered in conjunction with non-GAAP core operating income and economic net interest income. A reconciliation of non-GAAP core operating income to GAAP pre-tax income is provided on slide 22. Non-GAAP Core Operating Income Per Diluted Share Rollforward – Q2 2019 vs. Q1 2019

Core Operating Income Return on Equity Includes interest expense incurred from repurchase agreement financing and net interest income earned or expense incurred from interest rate swaps. Excludes the economic cost or benefit of hedging instruments other than interest rate swaps. Calculated based upon the weighted average balance of repurchase agreement financing for the period multiplied by the ratio of average common equity to average total investable capital (common equity plus preferred equity plus unsecured debt). Expressed as an annualized percentage of average common equity for the period. Expressed as an annualized percentage of average common equity for the period. For example, for the second quarter of 2019, calculated as $2.0 million in dollar roll income (representing an implied net interest spread of 0.84% on a weighted average cost basis of $948 million). All else being equal, as the average balance of the Company’s TBA dollar roll portfolio increases, the calculated annualized return on average common equity will increase (and vice versa). Calculated as [GAAP interest income less repurchase agreement interest expense plus (less) interest rate swap net interest income (expense) plus TBA dollar roll income] multiplied by the ratio of average preferred equity and unsecured debt to average total investable capital. Expressed as an annualized percentage of average common equity for the period. Core general and administrative expenses represent non-interest expenses reported within the line item “total general and administrative expenses” of the consolidated statements of comprehensive income less stock-based compensation expense. Presented net of investment advisory fee income. Core general and administrative expenses and investment advisory fee income have been allocated to common equity and preferred equity and unsecured debt on a pro rata basis based upon average capital balances for the period.

Portfolio Weighted Average Statistics Includes interest expense incurred from repurchase agreement financing and net interest income earned or expense incurred from interest rate swaps. Excludes the economic cost or benefit of hedging instruments other than interest rate swaps. Calculated as the total of the following, expressed as an annualized percentage of the total agency MBS weighted average cost basis for the period: GAAP interest income from agency MBS, plus TBA dollar roll income, less agency MBS repurchase agreement interest expense, less interest rate swap net interest expense.

Book Value Per Share Rollforward Calculated based upon weighted average diluted shares outstanding during the quarter. Excludes TBA dollar roll income, which is included in non-GAAP core operating income. Excludes net interest income or expense incurred from interest rate swap agreements, which is included in non-GAAP core operating income.

Appendix – Additional Financial Data

Market Data (1)(2) 30-Year FNMA fixed rate price information is provided for illustrative purposes only and represents generic FNMA TBA prices and is not meant to be reflective of securities held by the Company. Source: Bloomberg

Balance Sheet Represents shares of common stock outstanding plus vested restricted stock units convertible into common stock less unvested restricted common stock. Book value per common share is calculated as total equity less the preferred stock liquidation preference divided by common shares outstanding. Calculated as the sum of repurchase agreement financing, plus (less) any net payable (receivable) for unsettled securities, plus the net contractual forward price of TBA commitments, less cash compared to shareholders’ equity plus long-term unsecured debt.

Statement of Comprehensive Income

Non-GAAP Core Operating Income Reconciliation (1) Core operating income and economic net interest income are non-GAAP financial measures. These non-GAAP measures are used by management to evaluate the financial performance of the Company’s long-term investment strategy and core business activities over periods of time as well as assist with the determination of the appropriate level of periodic dividends to stockholders. The Company believes that non-GAAP core operating income and economic net interest income assist investors in understanding and evaluating the financial performance of the Company’s long-term investment strategy and core business activities over periods of time as well as its earnings capacity. A limitation of utilizing these non-GAAP financial measures is that the effect of accounting for “non-core” events or transactions in accordance with GAAP does, in fact, reflect the financial results of our business and these effects should not be ignored when evaluating and analyzing our financial results. The Company believes that net income and comprehensive income determined in accordance with GAAP should be considered in conjunction with non-GAAP core operating income and economic net interest income. Reconciliation of GAAP pre-tax net income to non-GAAP core operating income:

Specified Agency MBS Investment Portfolio Specified pools of loans with original balances of up to $150K. Specified pools of loans with original balances between $150K and $175K. Specified pools of loans with original balances between $175K and $200K. Specified pools of loans with original balances between $200K and $225K. Other specified pools include pools of loans refinanced through the Home Affordable Refinance Program (“HARP”), low FICO loans, 100% investor occupancy status loans, high LTV loans, and seasoned loans. Unpaid principal balance. WAC represents the weighted average coupon of the underlying collateral. Loan age represents the weighted average age of the underlying collateral. Actual 3-month constant prepayment rate (“CPR”) represents annualized 3-month CPR published in July 2019 for securities held as of June 30, 2019. Remaining life represents the weighted average expected remaining life of the security based on expected future CPR as estimated by Citi’s “The Yield Book,” a third-party model. Duration is derived from the Citi’s “The Yield Book,” a third-party model. Duration is a measure of how much the price of an asset or liability is expected to change if interest rates move in a parallel manner and is dependent upon several subjective inputs and assumptions. Actual results could differ materially from these estimates. In addition, different models could generate materially different estimates using similar inputs and assumptions. Fixed-Rate Agency MBS Selected for Prepayment Characteristics as of June 30, 2019

TBA Agency MBS Investment Portfolio Net Long TBA Position (1) as of June 30, 2019 (dollars in thousands): Net long position in TBA securities represents forward-settling contracts to purchase or sell agency MBS on a generic pool basis. TBA commitments are accounted for as derivative instruments in accordance with GAAP. The difference between the contractual forward price of the Company’s TBA commitments and the fair value of the underlying MBS is reflected on the Company’s consolidated balance sheets as a component of “derivative assets, at fair value” or “derivative liabilities, at fair value.” Duration is derived from the Citi’s “The Yield Book,” a third-party model. Duration is a measure of how much the price of an asset or liability is expected to change if interest rates move in a parallel manner and is dependent upon several subjective inputs and assumptions. Actual results could differ materially from these estimates. In addition, different models could generate materially different estimates using similar inputs and assumptions.

Duration is derived from the Citi’s “The Yield Book,” a third-party model. Duration is a measure of how much the price of an asset or liability is expected to change if interest rates move in a parallel manner and is dependent upon several subjective inputs and assumptions. Actual results could differ materially from these estimates. In addition, different models could generate materially different estimates using similar inputs and assumptions. Total liability and hedge duration is expressed in asset units. Excludes unsecured debt. Interest rate sensitivity of agency MBS and TBA commitments is derived from The Yield Book, a third-party model. Actual results could differ significantly from these estimates. Interest rate sensitivity is based on assumptions resulting in certain limitations, including (i) an instantaneous shift in rates with no changes to the slope of the yield curve, (ii) no changes in agency MBS spreads, and (iii) no changes to the investment or hedge portfolio. Net Duration Gap as of June 30, 2019 Interest Rate Sensitivity as of June 30, 2019 (3) Book Value Sensitivity to Interest Rates

Agency MBS spread sensitivity is derived from The Yield Book, a third-party model. Actual results could differ significantly from these estimates. The estimated change in book value reflects an assumed spread weighted average duration of 4.5 years, which is a model-based assumption that is dependent upon the size and composition of our portfolio as well as economic conditions present as of June 30, 2019. The agency MBS spread sensitivity is based on assumptions resulting in certain limitations, including (i) no changes in interest rates, and (ii) no changes to the investment or hedge portfolio. MBS Spread Sensitivity as of June 30, 2019 (1) Historical MBS to U.S. Treasury Spread 108 bps 134 bps 71 bps on 7/22/2019 83 bps on 7/22/2019 Book Value Sensitivity to MBS Spreads