UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM 10-K (Mark One) ☒ ANNUAL REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 For the fiscal year ended December 31, 2019 OR ☐ TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 For the transition period from to Commission File Number: 001-34374 | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | |--------------------------------------- ...

Investment Strategy and Portfolio - As of September 30, 2019, nearly all of the company's investment capital was allocated to agency mortgage-backed securities (MBS) [112]. - The company plans to evaluate the economics of exchanging existing Freddie Mac MBS for mirror MBS, which may not materially impact its financial performance [125]. - The total agency investment portfolio at fair value as of September 30, 2019, was $4,112,754, an increase from $3,982,106 as of December 31, 2018 [140]. - The specified agency MBS amounted to $4,013,161 as of September 30, 2019, compared to $3,982,106 as of December 31, 2018 [140]. - The company had a notional amount of $3,000 million in interest rate swaps outstanding as of September 30, 2019, including $1,225 million that expire after 2021 [133]. - The company had unencumbered agency MBS valued at $121.9 million at fair value as of September 30, 2019 [188]. - The company diversifies its repurchase agreement funding across 15 counterparties, with no more than 7.3% of stockholders' equity at risk with any one counterparty [198]. Financial Performance - The company declared a dividend of $0.225 per common share, resulting in an economic loss of 2.9% when measured as the change in book value per common share plus dividends declared during the quarter [138]. - The GAAP net loss was $0.23 per diluted common share, while the non-GAAP core operating income was $0.18 per diluted common share [138]. - Net interest income for the quarter was $4.7 million, down from $6.6 million in the second quarter of 2019, driven by lower weighted average agency MBS asset yields of 2.96% compared to 3.21% [138]. - Economic net interest income, including TBA dollar roll income and net interest income from interest rate swaps, was $10.1 million, compared to $12.3 million in the second quarter of 2019 [138]. - The company reported a net loss attributable to common stock of $8,511,000 for the three months ended September 30, 2019, compared to a net loss of $5,652,000 in the same period of 2018 [151]. - Interest expense increased to $23,982,000 for the three months ended September 30, 2019, from $22,526,000 in the same period of 2018 [151]. - Economic net interest income for the three months ended September 30, 2019, was $10,060, down from $17,237 in the same period of 2018 [178]. - Non-GAAP core operating income for the three months ended September 30, 2019, was $6,489, compared to $13,884 for the same period in 2018 [178]. Market Conditions and Economic Factors - The 10-year U.S. Treasury rate decreased by 35 basis points from the prior quarter to 1.66% as of September 30, 2019, and decreased by 103 basis points from the prior year end [117]. - During the third quarter of 2019, the Federal Open Market Committee (FOMC) lowered its target federal funds rate by 25 basis points twice, bringing it to a current range of 1.50% to 1.75% [119]. - Prepayment speeds in the fixed-rate 30-year residential mortgage market increased significantly during the third quarter of 2019, driven by declining mortgage rates [122]. - The spread between the 10-year U.S. Treasury rates and interest rate swaps widened by five basis points during the third quarter of 2019, with the 10-year swap rate ending at 1.56% [118]. - The S&P CoreLogic Case-Shiller U.S. National Home Price NSA index reported a 3.2% annual gain in July 2019, indicating that housing prices continue to increase at a pace exceeding inflation [122]. Company Structure and Management - The company is internally managed and does not have an external investment advisor [115]. - The company intends to elect to be taxed as a REIT starting with the taxable year ending December 31, 2019, requiring it to distribute 90% of its REIT taxable income [114]. - The company plans to qualify as a REIT for U.S. federal income tax purposes starting with the taxable year ending December 31, 2019 [168]. Risks and Challenges - The company is exposed to interest rate risk in its MBS portfolio, which is financed with short-term borrowing facilities sensitive to interest rate changes [217]. - The company faces spread risk, which is the risk of an increase in the spread between required rates of return on MBS and benchmark interest rates [224]. - The company acknowledges various risks that could cause actual results to differ materially from forward-looking statements, including changes in interest rates and market conditions [234]. Capital and Debt Management - As of September 30, 2019, the company had a debt-to-equity leverage ratio of 12.2 to 1, indicating a high level of leverage [185]. - The "at risk" short-term financing to investable capital ratio was 9.9 to 1 as of September 30, 2019, reflecting significant reliance on short-term financing [185]. - The company had total long-term unsecured debt of $74.3 million as of September 30, 2019, with various maturities and interest rates [189]. - Outstanding repurchase agreements as of September 30, 2019, amounted to $3.698 billion, with a weighted-average rate of 2.35% [197]. - The maximum amount outstanding in repurchase agreements during the period was $3.964 billion [197]. Shareholder Information - As of September 30, 2019, the company had 1,200,000 shares of 8.250% Series C Fixed-to-Floating Rate Cumulative Redeemable Preferred Stock outstanding with a liquidation preference of $30.0 million [135]. - The Series B Preferred Stock has a liquidation preference of $8.9 million and pays a cumulative cash dividend of 7.00% per annum, equivalent to $1.75 per annum per share [208]. - The Series C Preferred Stock has a liquidation preference of $30.0 million and pays a fixed dividend rate of 8.250% per annum until March 30, 2024, after which it will be at a floating rate [209]. - As of September 30, 2019, the company had 11,302,160 shares of Class A common stock available for sale under the Amended Equity Distribution Agreements [208].

UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM 10-Q (Mark One) ☒ QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 For the quarterly period ended June 30, 2019 OR ☐ TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 For the transition period from to Commission File Number: 001-34374 | --- | --- | |---------------------------------------------------------------------------------------|------------------- ...

UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM 10-Q (Mark One) ☒ QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 For the quarterly period ended March 31, 2019 OR ☐ TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 For the transition period from to Commission File Number: 001-34374 | --- | --- | |----------------------------------------------------------------------|----------------------------------- ...

Part I [Item 1. Business](index=5&type=section&id=Item%201.%20Business) The company is an internally managed investment firm focused on a levered residential MBS portfolio, planning a 2019 REIT election - The company's primary focus is on acquiring and holding a levered portfolio of residential MBS, with nearly all investment capital allocated to **agency MBS** as of December 31, 2018[10](index=10&type=chunk) - The company plans to elect to be taxed as a **REIT** starting with the taxable year ending December 31, 2019, changing its tax structure from a C corporation[12](index=12&type=chunk)[54](index=54&type=chunk) MBS Investment Portfolio (Fair Value) | Category | Dec 31, 2018 (in thousands) | Dec 31, 2017 (in thousands) | | :--- | :--- | :--- | | Specified agency MBS | $3,982,106 | $4,054,424 | | Net long agency TBA dollar roll positions | $0 | $1,296,978 | | **Total agency investment portfolio** | **$3,982,106** | **$5,351,402** | | Private-label interest-only MBS | $24 | $76 | | **Total MBS investment portfolio** | **$3,982,130** | **$5,351,478** | - The company primarily finances its investments through **short-term repurchase agreements** and may also use off-balance sheet financing like TBA dollar roll transactions[11](index=11&type=chunk)[35](index=35&type=chunk)[37](index=37&type=chunk) - A variety of hedging instruments, including **interest rate swaps** and **U.S. Treasury note futures**, are used to mitigate interest rate, prepayment, and extension risks[38](index=38&type=chunk)[39](index=39&type=chunk)[47](index=47&type=chunk) - As of December 31, 2018, the company had significant tax assets, including estimated **net operating loss (NOL) carryforwards of $15 million** and **net capital loss (NCL) carryforwards of $424 million**[66](index=66&type=chunk) - In Q4 2018, the company launched a new business venture, Rock Creek Investment Advisors, LLC, a registered investment adviser which had **$50 million in assets under management** at year-end[52](index=52&type=chunk) [Item 1A. Risk Factors](index=14&type=section&id=Item%201A.%20Risk%20Factors) The company faces significant investment, financing, structural, and tax risks, including interest rate sensitivity, leverage-related liquidity issues, and complexities of maintaining REIT status - **Investing & Financing Risks:** The company is exposed to significant **interest rate risk**, as rising rates can decrease the value of its fixed-rate MBS portfolio and increase costs on its short-term borrowings. Hedging may not be fully effective and generally does not mitigate spread risk[77](index=77&type=chunk)[78](index=78&type=chunk)[81](index=81&type=chunk) - **Leverage & Liquidity Risks:** The business relies heavily on leverage through repurchase agreements. Declines in asset values could trigger **margin calls**, requiring the company to provide additional collateral or liquidate assets at unfavorable times, potentially impacting liquidity and earnings[83](index=83&type=chunk)[87](index=87&type=chunk) - **Business & Structural Risks:** A shareholder **Rights Plan** is in place to protect tax assets (NOLs/NCLs) but could inhibit a change in control. The company must also maintain its exclusion from regulation under the **Investment Company Act of 1940**, failure of which would subject it to substantial regulation[123](index=123&type=chunk)[130](index=130&type=chunk) - **Taxation Risks:** Failure to qualify as a **REIT** would result in higher corporate taxes. Complying with REIT requirements may constrain investment and hedging strategies. The ability to use significant NOL and NCL carryforwards could be limited by an **"ownership change" under Section 382** of the Internal Revenue Code[141](index=141&type=chunk)[144](index=144&type=chunk)[172](index=172&type=chunk) - The company received a local business, professional and occupation license (BPOL) tax assessment of approximately **$9.4 million** from Arlington County, Virginia for 2017, which it is contesting. If upheld, this could materially affect operations[175](index=175&type=chunk) [Item 1B. Unresolved Staff Comments](index=34&type=section&id=Item%201B.%20Unresolved%20Staff%20Comments) The company reports no unresolved staff comments from the Securities and Exchange Commission - None[176](index=176&type=chunk) [Item 2. Properties](index=35&type=section&id=Item%202.%20Properties) The company leases its principal executive office in Arlington, Virginia, and subleases a portion to an entity owned by its Executive Chairman - The company's principal executive office is leased and located in Arlington, Virginia[178](index=178&type=chunk) - A portion of the office space is subleased to an investment management company owned by the Executive Chairman of the Board, Eric F. Billings, generating approximately **$134,000** in lease payments for the year ended December 31, 2018[179](index=179&type=chunk) [Item 3. Legal Proceedings](index=35&type=section&id=Item%203.%20Legal%20Proceedings) The company is periodically involved in ordinary course legal proceedings and acknowledges the risk of future litigation and regulatory inquiries - The company is periodically involved in civil lawsuits and legal proceedings considered to be in the ordinary course of business[180](index=180&type=chunk) [Item 4. Mine Safety Disclosures](index=35&type=section&id=Item%204.%20Mine%20Safety%20Disclosures) This item is not applicable to the company's business - Not applicable[181](index=181&type=chunk) Part II [Item 5. Market for Registrant's Common Equity, Related Stockholder Matters and Issuer Purchases of Equity Securities](index=36&type=section&id=Item%205.%20Market%20for%20Registrant%27s%20Common%20Equity%2C%20Related%20Stockholder%20Matters%20and%20Issuer%20Purchases%20of%20Equity%20Securities) The company's Class A common stock trades on the NYSE, with plans for significant dividend distributions post-REIT election, and its historical performance has underperformed key indices - The company's Class A common stock is listed on the NYSE under the symbol **"AI"**[183](index=183&type=chunk) - A share repurchase program is authorized for up to **2,000,000 shares** of Class A common stock, with **1,951,305 shares** remaining available for repurchase as of December 31, 2018. No shares were repurchased during 2018[187](index=187&type=chunk) Cumulative Total Shareholder Return (2013-2018) | Date | AI | S&P 500 Index | FTSE NAREIT Mortgage REIT Index | | :--- | :--- | :--- | :--- | | Dec 31, 2013 | $100.00 | $100.00 | $100.00 | | Dec 31, 2014 | $114.79 | $113.68 | $117.85 | | Dec 31, 2015 | $67.38 | $115.24 | $107.49 | | Dec 31, 2016 | $90.14 | $129.02 | $132.03 | | Dec 31, 2017 | $84.91 | $157.17 | $158.11 | | Dec 31, 2018 | $61.93 | $150.27 | $153.96 | [Item 6. Selected Financial Data](index=38&type=section&id=Item%206.%20Selected%20Financial%20Data) The company's selected financial data for 2018 shows a significant net loss of **$91.8 million** and a substantial decline in book value per share to **$8.71**, reversing prior year's income Selected Consolidated Financial Data (2014-2018) | (in thousands, except per share) | 2018 | 2017 | 2016 | 2015 | 2014 | | :--- | :--- | :--- | :--- | :--- | :--- | | **Income Statement Data** | | | | | | | Net interest income | $46,128 | $69,734 | $76,114 | $102,374 | $94,186 | | Net (loss) income | $(91,797) | $17,435 | $(41,347) | $(69,403) | $7,753 | | Diluted (loss) earnings per share | $(3.18) | $0.66 | $(1.79) | $(3.02) | $0.38 | | **Balance Sheet Data** | | | | | | | Total assets | $4,099,450 | $4,160,529 | $4,116,951 | $4,178,336 | $3,992,295 | | Total stockholders' equity | $274,444 | $386,317 | $358,813 | $459,428 | $620,671 | | **Other Financial Data** | | | | | | | Book value per common share | $8.71 | $13.43 | $15.17 | $19.98 | $27.02 | | Cash dividends declared per share | $1.675 | $2.275 | $2.50 | $3.00 | $3.50 | [Item 7. Management's Discussion and Analysis of Financial Condition and Results of Operations](index=39&type=section&id=Item%207.%20Management%27s%20Discussion%20and%20Analysis%20of%20Financial%20Condition%20and%20Results%20of%20Operations) In 2018, the company experienced a **$91.8 million** GAAP net loss and a **35%** decrease in book value per share due to adverse market conditions and spread widening, while preparing for REIT conversion and maintaining liquidity - **2018 Performance:** Book value per common share decreased by **35.0%** to **$8.71**, primarily due to net investment losses from the underperformance of agency MBS pricing relative to interest rate hedges as spreads widened[206](index=206&type=chunk) Key Financial Highlights (Year Ended Dec 31, 2018) | Metric | Value | Note | | :--- | :--- | :--- | | GAAP net loss per diluted share | $(3.18) | - | | Non-GAAP core operating income per diluted share | $2.06 | A non-GAAP measure | | Net interest income | $46.1 million | Down from $69.7 million in 2017 | | Economic net interest income | $73.3 million | A non-GAAP measure, stable vs. $73.7 million in 2017 | - **Results of Operations (2018 vs. 2017):** GAAP net interest income decreased by **$23.6 million (33.9%)** primarily due to a **90 basis point increase** in average short-term financing costs, which outpaced the increase in asset yields[222](index=222&type=chunk) - **Investment Performance:** The company recorded a net investment loss of **$123.8 million** in 2018, compared to a gain of **$5.9 million** in 2017. This was driven by losses on trading investments and TBA commitments as MBS spreads widened[229](index=229&type=chunk) - **REIT Conversion Impact:** The plan to elect REIT status for 2019 resulted in the elimination of the company's **net deferred tax asset** as of December 31, 2018, impacting the income tax provision for the year[208](index=208&type=chunk)[232](index=232&type=chunk) - **Liquidity and Leverage:** As of December 31, 2018, the company's debt-to-equity leverage ratio was **13.8 to 1**, and its "at risk" short-term financing to investable capital ratio was **10.6 to 1**. Funding is primarily sourced from repurchase agreements with **15 counterparties**[260](index=260&type=chunk)[274](index=274&type=chunk) [Item 7A. Quantitative and Qualitative Disclosures About Market Risk](index=58&type=section&id=Item%207A.%20Quantitative%20and%20Qualitative%20Disclosures%20About%20Market%20Risk) The company's primary market risks are interest rate and spread risk, with sensitivity analysis indicating significant vulnerability of book value to interest rate decreases and MBS spread widening, as hedges do not mitigate spread risk - The primary market risks are identified as **interest rate risk**, **prepayment risk**, **extension risk**, **spread risk**, **liquidity risk**, and **regulatory risk**[298](index=298&type=chunk) Interest Rate Sensitivity Analysis (as of Dec 31, 2018) | Interest Rate Change | Estimated Change in Book Value per Common Share | | :--- | :--- | | +100 basis points | +5.10% | | +50 basis points | +4.87% | | -50 basis points | -10.87% | | -100 basis points | -28.33% | Agency MBS Spread Sensitivity Analysis (as of Dec 31, 2018) | Spread Change | Estimated Change in Book Value per Common Share | | :--- | :--- | | +25 basis points (widening) | -19.97% | | +10 basis points (widening) | -7.99% | | -10 basis points (tightening) | +7.99% | | -25 basis points (tightening) | +19.97% | - The company's interest rate hedges are generally not designed to mitigate **spread risk**, meaning the value of agency MBS and net book value could decline even if benchmark interest rates are stable[306](index=306&type=chunk) [Item 8. Financial Statements and Supplementary Data](index=60&type=section&id=Item%208.%20Financial%20Statements%20and%20Supplementary%20Data) This item presents the company's audited consolidated financial statements for 2018, including balance sheets, income statements, equity changes, cash flows, and notes, along with the independent auditor's report - This item incorporates the company's audited consolidated financial statements and supplementary data, which are indexed starting on **page F-1** of the report[310](index=310&type=chunk) [Item 9. Changes in and Disagreements with Accountants on Accounting and Financial Disclosure](index=61&type=section&id=Item%209.%20Changes%20in%20and%20Disagreements%20with%20Accountants%20on%20Accounting%20and%20Financial%20Disclosure) The company reports no changes in or disagreements with its accountants regarding accounting principles, practices, or financial disclosure - None[311](index=311&type=chunk) [Item 9A. Controls and Procedures](index=61&type=section&id=Item%209A.%20Controls%20and%20Procedures) Management concluded that the company's disclosure controls and internal control over financial reporting were effective as of December 31, 2018, with no material changes during the fourth quarter - Management concluded that **disclosure controls and procedures** were effective as of December 31, 2018[311](index=311&type=chunk) - Management assessed **internal control over financial reporting** as effective as of December 31, 2018, based on the COSO framework[314](index=314&type=chunk) - There were no material changes in internal control over financial reporting during the fourth quarter of 2018[316](index=316&type=chunk) [Item 9B. Other Information](index=61&type=section&id=Item%209B.%20Other%20Information) The company reports no other information for this item - None[316](index=316&type=chunk) Part III [Item 10. Directors, Executive Officers and Corporate Governance](index=62&type=section&id=Item%2010.%20Directors%2C%20Executive%20Officers%20and%20Corporate%20Governance) Information regarding directors, executive officers, and corporate governance is incorporated by reference from the 2019 Proxy Statement - Information is incorporated by reference from the **2019 Proxy Statement**[317](index=317&type=chunk) [Item 11. Executive Compensation](index=62&type=section&id=Item%2011.%20Executive%20Compensation) Information regarding executive compensation is incorporated by reference from the 2019 Proxy Statement - Information is incorporated by reference from the **2019 Proxy Statement**[318](index=318&type=chunk) [Item 12. Security Ownership of Certain Beneficial Owners and Management and Related Stockholder Matters](index=62&type=section&id=Item%2012.%20Security%20Ownership%20of%20Certain%20Beneficial%20Owners%20and%20Management%20and%20Related%20Stockholder%20Matters) Information regarding security ownership and related stockholder matters is incorporated by reference from the 2019 Proxy Statement - Information is incorporated by reference from the **2019 Proxy Statement**[318](index=318&type=chunk) [Item 13. Certain Relationships and Related Transactions, and Director Independence](index=62&type=section&id=Item%2013.%20Certain%20Relationships%20and%20Related%20Transactions%2C%20and%20Director%20Independence) Information regarding certain relationships, related transactions, and director independence is incorporated by reference from the 2019 Proxy Statement - Information is incorporated by reference from the **2019 Proxy Statement**[319](index=319&type=chunk) [Item 14. Principal Accountant Fees and Services](index=62&type=section&id=Item%2014.%20Principal%20Accountant%20Fees%20and%20Services) Information regarding principal accountant fees and services is incorporated by reference from the 2019 Proxy Statement - Information is incorporated by reference from the **2019 Proxy Statement**[320](index=320&type=chunk) Part IV [Item 15. Exhibits and Financial Statement Schedules](index=62&type=section&id=Item%2015.%20Exhibits%20and%20Financial%20Statement%20Schedules) This section lists the consolidated financial statements and a comprehensive set of exhibits filed with the Form 10-K, noting the omission of financial statement schedules - This item lists the consolidated financial statements, which are included in the report, and notes that all financial statement schedules have been omitted[321](index=321&type=chunk) - A detailed list of exhibits filed with the Form 10-K is provided, including **articles of incorporation**, **bylaws**, **debt indentures**, **compensation plans**, and **Sarbanes-Oxley certifications**[323](index=323&type=chunk)[324](index=324&type=chunk)