What changed in this filing

/stocks — the workspaceLOADING

Item 1. Financial Statements

2025-10-24 compared with 2025-07-25 · 346 added, 414 removed, 1190 unchanged (39% of the section changed)

3 unchanged sentences

($ in thousands, except per share data)

September 30,

Mortgage-backed securities, at fair value (includes pledged assets of $ 8,319,938 and $ 5,209,068 , respectively)

10 unchanged sentences

Derivative assets

Receivable for unsettled TBA transactions

$ 9,139,034 $ 5,721,627

2 unchanged sentences

$ 8,006,978 $ 5,025,543

Payable for unsettled TBA transactions

Dividends payable

10 unchanged sentences

20,000,000 shares authorized;

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

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

Common Stock, $ 0.01 par value;

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

200,000,000 shares authorized, 148,239,401 shares issued and outstanding as of September 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 (LOSS)

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

CONDENSED STATEMENTS OF COMPREHENSIVE INCOME

For the Nine and Three Months Ended September 30, 2025 and 2024

($ in thousands, except per share data)

Six Months Ended June 30,

Three Months Ended June 30,

Nine Months Ended September 30,

Three Months Ended September 30,

Interest income

$ 173,379 $ 101,935 $ 92,289 $ 53,064

Interest expense

( 130,512 ) ( 105,122 ) ( 69,135 ) ( 53,761 )

Net interest income (expense)

42,867 ( 3,187 ) 23,154 ( 697 )

Realized losses on mortgage-backed securities

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

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

Treasury securities

87,132 ( 87,865 ) 9,540 ( 25,970 )

(Losses) gains on derivative and other hedging instruments

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

Net portfolio (loss) income

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

Realized (losses) gains on mortgage-backed securities

Unrealized gains on mortgage-backed securities

Losses on derivative and other hedging instruments

Net portfolio income

Management fees

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

Allocated overhead

1,190 1,330 582 732

Incentive compensation

21 201 228 290

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 (loss) income

186 ( 10 ) ( 64 ) 37

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 )

Unrealized gains on U.S.

Treasury securities measured at fair value through other comprehensive net income

Comprehensive net income

Basic and diluted net income per share

Weighted Average Shares Outstanding

104,742,591 54,798,596 114,453,216 57,763,857

See Notes to Financial Statements

1 unchanged sentence

CONDENSED STATEMENTS OF STOCKHOLDERS' EQUITY

For the Six Months Ended June 30, 2025 and 2024

For the Nine Months Ended September 30, 2025 and 2024

(in thousands)

1 unchanged sentence

Balances, January 1, 2025

82,622 $ 826 $ 1,010,306 $ ( 342,771 ) $ 139 $ 668,500

- - - 17,122 - 17,122

Unrealized gain on available-for-sale securities

- - - - 250 250

Cash dividends declared ($0.36 per share)

- - ( 35,729 ) - - ( 35,729 )

Stock based awards and amortization

23 - 313 - - 313

Issuance of common stock pursuant to public offerings, net

25,142 252 205,172 - - 205,424

Balances, March 31, 2025

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

Unrealized gain on available-for-sale securities

Cash dividends declared ($0.36 per share)

Stock based awards and amortization

Issuance of common stock pursuant to public offerings, net

Balances, September 30, 2025

See Notes to Financial Statements

ORCHID ISLAND CAPITAL, INC.

CONDENSED STATEMENTS OF STOCKHOLDERS' EQUITY

For the Nine Months Ended September 30, 2025 and 2024

(in thousands)

Comprehensive

Balances, January 1, 2024

51,636 $ 516 $ 849,845 $ ( 380,433 ) $ 17 $ 469,945

- - - 19,776 - 19,776

Unrealized loss on available-for-sale securities

- - - - ( 47 ) ( 47 )

Cash dividends declared ($0.36 per share)

- - ( 18,724 ) - - ( 18,724 )

Stock based awards and amortization

33 - 350 - - 350

Issuance of common stock pursuant to public offerings, net

1,490 15 13,094 - - 13,109

Shares repurchased and retired

( 333 ) ( 3 ) ( 2,775 ) - - ( 2,778 )

Balances, March 31, 2024

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

Unrealized gain on available-for-sale securities

Cash dividends declared ($0.36 per share)

Stock based awards and amortization

Issuance of common stock pursuant to public offerings, net

Shares repurchased and retired

Balances, September 30, 2024

See Notes to Financial Statements

1 unchanged sentence

CONDENSED STATEMENTS OF CASH FLOWS

For the Six Months Ended June 30, 2025 and 2024

For the Nine Months Ended September 30, 2025 and 2024

($ in thousands)

CASH FLOWS FROM OPERATING ACTIVITIES:

Net (loss) income

$ ( 16,456 ) $ 14,797

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

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

Stock based compensation

1 unchanged sentence

Treasury securities

( 316 ) ( 2,405 )

Realized losses on mortgage-backed securities

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

Treasury securities

( 87,132 ) 87,865

Realized and unrealized losses (gains) on derivative instruments

144,349 ( 41,972 )

Realized losses (gains) on mortgage-backed securities

Unrealized gains on mortgage-backed securities

Realized and unrealized losses on derivative instruments

Changes in operating assets and liabilities:

Accrued interest receivable

( 8,938 ) ( 4,037 )

( 196 ) ( 278 )

Accrued interest payable

2 unchanged sentences

NET CASH PROVIDED BY OPERATING ACTIVITIES

44,222 64,300

CASH FLOWS FROM INVESTING ACTIVITIES:

From mortgage-backed securities investments:

( 2,728,263 ) ( 1,113,948 )

Sales and maturities

733,904 221,733

Principal repayments

332,154 172,607

Purchases of U.S.

Treasury securities, available-for-sale

( 74,098 ) ( 196,025 )

Proceeds from maturity of U.S.

Treasury securities, available-for-sale

50,000 200,000

Net payments on derivative instruments

( 131,446 ) ( 4,090 )

NET CASH USED IN INVESTING ACTIVITIES

( 1,817,749 ) ( 719,723 )

CASH FLOWS FROM FINANCING ACTIVITIES:

Proceeds from repurchase agreements

28,368,377 18,417,873

Principal payments on repurchase agreements

( 26,738,041 ) ( 17,777,818 )

Cash dividends

( 73,026 ) ( 38,793 )

Proceeds from issuance of common stock, net of issuance costs

344,840 113,807

Common stock repurchases, including shares withheld from employee stock awards for payment of taxes

( 7,348 ) ( 2,924 )

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

335,053 200,289

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

$ 456,328 $ 257,011

SUPPLEMENTAL DISCLOSURE OF CASH FLOW INFORMATION:

Cash paid during the period for:

$ 127,414 $ 95,464

See Notes to Financial Statements

1 unchanged sentence

NOTES TO CONDENSED FINANCIAL STATEMENTS

June 30, 2025

September 30, 2025

ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES

5 unchanged sentences

From incorporation through November 24, 2010, Orchid’s only activity was the issuance of common stock to Bimini.

On March 7, 2023, Orchid entered into an equity distribution agreement (the “March 2023 Equity Distribution Agreement”) with three sales agents pursuant to which the Company could offer and sell, from time to time, up to an aggregate amount of $ 250,000,000 of shares of the Company’s common stock in transactions that were deemed to be “at the market” offerings and privately negotiated transactions.

On March 7, 2023, Orchid entered into an equity distribution agreement (the “March 2023 Equity Distribution Agreement”) with three sales agents pursuant to which the Company could offer and sell, from time to time, up to an aggregate amount of $ 250,000,000 of gross proceeds from the sales of shares of the Company’s common stock in transactions that were deemed to be “at the market” offerings and privately negotiated transactions.

The Company issued a total of 24,675,497 shares under the March 2023 Equity Distribution Agreement for aggregate gross proceeds of approximately $ 228.8 million and net proceeds of approximately $ 225.0 million, after commissions and fees, prior to its termination in June 2024.

On June 11, 2024, Orchid entered into an equity distribution agreement (the “June 2024 Equity Distribution Agreement”) with three sales agents pursuant to which the Company could offer and sell, from time to time, up to an aggregate amount of $ 250,000,000 of shares of the Company’s common stock in transactions that were deemed to be “at the market” offerings and privately negotiated transactions.

On June 11, 2024, Orchid entered into an equity distribution agreement (the “June 2024 Equity Distribution Agreement”) with three sales agents pursuant to which the Company could offer and sell, from time to time, up to an aggregate amount of $ 250,000,000 of gross proceeds from the sales of shares of the Company’s common stock in transactions that were deemed to be “at the market” offerings and privately negotiated transactions.

The Company issued a total of 30,513,253 shares under the June 2024 Equity Distribution Agreement for aggregate gross proceeds of approximately $ 250.0 million and net proceeds of approximately $ 245.8 million, after commissions and fees, prior to its termination in February 2025.

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 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 .

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 gross proceeds from the sales of shares of the Company’s common stock in transactions that are deemed to be “at the market” offerings and privately negotiated transactions.

On July 28, 2025, the February 2025 Equity Distribution Agreement was amended to increase the aggregate amount of gross proceeds from shares the sales of shares that may be offered by $ 150,000,000 to a total of $ 500,000,000 .

Through September 30, 2025 , t he Company issued a total of 56,019,745 shares under the February 2025 Equity Distribution Agreement for aggregate gross proceeds of approximately $ 420.2 million, and net proceeds of approximately $ 413.5 million, after commissions and fees.

Subsequent to September 30, 2025 , t he Company issued a total of 3,472,759 shares under the February 2025 Equity Distribution Agreement for aggregate gross proceeds of approximately $ 25.0 million, and net proceeds of approximately $ 24.6 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 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 .

Operating results for the interim periods presented 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 June 30, 2025 .

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

Variable Interest Entities ( “ VIEs ” )

9 unchanged sentences

(in thousands)

June 30, 2025

September 30, 2025

December 31, 2024

101 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 June 30, 2025 and December 31, 2024 :

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

(in thousands)

June 30, 2025

September 30, 2025

December 31, 2024

1 unchanged sentence

Fixed-rate Mortgages

$ 6,979,807 $ 7,122,184 $ 6,978,561 $ 5,431,274 $ 5,540,596 $ 5,237,812

Total Pass-Through Certificates

6,979,807 7,122,184 6,978,561 5,431,274 5,540,596 5,237,812

Structured RMBS Certificates:

Interest-Only Securities (2)

n/a 16,402 14,550 n/a 17,334 15,308

Inverse Interest-Only Securities (3)

n/a 1,354 248 n/a 1,498 190

Total Structured RMBS Certificates

17,756 14,798 18,832 15,498

$ 6,979,807 $ 7,139,940 $ 6,993,359 $ 5,431,274 $ 5,559,428 $ 5,253,310

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 $ 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 .

The notional balance for the interest-only securities portfolio was $ 78.4 million and $ 85.8 million as of September 30, 2025 and December 31, 2024 , respectively.

The notional balance for the inverse interest-only securities portfolio was $ 18.4 million and $ 22.0 million as of September 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 nine months ended September 30, 2025 and 2024 .

(in thousands)

Six Months Ended June 30,

Nine Months Ended September 30,

Proceeds from sales of RMBS (1)

$ 733,904 $ 221,733

Carrying value of RMBS sold

( 743,192 ) ( 221,733 )

Net (loss) gain on sales of RMBS

$ ( 9,288 ) $ -

Gross gain on sales of RMBS

1 unchanged sentence

Net (loss) gain on sales of RMBS

$ ( 9,288 ) $ -

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.

During the nine months ended September 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 June 30, 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 September 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 June 30, 2025 and December 31, 2024 are as follows:

(in thousands)

June 30, 2025

September 30, 2025

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

$ 100,275 $ 321 $ - $ 100,596

Treasury Bill maturing 12/4/2025

24,551 4 - 24,555

$ 124,826 $ 325 $ - $ 125,151

December 31, 2024

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

$ 100,412 $ 139 $ - $ 100,551

Because all of the Company's available-for-sale securities are backed by the full faith and credit of the U.S.

4 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 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:

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

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

($ in thousands)

June 30, 2025

September 30, 2025

Fair value of securities pledged, including accrued interest receivable

$ - $ 4,885,495 $ 1,864,628 $ 225,261 $ 6,975,384

Repurchase agreement liabilities associated with these securities

$ - $ 4,657,644 $ 1,781,505 $ 216,730 $ 6,655,879

Net weighted average borrowing rate

- 4.48 % 4.48 % 4.53 % 4.48 %

December 31, 2024

Fair value of securities pledged, including accrued interest receivable

$ - $ 4,850,491 $ 199,993 $ 181,437 $ 5,231,921

Repurchase agreement liabilities associated with these securities

$ - $ 4,656,303 $ 192,338 $ 176,902 $ 5,025,543

Net weighted average borrowing rate

- 4.66 % 4.56 % 4.76 % 4.66 %

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.

In addition, cash pledged to counterparties for repurchase agreements was approximately $ 26.4 million and $ 22.8 million as of September 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 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 .

At September 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 $ 354.6 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 September 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 June 30, 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 September 30, 2025 and December 31, 2024 .

(in thousands)

1 unchanged sentence

Balance Sheet Location

June 30, 2025

September 30, 2025

December 31, 2024

4 unchanged sentences

Total derivative assets, at fair value

$ 548 $ 9,277

Interest rate swaps

18 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 June 30, 2025 and December 31, 2024 .

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

($ in thousands)

June 30, 2025

September 30, 2025

Expiration Year

Treasury Note Futures Contracts (Short Positions) (2)

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

December 2025 5-year T-Note futures (Dec 2025 - Dec 2030 Hedge Period)

$ 562,500 3.67 % 3.67 % $ 54

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

December 2025 10-year T-Note futures (Dec 2025 - Dec 2035 Hedge Period)

228,500 3.97 % 3.91 % ( 997 )

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

December 2025 10-year Ultra futures (Dec 2025 - Dec 2035 Hedge Period)

197,500 4.23 % 4.13 % ( 1,855 )

SOFR Futures Contracts (Short Positions)

September 2025 3-Month SOFR futures (Jun 2025 - Sep 2025 Hedge Period)

$ 28,750 4.05 % 4.33 % $ 82

December 2025 3-Month SOFR futures (Sep 2025 - Dec 2025 Hedge Period)

13 unchanged sentences

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

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

December 2025 5-Year Term, 3.75% fixed rate, (Dec 2025 - Dec 2030 Hedge Period)

$ 10,000 3.20 % 3.36 % $ 78

10 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 $ 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.

5 -Year T-Note futures contracts were valued at a price of $ 109.20 at September 30, 2025 and $ 106.30 at December 31, 2024 .

The contract values of the short positions were $ 614.2 million and $ 332.2 million at September 30, 2025 and December 31, 2024 , respectively.

10 -Year T-Note futures contracts were valued at a price of $ 112.50 at September 30, 2025 and $ 108.75 at December 31, 2024 .

The contract values of the short positions were $ 257.1 million and $ 101.7 million at September 30, 2025 and December 31, 2024 , respectively.

10 -Year Ultra futures contracts were valued at a price of $ 115.08 at September 30, 2025 and $ 111.31 at December 31, 2024 .

The contract values of the short positions were $ 227.3 million and $ 36.2 million at September 30, 2025 and December 31, 2024 , respectively.

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

2 unchanged sentences

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 June 30, 2025 and December 31, 2024 .

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

($ in thousands)

June 30, 2025

September 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 December 31, 2024 .

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

The following table summarizes the Company’s contracts to purchase and sell TBA securities as of September 30, 2025 and December 31, 2024 .

($ in thousands)

September 30, 2025

15-Year TBA securities:

5.0% $ 250,000 $ 252,422 $ 252,715 $ 293

30-Year TBA securities:

5.5% ( 282,000 ) ( 284,018 ) ( 284,445 ) ( 427 )

$ ( 32,000 ) $ ( 31,596 ) $ ( 31,730 ) $ ( 134 )

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 six and three months ended June 30, 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 nine and three months ended September 30, 2025 and 2024 .

(in thousands)

Six Months Ended June 30,

Three Months Ended June 30,

Nine Months Ended September 30,

Three Months Ended September 30,

Interest rate futures contracts (short position)

3 unchanged sentences

Payer swaptions (long positions)

- ( 72 ) - ( 14 )

Dual digital option

16 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 June 30, 2025 and December 31, 2024 .

(in thousands)

June 30, 2025

September 30, 2025

December 31, 2024

1 unchanged sentence

PT RMBS - fair value

$ 6,928,832 $ - $ 6,928,832 $ 5,193,570 $ - $ 5,193,570

Structured RMBS - fair value

14,798 - 14,798 15,498 - 15,498

Treasury securities

- 123,187 123,187 - 100,551 100,551

Accrued interest on pledged securities

31,754 13 31,767 22,852 - 22,852

Restricted cash

7,916 7,656 15,572 22,818 2,905 25,723

$ 6,983,300 $ 130,856 $ 7,114,156 $ 5,254,738 $ 103,456 $ 5,358,194

Assets Pledged from Counterparties

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 .

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

(in thousands)

June 30, 2025

September 30, 2025

December 31, 2024

Assets Pledged to Orchid

$ 35,492 $ 3,100 $ 38,592 $ 4,465 $ 4,282 $ 8,747

Treasury securities - fair value

6,748 - 6,748 4,146 - 4,146

$ 42,240 $ 3,100 $ 45,340 $ 8,611 $ 4,282 $ 12,893

Cash received as margin is recognized as cash and cash equivalents with a corresponding amount recognized as an increase in repurchase agreements or other liabilities in the balance sheets.

4 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 June 30, 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 September 30, 2025 and December 31, 2024 .

(in thousands)

4 unchanged sentences

Offset in the

September 30, 2025

TBA securities

$ 548 $ - $ 548 $ - $ ( 330 ) $ 218

December 31, 2024

1 unchanged sentence

$ 4,574 $ - $ 4,574 $ - $ - $ 4,574

Interest rate swaptions

TBA securities

4,703 - 4,703 - ( 4,282 ) 421

3 unchanged sentences

Gross Amount Not

Gross Gross of Liabilities Offset in the Balance Sheet

of Offset in the in the Instruments

of Liabilities

Offset in the Balance Sheet

Offset in the

as Collateral

June 30, 2025

September 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

TBA securities

December 31, 2024

Repurchase Agreements

$ 5,025,543 $ - $ 5,025,543 $ ( 5,002,725 ) $ ( 22,818 ) $ -

TBA securities

332 - 332 - ( 280 ) 52

$ 5,025,875 $ - $ 5,025,875 $ ( 5,002,725 ) $ ( 23,098 ) $ 52

The amounts disclosed for collateral received by or posted to the same counterparty up to and not exceeding the net amount of the asset or liability presented in the balance sheets.

3 unchanged sentences

Common Stock Issuances

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.

During the nine months ended September 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)

7 unchanged sentences

7.01 19,884,204 139,416

At the Market Offering Program (3)

Third Quarter

7.03 21,664,659 152,345

66,690,909 $ 497,185

At the Market Offering Program (3)

14 unchanged sentences

The Company has entered into 13 equity distribution agreements, 12 of which have either been terminated because all shares were sold or were replaced with a subsequent agreement.

Increase in Authorized Shares

On October 24, 2025, the Company amended its charter, increasing the number of shares authorized to 420,000,000 , consisting of 400,000,000 shares of Common Stock, $ 0.01 par value per share, and 20,000,000 shares of Preferred Stock, $ 0.01 value per share.

The aggregate par value of all authorized shares of stock having par value is $ 4,200,000 .

Stock Repurchase Program

9 unchanged sentences

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.

From the inception of the stock repurchase program through September 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 nine months ended September 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.

There were no shares repurchased during the three months September 30, 2025.

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.

The remaining authorization under the stock repurchase program as of October 23, 2025 was 2,719,137 shares.

Cash Dividends

6 unchanged sentences

1.200 147,192

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 .

$ 69.090 $ 852,098

On October 15, 2025 , the Company declared a dividend of $ 0.12 per share to be paid on November 26, 2025 .

The effect of this dividend is included in the table above but is not reflected in the Company’s financial statements as of September 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 six months ended June 30, 2025 and 2024 .

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

($ in thousands, except per share data)

Six Months Ended June 30,

Nine Months Ended September 30,

Unvested, beginning of period

11 unchanged sentences

Weighted-average remaining vesting term (in years)

( 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.

( 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 (as defined below).

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.

2 unchanged sentences

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 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.

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

All of the fully vested shares of common stock issued during the nine months ended September 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)

Six Months Ended June 30,

Nine Months Ended September 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 six month periods ended June 30, 2025 and 2024 .

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

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

($ in thousands, except per share data)

Six Months Ended June 30,

Nine Months Ended September 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 as of June 30, 2025 .

Management is not aware of any reported or unreported contingencies as of September 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 six and three months ended June 30, 2025 and 2024 .

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

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

(in thousands, except per share information)

Six Months Ended June 30,

Three Months Ended June 30,

Nine Months Ended September 30,

Three Months Ended September 30,

Basic and diluted EPS per common share:

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

Net (loss) income - Basic and diluted

Net income - Basic and diluted

$ 55,622 $ 32,117 $ 72,078 $ 17,320

3 unchanged sentences

Unvested dividend eligible share based compensation outstanding at the balance sheet date

273 227 273 227

Effect of weighting

2 unchanged sentences

115,574 60,701 136,369 72,377

Net (loss) income per common share:

Net income per common share:

Basic and diluted

$ 0.48 $ 0.53 $ 0.53 $ 0.24

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 six and three months ended June 30, 2025 and 2024 .

Treasury securities, derivatives and TBA securities were recorded at fair value on a recurring basis during the nine and three months ended September 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 June 30, 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 June 30, 2025 and December 31, 2024 .

The following table presents financial assets (liabilities) measured at fair value on a recurring basis as of September 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

June 30, 2025

September 30, 2025

Mortgage-backed securities

3 unchanged sentences

- ( 2,267 ) -

TBA securities

December 31, 2024

4 unchanged sentences

TBA securities

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.

During the nine and three months ended September 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 $ 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.

Total expenses recorded for the management fee, allocated overhead and repurchase agreement trading, clearing and administrative services were approximately $ 11.9 million and $ 4.5 million for the nine and three months ended September 30, 2025 , respectively, compared to approximately $ 9.4 million and $ 3.3 million for the nine and three months ended September 30, 2024 , respectively.

At September 30, 2025 and December 31, 2024 , the net amount due to affiliates was approximately $ 1.5 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 June 30, 2025 , Bimini owned 569,071 shares, or 0.4 %, of the Company’s common stock.

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

SEGMENT INFORMATION

40 unchanged sentences

Capital Raising Activities

On March 7, 2023, we entered into an equity distribution agreement (the “March 2023 Equity Distribution Agreement”) with three sales agents pursuant to which we could offer and sell, from time to time, up to an aggregate amount of $250,000,000 of shares of our common stock in transactions that were deemed to be “at the market” offerings and privately negotiated transactions.

On March 7, 2023, we entered into an equity distribution agreement (the “March 2023 Equity Distribution Agreement”) with three sales agents pursuant to which we could offer and sell, from time to time, up to an aggregate amount of $250,000,000 of gross proceeds from the sales of shares of our common stock in transactions that were deemed to be “at the market” offerings and privately negotiated transactions.

We issued a total of 24,675,497 shares under the March 2023 Equity Distribution Agreement for aggregate gross proceeds of approximately $228.8 million and net proceeds of approximately $225.0 million, after commissions and fees, prior to its termination in June 2024.

On June 11, 2024, we entered into an equity distribution agreement (the “June 2024 Equity Distribution Agreement”) with three sales agents pursuant to which we could offer and sell, from time to time, up to an aggregate amount of $250,000,000 of shares of our common stock in transactions that were deemed to be “at the market” offerings and privately negotiated transactions.

On June 11, 2024, we entered into an equity distribution agreement (the “June 2024 Equity Distribution Agreement”) with three sales agents pursuant to which we could offer and sell, from time to time, up to an aggregate amount of $250,000,000 of gross proceeds from the sales of shares of our common stock in transactions that were deemed to be “at the market” offerings and privately negotiated transactions.

We issued a total of 30,513,253 shares under the June 2024 Equity Distribution Agreement for aggregate gross proceeds of approximately $250.0 million and net proceeds of approximately $245.8 million, after commissions and fees, prior to its termination in February 2025.

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 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 .

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 gross proceeds from the sales of shares of our common stock in transactions that are deemed to be “at the market” offerings and privately negotiated transactions.

On July 28, 2025, the February 2025 Equity Distribution Agreement was amended to increase the aggregate amount of gross proceeds from the sales of shares that may be offered by $150,000,000 to a total of $500,000,000.

Through September 30, 2025, we issued a total of 56,019,745 shares under the February 2025 Equity Distribution Agreement for aggregate gross proceeds of approximately $420.2 million, and net proceeds of approximately $413.5 million, after commissions and fees.

Subsequent to September 30, 2025, we issued a total of 3,472,759 shares under the February 2025 Equity Distribution Agreement for aggregate gross proceeds of approximately $25.0 million, and net proceeds of approximately $24.6 million, after commissions and fees .

Stock Repurchase Agreement

7 unchanged sentences

This stock repurchase program has no termination date.

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 nine months ended September 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.

The remaining authorization under the stock repurchase program as of October 23, 2025 was 2,719,137 shares.

Factors that Affect our Results of Operations and Financial Condition

2 unchanged sentences

interest rate trends;

changes in our cost of funds, including decreases in the Fed Funds rate that are controlled by the Federal Reserve (the "Fed") that occurred in 2024, or potential additional changes in the Fed Funds rate;

changes in our cost of funds, including decreases in the Fed Funds rate that are controlled by the Federal Reserve (the "Fed") that occurred in 2024 and 2025, or potential additional changes in the Fed Funds rate;

the difference between Agency RMBS yields and our funding and hedging costs;

13 unchanged sentences

Results of Operations

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:

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

Net Income Summary

Net income for the nine months ended September 30, 2025 was $55.6 million, or $0.48 per share.

Net income for the nine months ended September 30, 2024 was $32.1 million, or $0.53 per share.

Net income for the three months ended September 30, 2025 was $72.1 million, or $0.53 per share.

Net income for the three months ended September 30, 2024 was $17.3 million, or $0.24 per share.

The components of net income for the nine and three months ended September 30, 2025 and 2024 , along with the changes in those components are presented in the table below:

(in thousands)

Six Months Ended June 30,

Three Months Ended June 30,

Nine Months Ended September 30,

Three Months Ended September 30,

Interest income

1 unchanged sentence

Net interest income (expense)

(Losses) gains on RMBS and derivative contracts

Net portfolio (loss) income

Net (loss) income

Gains on RMBS and derivative contracts

Net portfolio 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 the six months ended June 30, 2025 and 2024, and for each quarter in 2025 to date and 2024.

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

Net Earnings Excluding Realized and Unrealized Gains and Losses

3 unchanged sentences

Three Months Ended

September 30, 2025

June 30, 2025

4 unchanged sentences

March 31, 2024

Six Months Ended

June 30, 2025

June 30, 2024

Nine Months Ended

September 30, 2025

September 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 the six months ended June 30, 2025 and 2024, and for each quarter in 2025 to date and 2024.

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 the nine months ended September 30, 2025 and 2024, and for each quarter in 2025 to date and 2024.

Gains (Losses) on Derivative Instruments

5 unchanged sentences

Three Months Ended

September 30, 2025

June 30, 2025

4 unchanged sentences

March 31, 2024

Six Months Ended

June 30, 2025

June 30, 2024

Nine Months Ended

September 30, 2025

September 30, 2024

Economic Interest Expense and Economic Net Interest Income

3 unchanged sentences

Three Months Ended

September 30, 2025

June 30, 2025

4 unchanged sentences

March 31, 2024

Six Months Ended

June 30, 2025

June 30, 2024

Nine Months Ended

September 30, 2025

September 30, 2024

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

2 unchanged sentences

Net Interest Income (Expense)

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.

During the nine months ended September 30, 2025 , we earned net interest income of $69.8 million , consisting of $281.8 million of interest income from RMBS assets, offset by $212.0 million of interest expense on borrowings.

For the comparable period ended September 30, 2024 , we incurred $2.8 million of net interest expense, consisting of $169.6 million of interest income from RMBS assets offset by $172.4 million of interest expense on borrowings.

The $112.2 million increase in interest income was due to a 30 basis point ("bps") increase in the yield on average RMBS, combined with a $2.5 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.

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 $39.6 million increase in interest expense was due to a $2.4 billion increase in average outstanding borrowings, offset by a 118 bps decrease in the average cost of funds.

During the three months ended September 30, 2025 , we earned net interest income of $26.9 million consisting of $108.4 million of interest income from RMBS assets offset by $81.5 million of interest expense on borrowings.

For the comparable period ended September 30, 2024 , we incurred $0.3 million of net interest income, consisting of $67.6 million of interest income from RMBS assets offset by $67.3 million of interest expense on borrowings.

The $40.8 million increase in interest income was due to a 22 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.

The $14.2 million increase in interest expense was due to a $2.5 billion increase in average outstanding borrowings, offset by a 117 bps decrease in the average cost of funds.

On an economic basis, our interest expense on borrowings for the nine months ended September 30, 2025 and 2024 was $148.3 million and $83.5 million , respectively, resulting in $133.5 million and $86.1 million of economic net interest income, respectively.

On an economic basis, our interest expense on borrowings for the three months ended September 30, 2025 and 2024 was $59.6 million and $35.4 million , respectively, resulting in $48.8 million and $32.3 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 nine months ended September 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

September 30, 2025

June 30, 2025

4 unchanged sentences

March 31, 2024

Six Months Ended

June 30, 2025

June 30, 2024

Nine Months Ended

September 30, 2025

September 30, 2024

($ in thousands)

2 unchanged sentences

Three Months Ended

September 30, 2025

June 30, 2025

4 unchanged sentences

March 31, 2024

Six Months Ended

June 30, 2025

June 30, 2024

Nine Months Ended

September 30, 2025

September 30, 2024

Portfolio yields and costs of borrowings presented in the tables above and the tables on pages 31-32 a re calculated based on the average balances of the underlying investment portfolio/borrowings balances and are annualized for the periods presented.

4 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 the six months ended June 30, 2025 and 2024, and for each quarter in 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 nine months ended September 30, 2025 and 2024, and for each quarter in 2025 to date and 2024.

($ in thousands)

3 unchanged sentences

Three Months Ended

September 30, 2025

June 30, 2025

4 unchanged sentences

March 31, 2024

Six Months Ended

June 30, 2025

June 30, 2024

Nine Months Ended

September 30, 2025

September 30, 2024

Interest Expense and the Cost of Funds

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.

We had average outstanding borrowings of $6.5 billion and $4.2 billion and total interest expense of $212.0 million and $172.4 million for the nine months ended September 30, 2025 and 2024, respectively.

Our average cost of funds was 4.33% for the nine months ended September 30, 2025, compared to 5.51% for the comparable period in 2024.

We had average outstanding borrowings of $7.3 billion and $4.8 billion and total interest expense of $81.5 million and $67.3 million for the three months ended September 30, 2025 and 2024, respectively.

Our average cost of funds was 4.45% for the three months ended September 30, 2025, compared to 5.62% for the comparable period in 2024.

Our economic interest expense was $148.3 million and $83.5 million for the nine months ended September 30, 2025 and 2024, respectively.

There was a 36 bps increase in the average economic cost of funds to 3.03% for the nine months ended September 30, 2025, from 2.67% for the nine months ended September 30, 2024.

Our economic interest expense was $59.6 million and $35.4 million for the three months ended September 30, 2025 and 2024, respectively.

There was a 29 bps increase in the average economic cost of funds to 3.25% for the three months ended September 30, 2025, from 2.96% for the three months ended September 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 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.

Our average cost of funds calculated on a GAAP basis was 14 bps above the one-month average SOFR and 8 bps above the six-month average SOFR for the quarter ended September 30, 2025.

Our average economic cost of funds was 106 bps below the average one-month SOFR and 112 bps below the average six-month SOFR for the quarter ended September 30, 2025.

The average term to maturity of the outstanding repurchase agreements was 39 days at September 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 nine months ended September 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

September 30, 2025

June 30, 2025

4 unchanged sentences

March 31, 2024

Six Months Ended

June 30, 2025

June 30, 2024

Nine Months Ended

September 30, 2025

September 30, 2024

Average GAAP Cost of Funds

3 unchanged sentences

Three Months Ended

September 30, 2025

June 30, 2025

4 unchanged sentences

March 31, 2024

Six Months Ended

June 30, 2025

June 30, 2024

Nine Months Ended

September 30, 2025

September 30, 2024

Gains or Losses

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

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

(in thousands)

Six Months Ended June 30,

Three Months Ended June 30,

Realized losses on sales of RMBS

Unrealized gains (losses) on RMBS and U.S.

Treasury securities

Total gains (losses) on RMBS and U.S.

Treasury securities

Nine Months Ended September 30,

Three Months Ended September 30,

Realized (losses) gains on sales of RMBS

Unrealized gains on RMBS

Total gains on RMBS

(Losses) gains on interest rate futures

(Losses) gains on interest rate swaps

Losses on interest rate swaps

Losses on payer swaptions (long positions)

Losses on dual digital option

(Losses) gains on TBA securities (short positions)

Losses on TBA securities (short positions)

Gains on TBA securities (long positions)

Total (losses) gains from derivative instruments

Total losses from derivative instruments

We invest in RMBS with the intent to earn net income from the realized yield on those assets over their related funding and hedging costs, and not for the purpose of making short term gains from sales.

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 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.

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

During the nine months ended September 30, 2024, we received proceeds of $288.2 million from sales of RMBS, resulting in gains of approximately $0.5 million.

Approximately $221.7 million of the 2024 proceeds consisted of pools that were consolidated into a larger pool and simultaneously acquired by us.

No gain or loss was recorded on this resecuritization.

5 unchanged sentences

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

September 30, 2025

June 30, 2025

22 unchanged sentences

Three Months Ended

September 30, 2025

June 30, 2025

9 unchanged sentences

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

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.

For the nine and three months ended September 30, 2025, the Company’s total operating expenses were approximately $14.7 million, and $5.4 million, respectively, compared to approximately $12.4 million and $4.3 million for the nine and three months ended September 30, 2024.

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

(in thousands)

Six Months Ended June 30,

Three Months Ended June 30,

Nine Months Ended September 30,

Three Months Ended September 30,

Management fees

7 unchanged sentences

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.

During the nine months ended September 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 nine months ended September 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 the six months ended June 30, 2025 and 2024, and for each quarter in 2025 to date and 2024.

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

($ in thousands)

1 unchanged sentence

Three Months Ended

September 30, 2025

June 30, 2025

4 unchanged sentences

March 31, 2024

Six Months Ended

June 30, 2025

June 30, 2024

Nine Months Ended

September 30, 2025

September 30, 2024

Financial Condition:

Mortgage-Backed Securities

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.

As of September 30, 2025, our RMBS portfolio consisted of $8.4 billion of Agency RMBS at fair value and had a weighted average coupon on assets of 5.49%.

During the nine months ended September 30, 2025, we received principal repayments of $544.9 million, compared to $310.3 million for the nine months ended September 30, 2024.

The average three month prepayment speeds for the quarters ended September 30, 2025 and 2024 were 10.1% and 8.8%, 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 (%)

September 30, 2025

June 30, 2025

4 unchanged sentences

March 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:

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

($ in thousands)

Asset Category

June 30, 2025

September 30, 2025

Fixed Rate RMBS

8 unchanged sentences

($ in thousands)

June 30, 2025

September 30, 2025

December 31, 2024

4 unchanged sentences

Total Portfolio

June 30, 2025

September 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 3.271 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 2.991 indicates that an interest rate increase of 1.0% would be expected to cause a 2.991% decrease in the value of the RMBS in the Company’s investment portfolio at September 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 six months ended June 30, 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 nine months ended September 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 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.

As of September 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 26 of these counterparties.

None of these lenders are affiliated with the Company.

1 unchanged sentence

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

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%.

As of September 30, 2025, we had obligations outstanding under the repurchase agreements of approximately $8.0 billion with a net weighted average borrowing cost of 4.33%.

The remaining maturity of our outstanding repurchase agreement obligations ranged from 8 to 356 days, with a weighted average remaining maturity of 39 days.

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.

Securing the repurchase agreement obligations as of September 30, 2025 are RMBS with an estimated fair value, including accrued interest, of approximately $8.4 billion, and cash pledged to counterparties of approximately $26.4 million.

Through October 24, 2025, we have been able to maintain our repurchase facilities with comparable terms to those that existed at September 30, 2025, with maturities through September 21, 2026.

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

4 unchanged sentences

Three Months Ended

September 30, 2025

June 30, 2025

8 unchanged sentences

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

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.

Our economic leverage as of September 30, 2025 was 7.4 to 1, compared to 7.3 to 1 as of December 31, 2024.

Our adjusted leverage as of September 30, 2025 was 7.4 to 1, compared to 7.5 to 1 as of December 31, 2024.

The following table presents information related to our historical leverage.

1 unchanged sentence

Stockholders'

September 30, 2025

June 30, 2025

37 unchanged sentences

rather haircuts are determined on an individual repo transaction basis.

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.

Throughout the nine months ended September 30, 2025, haircuts on our pledged collateral remained stable and as of September 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.

14 unchanged sentences

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 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 of September 30, 2025, we had cash and cash equivalents of $583.9 million.

We generated cash flows of $793.9 million from principal and interest payments on our RMBS and had average repurchase agreements outstanding of $6.5 billion during the nine months ended September 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 June 30, 2025, we had no material commitments for capital expenditures.

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

Stockholders ’ Equity

On March 7, 2023, we entered into an equity distribution agreement (the “March 2023 Equity Distribution Agreement”) with three sales agents pursuant to which we could offer and sell, from time to time, up to an aggregate amount of $250,000,000 of gross proceeds from the sales of shares of our common stock in transactions that were deemed to be “at the market” offerings and privately negotiated transactions.

On June 11, 2024, we entered into an equity distribution agreement (the “June 2024 Equity Distribution Agreement”) with three sales agents pursuant to which we could offer and sell, from time to time, up to an aggregate amount of $250,000,000 of shares of the our common stock in transactions that were deemed to be “at the market” offerings and privately negotiated transactions.

On June 11, 2024, we entered into an equity distribution agreement (the “June 2024 Equity Distribution Agreement”) with three sales agents pursuant to which we could offer and sell, from time to time, up to an aggregate amount of $250,000,000 of gross proceeds from the sales of shares of our common stock in transactions that were deemed to be “at the market” offerings and privately negotiated transactions.

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 gross proceeds from the sales of shares of our common stock in transactions that are deemed to be “at the market” offerings and privately negotiated transactions.

Economic Summary

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.

The third quarter may prove to be pivotal.

Offsetting forces have driven economic activity and outlook since the new U.S.

presidential administration took office in January.

On the one hand the significant tariffs introduced have clouded the economic outlook and added upward pressure on prices – or at least such upward pressure is anticipated even if it hasn’t materialized to the extent expected to date.

On the other hand, the administration has a decidedly pro-business agenda and has enacted the One Big Beautiful Bill Act (the “OBBB”), which 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.

The OBBB is likely to be stimulative for the economy yet unlikely to reduce pressure on the fiscal deficit in the near term, itself a source of stimulus for the economy.

The net effect of these two opposing forces appears, at least for now, to be leaning in the direction of economic weakness, especially for the labor market, which softened during the third quarter.

The Chairman of the Fed, has stated the FOMC views the balance of risks as skewed towards economic and labor market weakness versus inflation, with the effects of tariffs causing only a one-time increase in prices versus a persistent source of inflation.

In response to the deterioration in the labor market, the Fed lowered the Fed Funds rate by 25 basis points at their September meeting, and subsequent remarks by the Chairman imply they will do so again at upcoming meetings, consistent with market expectations.

The impact of tariffs on inflation, particularly goods inflation, has yet to meet market expectations although there is evidence of such price pressures emerging.

Further, it remains possible, to the extent tariff-induced price increases have been absorbed by other parties along the supply chain, that such pressure could increase in the future to the extent the price increases are not fully absorbed.

There is also the possibility that the stimulative effects of the OBBB and numerous other efforts on the part of the administration to reduce regulations, stimulate growth and onshore of production back into the U.S.

could prevail and cause economic growth to rebound, perhaps significantly.

These considerations are behind the subset of Fed officials and market participants that feel economic and labor market weakness, and the need for the Fed to ease monetary policy, is misplaced or will only prove to be temporary.

On October 1, 2025, the U.S.

federal government shut down as Congress was unable to agree on a funding bill to keep the government running.

The shutdown of the government prevented most economic data from being released, adding uncertainty to the economic outlook.

To the extent the shutdown continues for too long the shutdown itself will become a source of economic weakness as most federal employees go unpaid and the government – the largest consumer in the economy – has limited capacity to spend.

Interest Rates

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.

Interest rate movements during the third quarter were very minor – less than 10 basis points – for all points along the cash U.S.

Treasury curve and the SOFR swap curve for maturities longer than 2 years.

For shorter maturities rate movements were larger – and as much as 35 to 40 basis points lower – for maturities inside 2 years.

The largest declines were around the 6-month maturity, reflecting market expectations of interest rate cuts by the Fed over the next two quarters.

One-year maturities, in both cash U.S.

Treasuries and SOFR swaps, declined by 30 and 22 basis points, respectively, again reflecting market expectations of Fed Funds rate cuts in the near term.

Since the end of the third quarter, interest rates have declined slightly more – approximately 10 basis points in the case of longer maturities – as a result of uncertainty surrounding the government shutdown.

As rates were relatively stable for longer maturity U.S.

Treasuries and SOFR swaps and lower for shorter duration instruments, both the cash U.S.

Treasury curve and SOFR swap curve remained upward sloping and the steepness of both curves increased modestly.

The spread between the 2-year and 10-year U.S.

Treasury securities has increased by approximately 5 basis points to approximately 55 basis points at quarter end, and remained in that area since.

While interest rates were relatively unchanged during the quarter, implied volatility in interest rate swaptions declined materially during the quarter.

The MOVE index, comprised of a basket of four interest rate swaptions and a widely referenced proxy for interest rate volatility, has been declining since May 2025, when the administration announced reciprocal tariffs.

The index peaked in April at nearly 140 and has declined since, reaching a recent low of just under 70 on October 3, 2025.

The index was at approximately 90 on June 30, 2025.

Declining interest rate volatility is beneficial for Agency RMBS given the prepayment option held by the borrowers of the loans underlying the securities.

The Agency RMBS Market

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.

The market conditions described above – low interest rate volatility and the prospects for reduced funding levels via Fed Funds rate cuts – were generally conducive to Agency RMBS performance.

Spreads to comparable duration U.S.

Treasuries and SOFR swaps declined, and most securities generated positive absolute and relative returns.

However, as prevailing mortgage rates available to borrowers declined over the third quarter and into the fourth quarter prepayments have increased for securities with premium prices and expectations for continued high prepayment rates remain.

The Mortgage Bankers Association index of 30-year contract rates declined from 6.79% for the week ended June 27, 2025, to 6.46% for the week ended September 26, 2025.

The index has declined slightly more since the end of the third quarter.

Secondly, the Trump administration has spoken of privatizing the Enterprises, although it does not appear as if this development is imminent.

If it were to occur, an important consideration would be if the implicit government guarantee of the securities issued by the Enterprises would be retained.

Comments made by the administration to date indicate that they would likely be maintained, but there can be no assurance that would be the case.

The Agency RMBS index generated a return for the third quarter of 2.4% and a return of 1.2% versus comparable duration swaps, as compared to 2.7% and 1.5%, respectively for these measures, for the investment grade corporate index, and 2.4% and 1.3%, 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, 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%.

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

Within Agency RMBS for the third quarter of 2025, conventional 30-year mortgages generated a total return of 2.6%, 15-year mortgages generated a total return of 1.5% and Ginnie Mae 30-year mortgages generated a total return of 2.2%.

Versus comparable duration swaps, the returns were 1.4%, 0.4% and 1.0% 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 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.

Excess returns versus comparable duration swaps were inversely related to coupons, as the higher coupons generated excess returns as high as 0.7% but excess returns for lower coupons were generally between -0.8% and -0.1%.

Because of the prospect of higher prepayment speeds and their negative effects on realized yields, higher coupon and premium dollar price Agency RMBS generated returns that lagged all lower coupons.

Absolute returns within the 30-year stack of coupons ranged between 3.1% and 2.5% for par and lower dollar price Agency RMBS, and generally followed the durations of the Agency RMBS, with high duration/lower coupon Agency RMBS generating the highest returns.

Agency RMBS with premium prices ranged from 2.3% to 0.7%, again with the longest duration/lowest coupons generating the highest returns.

Versus comparable duration swaps, excess returns followed a similar pattern with the exception of the 4.0 and 4.5% coupons generating excess returns higher than surrounding coupon Agency RMBS – the result of market technical developments (a shortage of available bonds versus demand) that emerged during the third quarter.

The range of excess returns across the coupon stack ranged from 1.9% for 2.0% coupons to 0.4% for 6.5% securities, and 7.0% securities had a negative excess return of -0.5%.

Recent Legislative and Regulatory Developments

14 unchanged sentences

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 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.

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 third quarter of 2025.

As of September 30, 2025, the Fed had reduced its balance sheet for Agency RMBS by approximately $654 billion from the peak to $2.1 trillion, shedding approximately 49% of the Agency RMBS added during pandemic quantitative easing and representing the lowest level since February 2021.

In remarks on October 14, 2025, Fed Chairman Jerome Powell signaled that the Fed may end its balance sheet runoff in the coming months.

On September 14, 2021, the U.S.

10 unchanged sentences

Although this led to some speculation in the market regarding an end to conservatorship, the new FHFA director signaled a more cautious approach, stating that significant study on the impact to mortgage rates would need to be done prior to any privatization of the Enterprises.

During the third quarter of 2025, the Trump administration signaled an intention to begin the privatization of the Enterprises through an initial public offering, but did not announce that they have taken any formal steps towards such an offering.

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").

1 unchanged sentence

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.

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.

While implementation of the Basel III Endgame has since stalled, Fed Vice Chair for Supervision Michelle Bowman commented in August 2025 that a revised Basel III Endgame is expected to be issued for public comment in early 2026, which the market expects to be more capital-neutral than the original proposal.

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.

42 unchanged sentences

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 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.

The path of economic performance, the level of interest rates and the performance of Agency RMBS appear to be at a crossroads.

During the third quarter, the path seemed to steer towards slower growth, lower rates and generally solid performance for Agency RMBS.

The labor market in particular appears to have weakened significantly over the past two quarters, and the Fed intervened and lowered the Fed Funds rate by 25 basis points in September and appears likely to do so again at their October meeting at least, if not more times at subsequent meetings.

federal government shut down again on October 1, 2025, and this has only added to the fear the economy will remain weak.

However, other measures of economic performance, when available, indicate the economy may not be so weak.

Growth, as measured by GDP, remains well above 0%, retail sales and corporate earnings remain strong, developments with artificial intelligence have the potential to materially lift productivity and output, and the administration has a profoundly pro-growth agenda – all of which suggest the current softness may be temporary.

The outcome will likely emerge over the next quarter or two.

While it remains to be seen just which path the economy takes going forward, the third quarter was conducive to solid performance for the Agency RMBS market and the Company.

The sector generated positive absolute and excess returns, and the Company generated a positive total return for the quarter as well.

The Company continued grow its capital through the issuance of shares of common stock through its at the market program.

While Agency RMBS generated positive returns for the third quarter of 2025, returns available in the sector remain above historical averages.

To the extent such favorable market conditions persist, we expect that new capital can be deployed with the prospects for above average returns.

Critical Accounting Estimates

10 unchanged sentences

2025 - YTD (1)

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.

On October 15, 2025, the Company declared a dividend of $0.12 per share to be paid on November 26, 2025.

The effect of this dividend is included in the table above but is not reflected in the Company’s financial statements as of September 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