SEC Info℠

Home

Search

My Interests

Help

Sign In

Please Sign In

Arlington Asset Investment Corp. – ‘CORRESP’ from 1/13/17 – ‘COVER’

On:  Friday, 1/13/17, at 6:54pm ET   ·   Private-to-Public:  Filing ¶  –  Release Delayed to:  3/8/17   ·   Accession #:  1564590-17-343

Previous ‘CORRESP’:  ‘CORRESP’ on 5/16/16   ·   Next:  ‘CORRESP’ on 2/7/17   ·   Latest:  ‘CORRESP’ on 9/15/22

in

this entire Filing. an “Entity” Search.

Show

Documents searched

and

each “hit”. the 1st “hit”.

↓↑Hints

 Text Wildcards:  ? (any letter/digit),  * (many).  Search Logic:  for Documents:  & (and),  | (or);  for Text:  | (anywhere),  "(&)" (near).  Details... 

  As Of                Filer                Filing    For·On·As Docs:Size              Issuer               Agent

 1/13/17  Arlington Asset Investment Corp.  CORRESP¶    3/08/17    2:927K                                   ActiveDisclosure/FA

Document/Exhibit                   Description                      Pages   Size 

 2: COVER       Comment-Response or Cover Letter to the SEC         HTML      4K 
 1: CORRESP     Comment-Response or Other Letter to the SEC         HTML     50K 

Attachment A: TBA Dollar Roll Illustrative Example Equates to an implied annualized net interest spread of 2.41% based upon a cost basis of $52,250,000 (determined by the initial purchase price of $104.50). Capital gain is calculated as the difference between the original purchase price of $104.50 and the final sale price of $104.53.

Attachment B: Relative Value Proposition Between TBA Dollar Roll Versus Repurchase Agreement Financing Assumes agency MBS effective interest earned is 2.78% inclusive of premium amortization based on expected prepayments Assumes agency MBS is financed 100% with a 30-day repurchase agreement at financing cost of 0.65% TBA dollar roll assumes a “price drop” of $0.21 which equates to an annualized net interest spread of 2.41% Economic net interest spread excludes any costs associated with interest rate hedges