What changed in this filing

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Item 1. Financial Statements

2025-07-25 compared with 2025-04-25 · 363 added, 254 removed, 1241 unchanged (33% of the section changed)

11 unchanged sentences

Restricted cash

15,572 25,723

Accrued interest receivable

1 unchanged sentence

Derivative assets

Receivable for investment securities and TBA transactions

Receivable for unsettled TBA transactions

$ 7,610,631 $ 5,721,627

2 unchanged sentences

$ 6,655,879 $ 5,025,543

Payable for investment securities and TBA transactions

Payable for unsettled TBA transactions

Dividends payable

10 unchanged sentences

20,000,000 shares authorized;

no shares issued and outstanding as of March 31, 2025 and December 31, 2024

no shares issued and outstanding as of June 30, 2025 and December 31, 2024

Common Stock, $ 0.01 par value;

200,000,000 shares authorized, 107,786,614 shares issued and outstanding as of March 31, 2025 and 82,622,464 shares issued and outstanding as of December 31, 2024

200,000,000 shares authorized, 126,566,926 shares issued and outstanding as of June 30, 2025 and 82,622,464 shares issued and outstanding as of December 31, 2024

Additional paid-in capital

9 unchanged sentences

ORCHID ISLAND CAPITAL, INC.

CONDENSED STATEMENTS OF COMPREHENSIVE INCOME

For the Three Months Ended March 31, 2025 and 2024

CONDENSED STATEMENTS OF COMPREHENSIVE INCOME (LOSS)

For the Six and Three Months Ended June 30, 2025 and 2024

($ in thousands, except per share data)

Three Months Ended March 31,

Six Months Ended June 30,

Three Months Ended June 30,

Interest income

5 unchanged sentences

Realized losses on mortgage-backed securities

( 9,288 ) - ( 7,990 ) -

Unrealized gains (losses) on mortgage-backed securities and U.S.

3 unchanged sentences

( 127,945 ) 113,967 ( 53,286 ) 26,068

Net portfolio income

Net portfolio (loss) income

( 7,234 ) 22,915 ( 28,582 ) ( 599 )

Management fees

5,729 4,418 2,982 2,257

Allocated overhead

1,190 1,330 582 732

Incentive compensation

1 unchanged sentence

Directors' fees and liability insurance

672 672 334 343

Audit, legal and other professional fees

753 796 360 320

Direct REIT operating expenses

474 348 247 178

Other administrative

383 353 263 260

Total expenses

9,222 8,118 4,996 4,380

Net (loss) income

$ ( 16,456 ) $ 14,797 $ ( 33,578 ) $ ( 4,979 )

Unrealized gains (losses) on U.S.

Treasury securities measured at fair value through other comprehensive net income

Comprehensive net income

Treasury securities measured at fair value through other comprehensive net (loss) income

186 ( 10 ) ( 64 ) 37

Basic and diluted net income per share

Comprehensive net (loss) income

$ ( 16,270 ) $ 14,787 $ ( 33,642 ) $ ( 4,942 )

Basic and diluted net (loss) income per share

$ ( 0.16 ) $ 0.27 $ ( 0.29 ) $ ( 0.09 )

Weighted Average Shares Outstanding

3 unchanged sentences

CONDENSED STATEMENTS OF STOCKHOLDERS' EQUITY

For the Three Months Ended March 31, 2025 and 2024

For the Six Months Ended June 30, 2025 and 2024

(in thousands)

13 unchanged sentences

107,787 $ 1,078 $ 1,180,062 $ ( 325,649 ) $ 389 $ 855,880

- - - ( 33,578 ) - ( 33,578 )

Unrealized loss on available-for-sale securities

- - - - ( 64 ) ( 64 )

Cash dividends declared ($ 0.36 per share)

- - ( 42,635 ) - - ( 42,635 )

Stock based awards and amortization

9 - 201 - - 201

Issuance of common stock pursuant to public offerings, net

19,884 199 139,217 - - 139,416

Shares repurchased and retired

( 1,113 ) ( 11 ) ( 7,249 ) - - ( 7,260 )

Balances, June 30, 2025

126,567 $ 1,266 $ 1,269,596 $ ( 359,227 ) $ 325 $ 911,960

Balances, January 1, 2024

13 unchanged sentences

52,826 $ 528 $ 841,790 $ ( 360,657 ) $ ( 30 ) $ 481,631

- - - ( 4,979 ) - ( 4,979 )

Unrealized gain on available-for-sale securities

- - - - 37 37

Cash dividends declared ($ 0.36 per share)

- - ( 21,690 ) - - ( 21,690 )

Stock based awards and amortization

8 - 235 - - 235

Issuance of common stock pursuant to public offerings, net

11,990 120 100,578 - - 100,698

Balances, June 30, 2024

64,824 $ 648 $ 920,913 $ ( 365,636 ) $ 7 $ 555,932

See Notes to Financial Statements

1 unchanged sentence

CONDENSED STATEMENTS OF CASH FLOWS

For the Three Months Ended March 31, 2025 and 2024

For the Six Months Ended June 30, 2025 and 2024

($ in thousands)

CASH FLOWS FROM OPERATING ACTIVITIES:

Net (loss) income

$ ( 16,456 ) $ 14,797

Adjustments to reconcile net income to net cash provided by operating activities:

Adjustments to reconcile net (loss) income to net cash provided by operating activities:

Stock based compensation

( 243 ) ( 140 )

Net discount accretion on U.S.

29 unchanged sentences

50,000 200,000

Net (payments on) proceeds from derivative instruments

Net payments on derivative instruments

( 131,446 ) ( 4,090 )

12 unchanged sentences

( 7,348 ) ( 2,924 )

NET CASH PROVIDED BY (USED IN) FINANCING ACTIVITIES

NET CASH PROVIDED BY FINANCING ACTIVITIES

1,894,802 712,145

NET INCREASE IN CASH, CASH EQUIVALENTS AND RESTRICTED CASH

121,275 56,722

CASH, CASH EQUIVALENTS AND RESTRICTED CASH, beginning of the period

8 unchanged sentences

NOTES TO CONDENSED FINANCIAL STATEMENTS

March 31, 2025

June 30, 2025

ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES

10 unchanged sentences

On February 24, 2025, Orchid entered into an equity distribution agreement (the “February 2025 Equity Distribution Agreement”) with four sales agents pursuant to which the Company may offer and sell, from time to time, up to an aggregate amount of $ 350,000,000 of shares of the Company’s common stock in transactions that are deemed to be “at the market” offerings and privately negotiated transactions.

Through March 31, 2025 , t he Company issued a total of 14,470,882 shares under the February 2025 Equity Distribution Agreement for aggregate gross proceeds of approximately $ 123.7 million, and net proceeds of approximately $ 121.7 million, after commissions and fees .

Through June 30, 2025 , t he Company issued a total of 34,355,086 shares under the February 2025 Equity Distribution Agreement for aggregate gross proceeds of approximately $ 265.4 million, and net proceeds of approximately $ 261.2 million, after commissions and fees.

Subsequent to June 30, 2025 , t he Company issued a total of 162,498 shares under the February 2025 Equity Distribution Agreement for aggregate gross proceeds of approximately $ 1.2 million, and net proceeds of approximately $ 1.2 million, after commissions and fees .

Basis of Presentation and Use of Estimates

2 unchanged sentences

In the opinion of management, all adjustments (consisting of normal recurring accruals) considered necessary for a fair statement of results for the interim period have been included.

Operating results for the three month period ended March 31, 2025 are not necessarily indicative of the results that may be expected for the year ending December 31, 2025 .

Operating results for the six and three month periods ended June 30, 2025 are not necessarily indicative of the results that may be expected for the year ending December 31, 2025 .

The balance sheet at December 31, 2024 has been derived from the audited financial statements at that date but does not include all of the information and footnotes required by GAAP for complete financial statements.

3 unchanged sentences

The significant estimates affecting the accompanying financial statements are the fair values of RMBS and derivatives.

Management believes the estimates and assumptions underlying the financial statements are reasonable based on the information available as of March 31, 2025 .

Management believes the estimates and assumptions underlying the financial statements are reasonable based on the information available as of June 30, 2025 .

Variable Interest Entities ( “ VIEs ” )

9 unchanged sentences

(in thousands)

March 31, 2025

June 30, 2025

December 31, 2024

2 unchanged sentences

Restricted cash

15,572 25,723

Total cash, cash equivalents and restricted cash

46 unchanged sentences

The Company uses derivative and other hedging instruments to manage interest rate risk, facilitate asset/liability strategies and manage other exposures, and it may continue to do so in the future.

The principal instruments that the Company has used to date are T-Note, Secured Overnight Financing Rate ("SOFR"), and federal funds (“Fed Funds”) futures contracts, short positions in U.S.

The principal instruments that the Company has used to date are T-Note, Secured Overnight Financing Rate ("SOFR"), federal funds (“Fed Funds”) and ERIS SOFR Swap futures contracts, short positions in U.S.

Treasury securities, interest rate swaps, options to enter in interest rate swaps (“interest rate swaptions”), dual digital options, interest rate caps and floors, and “to-be-announced” (“TBA”) securities transactions, but the Company may enter into other derivative and other hedging instruments in the future.

40 unchanged sentences

Recent Accounting Pronouncements

On December 31, 2024, we adopted ASU No.

2023 - 07, “ Segment Reporting (Topic 280 ):

Improvements to Reportable Segment Disclosures ” in our Annual Report on Form 10 -K.

The ASU is applicable to our interim periods beginning in 2025, The amendments in the ASU require disclosures to include significant segment expenses that are regularly provided to the chief operating decision maker (“CODM”), a description of other segment items by reportable segment, and any additional measures of a segment's profit or loss used by the CODM when deciding how to allocate resources.

The adoption did not have a material impact on our financial statements.

In November 2024, the FASB issued ASU No.

In November 2024, the Financial Accounting Standards Board ("FASB") issued Accounting Standards Update ("ASU") No.

2024 - 03, "Income Statement — Reporting Comprehensive Income — Expense Disaggregation Disclosures (Subtopic 220 - 40 ):

4 unchanged sentences

MORTGAGE-BACKED SECURITIES, AT FAIR VALUE

The following table presents the Company’s RMBS portfolio that are remeasured at fair value through earnings as of March 31, 2025 and December 31, 2024 :

The following table presents the Company’s RMBS portfolio that are remeasured at fair value through earnings as of June 30, 2025 and December 31, 2024 :

(in thousands)

March 31, 2025

June 30, 2025

December 31, 2024

13 unchanged sentences

The cost information in the table above represents the aggregate current par value, multiplied by the purchase price of each security in the portfolio.

The notional balance for the interest-only securities portfolio was $ 83.4 million and $ 85.8 million as of March 31, 2025 and December 31, 2024 , respectively.

The notional balance for the inverse interest-only securities portfolio was $ 21.3 million and $ 22.0 million as of March 31, 2025 and December 31, 2024 , respectively.

The following table is a summary of the Company’s net gain (loss) from the sale of RMBS for the three months ended March 31, 2025 and 2024 .

The notional balance for the interest-only securities portfolio was $ 81.1 million and $ 85.8 million as of June 30, 2025 and December 31, 2024 , respectively.

The notional balance for the inverse interest-only securities portfolio was $ 19.9 million and $ 22.0 million as of June 30, 2025 and December 31, 2024 , respectively.

The following table is a summary of the Company’s net gain (loss) from the sale of RMBS for the six months ended June 30, 2025 and 2024 .

(in thousands)

Three Months Ended March 31,

Six Months Ended June 30,

Proceeds from sales of RMBS (1)

8 unchanged sentences

$ ( 9,288 ) $ -

During the three months ended March 31, 2024, the Company resecuritized RMBS with a fair value of $ 221.7 million by transferring the RMBS into a larger RMBS that is backed by the transferred RMBS.

During the six months ended June 30, 2024, the Company resecuritized RMBS with a fair value of $ 221.7 million by transferring the RMBS into a larger RMBS that is backed by the transferred RMBS.

The Company retained the entire larger RMBS.

1 unchanged sentence

TREASURY SECURITIES, AVAILABLE-FOR-SALE

The following table presents the amortized cost, gross unrealized holding gains and losses, and fair value of available-for-sale investments as of March 31, 2025 and December 31, 2024 .

The following table presents the amortized cost, gross unrealized holding gains and losses, and fair value of available-for-sale investments as of June 30, 2025 and December 31, 2024 .

Treasury securities are held primarily to satisfy collateral requirements of the Company's repurchase and derivative counterparties.

The amortized cost, gross unrealized holding gains and losses, and fair value of available-for-sale investments as of March 31, 2025 and December 31, 2024 are as follows:

The amortized cost, gross unrealized holding gains and losses, and fair value of available-for-sale investments as of June 30, 2025 and December 31, 2024 are as follows:

(in thousands)

March 31, 2025

June 30, 2025

Treasury Note, 4.625%, 6/30/2026 Maturity

13 unchanged sentences

If the fair value of the pledged securities declines, lenders will typically require the Company to post additional collateral or pay down borrowings to re-establish agreed upon collateral requirements, referred to as "margin calls." Similarly, if the fair value of the pledged securities increases, lenders may release collateral back to the Company.

As of March 31, 2025 , the Company had met all margin call requirements.

As of March 31, 2025 and December 31, 2024 , the Company’s repurchase agreements had remaining maturities as summarized below:

As of June 30, 2025 , the Company had met all margin call requirements.

As of June 30, 2025 and December 31, 2024 , the Company’s repurchase agreements had remaining maturities as summarized below:

($ in thousands)

March 31, 2025

June 30, 2025

Fair value of securities pledged, including accrued interest receivable

11 unchanged sentences

- 4.66 % 4.56 % 4.76 % 4.66 %

In addition, cash pledged to counterparties for repurchase agreements was approximately $ 2.8 million and $ 22.8 million as of March 31, 2025 and December 31, 2024 , respectively.

In addition, cash pledged to counterparties for repurchase agreements was approximately $ 7.9 million and $ 22.8 million as of June 30, 2025 and December 31, 2024 , respectively.

If, during the term of a repurchase agreement, a lender files for bankruptcy, the Company might experience difficulty recovering its pledged assets, which could result in an unsecured claim against the lender for the difference between the amount loaned to the Company plus interest due to the counterparty and the fair value of the collateral pledged to such lender, including the accrued interest receivable and cash posted by the Company as collateral.

At March 31, 2025 , the Company had an aggregate amount at risk (the difference between the amount loaned to the Company, including interest payable and securities posted by the counterparty (if any), and the fair value of securities and cash pledged (if any), including accrued interest on such securities) with all counterparties of approximately $ 290.8 million.

The Company did not have an amount at risk with any individual counterparty that was greater than 10% of the Company’s equity at March 31, 2025 or December 31, 2024 .

At June 30, 2025 , the Company had an aggregate amount at risk (the difference between the amount loaned to the Company, including interest payable and securities posted by the counterparty (if any), and the fair value of securities and cash pledged (if any), including accrued interest on such securities) with all counterparties of approximately $ 306.8 million.

The Company did not have an amount at risk with any individual counterparty that was greater than 10% of the Company’s equity at June 30, 2025 or December 31, 2024 .

DERIVATIVE AND OTHER HEDGING INSTRUMENTS

The table below summarizes fair value information about the Company’s derivative and other hedging instruments assets and liabilities as of March 31, 2025 and December 31, 2024 .

The table below summarizes fair value information about the Company’s derivative and other hedging instruments assets and liabilities as of June 30, 2025 and December 31, 2024 .

(in thousands)

1 unchanged sentence

Balance Sheet Location

March 31, 2025

June 30, 2025

December 31, 2024

1 unchanged sentence

Derivative assets, at fair value

$ 6,267 $ 4,574

TBA securities

1 unchanged sentence

Total derivative assets, at fair value

$ 6,710 $ 9,277

Interest rate swaps

Derivative liabilities, at fair value

TBA securities

1 unchanged sentence

Total derivative liabilities, at fair value

$ 4,359 $ 332

Margin Balances Posted to (from) Counterparties

2 unchanged sentences

$ 4,487 $ 2,625

TBA securities

TBA securities (including margin paid on unsettled trades)

Restricted cash

TBA securities

TBA securities (including margin received on unsettled trades)

Other liabilities

5 unchanged sentences

A minimum balance, or “margin,” is required to be maintained in the account on a daily basis.

The tables below present information related to the Company’s T-Note and SOFR futures positions at March 31, 2025 and December 31, 2024 .

The tables below present information related to the Company’s T-Note and SOFR futures positions at June 30, 2025 and December 31, 2024 .

($ in thousands)

March 31, 2025

June 30, 2025

Expiration Year

Treasury Note Futures Contracts (Short Positions) (2)

June 2025 5-year T-Note futures (Jun 2025 - Jun 2030 Hedge Period)

September 2025 5-year T-Note futures (Sep 2025 - Sep 2030 Hedge Period)

$ 487,500 4.03 % 3.72 % $ ( 6,198 )

June 2025 10-year T-Note futures (Jun 2025 - Jun 2035 Hedge Period)

September 2025 10-year T-Note futures (Sep 2025 - Sep 2035 Hedge Period)

228,500 4.23 % 3.96 % ( 3,842 )

June 2025 10-year Ultra futures (Jun 2025 - Jun 2035 Hedge Period)

September 2025 10-year Ultra futures (Sep 2025 - Sep 2035 Hedge Period)

197,500 4.48 % 4.20 % ( 4,649 )

16 unchanged sentences

28,750 3.56 % 3.05 % ( 148 )

ERIS SOFR Swap Futures Contracts (Short Positions) (3)

September 2025 5-Year Term, 3.75% fixed rate, (Sep 2025 - Sep 2030 Hedge Period)

$ 10,000 3.71 % 3.40 % $ ( 129 )

($ in thousands)

9 unchanged sentences

Open equity represents the cumulative gains (losses) recorded on open futures positions from inception.

5 -Year T-Note futures contracts were valued at a price of $ 108.16 at March 31, 2025 and $ 106.30 at December 31, 2024 .

The contract values of the short positions were $ 408.3 million and $ 332.2 million at March 31, 2025 and December 31, 2024 , respectively.

10 -Year T-Note futures contracts were valued at a price of $ 111.22 at March 31, 2025 and $ 108.75 at December 31, 2024 .

The contract values of the short positions were $ 215.2 million and $ 101.6 million at March 31, 2025 and December 31, 2024 , respectively.

10 -Year Ultra futures contracts were valued at a price of $ 114.13 at March 31, 2025 and $ 111.31 at December 31, 2024 .

The contract values of the short positions were $ 156.9 million and $ 36.2 million at March 31, 2025 and December 31, 2024 , respectively.

5 -Year T-Note futures contracts were valued at a price of $ 109.00 at June 30, 2025 and $ 106.30 at December 31, 2024 .

The contract values of the short positions were $ 531.4 million and $ 332.2 million at June 30, 2025 and December 31, 2024 , respectively.

10 -Year T-Note futures contracts were valued at a price of $ 112.13 at June 30, 2025 and $ 108.75 at December 31, 2024 .

The contract values of the short positions were $ 256.2 million and $ 101.7 million at June 30, 2025 and December 31, 2024 , respectively.

10 -Year Ultra futures contracts were valued at a price of $ 114.27 at June 30, 2025 and $ 111.31 at December 31, 2024 .

The contract values of the short positions were $ 225.7 million and $ 36.2 million at June 30, 2025 and December 31, 2024 , respectively.

ERIS swap futures are exchange traded futures that replicate the cash flows of an underlying swap position.

Under its interest rate swap agreements, the Company typically pays a fixed rate and receives a floating rate ("payer swaps") based on an index, such as SOFR.

1 unchanged sentence

The Company is typically required to post margin on its interest rate swap agreements.

The table below presents information related to the Company’s interest rate swap positions at March 31, 2025 and December 31, 2024 .

The table below presents information related to the Company’s interest rate swap positions at June 30, 2025 and December 31, 2024 .

($ in thousands)

March 31, 2025

June 30, 2025

Expiration > 1 to ≤ 5 years

13 unchanged sentences

We also exchange daily settlements of "variation margin" based upon changes in fair value, as measured by the exchanges.

The following table summarizes the Company’s contracts to purchase and sell TBA securities as of March 31, 2025 and December 31, 2024 .

The following table summarizes the Company’s contracts to purchase and sell TBA securities as of December 31, 2024 .

The Company had no open TBA contracts as of June 30, 2025 .

($ in thousands)

March 31, 2025

15-Year TBA securities:

5.0% $ 200,000 $ 200,330 $ 200,773 $ 443

$ 200,000 $ 200,330 $ 200,773 $ 443

December 31, 2024

9 unchanged sentences

Gain (Loss) From Derivative and Other Hedging Instruments, Net

The table below presents the effect of the Company’s derivative and other hedging instruments on the statements of comprehensive income for the three months ended March 31, 2025 and 2024 .

The table below presents the effect of the Company’s derivative and other hedging instruments on the statements of comprehensive income for the six and three months ended June 30, 2025 and 2024 .

(in thousands)

Three Months Ended March 31,

Six Months Ended June 30,

Three Months Ended June 30,

Interest rate futures contracts (short position)

3 unchanged sentences

Payer swaptions (long positions)

- ( 72 ) - ( 14 )

Dual digital option

- ( 395 ) - ( 156 )

TBA securities (short positions)

( 4,636 ) 12,945 ( 7,662 ) 3,042

TBA securities (long positions)

572 105 472 -

$ ( 127,945 ) $ 113,967 $ ( 53,286 ) $ 26,068

Credit Risk-Related Contingent Features

9 unchanged sentences

Assets Pledged to Counterparties

The table below summarizes the Company’s assets pledged as collateral under repurchase agreements and derivative agreements by type, including securities pledged related to securities sold but not yet settled, as of March 31, 2025 and December 31, 2024 .

(in thousands)

March 31, 2025

June 30, 2025

December 31, 2024

12 unchanged sentences

Assets Pledged from Counterparties

The table below summarizes assets pledged to the Company from counterparties under repurchase agreements and derivative agreements as of March 31, 2025 and December 31, 2024 .

The table below summarizes assets pledged to the Company from counterparties under repurchase agreements and derivative agreements as of June 30, 2025 and December 31, 2024 .

(in thousands)

March 31, 2025

June 30, 2025

December 31, 2024

10 unchanged sentences

As a result, derivative assets and liabilities associated with centrally cleared derivatives for which the CME or LCH serves as the central clearing party are presented as if these derivatives had been settled as of the reporting date.

The following table presents information regarding those assets and liabilities subject to such arrangements as if the Company had presented them on a net basis as of March 31, 2025 and December 31, 2024 .

The following table presents information regarding those assets and liabilities subject to such arrangements as if the Company had presented them on a net basis as of June 30, 2025 and December 31, 2024 .

(in thousands)

4 unchanged sentences

Offset in the

March 31, 2025

Interest rate swaps

$ 6,267 $ - $ 6,267 $ - $ - $ 6,267

TBA securities

443 - 443 - ( 1,403 ) ( 960 )

$ 6,710 $ - $ 6,710 $ - $ ( 1,403 ) $ 5,307

December 31, 2024

10 unchanged sentences

as Collateral

March 31, 2025

June 30, 2025

Repurchase Agreements

$ 6,655,879 $ - $ 6,655,879 $ ( 6,647,963 ) $ ( 7,916 ) $ -

Interest rate swaps

4,359 - 4,359 - - 4,359

$ 6,660,238 $ - $ 6,660,238 $ ( 6,647,963 ) $ ( 7,916 ) $ 4,359

December 31, 2024

9 unchanged sentences

Common Stock Issuances

During the three months ended March 31, 2025 and the year ended December 31, 2024 , the Company completed the following public offerings of shares of its common stock.

During the six months ended June 30, 2025 and the year ended December 31, 2024 , the Company completed the following public offerings of shares of its common stock.

($ in thousands, except per share amounts)

4 unchanged sentences

$ 8.17 25,142,046 $ 205,424

At the Market Offering Program (3)

Second Quarter

7.01 19,884,204 139,416

45,026,250 $ 344,840

At the Market Offering Program(3)

23 unchanged sentences

The timing, manner, price and amount of any repurchases will be determined by the Company in its discretion and will be subject to economic and market conditions, stock price, applicable legal requirements and other factors.

The authorization does not obligate the Company to acquire any particular amount of common stock, and the program may be suspended or discontinued at the Company’s discretion without prior notice.

The stock repurchase program has no termination date.

From the inception of the stock repurchase program through March 31, 2025 , the Company repurchased a total of 5,144,602 shares at an aggregate cost of approximately $ 77.5 million , including commissions and fees, for a weighted average price of $ 15.07 per share.

The Company did not repurchase any shares during the three months ended March 31, 2025 .

The authorization does not obligate the Company to acquire any particular amount of common stock.

The stock repurchase program may be suspended or discontinued at the Company’s discretion without prior notice and has no termination date.

From the inception of the stock repurchase program through June 30, 2025 , the Company repurchased a total of 6,257,826 shares at an aggregate cost of approximately $ 84.8 million , including commissions and fees, for a weighted average price of $ 13.55 per share.

During the three and six months ended June 30, 2025 , the Company repurchased a total of 1,113,224 shares at an aggregate cost of approximately $ 7.3 million, including commissions and fees, for a weighted average price of $ 6.52 per share.

During the year ended December 31, 2024 , the Company repurchased a total of 396,241 shares at an aggregate cost of approximately $ 3.3 million, including commissions and fees, for a weighted average price of $ 8.30 per share.

Subsequent to March 31, 2025 , the Company repurchased a total of 1,113,224 shares at an aggregate cost of approximately $ 7.3 million, including commissions and fees, for a weighted average price of $ 6.52 per share.

The remaining authorization under the stock repurchase program as of April 25, 2025 was 2,719,137 shares.

The remaining authorization under the stock repurchase program as of July 24, 2025 was 2,719,137 shares.

Cash Dividends

6 unchanged sentences

$ 68.730 $ 798,509

On April 9, 2025 , the Company declared a dividend of $ 0.12 per share to be paid on May 29, 2025 .

The effect of this dividend is included in the table above but is not reflected in the Company’s financial statements as of March 31, 2025 .

On July 9, 2025 , the Company declared a dividend of $ 0.12 per share to be paid on August 28, 2025 .

The effect of this dividend is included in the table above but is not reflected in the Company’s financial statements as of June 30, 2025 .

STOCK INCENTIVE PLAN

14 unchanged sentences

Compensation expense for the PUs, included in incentive compensation on the statements of comprehensive income, is recognized over the remaining vesting period once it becomes probable that the performance conditions will be achieved.

The following table presents information related to PUs outstanding during the three months ended March 31, 2025 and 2024 .

The following table presents information related to PUs outstanding during the six months ended June 30, 2025 and 2024 .

($ in thousands, except per share data)

Three Months Ended March 31,

Six Months Ended June 30,

Unvested, beginning of period

11 unchanged sentences

Weighted-average remaining vesting term (in years)

The number of shares of common stock issuable upon the vesting of the remaining outstanding PUs as of December 31, 2023 was reduced by 14,365 shares as a result of a book value impairment event that occurred pursuant to the terms of the long term equity incentive compensation plans (the “Plans”) established under the Company’s Incentive Plans.

( 1 ) During 2025, a participant's service as an employee of the Manager ended resulting in the forfeiture of 2,393 PUs as provided in the Plans.

During 2024, the number of shares of common stock issuable upon the vesting of the remaining outstanding PUs as of December 31, 2023 was reduced by 14,365 shares as a result of a book value impairment event that occurred pursuant to the terms of the long term equity incentive compensation plans (the “Plans”) established under the Company’s Incentive Plans.

The book value impairment event occurred when the Company's book value per share declined by more than 15 % during the quarter ended September 30, 2023 and the Company’s book value per share decline from July 1, 2023 to December 31, 2023 was more than 10 %.

1 unchanged sentence

The Company has issued, and may in the future issue additional, immediately vested common stock under the Incentive Plans to certain executive officers and employees of its Manager.

The following table presents information related to fully vested common stock issued during the three months ended March 31, 2025 and 2024 .

All of the fully vested shares of common stock issued during the three months ended March 31, 2025 and 2024 , and the related compensation expense, were granted with respect to service performed during the fiscal years ended December 31, 2024 and 2023 , respectively.

The following table presents information related to fully vested common stock issued during the six months ended June 30, 2025 and 2024 .

All of the fully vested shares of common stock issued during the six months ended June 30, 2025 and 2024 , and the related compensation expense, were granted with respect to service performed during the fiscal years ended December 31, 2024 and 2023 , respectively.

($ in thousands, except per share data)

Three Months Ended March 31,

Six Months Ended June 30,

Fully vested shares granted

4 unchanged sentences

The awards issued during the years ended December 31, 2025 and 2024 were granted with respect to service performed in 2024 and 2023, respectively.

Compensation expense accrued related to the share awards was $ 0.2 million for both three month periods ended March 31, 2025 and 2024.

Compensation expense accrued related to the share awards was $ 0.2 million for both six month periods ended June 30, 2025 and 2024 .

Deferred Stock Units

7 unchanged sentences

The DSUs do not include the right to vote the underlying shares of common stock.

The following table presents information related to the DSUs outstanding during the three months ended March 31, 2025 and 2024 .

The following table presents information related to the DSUs outstanding during the six months ended June 30, 2025 and 2024 .

($ in thousands, except per share data)

Three Months Ended March 31,

Six Months Ended June 30,

Outstanding, beginning of period

9 unchanged sentences

From time to time, the Company may become involved in various claims and legal actions arising in the ordinary course of business.

Management is not aware of any reported or unreported contingencies at March 31, 2025 .

Management is not aware of any reported or unreported contingencies as of June 30, 2025 .

The Company will generally not be subject to U.S.

4 unchanged sentences

EARNINGS PER SHARE (EPS)

The Company had dividend eligible PUs and DSUs that were outstanding during the three months ended March 31, 2025 and 2024 .

The Company had dividend eligible PUs and DSUs that were outstanding during the six and three months ended June 30, 2025 and 2024 .

The basic and diluted per share computations include these unvested PUs and DSUs if there is income available to common stock, as they have dividend participation rights.

1 unchanged sentence

Because there is no such obligation, the unvested PUs and DSUs are not included in the basic and diluted EPS computations when no income is available to common stock even though they are considered participating securities.

The table below reconciles the numerator and denominator of EPS for the three months ended March 31, 2025 and 2024 .

The table below reconciles the numerator and denominator of EPS for the six and three months ended June 30, 2025 and 2024 .

(in thousands, except per share information)

Three Months Ended March 31,

Six Months Ended June 30,

Three Months Ended June 30,

Basic and diluted EPS per common share:

Numerator for basic and diluted EPS per share of common stock:

Net income - Basic and diluted

Net (loss) income - Basic and diluted

$ ( 16,456 ) $ 14,797 $ ( 33,578 ) $ ( 4,979 )

7 unchanged sentences

104,743 54,799 114,453 57,764

Net income per common share:

Net (loss) income per common share:

Basic and diluted

1 unchanged sentence

Anti-dilutive incentive shares not included in calculation

263 - 263 221

The framework for using fair value to measure assets and liabilities defines fair value as the price that would be received to sell an asset or paid to transfer a liability (an exit price).

25 unchanged sentences

The fair value of interest rate swaptions and dual digital options are determined using an option pricing model.

Treasury securities, derivatives and TBA securities were recorded at fair value on a recurring basis during the three months ended March 31, 2025 and 2024 .

Treasury securities, derivatives and TBA securities were recorded at fair value on a recurring basis during the six and three months ended June 30, 2025 and 2024 .

When determining fair value measurements, the Company considers the principal or most advantageous market in which it would transact and considers assumptions that market participants would use when pricing the asset.

1 unchanged sentence

When identical assets are not traded in active markets, the Company looks to market observable data for similar assets.

The estimated fair value of cash and cash equivalents, restricted cash, accrued interest receivable, receivable for securities sold, other assets, due to affiliates, repurchase agreements, payable for unsettled securities purchased, accrued interest payable and other liabilities generally approximates their carrying values due to the short-term nature of these financial instruments as of March 31, 2025 and December 31, 2024 .

The Company estimates the fair value of the cash and cash equivalents using Level 1 inputs, and the accrued interest receivable, receivable for securities sold, other assets, due to affiliates, repurchase agreements, payable for unsettled securities purchased, accrued interest payable and other liabilities using Level 2 inputs.

The following table presents financial assets (liabilities) measured at fair value on a recurring basis as of March 31, 2025 and December 31, 2024 .

The following table presents financial assets (liabilities) measured at fair value on a recurring basis as of June 30, 2025 and December 31, 2024 .

Derivative contracts are reported as a net position by contract type, and not based on master netting arrangements.

1 unchanged sentence

Quoted Prices

March 31, 2025

June 30, 2025

Mortgage-backed securities

2 unchanged sentences

Interest rate swaps

TBA securities

- ( 4,359 ) -

December 31, 2024

4 unchanged sentences

TBA securities

During the three months ended March 31, 2025 and 2024 , there were no transfers of financial assets or liabilities between levels 1, 2 or 3.

During the six and three months ended June 30, 2025 and 2024 , there were no transfers of financial assets or liabilities between levels 1, 2 or 3.

RELATED PARTY TRANSACTIONS

14 unchanged sentences

Should the Company terminate the management agreement without cause, it will pay the Manager a termination fee equal to three times the average annual management fee, as defined in the management agreement, before or on the last day of the term of the agreement.

Total expenses recorded for the management fee, allocated overhead and repurchase agreement trading, clearing and administrative services were approximately $ 3.6 million and $ 2.9 million for the three months ended March 31, 2025 and 2024, respectively.

At March 31, 2025 and December 31, 2024 , the net amount due to affiliates was approximately $ 1.3 million and $ 1.2 million, respectively.

Total expenses recorded for the management fee, allocated overhead and repurchase agreement trading, clearing and administrative services were approximately $ 7.4 million and $ 3.8 million for the six and three months ended June 30, 2025 , respectively, compared to approximately $ 6.1 million and $ 3.2 million for six and three months ended June 30, 2024 , respectively.

At June 30, 2025 and December 31, 2024 , the net amount due to affiliates was approximately $ 1.3 million and $ 1.2 million, respectively.

Other Relationships with Bimini

1 unchanged sentence

Haas, IV, the Company’s Chief Financial Officer, Chief Investment Officer, Secretary and a member of the Board of Directors, also serves as the Chief Financial Officer, Chief Investment Officer and Treasurer of Bimini and owns shares of common stock of Bimini.

In addition, as of March 31, 2025 , Bimini owned 569,071 shares, or 0.5 %, of the Company’s common stock.

In addition, as of June 30, 2025 , Bimini owned 569,071 shares, or 0.4 %, of the Company’s common stock.

SEGMENT INFORMATION

11 unchanged sentences

The following discussion of our financial condition and results of operations should be read in conjunction with the financial statements and notes to those statements included in Item 1 of this Form 10-Q.

The discussion may contain certain forward-looking statements that involve risks and uncertainties.

Forward-looking statements are those that are not historical in nature.

Certain written statements in this Quarterly Report on Form 10-Q that are not historical facts constitute “forward-looking statements” within the meaning of Section 27A of the Securities Act of 1933, as amended, and Section 21E of the Exchange Act.

Statements in this report addressing expectations, assumptions, beliefs, projections, future plans and strategies, future events, developments that we expect or anticipate will occur in the future, and future operating results, capital management, and dividend policy are forward-looking statements.

Forward-looking statements are based upon management’s beliefs, assumptions, and expectations as of the date of this report regarding future events and operating performance, considering all information currently available to us, and are applicable only as of the date of this report.

Forward-looking statements generally can be identified by the use of words such as “believe,” “expect,” “anticipate,” “estimate,” “plan,” “may,” “will,” “intend,” “should,” “could,” or similar expressions.

We caution readers not to place undue reliance on our forward-looking statements, which are not historical facts and may be based on projections, assumptions, expectations, and anticipated events that do not materialize.

Except as required by law, we are not obligated to, and do not intend to, update or revise any forward-looking statement, whether as a result of new information, future events, or otherwise.

Forward-looking statements in this Quarterly Report on Form 10-Q may include, but are not limited to, statements about interest rates, inflation, liquidity, pledging of our structured RMBS, funding levels and spreads, prepayment speeds, portfolio composition, positioning and repositioning, hedging levels, leverage ratio, dividends, investment and return opportunities, the supply and demand for Agency RMBS and the performance of the Agency RMBS sector generally, the effect of actual or expected actions of the U.S.

government, including the Fed, market expectations, capital raising, future opportunities and prospects of the Company, the stock repurchase program, geopolitical uncertainty and general economic conditions (including the effects of tariffs, trade wars, inflation, the U.S.

deficit, and the strength of the U.S.

As a result of many factors, such as those set forth under “Risk Factors” in our most recent Annual Report on Form 10-K, our actual results may differ materially from those anticipated in such forward-looking statements.

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On February 24, 2025, we entered into an equity distribution agreement (the “February 2025 Equity Distribution Agreement”) with four sales agents pursuant to which we may offer and sell, from time to time, up to an aggregate amount of $350,000,000 of shares of our common stock in transactions that are deemed to be “at the market” offerings and privately negotiated transactions.

Through March 31, 2025, we issued a total of 14,470,882 shares under the February 2025 Equity Distribution Agreement for aggregate gross proceeds of approximately $123.7 million, and net proceeds of approximately $121.7 million, after commissions and fees.

Through June 30, 2025, we issued a total of 34,355,086 shares under the February 2025 Equity Distribution Agreement for aggregate gross proceeds of approximately $265.4 million, and net proceeds of approximately $261.2 million, after commissions and fees.

Subsequent to June 30, 2025, we issued a total of 162,498 shares under the February 2025 Equity Distribution Agreement for aggregate gross proceeds of approximately $1.2 million, and net proceeds of approximately $1.2 million, after commissions and fees .

Stock Repurchase Agreement

7 unchanged sentences

This stock repurchase program has no termination date.

The Company did not repurchase any shares during the three months ended March 31, 2025 .

Subsequent to March 31, 2025, the Company repurchased a total of 1,113,224 shares at an aggregate cost of approximately $7.3 million, including commissions and fees, for a weighted average price of $6.52 per share.

The remaining authorization under the stock repurchase program as of April 25, 2025 was 2,719,137 shares.

During the six months ended June 30, 2025 , the Company repurchased a total of 1,113,224 shares at an aggregate cost of approximately 7.3 million, including commissions and fees, for a weighted average price of $6.52 per share.

During the year ended December 31, 2024, the Company repurchased a total of 396,241 shares at an aggregate cost of approximately $3.3 million, including commissions and fees, for a weighted average price of $8.30 per share.

The remaining authorization under the stock repurchase program as of July 24, 2025 was 2,719,137 shares.

Factors that Affect our Results of Operations and Financial Condition

18 unchanged sentences

Results of Operations

Described below are the Company’s results of operations for the three months ended March 31, 2025, as compared to the Company’s results of operations for the three months ended March 31, 2024.

Net Income Summary

Net income for the three months ended March 31, 2025 was $17.1 million, or $0.18 per share.

Net income for the three months ended March 31, 2024 was $19.8 million, or $0.38 per share.

The components of net income for the three months ended March 31, 2025 and 2024 , along with the changes in those components are presented in the table below:

Described below are the Company’s results of operations for the six and three months ended June 30, 2025, as compared to the Company’s results of operations for the six and three months ended June 30, 2024.

Net (Loss) Income Summary

Net loss for the six months ended June 30, 2025 was $16.5 million, or $0.16 per share.

Net income for the six months ended June 30, 2024 was $14.8 million, or $0.27 per share.

Net loss for the three months ended June 30, 2025 was $33.6 million, or $0.29 per share.

Net loss for the three months ended June 30, 2024 was $5.0 million, or $0.09 per share.

The components of net (loss) income for the six and three months ended June 30, 2025 and 2024 , along with the changes in those components are presented in the table below:

(in thousands)

Three Months Ended March 31,

Six Months Ended June 30,

Three Months Ended June 30,

Interest income

1 unchanged sentence

Net interest income (expense)

Gains on RMBS and derivative contracts

Net portfolio income

(Losses) gains on RMBS and derivative contracts

Net portfolio (loss) income

Net (loss) income

GAAP and Non-GAAP Reconciliations

13 unchanged sentences

The table below presents a reconciliation of our net income (loss) determined in accordance with GAAP and net earnings excluding realized and unrealized gains and losses.

Described below are the Company’s results of operations for each quarter in 2025 to date and 2024.

Described below are the Company’s results of operations for the six months ended June 30, 2025 and 2024, and for each quarter in 2025 to date and 2024.

Net Earnings Excluding Realized and Unrealized Gains and Losses

1 unchanged sentence

Income (Loss)

Three Months Ended

June 30, 2025

March 31, 2025

3 unchanged sentences

March 31, 2024

Six Months Ended

June 30, 2025

June 30, 2024

Includes realized and unrealized gains (losses) on RMBS and derivative financial instruments, including net interest income or expense on interest rate swaps.

29 unchanged sentences

Therefore, the economic value of our investment strategy should not be viewed in isolation and is not a substitute for interest expense and net interest income computed in accordance with GAAP.

The tables below present a reconciliation of the adjustments to interest expense shown for each period relative to our derivative instruments, and the income statement line item, gains (losses) on derivative instruments, calculated in accordance with GAAP for each quarter of 2025 to date and 2024.

Gains (Losses) on Derivative Instruments

5 unchanged sentences

Three Months Ended

June 30, 2025

March 31, 2025

3 unchanged sentences

March 31, 2024

Six Months Ended

June 30, 2025

June 30, 2024

Economic Interest Expense and Economic Net Interest Income

3 unchanged sentences

Three Months Ended

June 30, 2025

March 31, 2025

3 unchanged sentences

March 31, 2024

Six Months Ended

June 30, 2025

June 30, 2024

Reflects the effect of derivative instrument hedges for only the period presented.

2 unchanged sentences

Net Interest Income (Expense)

During the three months ended March 31, 2025 , we earned net interest income of $19.7 million consisting of $81.1 million of interest income from RMBS assets offset by $61.4 million of interest expense on borrowings.

For the comparable period ended March 31, 2024 , we incurred $2.5 million of net interest expense, consisting of $48.9 million of interest income from RMBS assets offset by $51.4 million of interest expense on borrowings.

During the six months ended June 30, 2025 , we earned net interest income of $42.9 million , consisting of $173.4 million of interest income from RMBS assets, offset by $130.5 million of interest expense on borrowings.

For the comparable period ended June 30, 2024 , we incurred $3.2 million of net interest expense, consisting of $101.9 million of interest income from RMBS assets offset by $105.1 million of interest expense on borrowings.

The $71.5 million increase in interest income was due to a 35 basis point ("bps")increase in the yield on average RMBS, combined with a $2.4 billion increase in average RMBS .

The $25.4 million increase in interest expense was due to a 117 bps decrease in the average cost of funds, combined with a $2.3 billion increase in average outstanding borrowings.

On an economic basis, our interest expense on borrowings for the three months ended March 31, 2025 and 2024 was $40.5 million and $23.8 million , respectively, resulting in $40.6 million and $25.1 million of economic net interest income, respectively.

The tables below provide information on our portfolio average balances, interest income, yield on assets, average borrowings, interest expense, cost of funds, net interest income (expense) and net interest spread for each quarter of 2025 to date and 2024 on both a GAAP and economic basis.

During the three months ended June 30, 2025 , we earned net interest income of $23.2 million consisting of $92.3 million of interest income from RMBS assets offset by $69.1 million of interest expense on borrowings.

For the comparable period ended June 30, 2024 , we incurred $0.7 million of net interest expense, consisting of $53.1 million of interest income from RMBS assets offset by $53.8 million of interest expense on borrowings.

The $39.2 million increase in interest income was due to a 33 bps increase in the yield on average RMBS, combined with a $2.7 billion increase in average RMBS .

The $15.3 million increase in interest expense was due to a 111 bps decrease in the average cost of funds, combined with a $2.5 billion increase in average outstanding borrowings.

On an economic basis, our interest expense on borrowings for the six months ended June 30, 2025 and 2024 was $88.7 million and $48.1 million , respectively, resulting in $84.7 million and $53.9 million of economic net interest income, respectively.

On an economic basis, our interest expense on borrowings for the three months ended June 30, 2025 and 2024 was $48.2 million and $24.3 million , respectively, resulting in $44.1 million and $28.8 million of economic net interest income, respectively.

The tables below provide information on our portfolio average balances, interest income, yield on assets, average borrowings, interest expense, cost of funds, net interest income (expense) and net interest spread for the six months ended June 30, 2025 and 2024, and for each quarter in 2025 to date and 2024 on both a GAAP and economic basis.

($ in thousands)

3 unchanged sentences

Three Months Ended

June 30, 2025

March 31, 2025

3 unchanged sentences

March 31, 2024

Six Months Ended

June 30, 2025

June 30, 2024

($ in thousands)

2 unchanged sentences

Three Months Ended

June 30, 2025

March 31, 2025

3 unchanged sentences

March 31, 2024

Portfolio yields and costs of borrowings presented in the tables above and the tables on page 29 a re calculated based on the average balances of the underlying investment portfolio/borrowings balances and are annualized for the periods presented.

Six Months Ended

June 30, 2025

June 30, 2024

Portfolio yields and costs of borrowings presented in the tables above and the tables on pages 30-31 a re calculated based on the average balances of the underlying investment portfolio/borrowings balances and are annualized for the periods presented.

Average balances for quarterly periods are calculated using two data points, the beginning and ending balances.

3 unchanged sentences

Average Asset Yield

The table below presents the average portfolio size, income and yields of our respective sub-portfolios, consisting of structured RMBS and PT RMBS, for each quarter of 2025 to date and 2024.

The table below presents the average portfolio size, income and yields of our respective sub-portfolios, consisting of structured RMBS and PT RMBS, for the six months ended June 30, 2025 and 2024, and for each quarter in 2025 to date and 2024.

($ in thousands)

3 unchanged sentences

Three Months Ended

June 30, 2025

March 31, 2025

3 unchanged sentences

March 31, 2024

Six Months Ended

June 30, 2025

June 30, 2024

Interest Expense and the Cost of Funds

We had average outstanding borrowings of $5.7 billion and $3.7 billion and total interest expense of $61.4 million and $51.4 million for the three months ended March 31, 2025 and 2024, respectively.

Our average cost of funds was 4.29% for the three months ended March 31, 2025, compared to 5.54% for the comparable period in 2024.

The $10.0 million increase in interest expense was due to the 125 bps decrease in the average cost of funds, combined with a $2.0 billion increase in average outstanding borrowings during the three months ended March 31, 2025, as compared to the comparable period in 2024.

Our economic interest expense was $40.5 million and $23.8 million for the three months ended March 31, 2025 and 2024, respectively.

There was a 27 bps increase in the average economic cost of funds to 2.83% for the three months ended March 31, 2025, from 2.56% for the three months ended March 31, 2024.

We had average outstanding borrowings of $6.1 billion and $3.9 billion and total interest expense of $130.5 million and $105.1 million for the six months ended June 30, 2025 and 2024, respectively.

Our average cost of funds was 4.26% for the six months ended June 30, 2025, compared to 5.43% for the comparable period in 2024.

The $25.4 million increase in interest expense was due to the 117 bps decrease in the average cost of funds, combined with a $2.3 billion increase in average outstanding borrowings during the six months ended June 30, 2025, as compared to the comparable period in 2024.

We had average outstanding borrowings of $6.5 billion and $4.0 billion and total interest expense of $69.1 million and $53.8 million for the three months ended June 30, 2025 and 2024, respectively.

Our average cost of funds was 4.23% for the three months ended June 30, 2025, compared to 5.34% for the comparable period in 2024.

The $15.3 million increase in interest expense was due to the 111 bps decrease in the average cost of funds, combined with a $2.5 billion increase in average outstanding borrowings during the three months ended June 30, 2025, as compared to the comparable period in 2024.

Our economic interest expense was $88.7 million and $48.1 million for the six months ended June 30, 2025 and 2024, respectively.

There was a 40 bps increase in the average economic cost of funds to 2.89% for the six months ended June 30, 2025, from 2.49% for the six months ended June 30, 2024.

Our economic interest expense was $48.2 million and $24.3 million for the three months ended June 30, 2025 and 2024, respectively.

There was a 54 bps increase in the average economic cost of funds to 2.95% for the three months ended June 30, 2025, from 2.41% for the three months ended June 30, 2024.

Since all of our repurchase agreements are short-term, changes in market rates directly affect our interest expense.

Our average cost of funds calculated on a GAAP basis was 4 bps below the one-month average SOFR and 26 bps below the six-month average SOFR for the quarter ended March 31, 2025.

Our average economic cost of funds was 150 bps below the average one-month SOFR and 172 bps below the average six-month SOFR for the quarter ended March 31, 2025.

The average term to maturity of the outstanding repurchase agreements was 40 days at March 31, 2025 and 26 days at December 31, 2024.

The tables below present the average balance of borrowings outstanding, interest expense and average cost of funds, and average one-month and six-month SOFR rates for each quarter in 2025 to date and 2024, on both a GAAP and economic basis.

Our average cost of funds calculated on a GAAP basis was 9 bps below the one-month average SOFR and 14 bps below the six-month average SOFR for the quarter ended June 30, 2025.

Our average economic cost of funds was 137 bps below the average one-month SOFR and 142 bps below the average six-month SOFR for the quarter ended June 30, 2025.

The average term to maturity of the outstanding repurchase agreements was 35 days at June 30, 2025 and 26 days at December 31, 2024.

The tables below present the average balance of borrowings outstanding, interest expense and average cost of funds, and average one-month and six-month SOFR rates for the six months ended June 30, 2025 and 2024, and for each quarter in 2025 to date and 2024, on both a GAAP and economic basis.

($ in thousands)

2 unchanged sentences

Three Months Ended

June 30, 2025

March 31, 2025

3 unchanged sentences

March 31, 2024

Six Months Ended

June 30, 2025

June 30, 2024

Average GAAP Cost of Funds

3 unchanged sentences

Three Months Ended

June 30, 2025

March 31, 2025

3 unchanged sentences

March 31, 2024

Six Months Ended

June 30, 2025

June 30, 2024

Gains or Losses

The table below presents our gains or losses for the three months ended March 31, 2025 and 2024.

The table below presents our gains or losses for the six and three months ended June 30, 2025 and 2024.

(in thousands)

Three Months Ended March 31,

Six Months Ended June 30,

Three Months Ended June 30,

Realized losses on sales of RMBS

7 unchanged sentences

Losses on dual digital option

Gains on TBA securities (short positions)

(Losses) gains on TBA securities (short positions)

Gains on TBA securities (long positions)

2 unchanged sentences

However, we have sold, and may continue to sell, existing assets to acquire new assets, which our management believes might have higher risk-adjusted returns in light of current or anticipated interest rates, federal government programs or general economic conditions or to manage our balance sheet as part of our asset/liability management strategy.

During the three months ended March 31, 2025, we received proceeds of $168.6 million from sales of RMBS, resulting in losses of approximately $1.3 million.

During the three months ended March 31, 2024, we received proceeds of $221.7 million from sales of RMBS.

During the six months ended June 30, 2025, we received proceeds of $733.9 million from sales of RMBS, resulting in losses of approximately $9.3 million.

During the six months ended June 30, 2024, we received proceeds of $221.7 million from sales of RMBS.

The 2024 sales consisted entirely of pools that were consolidated into a larger pool and simultaneously acquired by us.

6 unchanged sentences

The table below presents historical interest rate data for each quarter end during 2025 to date and 2024.

June 30, 2025

March 31, 2025

21 unchanged sentences

Three Months Ended

June 30, 2025

March 31, 2025

8 unchanged sentences

See “—GAAP and Non-GAAP Reconciliations,” for a description of our non-GAAP measures.

For the three months ended March 31, 2025, the Company’s total operating expenses were approximately $4.2 million, compared to approximately $3.7 million for the three months ended March 31, 2024.

The table below presents a breakdown of operating expenses for the three months ended March 31, 2025 and 2024.

For the six and three months ended June 30, 2025, the Company’s total operating expenses were approximately $9.2 million, and $5.0 million, respectively, compared to approximately $8.1 million and $4.4 million for the six and three months ended June 30, 2024.

The table below presents a breakdown of operating expenses for the six and three months ended June 30, 2025 and 2024.

(in thousands)

Three Months Ended March 31,

Six Months Ended June 30,

Three Months Ended June 30,

Management fees

6 unchanged sentences

Total expenses

As of December 31, 2024 and 2023, the Company had accrued liabilities of $0.6 million for bonuses to be paid to the Manager's employees.

During the first three months of 2025 and 2024 the Company awarded shares of Company common stock with a fair value of $0.2 million and $0.3 million, respectively.

Accrued incentive compensation for the three months ended March 31, 2025 and 2024 includes a reversal of the over accrual of these liabilities.

As of December 31, 2024 and 2023, the Company had accrued a liability of $0.6 million for bonuses to be paid to the Manager's employees.

During the six months ended June 30, 2025 and 2024, the Company awarded shares of Company common stock with a fair value of $0.2 million and $0.3 million, respectively.

Accrued incentive compensation for the six months ended June 30, 2025 and 2024 includes a reversal of the over accrual of this liability.

We are externally managed and advised by Bimini Advisors, LLC (the “Manager”) pursuant to the terms of a management agreement.

12 unchanged sentences

The following table summarizes the management fee and overhead allocation expenses for each quarter in 2025 to date and 2024.

The following table summarizes the management fee and overhead allocation expenses for the six months ended June 30, 2025 and 2024, and for each quarter in 2025 to date and 2024.

($ in thousands)

1 unchanged sentence

Three Months Ended

June 30, 2025

March 31, 2025

3 unchanged sentences

March 31, 2024

Six Months Ended

June 30, 2025

June 30, 2024

Financial Condition:

Mortgage-Backed Securities

As of March 31, 2025, our RMBS portfolio consisted of $6.7 billion of Agency RMBS at fair value and had a weighted average coupon on assets of 5.30%.

During the three months ended March 31, 2025, we received principal repayments of $133.0 million, compared to $74.3 million for the three months ended March 31, 2024.

The average three month prepayment speeds for the quarters ended March 31, 2025 and 2024 were 7.8% and 6.0%, respectively.

As of June 30, 2025, our RMBS portfolio consisted of $7.0 billion of Agency RMBS at fair value and had a weighted average coupon on assets of 5.42%.

During the six months ended June 30, 2025, we received principal repayments of $332.2 million, compared to $172.6 million for the six months ended June 30, 2024.

The average three month prepayment speeds for the quarters ended June 30, 2025 and 2024 were 10.1% and 7.6%, respectively.

The following table presents the 3-month constant prepayment rate (“CPR”) experienced on our structured and PT RMBS sub-portfolios, on an annualized basis, for the quarterly periods presented.

5 unchanged sentences

Portfolio (%)

June 30, 2025

March 31, 2025

3 unchanged sentences

March 31, 2024

The following tables summarize certain characteristics of the Company’s PT RMBS and structured RMBS as of March 31, 2025 and December 31, 2024:

The following tables summarize certain characteristics of the Company’s PT RMBS and structured RMBS as of June 30, 2025 and December 31, 2024:

($ in thousands)

Asset Category

March 31, 2025

June 30, 2025

Fixed Rate RMBS

8 unchanged sentences

($ in thousands)

March 31, 2025

June 30, 2025

December 31, 2024

4 unchanged sentences

Total Portfolio

March 31, 2025

June 30, 2025

December 31, 2024

5 unchanged sentences

Effective duration is the approximate percentage change in price for a 100 bps change in rates.

An effective duration of 3.560 indicates that an interest rate increase of 1.0% would be expected to cause a 3.560% decrease in the value of the RMBS in the Company’s investment portfolio at March 31, 2025.

An effective duration of 3.271 indicates that an interest rate increase of 1.0% would be expected to cause a 3.271% decrease in the value of the RMBS in the Company’s investment portfolio at June 30, 2025.

An effective duration of 4.200 indicates that an interest rate increase of 1.0% would be expected to cause a 4.200% decrease in the value of the RMBS in the Company’s investment portfolio at December 31, 2024.

1 unchanged sentence

Effective duration quotes for individual investments are obtained from The Yield Book, Inc.

The following table presents a summary of portfolio assets acquired during the three months ended March 31, 2025 and 2024, including securities purchased during the period that settled after the end of the period, if any.

The following table presents a summary of portfolio assets acquired during the six months ended June 30, 2025 and 2024, including securities purchased during the period that settled after the end of the period, if any.

($ in thousands)

4 unchanged sentences

Pass-through RMBS

As of March 31, 2025, we had established borrowing facilities in the repurchase agreement market with a number of commercial banks and other financial institutions and had borrowings in place with 24 of these counterparties.

As of June 30, 2025, we had established borrowing facilities in the repurchase agreement market with a number of commercial banks and other financial institutions and had borrowings in place with 24 of these counterparties.

None of these lenders are affiliated with the Company.

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We believe our established repurchase agreement borrowing facilities provide borrowing capacity in excess of our needs.

As of March 31, 2025, we had obligations outstanding under the repurchase agreements of approximately $6.4 billion with a net weighted average borrowing cost of 4.46%.

As of June 30, 2025, we had obligations outstanding under the repurchase agreements of approximately $6.7 billion with a net weighted average borrowing cost of 4.48%.

The remaining maturity of our outstanding repurchase agreement obligations ranged from 8 to 136 days, with a weighted average remaining maturity of 35 days.

Securing the repurchase agreement obligations as of March 31, 2025 are RMBS with an estimated fair value, including accrued interest, of approximately $6.7 billion, and cash pledged to counterparties of approximately $2.8 million.

Through April 25, 2025, we have been able to maintain our repurchase facilities with comparable terms to those that existed at March 31, 2025, with maturities through September 15, 2025.

Securing the repurchase agreement obligations as of June 30, 2025 are RMBS with an estimated fair value, including accrued interest, of approximately $7.0 billion, and cash pledged to counterparties of approximately $7.9 million.

Through July 25, 2025, we have been able to maintain our repurchase facilities with comparable terms to those that existed at June 30, 2025, with maturities through November 13, 2025.

The table below presents information about our period end, maximum and average balances of borrowings for each quarter in 2025 to date and 2024.

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Three Months Ended

June 30, 2025

March 31, 2025

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Adjusted leverage is calculated by dividing our repurchase agreements by stockholders' equity.

Our economic leverage at March 31, 2025 was 7.8 to 1, compared to 7.3 to 1 as of December 31, 2024.

Our adjusted leverage at March 31, 2025 was 7.5 to 1, compared to 7.5 to 1 as of December 31, 2024.

Our economic leverage as of June 30, 2025 was 7.3 to 1, compared to 7.3 to 1 as of December 31, 2024.

Our adjusted leverage as of June 30, 2025 was 7.3 to 1, compared to 7.5 to 1 as of December 31, 2024.

The following table presents information related to our historical leverage.

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Stockholders'

June 30, 2025

March 31, 2025

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rather haircuts are determined on an individual repo transaction basis.

Throughout the three months ended March 31, 2025, haircuts on our pledged collateral remained stable and as of March 31, 2025, our weighted average haircut was approximately 4.3% of the value of our collateral.

Throughout the six months ended June 30, 2025, haircuts on our pledged collateral remained stable and as of June 30, 2025, our weighted average haircut was approximately 4.1% of the value of our collateral.

TBAs represent a form of off-balance sheet financing and are accounted for as derivative instruments.

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In future periods, we expect to continue to finance our activities in a manner that is consistent with our current operations through repurchase agreements.

As of March 31, 2025, we had cash and cash equivalents of $396.4 million.

We generated cash flows of $200.9 million from principal and interest payments on our RMBS and had average repurchase agreements outstanding of $5.7 billion during the three months ended March 31, 2025.

As of June 30, 2025, we had cash and cash equivalents of $440.8 million.

We generated cash flows of $486.4 million from principal and interest payments on our RMBS and had average repurchase agreements outstanding of $6.1 billion during the six months ended June 30, 2025.

As described more fully below, we may also access liquidity by selling our equity or debt securities in public offerings or private placements.

Capital Expenditures

At March 31, 2025, we had no material commitments for capital expenditures.

At June 30, 2025, we had no material commitments for capital expenditures.

Stockholders ’ Equity

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Economic Summary

The first quarter of 2025 was essentially a continuation of the fourth quarter of 2024, at least for the first two months or so.

Incoming economic data continued to reflect robust economic activity and a healthy labor market – casting additional doubt on the need for any easing of monetary policy on the part of the Fed.

This was consistent with the slow reversal in the outlook for Fed monetary policy that began not long after their initial 50 basis point cut in September of 2024.

The economic data was consistent with an economy that was clearly not slowing or a threat to enter a contraction soon.

Further, inflation data was stubbornly still above the Fed’s 2% target range and increasing slightly, which was consistent with behavior exhibited during the first quarter of recent years.

Public comments by Fed officials clearly indicated the Fed was willing to be patient and content to watch the evolution of incoming economic data going forward before making any further adjustments to policy.

During the years following the COVID-19 pandemic in 2020, fiscal and monetary policies were very pro-cyclical and led to elevated levels of inflation and fiscal deficits.

The combined effects of the pro-growth policies led the equity markets higher.

However, another major development that occurred – in this case predominantly in 2024 – was the emergence of a new technology related to artificial intelligence (“AI”).

The potential impact of this technology on the economy was immense and led to even greater gains in the market prices generally and in particular of the stock prices of the companies involved, leading to record valuations.

In early 2025 a competing technology emerged in China that appeared to deliver the same performance as domestic technologies but at a substantially lower cost.

This led to considerable weakness in the U.S.

domestic stock market and AI tech companies in particular – the leaders of the previous equity market record performance.

In addition, incoming economic data began to soften later during the first quarter of 2025, and readings on consumer sentiment began to decline sharply.

In March of 2025, the Trump administration introduced the first of several tariffs.

The administration indicated there was more to come in the near future, and market expectations for growth and inflation began to erode quickly.

Sentiment was further depressed when some incoming economic data was consistent with stagflation – the combination of slowing economic growth and inflation.

In early April, the Trump administration announced substantial additional new tariffs on what was termed “Liberation Day” – the magnitude and extent of which were far in excess of market expectations.

The impact of the announcements was severe.

Risk assets of all kinds were sold, and price declines were substantial.

Even more troubling, safe haven assets such as U.S.

Treasury securities declined in price just as severely.

De-leveraging occurred as investors sold assets to raise cash, causing valuations to plunge further.

Volatility in interest rates and equities surged and market functioning deteriorated.

More significantly, fear grew that the new tariffs were so extreme that the trade wars they would likely trigger could materially alter the existing global trade regime and jeopardize the supremacy of the U.S.

dollar and U.S.

Treasury securities as the reserve currency and benchmark risk free asset, respectively.

Fortunately, before market functioning could deteriorate further, the Trump administration announced a 90 day pause before implementing the reciprocal tariffs – the most extreme tariffs announced – to allow time for trade partners to negotiate modifications to the tariffs.

As the second quarter continues, there remains substantial uncertainty about how events will unfold surrounding the tariffs and global trade, and their impact on the markets and the Company.

The start of the second quarter of 2025 was extremely turbulent and re-set the trajectory for all domestic markets.

The trigger event was the announcement of the list of what were termed “reciprocal” tariffs introduced by President Trump on April 2 nd , “Liberation Day.” While the implementation of the reciprocal tariffs – the most significant in percentage terms - was paused for 90 days a week later on April 9 th , tariff-related developments remained the dominant driver of markets and the economic outlook.

The pause in implementation of the reciprocal tariffs was intended to allow time for the administration to negotiate and execute trade agreements with the various trading partners of the United States.

The deadline for finalizing such deals is not far off, and to date not many deals have been reached.

There remains considerable uncertainty in the market regarding what will happen when the pause period ends and there are countries that have yet to reach a deal with the U.S.

In the interim, statements regarding the negotiations and potential additional tariffs made by the President and members of his cabinet have been frequent and generally impacted markets when they occurred.

However, a sense of “headline fatigue” has settled over the markets and successive statements seem to have a diminishing impact.

Over the course of the quarter, the focus of the administration shifted from purely tariff-related matters to passage of the President’s highest legislative priority.

What became known as the One Big Beautiful Bill Act (“the Act”) was signed into law by the President on July 4 th .

The Act made permanent most of the tax legislation originally enacted in 2017 as part of the Tax Cuts and Jobs Act of 2017, with minor revisions.

Importantly, the Act is likely to be stimulative for the economy and not likely to reduce pressure on the fiscal deficit in the near term.

The fiscal deficit has been a growing concern for markets as funding needs continue to escalate, putting upward pressure on treasury yields.

Growing fiscal deficits are also a global issue, as most advanced economies in the world are similarly situated.

Economic developments during the second quarter continued to confound market participants, as the anticipated slowdown triggered by the tremendous uncertainty introduced by the administration’s tariffs has yet to appear.

To date, any meaningful impact on goods inflation resulting from the tariffs has yet to materialize as well, although the data for June, released in July, did show modest upward pressure on goods prices.

It is likely that the continued deficits run by the federal government, as they have since the Covid-19 outbreak, continue to buttress the economy and prevent a likely economic slowdown from occurring.

The key metrics the Fed focuses on – namely, the jobs market and inflation data – continue to suggest there is no urgent need for them to ease monetary policy.

Job growth, while not robust, remains above the level considered adequate to hold the unemployment rate steady, which has occurred, and inflation data remains above the Fed’s target level with the ultimate impact of the tariffs likely yet to come.

Public comments by the Fed chair and most – but not all – members of the FOMC reflect the notion it would be prudent for the Fed to continue to watch the incoming economic data before determining when and by how much to adjust policy.

Interest Rates

The pivot in market outlook for Fed monetary policy that occurred during the fourth quarter of 2024 and led to interest rates rising steadily continued into the first quarter of 2025.

The yield on the 10-year T-Note was close to 3.6% in September of 2024 just after the Fed lowered the Fed Funds rate by 50 basis points at the September meeting of the FOMC.

However, yields began to rise steadily not long thereafter as economic data was not consistent with an economy on the verge of a recession and inflation was stubbornly above the Fed’s 2% target.

By late 2024, the yield on the 10-year T-Note was over 4.6% and close to 4.8% in early January of 2025.

Over the course of the balance of the first quarter of 2025, interest rates gradually declined as sentiment indicators declined to levels not seen in several years, triggered by declines in U.S.

equity markets – albeit off of record high levels – persistent inflation and expectations economic growth was about to slow.

The economic data itself over this period was mixed – labor markets were weakening slowly, manufacturing activity was improving slightly but off of very low levels, and the service sector was slowing, but off of robust levels.

Towards the end of the first quarter, the yield on the 10-year T-Note was trading between 4.15% and 4.30%.

At this point in the quarter stagflation fears were emerging.

The yield on the 2-year T-Note followed a similar path over this period.

When expectations for substantial additional Fed easing were high late in the third quarter of 2024 the 2-year T-Note yield was approximately 3.6% before rising steadily over the course of the fourth quarter of 2024 and through February of 2025 to a yield of between 4.2% and 4.4%.

This range was essentially level with the Fed Funds level – implying the market did not expect monetary policy changes over the next two years.

As sentiment readings declined late in the first quarter the 2-year T-Note yield declined towards 4.0% and so far during the second quarter the yield has ranged between 3.7% and 4.0%.

With the severe market turmoil triggered by the Trump administration's tariff announcements, the market now anticipates the Fed will have to lower monetary policy by approximately 75 basis points by the end of 2025, as the market now expects the tariffs to trigger a growth slowdown if not outright recession in 2025.

During the week of April 4th, the yield on the 10-year T-Note rose by approximately 50 basis points – one of the largest one-week increases ever.

Interest rate developments followed a similar pattern to the economic developments described above.

The initial reaction to the tariff announcement in early April was for the Treasury curve to steepen, as the front end of the curve moved lower in yield, consistent with anticipated interest rate cuts by the Fed as the economy slowed in response to the coming trade war.

Yields on longer maturity Treasuries initially moved lower as well but then quickly reversed and moved higher in anticipation of significantly higher inflation driven by the impact of the tariffs on goods prices.

There was also the fear that reserve status of the dollar and Treasuries might be imperiled, and the risk premium associated with owning Treasuries, particularly long-maturity securities, would increase.

Over the course of April, the yield of the 2-year Treasury declined from 3.885% on March 31, 2025, to 3.605% on April 30, 2025, the lowest yield for the year.

The yield of the 10-year Treasury moved from 4.207% on March 31, 2025, to 3.997% on April 4 th , but then moved considerably higher, eventually to 4.601% in late May.

The spread between the 2-year and 10-year Treasuries increased from approximately 30 bps at the end of the first quarter of 2025 to approximately 50 bps by the end of April.

It generally remained around 50 bps for the balance of the quarter.

At the end of April, market pricing for the Fed funds rate reflected over 4 cuts of 25 bps by the end of 2025.

Over the balance of the second quarter of 2025, Treasury yields remained volatile on a daily basis, responding to frequent public comments regarding tariffs and trade negotiations by the administration, but the spread between the 2-year and 10-year Treasuries remained fairly stable at around 50 bps.

The yields on the 2-year and 10-year Treasuries both traded in approximately 20 bps ranges individually but were highly correlated with one another over the same period.

On the other hand, market pricing for the Fed Funds rate changed after April as the administration’s focus shifted towards the Act and the economic data failed to live up to market expectations.

Jobs and economic growth data remained fairly stable, and the inflation data did not reflect significant pressure from the tariffs.

By the end of the second quarter, the market was only expecting a little over 2.5 twenty-five bps reductions of the Fed Funds rate.

The number of cuts continues to decline and current market pricing is for less than two cuts of 25 bps by year end.

The Agency RMBS Market

As a proxy for the performance of the Agency RMBS market during the first quarter of 2025, the spread of the 30-year, fixed rate current coupon to the 10-year T-Note traded in a narrow range throughout the first quarter of 2025 of between 120 and 130 basis points.

When the Trump administration announced substantial additional tariffs on April 2, 2025, risk assets of all types came under tremendous selling pressure as deleveraging occurred, even with Agency RMBS.

The spread of the current coupon then expanded to over 140 basis points, and to almost 180 basis points versus the 5-year T-Note.

This spread to the 5-year T-Note was generally less than 150 basis points during the first quarter of 2025 but came within 12 basis points of the peak spread it reached in the fall of 2023 – its highest level since the COVID-19 onset in March of 2020.

The Agency RMBS index generated a return for the first quarter of 3.0% and a return of 0.4% versus comparable duration swaps, as compared to 2.4% and -0.3%, respectively for these measures, for the investment grade corporate index, and 1.0% and -1.1%, respectively for these measures, for high yield debt.

The market turmoil associated with the introductions of the reciprocal tariffs was nearly as severe as the initial days of the Covid-19 outbreak.

Prices for any assets with risk associated with them were sold and levered investors were forced to sell to meet margin calls.

Agency MBS, given their typical high liquidity and minimal risk, were also sold as investors generally sold what they could in an effort to minimize realized losses.

This period lasted until the pause in implementation of the reciprocal tariffs was announced on April 9 th , but losses sustained across markets were substantial and the confidence in the status of the dollar and Treasuries was shaken.

Spreads on Agency RMBS to comparable duration Treasuries, and especially to comparable duration swaps, increased by over 30 bps in early April and came withing approximately 10 bps of the extremes seen at the end of the Fed’s 525 bps tightening cycle in late 2023.

Spreads to swaps have not recovered much of the widening since early April and are only approximately 15 bps lower currently.

As the market anticipates continued elevated levels of Treasury issuance going forward, and the government runs fiscal deficits at or near $2 trillion per year, swap rates have continued to decline relative to nominal Treasury yields.

As a result, swap spreads have become progressively more negative, and spreads of Agency RMBS to swaps have increased.

Swaps are a primary instrument used by the Company to hedge, and while this development has hurt the performance of our hedges and portfolio over the course of the second quarter, it has increased the potential returns associated with investing in new Agency RMBS.

The Agency RMBS index generated a return for the second quarter of 1.1% and a return of -0.3% versus comparable duration swaps, as compared to 1.8% and 0.5%, respectively for these measures, for the investment grade corporate index, and 3.6% and 2.0%, respectively for these measures, for high yield debt.

Total returns for U.S.

Treasury securities and most sectors of the fixed income markets generated positive total returns for the quarter, although excess returns versus comparable duration swaps were mixed.

Within Agency RMBS for the first quarter of 2025, conventional 30-year mortgages generated a total return of 2.7%, 15-year mortgages generated a total return of 2.9% and Ginnie Mae 30-year mortgages generated a total return of 2.4%.

Treasury securities and most sectors of the fixed income markets generated positive total returns for the quarter, although excess returns, aside from Treasuries, versus comparable duration swaps were mixed.

Within Agency RMBS for the second quarter of 2025, conventional 30-year mortgages generated a total return of 1.0%, 15-year mortgages generated a total return of 1.8% and Ginnie Mae 30-year mortgages generated a total return of 1.1%.

Versus comparable duration swaps the returns were -0.3%, 0.3% and -0.3% for 30-year conventional, 15-year conventional and Ginnie Mae 30-year mortgages, respectively.

The Company invests predominantly in 30-year conventional mortgages.

Returns with the 30-year stack of coupons were fairly even, but correlated with the duration of the respective securities, as lower coupon, longer duration bonds generated the highest total returns and the highest coupon – 7.0% - generated slightly lower total returns.

Returns with the 30-year stack of coupons were correlated with the duration of the respective securities, as lower coupon, longer duration bonds generated the lowest total returns and the highest coupon – 7.0% - generated the highest total returns.

The range for the lower portion of the coupon stack was 0.0% to 1.4% (for coupons up to 4.5%) and 1.4% to 1.9% for higher coupons.

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Treasury securities beginning April 1, 2025.

Relatively high interest rates and slow prepayment speeds have kept the balance sheet reduction for Agency RMBS below $20 billion per month throughout 2024 and the first quarter of 2025.

As of March 31, 2025, the Fed had reduced its balance sheet for Agency RMBS by approximately $551 billion from the peak to $2.2 trillion, shedding approximately 40% of the Agency RMBS added during pandemic quantitative easing and representing the lowest level since May 2021.

Relatively high interest rates and slow prepayment speeds have kept the balance sheet reduction for Agency RMBS below $20 billion per month throughout 2024 and the second quarter of 2025.

As of June 30, 2025, the Fed had reduced its balance sheet for Agency RMBS by approximately $602 billion from the peak to $2.2 trillion, shedding approximately 44% of the Agency RMBS added during pandemic quantitative easing and representing the lowest level since March 2021.

On September 14, 2021, the U.S.

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On July 27, 2023, the federal banking regulators, including the Office of the Comptroller of the Currency, (the "OCC") the FDIC and the Fed, jointly issued a proposed rule that would revise large bank capital requirements (the "Basel III Endgame").

The Basel III Endgame, if implemented as proposed, would significantly increase the credit weight risk for balance-sheet mortgages and for Agency RMBS sold to the GSEs, which could disincentivize banks from originating mortgages for sale to the GSEs and impact pricing in the Agency RMBS markets.

The Basel III Endgame, if implemented as originally proposed, would significantly increase the credit weight risk for balance-sheet mortgages and for Agency RMBS sold to the GSEs, which could disincentivize banks from originating mortgages for sale to the GSEs and impact pricing in the Agency RMBS markets.

The comment period for the Basel III Endgame closed on January 16, 2024, and the proposed rule was met with strong objections from the banking industry.

In testimony before the United States Senate Committee on Banking, Housing and Urban Affairs in July 2024, Fed chairman Jerome Powell stated that the OCC, the FDIC and the Fed were in discussions to materially revise the proposed rule, and that there was consensus at the Fed to undergo another comment period.

In remarks given on September 10, 2024, Michael Barr, the Fed's Vice Chair for Supervision, confirmed that the Basel III Endgame was being rewritten to, among other things, reduce the risk weights for residential real estate and retail exposures, extend the scope of the reduced risk weight for certain low-risk corporate debt, and eliminate the minimum haircut for securities financing transactions.

While implementation of the Basel III Endgame has since stalled, Fed chairman Jerome Powell testified before the U.S.

Senate Committee on Banking, Housing and Urban Affairs in June 2025 that the Fed was making a “fresh start” in reworking the Basel III Endgame.

On June 27, 2025, the Fed, OCC and FDIC jointly issued a proposed rule to revise the enhanced supplementary leverage ratio for globally systemically important bank holding companies (“GSIBs”), with comments open to the public until August 26, 2025.

The proposed rule seeks to promote effective GSIB capital management and remove disincentives for banks to engage in low-risk activities, particularly in the U.S.

Treasury market.

This shift is expected to free up significant capital, allowing GSIBs greater discretion in asset allocation and potentially fostering increased lending and economic activity.

The scope and nature of the actions the U.S.

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In order to protect our net interest margin against increases in short-term interest rates, we may enter into interest rate swaps, which economically convert our floating-rate repurchase agreement debt to fixed-rate debt or utilize other hedging instruments such as Fed Funds, SOFR and T-Note futures contracts, dual digital options or interest rate swaptions.

The outlook for the U.S.

economy, interest rates and monetary policy – all critical factors impacting the markets the Company invests its capital in – began to change late in the first quarter and so far in the second quarter of 2025.

However, the performance of the Company for the first quarter of 2025 was impacted by market conditions prior to this change.

Conversely, the outlook for the Company going forward will be impacted by events that occurred recently.

While economic data and events generally are never uniformly stable or consistent, the first quarter of 2025 was relatively uneventful.

Interest rates were generally range bound, and volatility was low for most of the quarter.

These are ideal conditions for a levered investment strategy in Agency RMBS.

Accordingly, the Company and the Agency RMBS market generated attractive returns for the period.

The Company’s stock also traded well during the quarter – at least until the last week of the quarter.

The Company was able to take advantage of the calm conditions and price performance of its common stock and raise additional capital, generally at a slight premium to book value, and deploy the proceeds in an attractive investment environment.

The tariff announcements late in the first quarter and in early April of 2025 brought these favorable market conditions to an abrupt end.

In fact, conditions were reminiscent of March 2020 when the COVID-19 pandemic led to an abrupt de-leveraging that materially depressed prices of all asset classes.

The Company sold a significant amount of assets in early April as needed to maintain leverage at acceptable levels and was able to do so without suffering material permanent losses to date.

It is not clear if these conditions have subsided fully or if they will return.

Accordingly, the Company intends to maintain prudent leverage and ample liquidity while the threat of turbulent market conditions persists.

The second quarter of 2025 was a very turbulent period for financial markets, with two large catalysts driving the volatility.

The initial shock, and clearly the larger of the two, was reciprocal tariffs announced by the Trump administration against essentially every trading partner of the United States.

This announcement was expected, but the magnitude of the tariffs greatly exceeded market expectations.

After the announcement, market conditions resembled those following the outbreak of Covid-19, if only slightly less severe.

A week later, the administration announced a pause in implementation of the tariffs for 90 days and markets slowly recovered some semblance of stability.

The markets expected a slowdown in economic activity and accelerated inflation as trade wars unfolded.

The Fed was expected to be forced to lower rates by 100 bps or more by year end and the Treasury curve steepened.

While market conditions remained volatile for the balance of the quarter, the market slowly grew less affected by subsequent developments on the tariff front and most risk assets recovered fully, to a large extent driven by the second catalyst.

The second catalyst emerged as the administration’s focus shifted to their highest legislative objective, the Act.

The beneficial impact of the Act on the economy drove expectations as the market became somewhat immunized to tariff developments, especially as the feared surge in inflation failed to materialize, at least to date.

In conjunction with this shift in market perception, the incoming economic data proved resilient and expectations for Fed rate cuts continued to subside and get pushed further into the future.

Notably for the Company, while risk assets generally recovered from the severe turmoil early in the second quarter, the Agency RMBS sector did not fully recover, as least versus comparable duration hedges, resulting in negative excess returns for the quarter.

As the third quarter unfolds, the trend of strong risk asset performance and resilient economic data continues.

The inflation data has begun to show some impact from the tariffs, but the economy appears sufficiently resilient to absorb them, certainly benefiting from continued fiscal stimulus (large fiscal deficits), the unfolding benefits of artificial intelligence, progress on trade negotiations, and a very pro-business administration as evidenced by the Act.

The Agency RMBS market continues to languish, although returns available in the market remain elevated.

The Company has significantly increased its capital base year-to-date to take advantage of these favorable investment opportunities, while maintaining leverage levels below historical levels.

Critical Accounting Estimates

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2025 - YTD (1)

On April 9, 2025, the Company declared a dividend of $0.12 per share to be paid on May 29, 2025.

The effect of this dividend is included in the table above but is not reflected in the Company’s financial statements as of March 31, 2025.

On July 9, 2025, the Company declared a dividend of $0.12 per share to be paid on August 28, 2025.

The effect of this dividend is included in the table above but is not reflected in the Company’s financial statements as of June 30, 2025.

Compared sentence by sentence after normalising whitespace, quotation marks, case and digits, so re-formatting and restated figures do not read as changed language. Wording changes appear as one removal and one addition. The current filing and the prior one are authoritative.

What changed 10-Q

Item 1. Financial Statements