26 unchanged sentences
Performance Graph
−Removed: Set forth below is a graph comparing the yearly percentage change in the cumulative total return on our common stock through December 31, 2024, with the cumulative total return of the S&P 500 Total Return Index and the FTSE NAREIT Mortgage REIT Index.
+Added: Set forth below is a graph comparing the yearly percentage change in the cumulative total return on our common stock, with the cumulative total return of the S&P 500 Total Return Index and the FTSE NAREIT Mortgage REIT Index for the period beginning December 31, 2020, and ending December 31, 2025.
The performance graph was prepared based on the following assumptions:
16 unchanged sentences
The table below presents the Company's share repurchase activity for the three months ended December 31, 2025.
−Removed: Part of Publicly
Repurchased (1)
11 unchanged sentences
As a result of many factors, such as those set forth under “Risk Factors” in this Form 10-K, our actual results may differ materially from those anticipated in such forward-looking statements.
−Removed: Common Stock Reverse Split
−Removed: On August 30, 2022, the Company effected a 1-for-5 reverse stock split of its common stock and proportionately decreased the number of authorized shares of common stock.
−Removed: All share and per share information has been retroactively adjusted to reflect the reverse split.
We are a specialty finance company that invests in residential mortgage-backed securities (“RMBS”) which are issued and guaranteed by a federally chartered corporation or agency (“Agency RMBS”).
Our investment strategy focuses on, and our portfolio consists of, two categories of Agency RMBS:
−Removed: (i) traditional pass-through Agency RMBS, such as mortgage pass-through certificates issued by the Federal National Mortgage Association ("Fannie Mae"), the Federal Home Loan Mortgage Corporation ("Freddie Mac" and together with Fannie Mae, the "Enterprises") or the Government National Mortgage Association ("Ginnie Mae" and, together with the Enterprises the “GSEs”) and collateralized mortgage obligations (“CMOs”) issued by the GSEs (“PT RMBS”) and (ii) structured Agency RMBS, such as interest-only securities (“IOs”), inverse interest-only securities (“IIOs”) and principal only securities (“POs”), among other types of structured Agency RMBS.
+Added: (i) traditional PT Agency RMBS, such as mortgage PT certificates issued by the Federal National Mortgage Association ("Fannie Mae"), the Federal Home Loan Mortgage Corporation ("Freddie Mac" and together with Fannie Mae, the "Enterprises") or the Government National Mortgage Association ("Ginnie Mae" and, together with the Enterprises the “GSEs”) and collateralized mortgage obligations (“CMOs”) issued by the GSEs (“PT RMBS”) and (ii) structured Agency RMBS, such as interest-only securities (“IOs”), inverse interest-only securities (“IIOs”) and principal only securities (“POs”), among other types of structured Agency RMBS.
We were formed by Bimini Capital Management, Inc.
2 unchanged sentences
Our business objective is to provide attractive risk-adjusted total returns over the long term through a combination of capital appreciation and the payment of regular monthly distributions.
−Removed: We intend to achieve this objective by investing in and strategically allocating capital between the two categories of Agency RMBS described above.
+Added: We intend to achieve this objective by investing in the two categories of Agency RMBS described above.
We seek to generate income from (i) the net interest margin on our leveraged PT RMBS portfolio and the leveraged portion of our structured Agency RMBS portfolio, and (ii) the interest income we generate from the unleveraged portion of our structured Agency RMBS portfolio.
We intend to fund our PT RMBS and certain of our structured Agency RMBS through short-term borrowings structured as repurchase agreements.
−Removed: PT RMBS and structured Agency RMBS typically exhibit materially different sensitivities to movements in interest rates.
−Removed: Declines in the value of one portfolio may be offset by appreciation in the other.
−Removed: The percentage of capital that we allocate to our two Agency RMBS asset categories will vary and will be actively managed in an effort to maintain the level of income generated by the combined portfolios, the stability of that income stream and the stability of the value of the combined portfolios.
−Removed: We believe that this strategy will enhance our liquidity, earnings, book value stability and asset selection opportunities in various interest rate environments.
We operate so as to qualify to be taxed as a real estate investment trust ("REIT") under the Internal Revenue Code of 1986, as amended (the "Code").
7 unchanged sentences
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.
−Removed: 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 may 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 are deemed to be “at the market” offerings and privately negotiated transactions.
−Removed: Through December 31, 2024, we issued a total of 19,842,089 shares under the June 2024 Equity Distribution Agreement for aggregate gross proceeds of approximately $164.9 million, and net proceeds of approximately $162.1 million, after commissions and fees.
−Removed: Subsequent to December 31, 2024, we issued a total of 10,671,164 shares under the June 2024 Equity Distribution Agreement for aggregate gross proceeds of approximately $85.1 million, and net proceeds of approximately $83.8 million, after commissions and fees.
+Added: 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.
+Added: 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.
+Added: 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 could 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.
+Added: 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.
+Added: We issued a total of 59,492,504 shares under the February 2025 Equity Distribution Agreement for aggregate gross proceeds of approximately $445.1 million and net proceeds of approximately $438.0 million, after commissions and fees, prior to its termination in October 2025.
+Added: On October 27, 2025, we entered into an equity distribution agreement (the “October 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 $500,000,000 of shares of our common stock in transactions that are deemed to be “at the market” offerings and privately negotiated transactions.
+Added: Through December 31, 2025, we issued a total of 30,265,963 shares under the October 2025 Equity Distribution Agreement for aggregate gross proceeds of approximately $223.1 million, and net proceeds of approximately $219.7 million, after commissions and fees.
+Added: Subsequent to December 31, 2025, we issued a total of 8,707,492 shares under the October 2025 Equity Distribution Agreement for aggregate gross proceeds of approximately $66.2 million, and net proceeds of approximately $65.2 million, after commissions and fees.
Stock Repurchase Program
13 unchanged sentences
interest rate trends;
−Removed: changes in our cost of funds, including increases in the Fed Funds rate that are controlled by the Federal Reserve (the "Fed") that occurred in 2022 and 2023, the decreases in the Fed Funds rate in 2024, or potential additional decreases in the Fed Funds rate:
+Added: 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;
16 unchanged sentences
Net income for the year ended December 31, 2025 was $159.0 million, or $1.24 per share.
−Removed: Net loss for the year ended December 31, 2023 was $39.2 million, or $0.89 per share.
+Added: Net income for the year ended December 31, 2024 was $37.7 million, or $0.57 per share.
Net loss for the year ended December 31, 2023 was $39.2 million, or $0.89 per share.
−Removed: The components of net income (loss) for the years ended December 31, 2024, 2023 and 2022 are presented in the table below:
+Added: The components of net income (income (loss)) for the years ended December 31, 2025, 2024 and 2023 are presented in the table below:
(in thousands)
2 unchanged sentences
Net interest income
−Removed: Gains (losses) on RMBS and derivative contracts
+Added: Gains on RMBS and derivative contracts
Net portfolio income (loss)
35 unchanged sentences
Includes realized and unrealized gains (losses) on RMBS and derivative financial instruments, including net interest income or expense on interest rate swaps.
−Removed: Prior to 2023, we included certain expenses related to our derivative instruments in "Direct REIT operating expenses" in the statements of comprehensive income (loss).
−Removed: Beginning in 2023, we have included these expenses in "Gains (losses) on derivative and hedging instruments." Prior period amounts have been reclassified to conform with the current presentation.
−Removed: The table below presents the effect of this reclassification for each quarter in 2022.
−Removed: Realized and Unrealized Gains and Losses - Reclassification of Derivative Transaction Expenses
−Removed: (in thousands, except per share data)
−Removed: Net Earnings (Loss) Excluding
−Removed: Realized and Unrealized
−Removed: Realized and Unrealized
−Removed: Gains and Losses
−Removed: Gains and Losses
−Removed: Three Months Ended
−Removed: December 31, 2022
−Removed: September 30, 2022
−Removed: June 30, 2022
−Removed: March 31, 2022
−Removed: Three Months Ended
−Removed: December 31, 2022
−Removed: September 30, 2022
−Removed: June 30, 2022
−Removed: March 31, 2022
Economic Interest Expense and Economic Net Interest Income
−Removed: We use derivative and other hedging instruments, specifically Fed Funds, SOFR and T-Note futures contracts, short positions in U.S.
+Added: We use derivative and other hedging instruments, specifically Fed Funds, SOFR, ERIS SOFR Swap, and T-Note futures contracts, short positions in U.S.
Treasury securities, interest rate floors and caps, dual digital options, interest rate swaps and swaptions, to hedge a portion of the interest rate risk on repurchase agreements in a rising rate environment.
2 unchanged sentences
As such, for financial reporting purposes, interest expense and cost of funds are not impacted by the fluctuation in value of the derivative instruments.
−Removed: For the purpose of computing economic net interest income and ratios relating to cost of funds measures, GAAP interest expense has been adjusted to reflect the realized and unrealized gains or losses on certain derivative instruments the Company uses, specifically Fed Funds, SOFR and T-Note futures, dual digital options, interest rate floors and caps, and interest rate swaps and swaptions, that pertain to each period presented.
+Added: For the purpose of computing economic net interest income and ratios relating to cost of funds measures, GAAP interest expense has been adjusted to reflect the realized and unrealized gains or losses on certain derivative instruments the Company uses, specifically Fed Funds, SOFR, ERIS SOFR Swap, and T-Note futures, dual digital options, interest rate floors and caps, and interest rate swaps and swaptions, that pertain to each period presented.
We believe that adjusting our interest expense for the periods presented by the gains or losses on these derivative instruments would not accurately reflect our economic interest expense for these periods.
44 unchanged sentences
December 31, 2023
−Removed: The table below presents the effect of the reclassification of derivative expenses discussed above for each quarter in 2022.
−Removed: Gains (Losses) on Derivative Instruments - Reclassification of Derivative Transaction Expenses
−Removed: (in thousands)
−Removed: Recognized in Income Statement
−Removed: Attributed to Current Period
−Removed: Three Months Ended
−Removed: December 31, 2022
−Removed: September 30, 2022
−Removed: June 30, 2022
−Removed: March 31, 2022
Economic Interest Expense and Economic Net Interest Income
23 unchanged sentences
During the year ended December 31, 2025, we generated $108.3 million of net interest income, consisting of $414.0 million of interest income from RMBS assets offset by $305.7 million of interest expense on borrowings.
−Removed: For the comparable period ended December 31, 2023, we incurred $24.4 million of net interest expense, consisting of $177.6 million of interest income from RMBS assets offset by $201.9 million of interest expense on borrowings.
+Added: For the comparable period ended December 31, 2024, we generated $5.3 million of net interest income, consisting of $241.6 million of interest income from RMBS assets offset by $236.3 million of interest expense on borrowings.
The $172.4 million increase in interest income was driven by a 26 basis points ("bps") increase in yield on average RMBS, combined with a $2,901.3 million increase in average RMBS.
−Removed: The $34.4 million increase in interest expense for the year ended December 31, 2024 was driven by a 28 bps increase in the average cost of funds, combined with a $428.4 million increase in average borrowings.
−Removed: For the year ended December 31, 2022, we generated $82.9 million of net interest income, consisting of $144.6 million of interest income from RMBS assets offset by $61.7 million of interest expense on borrowings.
−Removed: The $32.9 million increase in interest income for the year ended December 31, 2023, compared to the year ended December 31, 2022, was due to a 83 bps increase in yield on average RMBS, that was partially offset by a $34.3 million decrease in average RMBS.
−Removed: The $140.2 million increase in interest expense for the year ended December 31, 2023 was due to a 354 bps increase in the average cost of funds, partially offset by a $57.0 million decrease in average borrowings.
+Added: The $69.5 million increase in interest expense for the year ended December 31, 2025 was driven by a $2,749.6 million increase in average borrowings, that was partially offset by 108 bps decrease in the average cost of funds.
+Added: For the year ended December 31, 2023, we incurred $24.4 million of net interest expense, consisting of $177.6 million of interest income from RMBS assets offset by $201.9 million of interest expense on borrowings.
+Added: The $64.0 million increase in interest income for the year ended December 31, 2024, compared to the year ended December 31, 2023, was due to a 97 bps increase in yield on average RMBS, combined with a $453.0 million increase in average RMBS.
+Added: The $34.4 million increase in interest expense for the year ended December 31, 2024 was due to a 28 bps increase in the average cost of funds, combined with a $428.4 million increase in average borrowings.
On an economic basis, our interest expense on borrowings for the years ended December 31, 2025, 2024 and 2023 was $222.4 million, $119.5 million and $109.6 million, respectively, resulting in $191.6 million, $122.1 million and $68.0 million of economic net interest income, respectively.
39 unchanged sentences
December 31, 2023
−Removed: Portfolio yields and costs of borrowings presented in the tables above and on pages 51 and 52 are calculated based on the average balances of the underlying investment portfolio/borrowings balances and are annualized for the periods presented.
+Added: Portfolio yields and costs of borrowings presented in the tables above are calculated based on the average balances of the underlying investment portfolio/borrowings balances and are annualized for the periods presented.
Average balances for quarterly periods are calculated using two data points, the beginning and ending balances.
−Removed: Economic interest expense and economic net interest income presented in the table above and the table on page 52 includes the effect of our derivative instrument hedges for only the periods presented.
+Added: Economic interest expense and economic net interest income presented in the table above includes the effect of our derivative instrument hedges for only the periods presented.
Represents interest cost of our borrowings and the effect of derivative instrument hedges attributed to the period divided by average RMBS.
Economic net interest spread is calculated by subtracting average economic cost of funds from realized yield on average RMBS.
−Removed: Average Asset Yield
−Removed: The table below presents the average portfolio size, income and yields of our respective sub-portfolios, consisting of structured RMBS and PT RMBS for the years ended December 31, 2024, 2023 and 2022 and for each quarter during 2024, 2023 and 2022.
−Removed: ($ in thousands)
−Removed: Average RMBS Held
−Removed: Interest Income
−Removed: Realized Yield on Average RMBS
−Removed: Three Months Ended
−Removed: December 31, 2024
−Removed: September 30, 2024
−Removed: June 30, 2024
−Removed: March 31, 2024
−Removed: December 31, 2023
−Removed: September 30, 2023
−Removed: June 30, 2023
−Removed: March 31, 2023
−Removed: December 31, 2022
−Removed: September 30, 2022
−Removed: June 30, 2022
−Removed: March 31, 2022
−Removed: December 31, 2024
−Removed: December 31, 2023
−Removed: December 31, 2022
Interest Expense and the Cost of Funds
3 unchanged sentences
For the year ended December 31, 2023, we had average borrowings of $3,985.0 million and total interest expense of $201.9 million, resulting in an average cost of funds of 5.07%.
−Removed: There was a 354 bps increase in the average cost of funds and an $57.0 million decrease in average outstanding borrowings during the year ended December 31, 2023 as compared to the year ended December 31, 2022.
+Added: There was a 28 bps increase in the average cost of funds and an $428.4 million increase in average outstanding borrowings during the year ended December 31, 2024 as compared to the year ended December 31, 2023.
Our economic interest expense was $222.4 million, $119.5 million and $109.6 million for the years ended December 31, 2025, 2024 and 2023, respectively.
−Removed: There was a 4 bps decrease in the average economic cost of funds to 2.71% for the year ended December 31, 2024 from 2.75% for the year ended December 31, 2023.
−Removed: The reason for the decrease in economic cost of funds is primarily due to the positive performance of our hedging activities during the period, offset by the higher cost of our borrowings noted above.
There was a 40 bps increase in the average economic cost of funds to 3.11% for the year ended December 31, 2025 from 2.71% for the year ended December 31, 2024.
+Added: There was a 4 bps decrease in the average economic cost of funds to 2.71% for the year ended December 31, 2024 from 2.75% for the year ended December 31, 2023.
Since all of our repurchase agreements are short-term, changes in market rates directly affect our interest expense.
−Removed: Our average cost of funds calculated on a GAAP basis was 26 bps above one-month average SOFR and 6 bps above six-month average SOFR for the year ended December 31, 2024.
+Added: Our average cost of funds calculated on a GAAP basis was 8 bps above one-month average SOFR and 10 bps below six-month average SOFR for the year ended December 31, 2025.
Our average economic cost of funds was 108 bps below one-month average SOFR and 126 bps below six-month average SOFR for the year ended December 31, 2025.
−Removed: The average term to maturity of the outstanding repurchase agreements was 26 days at December 31, 2024 and 26 days at December 31, 2023.
−Removed: The tables below present the average balance of borrowings outstanding, interest expense and average cost of funds, and one-month average and six-month average SOFR rates for each quarter in 2024, 2023 and 2022 and for the years ended December 31, 2024, 2023 and 2022 on both a GAAP and economic basis.
−Removed: ($ in thousands)
−Removed: Interest Expense
−Removed: Average Cost of Funds
−Removed: Three Months Ended
−Removed: December 31, 2024
−Removed: September 30, 2024
−Removed: June 30, 2024
−Removed: March 31, 2024
−Removed: December 31, 2023
−Removed: September 30, 2023
−Removed: June 30, 2023
−Removed: March 31, 2023
−Removed: December 31, 2022
−Removed: September 30, 2022
−Removed: June 30, 2022
−Removed: March 31, 2022
−Removed: December 31, 2024
−Removed: December 31, 2023
−Removed: December 31, 2022
+Added: The average term to maturity of the outstanding repurchase agreements was 39 days as of December 31, 2025 and 26 days as of December 31, 2024.
+Added: The table below presents the one-month average and six-month average SOFR rates for each quarter in 2025, 2024 and 2023 and for the years ended December 31, 2025, 2024 and 2023 on both a GAAP and economic basis.
Average GAAP Cost of Funds
22 unchanged sentences
Realized losses on sales of RMBS
−Removed: Unrealized losses on RMBS and U.S.
+Added: Unrealized gains (losses) on RMBS and U.S.
Treasury Notes
−Removed: Total losses on RMBS and U.S.
+Added: Total gains (losses) on RMBS and U.S.
Treasury Notes
−Removed: Gains on interest rate futures
−Removed: Gains on interest rate swaps
−Removed: Gains (losses) on payer swaptions (short positions)
−Removed: (Losses) gains on payer swaptions (long positions)
−Removed: Losses on dual digital option
+Added: (Losses) gains on interest rate futures
+Added: (Losses) gains on interest rate swaps
+Added: Gains on payer swaptions (short positions)
+Added: Losses on payer swaptions (long positions)
+Added: Gains (losses) on dual digital option
(Losses) gains on interest rate caps
1 unchanged sentence
Losses on interest rate floors (short positions)
−Removed: Gains on TBA securities (short positions)
−Removed: (Losses) gains on TBA securities (long positions)
+Added: (Losses) gains on TBA securities (short positions)
+Added: Gains (losses) on TBA securities (long positions)
+Added: Losses on U.S.
+Added: Treasury securities (short positions)
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.
2 unchanged sentences
Treasury securities.
−Removed: Approximately $221.7 million of these proceeds received in 2024 consisted of pools that were consolidated into a larger pool and simultaneously acquired by us.
+Added: Approximately $221.7 million of the 2024 proceeds received consisted of pools that were consolidated into a larger pool and simultaneously acquired by us.
No gain or loss was recorded on this resecuritization.
69 unchanged sentences
Accrued incentive compensation for the year ended December 31, 2024 includes a reversal of the over accrual of this liability.
+Added: As of December 31, 2024, the Company had accrued a liability of $0.6 million for bonuses to be paid to the Manager's employees.
+Added: During the year ended December 31, 2025, the Company awarded shares of Company common stock with a fair value of $0.2 million.
+Added: Accrued incentive compensation for the year ended December 31, 2025 includes a reversal of the over accrual of this liability.
We are externally managed and advised by Bimini Advisors pursuant to the terms of a management agreement.
6 unchanged sentences
The Company is obligated to reimburse the Manager for any direct expenses incurred on its behalf and to pay the Manager the Company’s pro rata portion of certain overhead costs set forth in the management agreement.
+Added: 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.
On April 1, 2022, pursuant to the third amendment to the management agreement entered into on November 16, 2021, the Manager began providing certain repurchase agreement trading, clearing and administrative services to the Company that had been previously provided by AVM, L.P.
3 unchanged sentences
a fee for the clearing and operational services provided by personnel of the Manager equal to $10,000 per month.
−Removed: 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.
The following table summarizes the management fee and overhead allocation expenses for each quarter in 2025, 2024 and 2023 and for the years ended December 31, 2025, 2024 and 2023.
2 unchanged sentences
Three Months Ended
+Added: Administrative
December 31, 2025
18 unchanged sentences
The average three month prepayment speeds for the quarters ended December 31, 2025 and 2024 were 15.7% and 10.5%, respectively.
−Removed: 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.
+Added: The following table presents the 3-month constant prepayment rate (“CPR”) experienced on our portfolio, on an annualized basis, for the quarterly periods presented.
CPR is a method of expressing the prepayment rate for a mortgage pool that assumes that a constant fraction of the remaining principal is prepaid each month or year.
−Removed: Specifically, the CPR in the chart below represents the three month prepayment rate of the securities in the respective asset category.
+Added: Specifically, the CPR in the chart below represents the three month prepayment rate of the securities.
Three Months Ended
Portfolio (%)
−Removed: Portfolio (%)
−Removed: Portfolio (%)
December 31, 2025
11 unchanged sentences
Fixed Rate RMBS
−Removed: Interest-Only Securities
−Removed: Inverse Interest-Only Securities
Total Mortgage Assets
1 unchanged sentence
Fixed Rate RMBS
−Removed: Interest-Only Securities
−Removed: Inverse Interest-Only Securities
Total Mortgage Assets
7 unchanged sentences
Total Portfolio
−Removed: December 31, 2024
−Removed: December 31, 2023
−Removed: Weighted Average Pass-through Purchase Price
−Removed: Weighted Average Structured Purchase Price
−Removed: Weighted Average Pass-through Current Price
−Removed: Weighted Average Structured Current Price
−Removed: Effective Duration (1)
−Removed: Effective duration is the approximate percentage change in price for a 100 bps change in rates.
−Removed: 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.
−Removed: An effective duration of 4.400 indicates that an interest rate increase of 1.0% would be expected to cause a 4.400% decrease in the value of the RMBS in the Company’s investment portfolio at December 31, 2023.
−Removed: These figures include the structured securities in the portfolio, but do not include the effect of the Company’s funding cost hedges.
+Added: As of December 31, 2025, the Company's portfolio had an effective duration of 2.513, indicating that an interest rate increase of 1.0% would be expected to cause a 2.513% decrease in the value of the RMBS in the Company’s investment portfolio.
+Added: As of December 31, 2024, the Company's portfolio had an effective duration of 4.200, indicating 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.
+Added: These figures do not include the effect of the Company’s funding cost hedges.
Effective duration quotes for individual investments are obtained from The Yield Book, Inc.
5 unchanged sentences
Weighted Average Yield
−Removed: Pass-through RMBS
As of December 31, 2025, we had established borrowing facilities in the repurchase agreement market with a number of commercial banks and other financial institutions and had borrowings in place with 28 of these counterparties.
5 unchanged sentences
Securing the repurchase agreement obligations as of December 31, 2025 are RMBS with an estimated fair value, including accrued interest, of approximately $10,551.3 million.
−Removed: Through February 21, 2025, we have been able to maintain our repurchase facilities with comparable terms to those that existed at December 31, 2024 with maturities extending to various dates through May 19, 2025.
+Added: Through February 20, 2026, we have been able to maintain our repurchase facilities with comparable terms to those that existed as of December 31, 2025 with maturities extending to various dates through November 13, 2026.
The table below presents information about our period end, maximum and average balances of borrowings for each quarter in 2025 and 2024.
4 unchanged sentences
Three Months Ended
+Added: Borrowings(1)
+Added: Borrowings(2)
December 31, 2025
6 unchanged sentences
March 31, 2024
+Added: Maximum balance during the quarter reflects the highest daily close‑of‑business balance outstanding under repurchase agreements for the period.
+Added: Average balances for quarterly periods are calculated using two data points, the beginning and ending balances for the period.
We use two primary measures of leverage.
2 unchanged sentences
Adjusted leverage is calculated by dividing our repurchase agreements by stockholders' equity.
−Removed: Our economic leverage at December 31, 2024 was 7.3 to 1, compared to 6.7 to 1 as of December 31, 2023.
−Removed: Our adjusted leverage at December 31, 2024 was 7.5 to 1, compared to 7.9 to 1 as of December 31, 2023.
+Added: Our economic leverage as of December 31, 2025 was 7.4 to 1, compared to 7.3 to 1 as of December 31, 2024.
+Added: Our adjusted leverage as of December 31, 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.
56 unchanged sentences
The leverage inherent in structured securities replaces the leverage obtained by acquiring PT securities and funding them in the repo market.
−Removed: This structured RMBS strategy has been a core element of the Company’s overall investment strategy since inception.
However, we have and may continue to pledge a portion of our structured RMBS in order to raise our cash levels, but generally will not pledge these securities in order to acquire additional assets.
4 unchanged sentences
Capital Expenditures
−Removed: At December 31, 2024, we had no material commitments for capital expenditures.
+Added: As of December 31, 2025, we had no material commitments for capital expenditures.
Stockholders ’ Equity
3 unchanged sentences
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.
−Removed: 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 may 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 are deemed to be “at the market” offerings and privately negotiated transactions.
−Removed: Through December 31, 2024, we issued a total of 19,842,089 shares under the June 2024 Equity Distribution Agreement for aggregate gross proceeds of approximately $164.9 million, and net proceeds of approximately $162.1 million, after commissions and fees.
−Removed: Subsequent to December 31, 2024, we issued a total of 10,671,164 shares under the June 2024 Equity Distribution Agreement for aggregate gross proceeds of approximately $85.1 million, and net proceeds of approximately $83.8 million, after commissions and fees.
+Added: 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.
+Added: 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.
+Added: 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 could 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.
+Added: 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.
+Added: We issued a total of 59,492,504 shares under the February 2025 Equity Distribution Agreement for aggregate gross proceeds of approximately $445.1 million and net proceeds of approximately $438.0 million, after commissions and fees, prior to its termination in October 2025.
+Added: On October 27, 2025, we entered into an equity distribution agreement (the “October 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 $500,000,000 of shares of our common stock in transactions that are deemed to be “at the market” offerings and privately negotiated transactions.
+Added: Through December 31, 2025, we issued a total of 30,265,963 shares under the October 2025 Equity Distribution Agreement for aggregate gross proceeds of approximately $223.1 million, and net proceeds of approximately $219.7 million, after commissions and fees.
+Added: Subsequent to December 31, 2025, we issued a total of 8,707,492 shares under the October 2025 Equity Distribution Agreement for aggregate gross proceeds of approximately $66.2 million, and net proceeds of approximately $65.2 million, after commissions and fees.
Economic Summary
−Removed: The economic trajectory in place as the third quarter of 2024 came to an end has not changed as we enter 2025.
−Removed: Economic growth is above the level considered sustainable – the level that can persist without causing the economy to overheat and inflation to rise.
−Removed: The labor market no longer appears to be cooling, hiring has stabilized, and the unemployment rate remains in the low 4% area, which is indicative of a tighter labor market, if not an overheating one.
−Removed: Importantly, inflation readings have stabilized at levels clearly above the Fed’s target level of 2%.
−Removed: In response to the resilience of the economy, interest rates have increased and market expectations for further cuts to the Fed’s overnight rate have been reduced to less than one 25 basis point cut by the end of 2025.
−Removed: The strength of the economy has been supported by stimulative fiscal policy on the part of the federal government as budget deficits have consistently approached $2 trillion, representing abnormally high percentages of gross domestic product.
−Removed: The impact of the deficits is partially offset by an expanded balance sheet of the Fed which remains above target levels, allowing the market to avoid having to fund the deficits in their entirety.
−Removed: In November of 2024, the Republican party swept the U.S.
−Removed: national elections, and the pro-business agenda of the new president has enhanced market optimism for sustained growth at or above current levels.
−Removed: President Trump has stated that he intends to use tariffs to shift domestic consumption away from imports and towards domestic producers, at the potential cost of higher prices.
−Removed: The market anticipates that the combination of pro-growth policies on the part of the incoming administration, supported by Republican control of both houses of Congress, along with wide-spread tariffs on a host of imported goods, will both fuel growth and pressure inflation higher.
−Removed: Given an economy that was already growing above sustainable rates, this development casts doubt on the need for additional policy accommodation on the part of the Fed in the near term, if at all.
+Added: As the year 2025 came to a close market conditions were relatively calm.
+Added: The government shutdown that commenced October 1, 2025 and lasted for six weeks indirectly contributed to the calm.
+Added: As a result of the government shutdown, many entities that provide economic data to the markets were unable to do so and it took several weeks after the government reopened before they were able to resume.
+Added: The lack of economic data deprived both the markets and Fed policy makers of the ability to gauge the performance of the economy and its many components, such as the labor market, consumer spending and price data.
+Added: As a result, market participants and the Fed were left with limited data from private sources.
+Added: The result of the data vacuum for the markets was a continuation of the status quo, as the market awaited further clarification on growth and inflation.
+Added: Interest rates were stable and traded in a rather tight range.
+Added: Interest rate implied volatility continued its long decline that started in early April 2025, after the Trump administration imposed broad tariffs.
+Added: The FOMC opted to continue on their path of policy normalization by lowering the Fed Funds rate twice in the fourth quarter of 2025, in each case by 25 basis points.
+Added: In doing so the Fed believed they had reached the upper end of neutral – implying the neutral policy rate was in fact a range versus a specific rate level.
+Added: As with prior quarters the economy continues to operate with elevated inflation relative to the Fed’s 2% target, and with evidence of a fragile labor market.
+Added: There is ample data to support either thesis regarding the outlook for the economy, and market participants and FOMC members are split on how monetary policy should be managed to address the Fed’s dual mandates.
+Added: The two rate cuts that occurred during the fourth quarter of 2025 were the result of split votes whereby some members dissented in both the direction of more cuts and fewer, or no cuts.
+Added: As we enter the first quarter of 2026 the dilemma persists, although the FOMC opted to hold policy steady at their January 2026 meeting, claiming they had time to monitor the incoming data for now as monetary policy was deemed near neutral and there was no pressing need to increase accommodation.
+Added: One additional development that will likely impact monetary policy going forward was the decision by President Trump to nominate Kevin Warsh as the next chairman of the Fed in late January.
+Added: The term of the current chairman, Jerome Powell, ends in May of 2026.
+Added: While President Trump has been highly critical of Chairman Powell and openly stated his desire for lower interest rates, the market does not appear to anticipate incoming Chairman Warsh will aggressively lower the Fed Funds rate.
+Added: In fact Chairman Warsh is expected to be more of a proponent of fighting inflation and shrinking the Fed’s balance sheet.
Interest Rates
−Removed: In response to the developments described above, interest rate movements during the fourth quarter of 2024 were significant.
−Removed: As the third quarter came to a close, interest rates were declining in anticipation of the first interest rate cut by the Fed since 2020.
−Removed: The Fed began raising the overnight rate in March of 2022 and did not stop until July of 2023, when the target range for the Fed Funds rate was 5.25% to 5.50%.
−Removed: At the time the Fed lowered the overnight rate by 50 basis points on September 18, 2024, the market expected at least eight more cuts over the next 18 months.
−Removed: Rates reversed course early in the fourth quarter, triggered by the non-farm payroll report for September released in early October.
−Removed: Consequently, the market's outlook for the economy, inflation and future interest rate cuts by the Fed changed dramatically over the course of the fourth quarter and into 2025.
−Removed: With respect to interest rates, the most significant development may have been the dramatic change in the shape of the U.S.
−Removed: Treasury Note yield curve.
−Removed: By the end of 2024, the Fed had lowered the target range for Fed Funds by 100 basis points.
−Removed: The 10-year U.S.
−Removed: Treasury Note yield curve increased by approximately 80 basis points over the quarter, causing the first disinversion of the yield curve between the Fed Funds rate and the 10-year U.S.
−Removed: Treasury Note since June 2022, and between the 2-year and 10-year U.S.
−Removed: Treasury Notes since November 2022.
−Removed: As federal deficits have remained historically high since the pandemic and the market does not anticipate the incoming administration is likely to be fiscally conservative, the market anticipates federal deficits to remain elevated and issuance of U.S.
−Removed: Treasury securities to continue to grow.
−Removed: This has led swap spreads to become increasingly negative (as the market demands a higher yield for a greater supply of U.S.
−Removed: Treasury securities) such that the swap curve remains inverted – although the 18-month to 15-year point are upward sloping.
−Removed: In sharp contrast to market expectations for the evolution of the Fed Funds rate after the Fed’s first cut in mid-September, in early 2025 market expectations are for between one and two additional 25 basis point cuts by the end of 2025.
+Added: As alluded to above, interest rates were quite stable over the course of the fourth quarter of 2025 and into the first quarter of 2026.
+Added: All indicators of economic activity, while often of suspect quality and not always available or timely, did not indicate much changed during the fourth quarter.
+Added: Inflation data remained above the Fed’s target, although there did not appear to be material flow-through from the tariffs implemented during the year, and the labor market, while not robust, did not appear to be deteriorating.
+Added: The Fed lowered the Fed Funds rate two times in the fourth quarter – a continuation of their plan to bring monetary policy towards neutral – and signaled they had done so.
+Added: Additional cuts may come if needed, but are not anticipated in the near term.
+Added: Longer maturity U.S.
+Added: Treasury rates remained in a tight range throughout the fourth quarter and remained so into the first quarter of 2026.
+Added: As a result of the two 25 basis point rate cuts by the Fed in the fourth quarter, the spread between the Fed Funds rate and the two-year U.S.
+Added: Treasury is less inverted than was the case at September 30, 2025, reflecting both the cuts and the market pricing in fewer cuts in the future.
+Added: Accordingly, the U.S.
+Added: Treasury curve is slightly steeper, as evidenced by the spread between the 2-year and 10-year U.S.
+Added: Treasury notes increasing from approximately 54 basis points to approximately 70 basis points at year-end.
+Added: The Federal Reserve ended their quantitative tightening program, which reduced their balance sheet via the maturation of their holdings, and began reinvesting them into additional U.S.
+Added: Treasury holdings on December 1, 2025.
+Added: Run-off from the Agency RMBS holdings is now directed towards purchasing U.S.
+Added: Treasury bills.
+Added: The Fed also announced their intention, via Reserve Management Purchases ( “RMPs”), to grow their balance sheet over time to maintain a stable relationship between the size of their balance sheet and the economy.
+Added: These steps will result in increased purchases of U.S.
+Added: Treasury securities by the Fed going forward, and interest rate swap spreads have widened – or become less negative – as a result.
+Added: The widening of swap spreads, particularly longer-dated spreads, caused the swap curve to steepen more than the cash U.S.
+Added: Treasury curve.
+Added: Longer-dated swap spreads had become progressively more negative over the previous years, reflecting the market’s concern with increasing government issuance of U.S.
+Added: Treasury securities.
+Added: The increased purchases by the Fed offset some of the impact of the deficit induced growth in issuance anticipated in the future.
+Added: As realized interest rate volatility was very low during the quarter, implied rate volatility in the swaptions market continued to decline and has reached multi-year lows in early 2026.
The Agency RMBS Market
−Removed: As a proxy for the performance of the Agency RMBS market during the fourth quarter of 2024, the spread of the 30-year, fixed rate current coupon to the 10-year U.S.
−Removed: Treasury Note hit a multi-year low of approximately 109 basis points the day after the Fed lowered the Fed Funds rate on September 18, 2024.
−Removed: This is in contrast to the spread in May of 2023 of over 200 basis points.
−Removed: The developments described above led to higher interest rates and elevated levels of rate volatility.
−Removed: By the end of October of 2024, the spread had increased to approximately 147 basis points and ended the year at approximately 128 basis points.
−Removed: The Agency RMBS index generated a negative return for the fourth quarter of -3.2% and a return of -0.6% versus comparable duration swaps, as compared to -2.8% and 0.9%, respectively for these measures, for the investment grade corporate index, and 0.2% and 1.4%, respectively for these measures, for high yield debt.
−Removed: While total returns for U.S.
−Removed: Treasury securities were also negative, most sectors of the fixed income markets generated positive total returns for the quarter, as well as positive excess returns versus comparable duration swaps.
−Removed: Within Agency RMBS for the fourth quarter of 2024, conventional 30-year mortgages generated a negative total return of -3.5%, 15-year mortgages generated a negative total return of -2.2% and Ginnie Mae 30-year mortgages generated a total return of -2.7%.
+Added: As a proxy for the performance of the Agency RMBS market during 2025, the spread of the 30-year, fixed rate current coupon to the 10-year U.S.
+Added: Treasury Note peaked at approximately 142 basis points in April 2025, not long after the market turmoil surrounding the various tariff measures introduced by the Trump administration on April 2, 2025.
+Added: Since then, the spread has steadily declined, closely mirroring the performance of implied interest rate volatility, an important driver of Agency RMBS performance.
+Added: The current coupon spread to the 10-year U.S.
+Added: Treasury was at approximately 105 basis points at the beginning of the fourth quarter of 2025, and approximately 88 basis points at the end of the fourth quarter.
+Added: On January 8 2, 2026, President Trump announced plans for the Enterprises to purchase up to $200 billion of Agency RMBS in 2026 in an effort to drive mortgage rates down and improve housing affordability.
+Added: The market reacted strongly to the news, and the current coupon spread tightened to approximately 74 basis points, the tightest level since early 2022 when the Fed was still buying Agency RMBS under its quantitative easing program.
+Added: Since the announcement, spreads have widened slightly but are still lower than the level at the end of 2025.
+Added: Within Agency RMBS for the fourth quarter of 2025, conventional 30-year mortgages generated a total return of 1.7%, 15-year mortgages generated a total return of 1.5% and Ginnie Mae 30-year mortgages generated a total return of 1.5%.
Versus comparable duration swaps, the returns were 1.4%, 0.8% and 1.1% for 30-year conventional, 15-year conventional and Ginnie Mae 30-year mortgages, respectively.
The Company invests predominantly in 30-year conventional mortgages.
−Removed: Returns with the 30-year stack of coupons were negatively correlated with the duration of the respective securities, as lower coupon, longer durations bonds generated the most negative total returns and the highest coupon – 7.0% - generated positive total returns.
−Removed: The range for the coupon stack was -4.8% for the 2.0% coupon to +0.9% for the 7.0% coupon during the fourth quarter of 2024.
−Removed: Excess returns versus comparable duration swaps were in the range of -0.6% to -0.9% for all coupons between 2.0% and 6.0% during the fourth quarter of 2024.
−Removed: Conversely, the excess return for the 6.5% coupon was -0.2% and +0.3% for the 7.0% coupon during the fourth quarter of 2024.
+Added: Returns with the 30-year stack of coupons were very consistent across the various coupons:
+Added: the 2.0% coupon generated a return of 1.3%, the 3.5% coupon generated a return of 2.2% and all other coupons were between 1.6% and 1.8%.
+Added: Excess returns versus comparable duration swaps were in the range of -0.5% to 2.1%, with the 3.5% coupon again being the outlier to the upside.
+Added: The highest coupons – 6.0% and higher – all generated excess returns below 1.0%.
+Added: Excess returns for the balance of the coupons were between 1.1% and 1.7%, similar to absolute returns.
Recent Legislative and Regulatory Developments
10 unchanged sentences
On May 1, 2024, the FOMC announced the Fed’s decision to reduce its balance sheet by a maximum of $25 billion of U.S.
−Removed: Treasuries and remove the cap on Agency RMBS reduction, with any amounts in excess of $35 billion per month being reinvested in U.S.
+Added: Treasury securities and remove the cap on Agency RMBS reduction, with any amounts in excess of $35 billion per month being reinvested in U.S.
Treasury securities.
−Removed: Relatively high interest rates and slow prepayment speeds have kept the balance sheet reduction for Agency RMBS below $20 billion per month throughout 2024.
−Removed: As of December 31, 2024, the Fed had reduced its balance sheet for Agency RMBS by approximately $507 billion from the peak to $2.2 trillion, shedding approximately 37% of the Agency RMBS added during pandemic quantitative easing and representing the lowest level since May 2021.
+Added: On March 19, 2025, the FOMC announced the Fed's decision to reduce its balance sheet by a maximum of $5 billion of U.S.
+Added: Treasury securities beginning April 1, 2025.
+Added: 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 2025.
+Added: As of December 31, 2025, the Fed had reduced its balance sheet for Agency RMBS by approximately $741 billion from the peak to $2.0 trillion, shedding approximately 54% of the Agency RMBS added during pandemic quantitative easing and representing the lowest level since December 2020.
+Added: On December 1, 2025, the Fed ended quantitative tightening and began reinvesting all proceeds from maturing Agency RMBS up to a $35 billion per month cap in U.S.
+Added: Treasuries and announced that it would begin buying an additional $40 billion per month of U.S.
+Added: Treasuries via RMPs in order to maintain an ample level of reserves on an ongoing basis.
On September 14, 2021, the U.S.
8 unchanged sentences
Treasury and FHFA entered into a letter agreement deleting the September 2021 Provisions entirely, as well as providing additional guidance on the process for a potential end to the conservatorship of the Enterprises.
+Added: Throughout 2025, there was some speculation in the market regarding progress towards an end to the conservatorship, including through an initial public offering, but a directive by the Trump administration in January 2026 that the Enterprises purchase up to $200 billion of Agency RMBS from their accumulated cash reserves will increase the Enterprises’ balance sheets and exposure to mortgage risk and could make a near-term end to the conservatorship unlikely.
+Added: The announcement of the directive, designed to increase liquidity and compress the spread between mortgage interest rates and the 10-year U.S.
+Added: Treasury, had the intended effect immediately and significantly increased mortgage application volumes.
+Added: The longer-term implications of this directive remain to be seen, with some analysts fearing a demand surge in home prices negating any affordability gains, systemic instability due to increased exposure to mortgage risk by the Enterprises, and volatility in the 10-year U.S.
+Added: Treasury and mortgage interest spreads if the Fed decides to tighten monetary policy while the Trump administration is loosening it through the Enterprises.
+Added: Further, the Enterprises are quickly approaching their regulatory asset caps, and it is unclear whether the FHFA will raise these caps to signal a long-term commitment to this directive or whether this is a limited intervention.
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").
−Removed: The Basel III Endgame, if implemented as proposed, would significantly increase the credit weight risk for balance-sheet mortgages and for Agency RMBS sold to the GSEs, which could disincentivize banks from originating mortgages for sale to the GSEs and impact pricing in the Agency RMBS markets.
+Added: The Basel III Endgame, if implemented as originally proposed, would significantly increase the credit weight risk for balance-sheet mortgages and for Agency RMBS sold to the GSEs, which could disincentivize banks from originating mortgages for sale to the GSEs and impact pricing in the Agency RMBS markets.
The comment period for the Basel III Endgame closed on January 16, 2024, and the proposed rule was met with strong objections from the banking industry.
−Removed: In testimony before the United States Senate Committee on Banking, Housing and Urban Affairs in July 2024, Fed chairman Jerome Powell stated that the OCC, the FDIC and the Fed were in discussions to materially revise the proposed rule, and that there was consensus at the Fed to undergo another comment period.
−Removed: In remarks given on September 10, 2024, Michael Barr, the Fed's Vice Chair for Supervision, confirmed that the Basel III Endgame was being rewritten to, among other things, reduce the risk weights for residential real estate and retail exposures, extend the scope of the reduced risk weight for certain low-risk corporate debt, and eliminate the minimum haircut for securities financing transactions.
+Added: 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.
+Added: On November 25, 2025, the Fed, OCC and FDIC jointly adopted a final rule to revise the enhanced supplementary leverage ratio for globally systemically important bank holding companies (“GSIBs”).
+Added: The rule, which becomes effective April 1, 2026 and may be adopted by banks subject to the rule as early as January 1, 2026, seeks to promote effective GSIB capital management and remove disincentives for banks to engage in low-risk activities, particularly in the U.S.
+Added: Treasury market.
+Added: This shift is expected to free up significant capital, allowing GSIBs greater discretion in asset allocation and potentially fostering increased lending and economic activity.
The scope and nature of the actions the U.S.
28 unchanged sentences
As interest rates rise, the expected average life of these securities increases, causing generally positive price movements as the number and size of the cash flows increase the longer the underlying mortgages remain outstanding.
−Removed: This makes interest only securities desirable hedge instruments for pass-through Agency RMBS.
+Added: This makes interest only securities desirable hedge instruments for PT Agency RMBS.
Because we base our investment decisions on risk management principles rather than anticipated movements in interest rates, in a volatile interest rate environment we may allocate more capital to structured Agency RMBS with shorter durations.
6 unchanged sentences
The impact of these increases would be most prevalent with respect to our Agency RMBS backed by fixed rate mortgage loans because the interest rate on a fixed-rate mortgage loan does not change even though market rates may change.
−Removed: 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.
−Removed: The outlook for the fixed income market pivoted early in the fourth quarter of 2024.
−Removed: As the third quarter came to an end, inflation was falling towards the Fed’s 2% target, the labor market was cooling as hiring levels moderated and the unemployment rate was slowly creeping higher, and the Fed had finally lowered the Fed Funds rate by 50 basis points.
−Removed: At the time, the market expected the Fed to lower the rate by over 200 basis points over the next 18 months.
−Removed: Beginning early in the fourth quarter, the incoming data turned.
−Removed: Readings on the labor market stabilized and hiring stopped slowing.
−Removed: The unemployment rate appeared to plateau, and most importantly, the decline in inflation rates previously in place seemed to lose momentum and inflation remained above the Fed’s 2% target level.
−Removed: In early November, the Republican party swept the U.S.
−Removed: national elections, and the new president has a very pro-growth agenda for the country.
−Removed: President Trump has stated that he favors using tariffs to shift domestic consumption away from imports and towards domestically produced goods.
−Removed: If successful, such a policy could ultimately support strong growth in domestic goods production and employment;
−Removed: however, it is likely to be a source of inflationary pressure in the short term, at a time when inflation is already too high.
−Removed: As the economic outlook shifted, the Fed did lower the Fed Funds rate two more times during 2024 – by 25 basis points in each case.
−Removed: With the Fed Funds rate lowered by 100 basis points over the course of the quarter, the persistently strong economic outlook led to a disinversion of the yield curve between the Fed Funds rate and the 10-year U.S.
−Removed: Treasury Note, and between the 2-year U.S.
−Removed: Treasury Note and 10-year U.S.
−Removed: Treasury Note.
−Removed: The market’s expectation for additional reductions in the Fed Funds rate continued to decline over the course of the fourth quarter and into 2025, and current pricing is for less than two additional 25 basis point reductions.
−Removed: The Agency RMBS market generated negative total returns for the quarter and was one of the worst performing sectors of the fixed income markets.
−Removed: Returns for the Agency RMBS market versus comparable durations swaps, a proxy for returns for levered bond investors such as the Company, were also negative, albeit far less so than the absolute returns.
−Removed: During the fourth quarter, the lowest coupon and longest duration securities generated the worst returns, and performance generally racked these metrics as the highest coupon securities generated the best returns.
−Removed: Looking forward, economic activity remains resilient if not strong, the labor market is quite healthy and inflation, while well off the peak seen in 2022, remains above the Fed’s 2% target.
−Removed: The Fed may reduce the Fed Funds rate again over the next year or so but the new pro-growth administration, potentially inflationary tariffs and continued large federal deficits, coupled with an already strong economy, may stand in the way.
+Added: 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, ERIS SOFR Swap, and T-Note futures contracts, dual digital options or interest rate swaptions.
+Added: The fixed income markets have experienced a period of calm as 2025 came to close and we enter 2026.
+Added: Interest rates have remained in a very tight range, implied interest rate volatility has continued the steady decline that began in April of 2025, and Agency RMBS performed well during the fourth quarter of 2025.
+Added: Other sectors of the fixed income markets performed well during the fourth quarter as well, and spreads on investment grade corporate bonds reached levels not seen since 1998.
+Added: Risk sentiment generally was quite strong during the quarter, and the S&P 500 generated a return of 2.3%.
+Added: The government shutdown that started on October 1, 2025 and lasted until mid-November created a near complete data vacuum for the markets during the quarter.
+Added: Once the government reopened it was several weeks before data for the quarter was available.
+Added: Exacerbating the data shortage was the perception the data was of poor quality owing to frequent and substantial revisions after the initial release.
+Added: The market had limited means to gauge the strength of the economy.
+Added: The Fed did lower the Fed Funds rate twice in the fourth quarter – in both cases by 25 basis points – and stated they had reached the upper end of what they deemed the range of neutral.
+Added: However, owing to the lack of the most critical data on the labor market and inflation - and the fact that the data that was available did not indicate much had changed with the economy since the shutdown began – the Fed seems likely to hold rates steady for now until incoming data dictates otherwise.
+Added: This seems especially likely to be the case as President Trump announced Kevin Warsh will replace current Chairman Powell in May, and the Fed is not likely to take meaning policy steps just before a chairmanship transition.
+Added: The Agency RMBS market generated a total return of 1.7% for the quarter, consistent with the solid returns for all sectors of the fixed income markets.
+Added: The return for the Agency RMBS market versus comparable durations swaps, a proxy for returns for levered bond investors such as the Company, was 1.3%.
+Added: During the fourth quarter, excess returns were generally even across the various 30-year coupons – with the 3.5% coupon being an outlier to the upside at 2.2%.
+Added: The highest coupons, 6.0% and higher, lagged the returns of the rest of the coupon stack on an excess return basis, all between 0.5% and 0.9%.
+Added: Looking forward, economic activity remains resilient and could strengthen as the stimulative components of the One Big Beautiful Bill Act, passed in mid-2025, start to impact the economy – lower tax withholding, capital expenditure expensing, less regulation, among other measures.
+Added: The labor market still seems weak, although it is not deteriorating.
+Added: Inflation remains sticky, still above the Fed’s target level of 2%, but there do not appear to be meaningful follow-through impacts from the tariffs introduced in 2025.
+Added: Monetary policy may remain steady for the time being as well.
+Added: If these conditions persist, interest rates are likely to remain stable, implied interest rate volatility subdued and risk assets, including Agency RMBS, will likely perform well.
+Added: This outlook will change if interest rates move substantially in either direction, especially if the movement is towards higher rates, and interest rate implied volatility increases materially.
Critical Accounting Estimates
22 unchanged sentences
We use derivative instruments to manage interest rate risk, facilitate asset/liability strategies and manage other exposures, and we may continue to do so in the future.
−Removed: The principal instruments that we have used to date are Fed Funds, SOFR, T-Note and Eurodollar futures contracts, interest rate swaps, interest rate swaptions, interest rate caps and TBA securities, but we may enter into other derivatives in the future.
+Added: The principal instruments that we have used to date are Fed Funds, SOFR, T-Note and ERIS SOFR Swap futures contracts, interest rate swaps, interest rate swaptions, interest rate caps and TBA securities, but we may enter into other derivatives in the future.
We account for TBA securities as derivative instruments.
9 unchanged sentences
Since we commenced operations, we have elected to account for all of our Agency RMBS under the fair value option.
−Removed: All of our Agency RMBS are either pass-through securities or structured Agency RMBS, including CMOs, IOs, IIOs or POs.
−Removed: Income on pass-through securities, POs and CMOs that contain principal balances is based on the stated interest rate of the security.
+Added: All of our Agency RMBS are either PT securities or structured Agency RMBS, including CMOs, IOs, IIOs or POs.
+Added: Income on PT securities, POs and CMOs that contain principal balances is based on the stated interest rate of the security.
As a result of accounting for our RMBS under the fair value option, premium or discount present at the date of purchase is not amortized.
15 unchanged sentences
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.